/raid1/www/Hosts/bankrupt/TCR_Public/180826.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 26, 2018, Vol. 22, No. 237
Headlines
A10 TERM 2017-1: DBRS Confirms B Rating on Class F Certs
AMERICAN COMMERCIAL: Bank Debt Trades at 20% Off
ANGEL OAK 2018-3: DBRS Gives Prov. B Rating on $14.2MM B-2 Certs
APIDOS CLO XXIV: S&P Assigns Prelim B-(sf) Rating on Cl. E-R Notes
ATRIUM XIV: S&P Assigns BB- Rating on $29MM Class E Notes
BARINGS CLO 2016-I: Moody's Gives Ba3 Rating on Class E-R Notes
BEAR STEARNS 2004-TOP16: Fitch Affirms 'B' Rating on Class K Certs
BENCHMARK MORTGAGE 2018-B5: Fitch Rates Class G-RR Certs 'B-'
BX TRUST 2017-APPL: DBRS Confirms BB(low) Rating on Class E Certs
CIFC FUNDING 2018-IV: Moody's Gives (P)B3 Rating on Class E Notes
CITIGROUP COMMERCIAL 2014-GC25: DBRS Confirms B Rating on F Certs
CITIGROUP COMMERCIAL 2017-B1: DBRS Confirms B Rating on X-F Certs
CITIGROUP COMMERCIAL 2017-B1: Fitch Affirms BB- on Cl. X-E Certs
COMM 2012-CCRE4: Moody's Lowers Rating on Class D Certs to 'B2'
COMMERCIAL MORTGAGE 1999-C1: Moody's Hikes F Debt Rating to Caa2
CREDIT SUISSE 2003-C3: Fitch Lowers Rating on Class J Certs to 'CC'
CREDIT SUISSE 2006-C4: Moody's Affirms C Ratings on 2 Tranches
CREST 2004-1: Moody's Raises Rating on Class F Debt to Caa3
CREST LTD 2003-2: Moody's Hikes Ratings on 2 Tranches to 'Caa2'
CSAIL 2018-CX12: Fitch Rates $7.56MM Class G-RR Certs 'B-sf'
CWHEQ REVOLVING 2006-RES: Moody's Hikes Rating on 4 Tranches to B2
DIAMOND CLO 2018-1: S&P Assigns Prelim BB-(sf) Rating on E Notes
DIAMOND RESORTS 2018-1: S&P Assigns BB(sf) Rating on Class D Notes
DRYDEN 38: Moody's Assigns Ba3 Rating on $24.2MM Class E-R Notes
DRYDEN 40: Moody's Assigns B3 Rating on $12MM Class F-R Notes
DRYDEN 65 CLO: S&P Assigns Prelim BB- Rating on Class E Notes
DRYDEN LTD 60: Moody's Assigns Ba3 Rating on $14.4MM Class E Notes
EDUCATION FUNDING 2016-1: Moody's Cuts Cl. A-3 Notes Rating to Caa3
FLAGSHIP CREDIT 2018-3: S&P Assigns BB- Rating on Cl. E Notes
FREDDIE MAC 2018-3: DBRS Finalizes B(low) Rating on Class M Certs
GE COMMERCIAL 2007-C1: Moody's Affirms C Ratings on 5 Tranches
GOLUB CAPITAL 37(B): S&P Assigns BB- Rating on Class E Notes
GREENWICH CAPITAL 2004-GG1: Moody's Rates Class G Certs 'Ba2'
GREENWICH CAPITAL 2005-GG5: Moody's Hikes Cl. B Debt Rating to Caa1
GS MORTGAGE 2017-STAY: DBRS Confirms B Rating on Class HRR Certs
GS MORTGAGE 2018-HULA: DBRS Finalizes B(low) Rating on Cl. G Certs
HPS LOAN 13-2018: S&P Assigns Prelim. B- Rating on Cl. F Notes
HUNT COMMERCIAL 2017-FL1: DBRS Confirms B(low) Rating on E Notes
JFIN CLO 2012: S&P Assigns B-(sf) Rating on $5MM Class E-R Notes
JP MORGAN 2013-7: Fitch Affirms Bsf Rating on $12.2MM Class F Certs
JP MORGAN 2018-8: DBRS Assigns Prov. B Rating on Class B-5 Certs
KKR CLO 14: Moody's Assigns Ba3 Rating on Class E-R Notes
KODIAK CDO I: Moody's Raises Rating on Class A-2 Notes to 'Ba1'
KODIAK CDO II: Moody's Hikes Rating on 2 Tranches to B1
MASTR ADJUSTABLE 2005-5: Moody's Withdraws Ratings on 4 Tranches
MERRILL LYNCH 2005-LC1: Moody's Raises Class H Certs Rating to 'Ca'
METLIFE 2018-1: DBRS Finalizes B Rating on $8MM Class B2 Debt
METLIFE SECURITIZATION 2018-1: Fitch Rates Class B2 Notes 'Bsf'
MORGAN STANLEY 2007-TOP27: DBRS Confirms B Rating on Class C Certs
MORGAN STANLEY 2014-C18: DBRS Confirms B Rating on 2 Cert. Classes
MORGAN STANLEY 2018-BOP: DBRS Gives Prov. BB Rating on Cl. F Certs
NATIONAL COLLEGIATE: Fitch Corrects August 14 Ratings Release
OCTAGON INVESTMENT 38: S&P Assigns BB-(sf) Rating on Cl. D Notes
OHA CREDIT 1: S&P Assigns Prelim BB-(sf) Rating on Class E Notes
PARK AVENUE 2016-1: S&P Assigns BB- Rating on Class D-R Notes
RAIT CRE I: Moody's Affirms B1(sf) Rating on Class B Notes
RENTPATH INC: Bank Debt Trades at 19% Off
RESIDENTIAL ASSET 2005-A12: Moody's Cuts A-X Debt Rating to Caa2
SASCO 2001-SB1: Moody's Cuts Ratings on 4 Tranches to 'Caa1'
SATURNS JC 2007-1: Moody's Cuts Rating on 3 Cert. Classes to Caa2
SEQUOIA MORTGAGE 2018-7: Moody's Rates Class B-4 Certs 'Ba3'
TRINITAS CLO IV: S&P Assigns B Rating on $4.5MM Cl. F-R Notes
VCO CLO 2018-1: S&P Assigns BB- Rating on $17MM Class E Notes
VIBRANT CLO X: Moody's Assigns (P)Ba3 Rating on $25MM Class D Notes
WACHOVIA BANK 2007-C31: Moody's Hikes Class C Debt Rating to B1
WACHOVIA BANK 2007-C33: Moody's Affirms C Rating on 4 Tranches
WELLS FARGO 2014-C22: Fitch Affirms 'CCC' Rating on Class F Certs
WESTLAKE AUTOMOBILE 2018-3: S&P Assigns B+ on Class F Notes
WOODMONT TRUST 2018-5: S&P Assigns BB Rating on Class E Notes
[*] Moody's Cuts Ratings on 5 Certs in 3 Structured Note Deals
[*] Moody's Takes Action on $95.5MM Subprime RMBS Issued 2000-2006
[*] Moody's Takes Action on 11 Tranches From 9 US RMBS Deals
[*] Moody's Takes Action on 29 Tranches From 5 US RMBS Deals
[*] Moody's Takes Action on 32 Tranches From 20 US RMBS Deals
[*] S&P Takes Actions on 3 National Collegiate Student Loan Trusts
[] Discounted Tickets for 2018 Distressed Investing Conference!
*********
A10 TERM 2017-1: DBRS Confirms B Rating on Class F Certs
--------------------------------------------------------
DBRS Limited confirmed the ratings of A10 Term Asset Financing
2017-1, LLC as follows:
-- Class A-1-FL at AAA (sf)
-- Class A-1-FX at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class B at A (low) (sf)
-- Class C at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (sf)
-- Class F at B (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the underlying loans within the pool.
The transaction consists of 30 loans secured by 52 transitional
commercial real estate assets, including office, retail, industrial
and multifamily properties. A total of 28 underlying loans are
cross-collateralized and cross-defaulted within five separate
portfolios. According to the July 2018 remittance, there has been a
collateral reduction of 20.7% since issuance, as seven loans have
been repaid in full, contributing to a principal pay down of $64.9
million. The remaining loans benefit from low leverage on a
per-unit basis, with the weighted-average debt yield based on the
most recently reported net operating income and outstanding trust
balance at 8.7%, which is considered healthy given that the pool
consists of stabilizing assets.
Most loans are structured with two- to four-year terms and include
built-in extensions and future funding facilities available as the
properties move toward stabilization. Both the extensions and
future funding's at the lender's sole discretion. The reserve
account established for future funding obligations has a current
balance of $13.5 million, with a remaining future funding option of
$28.5 million. According to the most recent reporting, the
collateral assets generally have stable debt yields; however, the
majority of the properties continue to be in the process of
stabilization. Details on the stabilization status for pivotal
loans within the pool are provided in the Loan Commentary on the
DBRS Viewpoint platform, as discussed below.
The ratings assigned by DBRS contemplate timely payments of
distributable interest and, in the case of the offered notes other
than the Class A Notes, ultimate recovery of deferred
collateralized note interest amounts (inclusive of interest payable
thereon at the applicable rate, to the extent permitted by law).
The transaction is a standard sequential-pay waterfall.
Notes: All figures are in U.S. dollars unless otherwise noted.
AMERICAN COMMERCIAL: Bank Debt Trades at 20% Off
------------------------------------------------
Participations in a syndicated loan under which American Commercial
Lines Inc. is a borrower traded in the secondary market at 80.08
cents-on-the-dollar during the week ended Friday, August 17, 2018,
according to data compiled by LSTA/Thomson Reuters MTM Pricing.
This represents a decrease of 1.74 percentage points from the
previous week. American Commercial pays 875 basis points above
LIBOR to borrow under the $1.15 billion facility. The bank loan
matures on November 12, 2020. Moody's rates the loan 'Caa2' and
Standard & Poor's gave a 'CCC+' rating to the loan. The loan is one
of the biggest gainers and losers among 247 widely quoted
syndicated loans with five or more bids in secondary trading for
the week ended Friday, August 17.
ANGEL OAK 2018-3: DBRS Gives Prov. B Rating on $14.2MM B-2 Certs
----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
Mortgage-Backed Certificates, Series 2018-3 to be issued by Angel
Oak Mortgage Trust I, LLC 2018-3 (AOMT 2018-3 or the Trust):
-- $258.0 million Class A-1 at AAA (sf)
-- $34.4 million Class A-2 at AA (sf)
-- $32.8 million Class A-3 at A (sf)
-- $20.2 million Class M-1 at BBB (sf)
-- $11.7 million Class M-2 at BBB (low) (sf)
-- $10.9 million Class B-1 at BB (sf)
-- $14.2 million Class B-2 at B (sf)
The AAA (sf) rating on the Certificates reflects the 34.80% of
credit enhancement provided by subordinated Certificates in the
pool. The AA (sf), A (sf), BBB (sf), BBB (low) (sf), BB (sf) and B
(sf) ratings reflect 26.10%, 17.80%, 12.70%, 9.75%, 7.00% and 3.40%
of credit enhancement, respectively.
Other than the specified classes above, DBRS does not rate any
other classes in this transaction.
This transaction is a securitization of a portfolio of primarily
first-lien fixed- and adjustable-rate non-prime and prime
residential mortgages. The Certificates are backed by 966 loans
with a total principal balance of $395,765,158 as of the Cut-Off
Date (August 1, 2018).
Angel Oak Home Loans LLC (AOHL), Angel Oak Mortgage Solutions LLC
(AOMS) and Angel Oak Prime Bridge LLC (together, Angel Oak)
originated 100.0% of the portfolio. The Angel Oak first-lien
mortgages were mainly originated under the following nine
programs:
(1) Platinum (41.8%) — Made to borrowers that have prime or
near-prime credit scores but who are unable to obtain financing
through conventional or governmental channels because (a) they fail
to satisfy credit requirements, (b) they are self-employed and need
alternative income calculations using 12 months or 24 months of
bank statements or (c) they may have been subject to a bankruptcy
or foreclosure 48 or more months prior to origination.
(2) Portfolio Select (32.4%) — Made to borrowers with near-prime
credit scores who are unable to obtain financing through
conventional or governmental channels because (a) they fail to
satisfy credit requirements, (b) they are self-employed and need an
alternate income calculation using or 12 months' or 24 months' bank
statements to qualify, (c) they may have a credit score that is
lower than that required by government-sponsored entity
underwriting guidelines or (d) they may have been subject to a
bankruptcy or foreclosure 24 or more months prior to origination.
(3) Prime Jumbo (11.0%) — Made to borrowers that have prime
credit scores and cleaner housing history with no bankruptcy or
foreclosure in the 60 months prior to origination. The loan amounts
will also allow high balance-conforming loan limits. Interest-only
features are allowed. The income documentation requirements follow
Appendix Q.
(4) Non-Prime General (7.3%) — Made to borrowers who have not
sustained a housing event in the past 24 months but whose credit
reports show multiple 30+- and/or 60+-day delinquencies on any
reported debt in the past 12 months.
(5) Investor Cash Flow (2.7%) — Made to real estate investors who
are experienced in purchasing, renting and managing investment
properties with an established five-year credit history and at
least 24 months of clean housing payment history but who are unable
to obtain financing through conventional or governmental channels
because (a) they fail to satisfy the requirements of such programs
or (b) they may be over the maximum number of properties allowed.
Loans originated under the Investor Cash Flow program are
considered business-purpose and are not covered by the
Ability-to-Repay (ATR) rules or the TILA-RESPA Integrated
Disclosure rule.
(6) Asset Qualifier (2.4%) — Made to borrowers with prime credit
and significant assets who can purchase the property with their
assets but choose to use a financing instrument for cash flow
purposes. Assets should cover the purchase of the home plus 60
months of debt service and six months of reserves. No income
documentation is obtained, but the borrower is qualified based on
certain credit requirements (minimum score 700) and significant
asset requirements. These loans are available within both the
Platinum and Portfolio Select programs.
(7) Non-Prime Recent Housing (1.1%) — Made to borrowers who have
completed or have had their properties subject to a short sale,
deed in lieu, notice of default or foreclosure. Borrowers who have
filed for bankruptcy 12 or more months prior to origination or have
experienced severe delinquencies may also be considered for this
program.
(8) Non-Prime Foreign National (0.8%) — Made to investment
property borrowers who are citizens of foreign countries and do not
reside or work in the United States. Borrowers may use alternative
income and credit documentation. Income is typically documented by
the employer or accountant, and credit is verified by letters from
overseas credit holders.
(9) Non-Prime Investment Property (0.2%) — Made to real estate
investors who may have financed up to four mortgaged properties
with the originators (or 20 mortgaged properties with all
lenders).
In addition, the pool contains 0.4% second-lien mortgage loans,
which were originated under the guidelines established by the
Federal National Mortgage Association (Fannie Mae) and overlaid by
Angel Oak.
Select Portfolio Servicing, Inc. (SPS) is the Servicer for the
loans. AOHL and AOMS will act as Servicing Administrators, and
Wells Fargo Bank, N.A. (Wells Fargo; rated AA with a Stable trend
by DBRS) will act as the Master Servicer. U.S. Bank National
Association (rated AA (high) with a Stable trend by DBRS) will
serve as Trustee and Custodian.
Although the mortgage loans were originated to satisfy the Consumer
Financial Protection Bureau (CFPB) ATR rules, they were made to
borrowers who generally do not qualify for agency, government or
private-label non-agency prime jumbo products for the various
reasons described above. In accordance with the CFPB Qualified
Mortgage (QM) rules, 8.4% of the loans are designated as QM Safe
Harbor, 0.4% is designated as QM Rebuttable Presumption and 83.1%
are designated as Non-QM. Approximately 8.2% of the loans are for
investment properties and thus are not subject to QM rules.
The Servicing Administrators or Servicer will generally fund
advances of delinquent principal and interest on any mortgage until
such loan becomes 180 days delinquent and are obligated to make
advances in respect of taxes, insurance premiums and reasonable
costs incurred in the course of servicing and disposing of
properties.
On or after the distribution date in August 2021, the Depositor has
the option to purchase all of the outstanding Certificates at a
price equal to the outstanding class balance plus accrued and
unpaid interest, including any cap carryover amounts.
The transaction employs a sequential-pay cash flow structure with a
pro rata principal distribution among the senior tranches.
Principal proceeds can be used to cover interest shortfalls on the
Certificates as the outstanding senior Certificates are paid in
full. Further, excess spread can be used to cover realized losses
first before being allocated to unpaid cap carryover amounts up to
Class B-1.
The ratings reflect transactional strengths that include the
following:
(1) Strong Underwriting Standards: Whether for prime or non-prime
mortgages, underwriting standards have improved significantly from
the pre-crisis era. All of the mortgage loans (except for Investor
Cash Flow, Investment Property and Foreign National) were
underwritten in accordance with the eight underwriting factors of
the ATR rules, although they may not necessarily comply with
Appendix Q of Regulation Z.
(2) Robust Loan Attributes and Pool Composition:
-- The mortgage loans in this portfolio generally have robust loan
attributes, as reflected in the combined loan-to-value (LTV)
ratios, borrower household incomes and liquid reserves, including
the loans in the Non-Prime programs that have weaker borrower
credit.
-- LTV ratios gradually reduce as the programs move down the credit
spectrum, suggesting the consideration of compensating factors for
riskier pools.
-- The pool comprises 65.6% hybrid adjustable-rate mortgages with
an initial fixed period of five to ten years, allowing borrowers
sufficient time to credit cure before rates reset. The remaining
34.4% of the pool comprises fixed-rate mortgages, which have the
lowest default risk because of the stability of monthly payments.
(3) Satisfactory Third-Party Due Diligence Review: A third-party
due diligence firm conducted property valuation and credit reviews
on 100% of the loans in the pool. For 97.3% of the loans (i.e., the
entire pool, excluding 79 Investor Cash Flow loans), a third-party
due diligence firm performed a regulatory compliance review. Data
integrity checks were also performed on the pool.
(4) Strong Servicer: SPS, a strong residential mortgage servicer
and a wholly owned subsidiary of Credit Suisse AG (rated "A" with a
Stable trend by DBRS), services the pool. In this transaction, AOHL
and AOMS, as the Servicing Administrators, or SPS, as the Servicer,
is responsible for funding advances to the extent required. In
addition, the transaction employs Wells Fargo as the Master
Servicer. If the Servicing Administrators or the Servicer fails in
their obligation to make principal and interest advances, Wells
Fargo will be obligated to fund such servicing advances.
(5) Current Loans and Faster Prepayments: Angel Oak began
originating non-agency loans in Q4 2013. Since the first
transaction was issued in December 2015, voluntary prepayment rates
have been relatively high, as these borrowers tend to credit cure
and refinance into lower-cost mortgages. Also, the loans in the
AOMT 2018-3 portfolio are 100% current. Although 1.4% of the pool
has experienced prior delinquencies, these loans have all cured.
The transaction also includes the following challenges and
mitigating factors:
(1) Representations and Warranties (R&W) Framework and Provider:
Although slightly stronger than other comparable Non-QM
transactions rated by DBRS, the R&W framework for AOMT 2018-3 is
weaker compared with post-crisis prime jumbo securitization
frameworks. Instead of an automatic review when a loan becomes
seriously delinquent, this transaction employs a mandatory review
upon less immediate triggers. In addition, the R&W provider,
guarantor or backstop provider are unrated entities; have limited
performance history in Non-QM securitizations; and may potentially
experience financial stress that could result in the inability to
fulfill repurchase obligations. DBRS notes the following mitigating
factors:
-- Satisfactory third-party due diligence was conducted on 100% of
the loans included in the pool with respect to credit, property
valuation and data integrity. A regulatory compliance review was
performed on all but 79 Investor Cash Flow loans. A comprehensive
due diligence review mitigates the risk of future R&W violations.
-- An independent third-party R&W reviewer, Recovco Mortgage
Management, LLC, is named in the transaction to review loans for
alleged breaches of R&W.
-- DBRS conducted an on-site originator review of AOHL and AOMS and
deems the mortgage companies to be operationally sound.
-- The Sponsor or Co-Sponsor, both affiliates of Angel Oak, will
retain an eligible vertical interest in at least 5% of each class's
certificates, aligning Sponsor and investor interest in the capital
structure.
-- Notwithstanding the above, DBRS adjusted the originator scores
downward to account for the potential inability to fulfill
repurchase obligations, the lack of performance history and the
weaker R&W framework. A lower originator score results in increased
default and loss assumptions and provides additional cushions for
the rated securities.
(2) Non-Prime, QM Rebuttable Presumption or Non-QM Loans: As
compared with post-crisis prime jumbo transactions, this portfolio
contains mortgages originated to borrowers with weaker credits or
who have prior derogatory credit events, as well as QM Rebuttable
Presumption or Non-QM loans. In addition, certain loans were
underwritten to 24-month bank statements for income (30.7%), to
12-month bank statements for income (18.1%) or as business-purpose
loans (2.7%). DBRS notes the following mitigating factors:
-- All loans subject to the ATR rules were originated to meet the
eight required underwriting factors.
-- Underwriting standards have improved substantially since the
pre-crisis era.
-- Bank statements as income and business-purpose loans are treated
as less-than-full documentation in the RMBS Insight model, which
increases expected losses on those loans.
-- The RMBS Insight model incorporates loss severity penalties for
Non-QM and QM Rebuttable Presumption loans, as explained further in
the Key Loss Severity Drivers section of the related presale
report.
-- For loans in this portfolio that were originated through the
Non-Prime General and Non-Prime Recent Housing Event programs,
borrower credit events had generally happened, on average, 35
months and 27 months, respectively, prior to cut-off. In its
analysis, DBRS applies additional penalties for borrowers with
recent credit events within the past two years.
(3) Geographic Concentration: Compared with other recent
securitizations, the AOMT 2018-3 pool has a high concentration of
loans located in Florida (24.0% of the pool). Mitigating factors
include the following:
-- Although the pool is concentrated in Florida, the loans are well
dispersed among the metropolitan statistical areas (MSAs). The
largest Florida MSA, Miami-Miami Beach-Kendall, represents only
3.8% of the entire transaction. DBRS does not believe the AOMT
2018-3 pool is particularly sensitive to any deterioration in
economic conditions or to the occurrence of a natural disaster in
any specific region.
-- DBRS's RMBS Insight model generates an elevated asset
correlation for this portfolio, as determined by the loan size and
geographic concentration, compared with pools with similar
collateral, resulting in higher expected losses across all rating
categories.
(4) Servicer Advances of Delinquent Principal and Interest: The
Servicing Administrators or Servicer will advance scheduled
principal and interest on delinquent mortgages until such loans
become 180 days delinquent. This will likely result in lower loss
severities to the transaction because advanced principal and
interest will not have to be reimbursed from the Trust upon the
liquidation of the mortgages but will increase the possibility of
periodic interest shortfalls to the Certificate holders. Mitigating
factors include the fact that (a) principal proceeds can be used to
pay interest shortfalls to the Certificates as the outstanding
senior Certificates are paid in full and (b) subordination levels
are greater than expected losses, which may provide for payment of
interest to the Certificates. DBRS ran cash flow scenarios that
incorporated principal and interest advancing up to 180 days for
delinquent loans; the cash flow scenarios are discussed in more
detail in the Cash Flow Analysis section of the presale report.
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 Certificates. The DBRS ratings of A (sf), BBB (sf), BBB
(low) (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
Certificates.
APIDOS CLO XXIV: S&P Assigns Prelim B-(sf) Rating on Cl. E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1A-R, A-2L-R, A-2F-R, B-R, C-R, D-R, and E-R replacement notes
from Apidos CLO XXIV, a collateralized loan obligation (CLO)
originally issued in August 2016 that is managed by CVC Credit
Partners 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. 17,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the August 2016 refinancing date, the proceeds from the issuance
of the replacement notes are expected to redeem the original notes.
At that time, S&P anticipates withdrawing the ratings on the
original notes and assigning ratings to the replacement notes.
However, if the refinancing doesn't occur, S&P may affirm the
ratings on the original notes and withdraw its preliminary ratings
on the replacement notes.
PRELIMINARY RATINGS ASSIGNED
Apidos CLO XXIV/Apidos CLO XXIV LLC
Class Rating Balance (mil. $)
A-1A-R AAA (sf) 242.00
A-1B-R NR 18.00
A-2L-R AA (sf) 30.00
A-2F-R AA (sf) 12.00
B-R A (sf) 26.00
C-R BBB- (sf) 24.00
D-R BB- (sf) 16.00
E-R B- (sf) 6.60
Subordinated notes NR 41.00
NR--Not rated.
ATRIUM XIV: S&P Assigns BB- Rating on $29MM Class E Notes
---------------------------------------------------------
S&P Global Ratings assigned its ratings to Atrium XIV/Atrium XIV
LLC's $676 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 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
Atrium XIV/Atrium XIV LLC
Class Rating Amount (mil. $)
X AAA (sf) 3.00
A-1 AAA (sf) 452.00
A-2a NR 38.00
A-2b NR 20.00
B AA (sf) 95.00
C A (sf) 46.00
D BBB- (sf) 51.00
E BB- (sf) 29.00
Subordinated notes NR 75.00
NR--Not rated.
BARINGS CLO 2016-I: Moody's Gives Ba3 Rating on Class E-R Notes
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
CLO refinancing notes issued by Barings CLO Ltd. 2016-I:
Moody's rating action is as follows:
US$3,000,000 Class X-R Senior Secured Term Notes Due 2030 (the
"Class X-R Notes"), Definitive Rating Assigned Aaa (sf)
US$240,000,000 Class A-1-R Senior Secured Term Notes Due 2030 (the
"Class A-1-R Notes"), Definitive Rating Assigned Aaa (sf)
US$20,000,000 Class A-2-R Senior Secured Term Notes Due 2030 (the
"Class A-2-R Notes"), Definitive Rating Assigned Aaa (sf)
US$17,000,000 Class B-1-R Senior Secured Term Notes Due 2030 (the
"Class B-1-R Notes"), Definitive Rating Assigned Aa2 (sf)
US$18,000,000 Class B-2-R Senior Secured Term Fixed Rate Notes Due
2030 (the "Class B-2-R Notes"), Definitive Rating Assigned Aa2 (sf)
US$28,000,000 Class C-R Secured Deferrable Mezzanine Term Notes Due
2030 (the "Class C-R Notes"), Definitive Rating Assigned A2 (sf)
US$23,000,000 Class D-R Secured Deferrable Mezzanine Term Notes Due
2030 (the "Class D-R Notes"), Definitive Rating Assigned Baa3 (sf)
US$22,000,000 Class E-R Secured Deferrable Junior Term Notes Due
2030 (the "Class E-R Notes"), Definitive Rating 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.
Barings 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 20, 2018 in
connection with the refinancing of all classes of the secured notes
previously issued on February 23, 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; changes to the
overcollateralization test levels; and changes to comply with the
Volcker Rule.
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: $400,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2837
Weighted Average Spread (WAS): 3.35%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 8.92 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.
BEAR STEARNS 2004-TOP16: Fitch Affirms 'B' Rating on Class K Certs
------------------------------------------------------------------
Fitch Ratings has upgraded two and affirmed six classes of Bear
Stearns Commercial Mortgage Securities Trust (BSCMS), series
2004-TOP16, commercial mortgage pass-through certificates.
KEY RATING DRIVERS
Increased Credit Enhancement: The upgrades to classes H and J
reflect the increased credit enhancement since Fitch's last rating
action. The pool paid down by an additional $3.9 million (11.5% of
pool balance at the last rating action) from continued loan
amortization. As of the August 2018 distribution date, the
transaction has been reduced by 97.4% to $29.7 million from $1.16
billion. Additionally, four loans (29.9% of current pool) are fully
defeased.
Concentrated Pool: Only 15 of the original 123 loans remain. Due to
the concentrated nature of the pool, Fitch performed a sensitivity
analysis that grouped the remaining loans based on the likelihood
of repayment and expected losses from the liquidation of the
specially-serviced asset. Of the 11 remaining non-defeased
loans/assets in the pool, three are Manhattan co-operative loans
(40.4% of current pool), six are low-leveraged, fully amortizing
loans (11.5%) and two are Fitch Loans of Concern (FLOCs; 18.2%),
which includes one real-estate owned asset (REO; 14.3%). The
upgrade of class J was capped at 'Asf' due to the class' reliance
on low-leveraged Manhattan co-operative loans. The affirmation of
class K at 'Bsf' reflects the class' reliance on the FLOCs.
Significant Upcoming Loan Maturities: Two loans (45.1% of current
pool) mature in 2018, nine loans (29.9%) in 2019 and two loans
(6.7%) in 2024. In addition, one loan (4%), which was not repaid at
its May 2011 anticipated repayment date, has a final maturity date
in May 2029. Based on upcoming loan maturities, class H is expected
to repay in full by February 2019 and class J is expected to repay
in full by September 2019.
Fitch Loans of Concern: Fitch designated two loans (18.2% of
current pool) as FLOCs, including the Clay Barnes & Noble loan
(3.9%) and the REO Wal-Mart-Carlyle Plaza asset (14.3%).
The Clay Barnes & Noble loan, which is secured by two free-standing
retail buildings located in Onondaga, NY (12 miles north of
Syracuse), was flagged for upcoming lease rollover concerns. The
loan collateral includes a 5,555 square foot (sf) single-tenant
building leased to Chili's Grill & Bar through February 2019 and a
24,000 sf single-tenant building leased to Barnes & Noble through
April 2019. Both tenants roll prior to the loan's May 2029 final
maturity. Chili's has four, five-year renewal options remaining and
Barnes & Noble has three, five-year renewal options remaining.
Fitch requested a leasing update from the servicer, but it was not
provided.
REO Asset: The Wal-Mart-Carlyle Plaza asset (14.3% of current pool)
is a 126,846 sf retail property located in Belleville, IL. The loan
transferred to special servicing in August 2013 for maturity
default. The property has been vacant since 2010 when Wal-Mart left
after opening a supercenter two miles east of the subject property.
Wal-Mart had continued to make rent payments through its August
2013 lease expiration, which was co-terminus with the loan's
maturity. Foreclosure was completed in April 2018. The special
servicer is expected to market the asset for sale in mid-October
2018, with an expected resolution by January 2019.
Stable Loss Expectations: Overall performance for the remaining
loans/assets remain stable and loss expectations are unchanged from
Fitch's last rating action.
Cumulative interest shortfalls are impacting classes K through P.
Realized losses to date total $13.5 million (1.2% of original pool
balance).
RATING SENSITIVITIES
The Stable Outlooks reflect the increased credit enhancement and
expected continued paydowns. Further upgrades are possible with
additional paydowns and/or defeasance. Downgrades, although not
likely, are possible if realized losses on the two FLOCs exceed
Fitch's expectations or if performance deteriorates significantly.
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 upgraded the following classes:
-- $10.1 million class H to 'AAAsf' from 'Asf'; Outlook Stable;
-- $2.9 million class J to 'Asf' from 'BBsf', Outlook Stable.
Fitch has affirmed the following classes:
-- $7.1 million class G at 'AAAsf'; Outlook Stable;
-- $4.3 million class K at 'Bsf'; Outlook Stable;
-- $5.3 million class L at 'Dsf'; RE 15%;
-- $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-2, A-3, A-4, A-5, A-6, B, C, D, E, F, and X-2 have
been paid in full. Fitch does not rate the class P certificates.
Fitch previously withdrew the rating on the interest-only class X-1
certificates.
BENCHMARK MORTGAGE 2018-B5: Fitch Rates Class G-RR Certs 'B-'
-------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Ratings
Outlooks to Benchmark 2018-B5 Mortgage Trust commercial mortgage
pass-through certificates, series 2018-B5:
-- $22,312,000 class A-1 'AAAsf'; Outlook Stable;
-- $195,734,000 class A-2 'AAAsf'; Outlook Stable;
-- $195,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $280,117,000 class A-4 'AAAsf'; Outlook Stable;
-- $34,230,000 class A-SB 'AAAsf'; Outlook Stable;
-- $833,904,000a class X-A 'AAAsf'; Outlook Stable;
-- $44,163,000a class X-B 'AA-sf'; Outlook Stable;
-- $106,511,000 class A-S 'AAAsf'; Outlook Stable;
-- $44,163,000 class B 'AA-sf'; Outlook Stable;
-- $42,864,000 class C 'A-sf'; Outlook Stable;
-- $18,964,000ab class X-D 'BBBsf'; Outlook Stable;
-- $18,964,000b class D 'BBBsf'; Outlook Stable;
-- $31,694,000bc class E-RR 'BBB-sf'; Outlook Stable;
-- $19,483,000bc class F-RR 'BB-sf'; Outlook Stable;
-- $10,392,000bc class G-RR 'B-sf'; Outlook Stable.
The following class is not rated by Fitch:
-- $37,668,160bc class NR-RR.
(a) Notional amount and interest only.
(b) Privately placed and pursuant to rule 144A.
(c) Horizontal risk retention (HRR) interest representing at least
5% of the estimated fair value of all classes of regular
certificates issued by the issuing entity.
NR = Not Rated
Since Fitch published its expected ratings on July 24, 2018, the
balances for class A-3 and class A-4 were finalized. At the time
that expected ratings were assigned, the class A-3 balance range
was $75,000,000 - $195,000,000 and the expected class A-4 balance
range was $280,117,000 - $400,117,000. The final class sizes for
class A-3 and A-4 are $195,000,000 and $280,117,000, respectively.
Additionally, the balance of class D and X-D increased from
$18,185,000 to $18,964,000, the ratings on class D and X-D changed
from 'BBB+sf' to 'BBBsf' and the balance of class E-RR decreased
from $32,473,000 to $31,694,000. The classesreflect the final
ratings and deal structure.
The ratings are based on information provided by the issuer as of
Aug. 17, 2018.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 55 loans secured by 219
commercial properties having an aggregate principal balance of
$1,039,132,161 as of the cut-off date. The loans were contributed
to the trust by German American Capital Corporation, JPMorgan Chase
Bank, National Association, and Citi Real Estate Funding Inc.
Fitch received a comprehensive sample of the transaction's
collateral, including site inspections on 67.2% of the properties
by balance, cash flow analysis of 76.1%, and asset summary reviews
of 89.9% of the pool.
KEY RATING DRIVERS
Lower Fitch LTV than Recent Transactions: The pool exhibits better
LTV metrics than recent Fitch-rated multiborrower transactions. The
pool's Fitch LTV of 99.2% is lower than the 2017 and YTD 2018
averages of 101.6% and 103.7%, respectively. Despite the relatively
strong Fitch LTV, the pool's Fitch debt service coverage ratio
(DSCR) of 1.19x is slightly weaker than the 2017 and YTD 2018
averages of 1.26x and 1.23x, respectively.
Investment-Grade Credit Opinion Loans: Five loans comprising 27.6%
of the transaction received an investment-grade credit opinion.
Aventura Mall (9.9% of the pool) received a credit opinion 'Asf*'
on a stand-alone basis. 181 Fremont Street (3.9% of the pool)
received a stand-alone credit opinion of 'BBB-sf*'. AON Center
(4.1% of the pool) received a stand-alone credit opinion of
'BBB-sf*'. Ebay North First Commons (4.9% of the pool) received a
credit opinion of 'BBB-sf*' on a stand-alone basis. Workspace (4.8%
of the pool) received a credit opinion of 'Asf*' on a stand-alone
basis. Excluding these loans, the pool's Fitch DSCR and LTV are
1.12x and 112.4%, respectively.
Weak Amortization: Twenty-three loans (59.0% of the pool) are
full-term interest-only, 18 loans (19.9% of the pool) are partial
interest-only and one loan (3.9% of the pool) is interest-only plus
ARD Structure. The pool is scheduled to amortize just 6.1% of the
initial pool balance by maturity, which is lower than the 2017 and
YTD 2018 averages of 7.9% and 7.3%, respectively.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 0.8% below
the most recent year's NOI (for properties for which a full year
NOI was provided, excluding properties that were stabilizing during
this period). Unanticipated further declines in property-level NCF
could result in higher defaults and loss severities on defaulted
loans and in potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the
BMARK 2018-B5 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'A-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBBsf'
could result.
BX TRUST 2017-APPL: DBRS Confirms BB(low) Rating on Class E Certs
-----------------------------------------------------------------
DBRS Limited confirmed the ratings on all classes of the Commercial
Mortgage Pass-Through Certificates, Series 2017-APPL (the
Certificates) issued by BX Trust 2017-APPL as follows:
-- Class A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at A (high) (sf)
-- Class X-CP at A (low) (sf)
-- Class X-EXT at A (low) (sf)
-- Class D at BBB (high) (sf)
-- Class E at BB (low) (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction, which has remained in line with DBRS's
expectations since issuance. This deal closed in August 2017, with
an original trust balance of $800 million. The loan is a 24-month
floating-rate (one-month LIBOR plus 2.15% per annum) interest-only
mortgage loan, with five 12-month extension options.
At issuance, the collateral consisted of 51 limited-service
extended stay and full-service hotels totaling 6,154 keys across 17
different states. As of the August 2018 remittance, 49 properties
remain, totaling 5,805 keys. To date, the loan has experienced a
collateral reduction of 9.5% since issuance due to pay downs from
the release of Marriot Redmond Town Centre (Prospectus ID#2, 7.8%
of the loan at issuance) and Residence Inn Huntsville (Prospectus
ID#50, 0.6% of the loan at issuance). The portfolio benefits from a
diverse collateral set operating in different markets and under
multiple hotel brands and flags, including Marriott and
Hilton-branded chains.
At issuance, the transaction had a weighted-average (WA) DBRS Term
Debt-Service Coverage Ratio (DSCR) and DBRS Debt Yield of 1.88
times (x) and 10.2%, respectively. The servicer's year-end 2017
analysis shows an in-place DSCR of 1.98x with net cash flow (NCF)
growth of 7.9% over the DBRS NCF figure derived at issuance.
As of the May 2018 Smith Travel Research (STR) report, the largest
15 properties (53.7% of the loan) by allocated loan balance
reported a WA revenue per available room (Repay) of $132.12, which
is in line with the WA Repay at issuance of $132.67. As of the same
date, the transactions collateral reported a WA Repay of $113.63,
compared with the WA Repay at issuance of $113.11, representing
0.46% growth from issuance.
There are two properties in the top 15, Courtyard Portland
Hillsboro (Prospectus ID#6, 3.5% of the loan) and TownePlace Suites
Portland Hillsboro (Prospectus ID#7, 3.5% of the loan), that have
experienced notable performance declines. Courtyard Portland
Hillsboro is a three-storey, 155-key, limited-service hotel that
began a $2.7 million ($17,419 per key) required property
improvement plan (PIP) in Q4 of 2017. The PIP entails renovations
to guest rooms, bathrooms and common areas and is expected to take
12 months to complete. Consequently, the subject has seen a decline
in performance due to a number of rooms being offline. TownePlace
Suites is a 136-key extended-stay hotel, also located in Hillsboro.
The subject has experienced declines in occupancy (-5.2%), average
daily rate (ADR; -10.8%) and Repay (-16.6%) since issuance. The
overall market has declined as well; during the same time period
the competitive set also experienced declines in occupancy (-3.2%),
ADR (-4.9%) and Repay (-7.9%). Per the May 2018 STR report, the
Hillsboro market is experiencing strong competition with
approximately 11 properties and 1,093 rooms in the midscale chain
submarket.
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.
CIFC FUNDING 2018-IV: Moody's Gives (P)B3 Rating on Class E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of notes to be issued by CIFC Funding 2018-IV, Ltd.
Moody's rating action is as follows:
US$512,000,000 Class A-1 Senior Secured Floating Rate Notes due
2031 (the "Class A-1 Notes"), Assigned (P)Aaa (sf)
US$95,000,000 Class A-2 Senior Secured Floating Rate Notes due 2031
(the "Class A-2 Notes"), Assigned (P)Aa2 (sf)
US$36,000,000 Class B Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class B Notes"), Assigned (P)A2 (sf)
US$48,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C Notes"), Assigned (P)Baa3 (sf)
US$45,000,000 Class D Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class D Notes"), Assigned (P)Ba3 (sf)
US$16,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class E Notes"), Assigned (P)B3 (sf)
The Class A-1 Notes, the Class A-2 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."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
RATINGS RATIONALE
Moody's provisional ratings of the Rated Notes address the expected
losses posed to noteholders. The provisional ratings reflect the
risks due to defaults on the underlying portfolio of assets, the
transaction's legal structure, and the characteristics of the
underlying assets.
CIFC Funding 2018-IV 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 second
lien loans and unsecured loans. Moody's expects the portfolio to be
approximately 70% ramped as of the closing date.
CIFC CLO Management II LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue 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: $800,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2875
Weighted Average Spread (WAS): 3.35%
Weighted Average Coupon (WAC): 6.50%
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.
CITIGROUP COMMERCIAL 2014-GC25: DBRS Confirms B Rating on F Certs
-----------------------------------------------------------------
DBRS Limited confirmed the ratings of Commercial Mortgage
Pass-Through Certificates, Series 2014-GC25 (the Certificates),
issued by Citigroup Commercial Mortgage Trust 2014-GC25 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-AB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (high) (sf)
-- Class B at AA (sf)
-- Class C at A (low) (sf)
-- Class PEZ at A (low) (sf)
-- Class X-D at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class X-E at BB (high) (sf)
-- Class E at BB (sf)
-- Class X-F at B (high) (sf)
-- Class F at B (sf)
All trends are Stable.
Up to the full certificate balance of the Class A-S, Class B and
Class C certificates may be exchanged for Class PEZ certificates.
Class PEZ certificates may be exchanged for up to the full
certificate balance of the Class A-S, Class B and Class C
certificates.
The rating confirmations reflect the overall stable performance of
the transaction since issuance. At issuance, the collateral
consisted of 62 fixed-rate loans, secured by 99 commercial
properties, with an original trust balance of $842.0 million. As of
the July 2018 remittance, 61 loans remain in the pool with an
aggregate principal balance of $816.5 million, representing a
collateral reduction of 3.0% since issuance due to the repayment of
one loan and scheduled loan amortization. To date, approximately
95.0% of the pool is reporting YE2017 financials, with a
weighted-average (WA) debt service coverage ratio (DSCR) of 1.71x
and 10.1%, respectively, compared with the WA DBRS Term DSCR and WA
DBRS Debt Yield for those loans at issuance of 1.42x and 8.3%,
respectively. In addition to the overall improved credit metrics
for the underlying loans, the pool also benefits from defeasance,
as two loans collectively representing 4.7% of the pool have been
fully defeased as of the July 2018 remittance.
The pool is concentrated by property type, as eight loans,
representing 36.3% of the pool, are secured by office properties
and 26 loans, representing 25.1% of the pool, are secured by retail
properties. The pool is also concentrated by loan size, as the top
15 loans represent 71.0% of the current pool. The largest loan in
the pool, Bank of America Plaza (Prospectus ID#1), represents a
relatively high 13.1% of the pool balance. In general, the
performance of these loans has been strong, as the top 15 loans
(excluding defeasance) reported a WA DSCR of 1.74x, compared with
the WA DBRS Term DSCR of 1.44x, representing a net cash flow (NCF)
growth of 19.6% over DBRS NCF figures.
As of the July 2018 remittance, there are six loans (7.3% of the
pool) on the servicer's watch list. The largest loan on the watch
list, Pinnacle at Bishop's Woods (Prospectus ID#12, 3.7% of the
pool), was added in May 2018 due to a drop in occupancy as the
former largest tenant, Bader & Rutter & Associates (27.0% of NRA),
vacated the property. The second-largest loan on the watch list,
Gateway Fashion Centre (Prospectus ID#4, 1.3% of the pool), was
added in January 2018 as Sears (27.0% of NRA) vacated the property.
For additional information on these loans, please see the loan
commentary on the DBRS Viewpoint platform, for which information is
provided, below.
Classes X-A, X-B, X-D, X-E and X-F are 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.
CITIGROUP COMMERCIAL 2017-B1: DBRS Confirms B Rating on X-F Certs
-----------------------------------------------------------------
DBRS Limited confirmed the ratings for the following classes of the
Commercial Mortgage Pass-Through Certificates, Series 2017-B1
issued by Citigroup Commercial Mortgage Trust 2017-B1 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-AB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at A (high) (sf)
-- Class X-D at BBB (high) (sf)
-- Class D at BBB (sf)
-- Class X-E at BB (high) (sf)
-- Class E at BB (sf)
-- Class F at B (high) (sf)
-- Class X-F at B (sf)
-- Class G at B (low) (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction, which has remained generally in line with DBRS's
expectations since issuance. The collateral consists of 48
fixed-rate loans secured by 69 commercial and multifamily
properties. As of the July 2018 remittance, all loans remain in the
pool with a trust balance of $938.6 million and collateral
reduction of 0.3% since closing due to scheduled amortization.
Given the pool's recent vintage, just five loans, representing
18.7% of the pool, provided year-end (YE) 2017 financials as of the
July 2018 remittance. At issuance, the transaction had a
weighted-average (WA) DBRS Term Debt-Service Coverage Ratio (DSCR)
and DBRS Debt Yield of 1.95x and 9.8%, respectively, reflective of
a generally strong credit profile for the underlying loans.
The pool has a relatively high concentration of loans secured by
non-traditional property types, such as self-storage, hospitality
and manufactured housing community assets which, on a combined
basis, represent 30.0% of the pool across 17 loans. Such loans
exhibit a WA DBRS Debt Yield and DBRS Exit Debt Yield of 10.0% and
11.4%, respectively, which compare favorably with the overall deal.
Additionally, 78.8% of such loans (by loan balance) are located in
established suburban, urban or super-dense urban markets that
benefit from increased liquidity and more stable performance. There
are 20 loans, representing 59.0% of the pool, including ten of the
largest 15 loans, structured with interest-only (IO) payments for
the full term. An additional 15 loans, representing 16.0% of the
pool, have partial IO periods ranging from ten months to 48 months
remaining. The percentage of loans structured with full-term and
partial IO payments relative to the total pool is elevated at
75.0%. Ten of the full- or partial-term IO loans, representing
52.2% of the IO concentration in the transaction, have excellent
locations in super-dense urban or urban markets that benefit from
steep investor demand.
Four loans, representing 23.9% of the pool, were shadow-rated
investment grade by DBRS at issuance. These loans include General
Motors Building (Prospectus ID#1, 9.9% of the pool), Lakeside
Shopping Center (Prospectus ID#2, 6.3% of the pool), Two Fordham
Square (Prospectus ID#5, 5.6% of the pool) and Del Amo Fashion
Center (Prospectus ID #18, 2.2% of the pool). With this review,
DBRS has confirmed that the performance of all four loans remains
consistent with investment-grade characteristics.
Classes X-A, X-B, X-D, X-E and X-F are IO certificates that
reference a single rated tranche or multiple rated tranches. The IO
rating mirrors the lowest-rated applicable reference obligation
tranche adjusted upward by one notch if senior in the waterfall.
The rating assigned to Class F materially deviates from the higher
ratings implied by the quantitative results. DBRS considers a
material deviation to be a rating differential of three or more
notches between the assigned rating and the rating implied by the
quantitative results that is a substantial component of a rating
methodology. The deviations are warranted given that the
sustainability of loan trends has not been demonstrated.
CITIGROUP COMMERCIAL 2017-B1: Fitch Affirms BB- on Cl. X-E Certs
----------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of Citigroup Commercial
Mortgage Trust, commercial mortgage pass-through certificates,
series 2017-B1 (CGCMT 2017-B1).
KEY RATING DRIVERS
Stable Performance and Loss Expectations: The affirmations reflect
the overall stable performance of the pool with no material changes
to pool metrics since issuance. As a result, Fitch's loss
expectations remain unchanged from issuance. As of August 2018, two
loans (5.8% of current pool) are on the servicer's watchlist for
lease rollover and deferred maintenance. Neither is considered a
Fitch Loan of Concern (FLOC).
Minimal Change to Credit Enhancement: As of the August 2018
distribution date, the pool's aggregate balance has been reduced by
0.4% to $938.3 million from $941.6 million at issuance. Credit
enhancement levels remain relatively unchanged from issuance. Based
on the loans' scheduled maturity balances, the pool is expected to
amortize 6.7% during the term. Twenty loans (59% of pool) are
full-term, interest-only, and 16 loans (19.6%) have a partial-term,
interest-only component.
Pool Concentration: The top-10 loans make up 53.6% of the pool.
Loans secured by mixed-use, retail and hotel properties represent
24.5%, 21.8% and 18.8% of the pool, respectively.
Investment-Grade Credit Opinion Loans: Three loans (17.7% of pool)
were assigned investment-grade credit opinions at issuance, the
General Motors Building ('AAAsf'), Two Fordham Square ('BBB-sf')
and Del Amo Fashion Center ('AA-sf'). The pari passu portion of the
General Motors Building, (9.9%) is secured by a 50-story mixed-use
office and retail building comprised of approximately 2 million sf
on 767 Fifth Avenue in Manhattan. Retail tenants include Apple and
Under Armour, which is leasing the former FAO Schwartz retail space
and anticipated to be in full possession of its permanent space by
January 2019. Larger office tenants include Weil, Gotshal & Manges,
an international law firm and Aramis, a brand of Estee Lauder.
Two Fordham Square (5.6%) is secured by a four-story office and
retail building comprised of approximately 260,000 sf at 2501-2511
Grand Concourse in the Bronx. The largest tenant at the property is
NYC Administration of Child Services. Other notable tenants include
Marshall's, GSA-Social Security, Verizon Wireless and Capital One.
The pari passu portion of the Del Amo Fashion Center, (2.2%) is
secured by approximately 1.8 million sf of traditional mall, open
air lifestyle and entertainment space in Torrance, CA. Together
with the non-collateral Macy's and Sears anchors, the Del Amo
Fashion Center is comprised of 2.5 million sf and is the largest
shopping center in the western United States. The collateral
anchors are J.C. Penney and Nordstrom and larger tenants include
Dick's Sporting Goods, H&M, Crate & Barrel and an 18-screen AMC
Theatres.
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 more information on rating
sensitivities please refer to Fitch's original presale, dated Aug.
7, 2017.
Deutsche Bank is the trustee for the transaction, and also serves
as the backup advancing agent. Fitch's current Issuer Default
rating for Deutsche Bank is 'BBB+'/'F2'. Fitch relies on the master
servicer, Wells Fargo & Company ('A+'/'F1'), which is currently the
primary advancing agent, as a direct counterparty. Fitch provided
ratings confirmation on Jan. 24, 2018.
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:
-- $18.2 million class A-1 at 'AAAsf'; Outlook Stable;
-- $52.8 million class A-2 at 'AAAsf'; Outlook Stable;
-- $245 million class A-3 at 'AAAsf'; Outlook Stable;
-- $268.1 million class A-4 at 'AAAsf'; Outlook Stable;
-- $38.9 million class A-AB at 'AAAsf'; Outlook Stable;
-- $89.5 million class A-S at 'AAAsf'; Outlook Stable;
-- $38 million class B at 'AA-sf'; Outlook Stable;
-- $36.9 million class C at 'A-sf'; Outlook Stable;
-- $41.4 million class D at 'BBB-sf'; Outlook Stable;
-- $21.2 million class E at 'BB-sf'; Outlook Stable;
-- $8.9 million class F at 'B-sf'; Outlook Stable;
-- Interest-only class X-A at 'AAAsf'; Outlook Stable;
-- Interest-only class X-B at 'AA-sf'; Outlook Stable;
-- Interest-only class X-D at 'BBB-sf'; Outlook Stable;
-- Interest-only class X-E at 'BB-sf'; Outlook Stable;
Fitch does not rate the class G, class H, interest-only class X-F,
interest-only class X-H and VRR certificates.
COMM 2012-CCRE4: Moody's Lowers Rating on Class D Certs to 'B2'
---------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on five classes
and downgraded the ratings on six classes in COMM 2012-CCRE4
Mortgage Trust, Commercial Mortgage Pass-Through Certificates, as
follows:
Cl. A-2, Affirmed Aaa (sf); previously on Jan 5, 2018 Affirmed Aaa
(sf)
Cl. A-3, Affirmed Aaa (sf); previously on Jan 5, 2018 Affirmed Aaa
(sf)
Cl. A-M, Affirmed Aaa (sf); previously on Jan 5, 2018 Affirmed Aaa
(sf)
Cl. A-SB, Affirmed Aaa (sf); previously on Jan 5, 2018 Affirmed Aaa
(sf)
Cl. B, Downgraded to A2 (sf); previously on Jan 5, 2018 Affirmed
Aa3 (sf)
Cl. C, Downgraded to Baa3 (sf); previously on Jan 5, 2018 Affirmed
A3 (sf)
Cl. D, Downgraded to B2 (sf); previously on Jan 5, 2018 Downgraded
to Ba1 (sf)
Cl. E, Downgraded to Caa3 (sf); previously on Jan 5, 2018
Downgraded to B3 (sf)
Cl. F, Downgraded to C (sf); previously on Jan 5, 2018 Downgraded
to Caa3 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on Jan 5, 2018 Affirmed Aaa
(sf)
Cl. X-B, Downgraded to Baa2 (sf); previously on Jan 5, 2018
Affirmed A2 (sf)
RATINGS RATIONALE
The ratings on four P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR), and the
transction's Herfindahl Index (Herf) are within acceptable ranges.
The ratings of Cl. B, Cl. C, Cl. D, Cl. E, and Cl. F were
downgraded due to higher anticipated losses from specially serviced
loans. The increase in anticipated losses was primarily driven by
the further decline in performance of the third-largest loan, the
Fashion Outlets of Las Vegas (6.9% of the collateral pool).
Additionally, Moody's identified two other malls in the
transaction, Eastview Mall and Commons (12.5% of the collateral
pool) and Emerald Square Mall (3.8%), that have experienced
declines in property performance from securitization.
The rating of one IO class, Cl. X-A, was affirmed because of the
credit quality of the referenced classes.
The rating of one IO class, Cl. X-B, was downgraded due to the
decline in the credit quality of its referenced classes. The IO
class X-B references the P&I bonds Cl. B and Cl. C.
Moody's rating action reflects a base expected loss of 8.7% of the
current pooled balance, compared to 7.9% at Moody's last review.
Moody's base expected loss plus realized losses is now 7.5% of the
original pooled balance, compared to 6.9% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in rating COMM 2012-CCRE4 Mortgage Trust,
Cl. A-2, Cl. A-3, Cl. A-M, Cl. A-SB, Cl. B, Cl. C, Cl. D, Cl. E,
and Cl. F were "Approach to Rating US and Canadian Conduit/Fusion
CMBS" published in July 2017 and "Moody's Approach to Rating Large
Loan and Single Asset/Single Borrower CMBS" published in July 2017.
The methodologies used in rating COMM 2012-CCRE4 Mortgage Trust,
Cl. X-A and X-B, were "Approach to Rating US and Canadian
Conduit/Fusion CMBS" published in July 2017, "Moody's Approach to
Rating Large Loan and Single Asset/Single Borrower CMBS" published
in July 2017 and "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" published in June 2017.
DEAL PERFORMANCE
As of the July 17, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 13.6% to $959.9
million from $1.11 billion at securitization. The certificates are
collateralized by 39 mortgage loans ranging in size from less than
1% to 13.0% of the pool, with the top ten loans (excluding
defeasance) constituting 62.1% of the pool. Three loans,
constituting 3.6% of the pool, have defeased and are secured by US
government securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 16, the same as at Moody's last review.
Five loans, constituting 9.7% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Three loans have been liquidated from the pool, contributing to a
minimal aggregate realized loss of $0.1 million. Two loans,
constituting 8.0% of the pool, are currently in special servicing.
The largest specially serviced loan is the Fashion Outlets of Las
Vegas Loan ($65.9 million -- 6.9% of the pool), which is secured by
the leasehold interest in a 376,000 SF enclosed outlet center
located in Primm, Nevada, approximately 40 miles southwest of Las
Vegas. The property is located right off of I-15 at the border
between California and Nevada and is attached to the Primm Valley
Resort, one of three hotel-casinos located in the immediate
vicinity of the property. The property is subject to a long-term
ground lease that expires in December 2048, with one 25-year
renewal option. The loan was transferred to the special servicer in
August 2017 due to imminent maturity default, after the sponsor
indicated that they would be unable to refinance the loan at its
maturity in November 2017. A receiver was appointed in January 2018
and the receiver remains in control of all property cash flows and
is attempting to stabilize operations and address immediate capital
improvement needs at the property, including HVAC repairs. The
special servicer anticipates that the foreclosure process will be
complete by the end of 2018.
An updated appraisal for the asset in April 2018 valued the
property at $25.5 million, an 80% decline from the appraised value
of $125.0 million at securitization. The property has lost several
major tenants, including Neiman Marcus Last Call (6.7% of the NRA)
and Banana Republic (2.7%). A new lease was signed with H&M to
backfill the vacant Neiman Marcus space, however, the store
continues to significantly underperform the chain's national
average in terms of sales per square foot. The property's occupancy
rate has fallen to 65% as of April 2018, compared to 96% at
securitization and inline sales have declined to $261/sf from
$399/sf at securitization. The decline in sales volume at the
property has resulted in a spike in vacancy and numerous tenants
converting from contract rent to percent-in-lieu. These factors
have contributed to NOI at the property falling by 51% since
securitization. Moody's anticipates a significant loss on this
loan.
The second largest specially serviced loan is the TownPlace Suites
Odessa ($10.6 million -- 1.1% of the pool), which is secured by a
108-key limited service hotel located in Odessa, Texas. The subject
was built in 2009 and has operated as a TownPlace Suites by
Marriott under a franchise agreement which expires in March 2029.
The property was transferred to the special servicer in April 2016
due to payment default. Foreclosure was completed in December 2016
and a third-party manager was retained to stabilize the asset.
Post-foreclosure, the property's operating performance has improved
and is now achieving 102% RevPAR penetration over its STR
competitive set, compared to 91% in 2016.
Moody's received full year 2016 operating results for 100% of the
pool, and full or partial year 2017 operating results for 100% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 93%, compared to 91% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 8.8% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.9%.
Moody's actual and stressed conduit DSCRs are 1.88X and 1.23X,
respectively, compared to 1.94X and 1.26X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 31.7% of the pool balance.
The largest loan is The Prince Building Loan ($125.0 million --
13.0% of the pool), which is a participation interest in a $200.0
million first-mortgage loan, secured by the fee interest in a
12-story retail and office building, totaling 355,000 SF located in
the SoHo neighborhood of Manhattan. The property contains 69,346 SF
of retail space and 285,257 SF of office space. The property was
built in 1897 and was acquired by the sponsor in 2003. Major
tenants at the property include Zoc Doc, Scholastic, and Group Nine
Media, Inc. The property was 97% leased as of March 2018. Moody's
LTV and stressed DSCR are 87% and 1.09X, respectively, the same as
Moody's last review.
The second largest loan is the Eastview Mall and Commons Loan
($120.0 million -- 12.5% of the pool), which represents a pari
passu interest in a $210.0 million first-mortgage loan. The loan is
secured by a 725,000 SF component of a 1.4 million super-regional
mall and an 86,000 SF portion of a 341,000 SF adjacent retail power
center located in Victor, New York, approximately 15 miles
southeast of Rochester. The mall's non-collateral anchors include
Macy's, Von Maur, JCPenney, Lord & Taylor, and Sears. As of April
2018, the collateral component of the Eastview Mall property was
92% leased and the Eastview Commons component of the collateral was
100% leased. Inline occupancy was 82% as of April 2018, compared to
87% in December 2017. Performance at the asset has declined from
securitization as a result of lower base rent and higher operating
expenses. The mall is considered to the area's dominant regional
mall. Moody's LTV and stressed DSCR are 116% and 0.86X,
respectively, compared to 113% and 0.86X at the last review.
The third largest loan is the Synopsys Tech Center Loan ($59.0
million -- 6.1% of the pool), which is secured by the fee interest
in two, four-story, Class A suburban office buildings totaling
216,000 SF located in Sunnyvale, California within Silicon Valley.
The property was built-to-suit for the sole tenant, Synopsys, in
1997 for approximately $42.0 million ($195/sf). The property is
100% leased to Synopsys through December 2019. The tenant has one
five-year extension option, with six months prior notice. Synopsys
also has the right of first refusal (ROFR) to purchase the
property. Moody's analysis incorporated a Lit/Dark approach to
account for the single-tenant exposure. Moody's LTV and stressed
DSCR are 104% and 1.10X, respectively, compared to 104% and 1.09X
at the last review.
COMMERCIAL MORTGAGE 1999-C1: Moody's Hikes F Debt Rating to Caa2
----------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class and
affirmed the rating on one class in Commercial Mortgage Asset Trust
1999-C1, Commercial Mortgage Pass-Through Certificates, series
1999-C1 as follows:
Cl. F, Upgraded to Caa2 (sf); previously on Oct 5, 2017 Upgraded to
Caa3 (sf)
Cl. X, Affirmed C (sf); previously on Oct 5, 2017 Affirmed C (sf)
RATINGS RATIONALE
The rating on one P&I class was upgraded based primarily due to an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 86.7% since Moody's last
review.
The rating on the IO class was affirmed based on the credit quality
of the referenced classes.
Moody's rating action reflects a base expected loss of 33.5% of the
current pooled balance, compared to 8.8% at Moody's last review.
Moody's base expected loss plus realized losses is now 9.3% of the
original pooled balance, compared to 8.7% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in rating Commercial Mortgage Asset Trust
1999-C1, Cl. F were "Moody's Approach to Rating Large Loan and
Single Asset/Single Borrower CMBS" published in July 2017 and
"Moody's Approach to Rating Credit Tenant Lease and Comparable
Lease Financings" published in October 2016. The methodologies used
in rating Commercial Mortgage Asset Trust 1999-C1, Cl. X were
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in July 2017, "Moody's Approach to Rating
Credit Tenant Lease and Comparable Lease Financings" published in
October 2016, and "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" published in June 2017.
DEAL PERFORMANCE
As of the July 17, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 99.9% to $2.6
million from $2.37 billion at securitization. The certificates are
collateralized by nine mortgage loans. The pool contains a Credit
Tenant Lease (CTL) component that includes eight loans,
representing 87.8% of the pool.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of seven, compared to eight at Moody's last review.
Five loans, constituting 40.3% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Thirty-three loans have been liquidated from the pool, resulting in
an aggregate realized loss of $219 million (for an average loss
severity of 50%). There are no loans in special servicing.
The one non-CTL loan represents 12.2% of the pool balance. The loan
is the Dillen Products Loan ($320,280), which is secured by two
office properties totaling 173,800 square feet (SF) located in
Middlefield, Ohio. The sole tenant, Dillen Products, has a lease
expiring in August 2018. The loan has amortized over 94% since
securitization. Moody's LTV and stressed DSCR are 7% and greater
than 4.00X, respectively.
The CTL component consists of eight loans, constituting 87.8% of
the pool, secured by properties leased to two tenants. These two
tenants are R.R. Donnelley & Sons Company ($278,114 -- 10.6% of the
pool; senior unsecured rating: B3 -- stable outlook) and Dairy Mart
Convenience Stores, Inc. ($2.0 million -- 77.2% of the pool; not
rated).
CREDIT SUISSE 2003-C3: Fitch Lowers Rating on Class J Certs to 'CC'
-------------------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed five classes of
Credit Suisse First Boston Mortgage Securities Corp. (CSFB), series
2003-C3 commercial mortgage pass-through certificates.
KEY RATING DRIVERS
Significant Concentration of Specially Serviced Loans and High
Expected Losses: The downgrade to class J reflects the increased
loss expectations on the specially serviced loans (63% of the
pool), which consist of the top two loans in the pool. Significant
losses are expected based on total exposure of the loans and the
most recent appraisal values provided by the servicer.
The largest asset in the pool (33%) is a real estate owned (REO)
retail center located in Las Vegas, NV. The loan became REO in
November 2016 after experiencing cash flow issues and declines
since 2012. Per recent servicer updates, occupancy had
significantly declined after a junior anchor fitness tenant (38% of
collateral) had vacated in March 2018. Current collateral occupancy
is 27% and the servicer is working to stabilize the property before
marketing it for sale. The second specially serviced loan is
collateralized by an office property in Elmsford, NY (31%). The
previously modified loan had transferred to special servicing for
the second time in January 2015 for second payment and maturity
default. The servicer filed for foreclosure in April 2017, and the
receiver is currently working on outstanding code violations and
repairs at the property.
Increasing Credit Enhancement from Matured Loans: Credit
enhancement (CE) for class J has increased over the past 12 months
due to on-going amortization and the repayment of five loans ($2.6
million) that paid in full at maturity or during open pre-payment
period. In addition, one loan (9% of the pool) is fully defeased.
Although CE has increased, losses to the remaining classes are
considered probable based on expected losses from the specially
serviced assets.
Concentrated Pool: The pool is highly concentrated with only four
of the original 250 loans remaining. The transaction balance has
been reduced by 99.3%, to $12.5 million as of August 2018 from $1.7
billion at issuance. This includes $51.9 million in incurred losses
to date (or 3.0% of the original pool balance). Due to the
concentrated nature of the pool, Fitch performed a look-through
analysis that grouped the remaining loans based on the likelihood
of repayment, in addition to potential losses from the liquidation
of specially serviced assets. Based on this analysis, losses to
class J are considered probable.
Aside from the defeased loan, there is one performing loan (28%)
secured by a single tenant industrial property in Mooresville, NC.
The single tenant's lease expiration is co-terminus with the loans
maturity date in March 2023. The fully amortizing loan has had
stable performance since issuance, with year-end 2017 debt service
coverage ratio reporting at 2.18x.
RATING SENSITIVITIES
The remaining classes' ratings are distressed and reflect the
expectation of losses on the specially serviced loans. Downgrades
are expected on class J as losses become more imminent or are
realized.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has downgraded the following ratings:
-- $6.3 million class J notes to 'CCsf' from 'CCCsf'; RE 90%.
Fitch has affirmed the following ratings:
-- $6.3 million class K notes at 'Dsf'; RE 0%;
-- $0 million class L notes at 'Dsf'; RE 0%;
-- $0 million class M notes at 'Dsf'; RE 0%;
-- $0 million class N notes at 'Dsf'; RE 0%;
-- $0 million class O notes at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-4, A-5, B, C, D, E, F, G, H, ASP, 622A,
622B, 622C, 622D, 622E and 622F certificates have paid in full.
Fitch does not rate the class P certificates. Fitch previously
withdrew the ratings on the interest-only class A-X and A-Y
certificates.
CREDIT SUISSE 2006-C4: Moody's Affirms C Ratings on 2 Tranches
--------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three classes
in Credit Suisse Commercial Mortgage Trust 2006-C4, Commercial
Pass-Through Certificates, Series 2006-C4 as follows:
Class C, Affirmed C (sf); previously on August 24, 2017 Downgraded
to C (sf)
Class A-X, Affirmed C (sf); previously on August 24, 2017 Affirmed
C (sf)
Class A-Y, Affirmed Aaa (sf); previously on August 24, 2017
Affirmed Aaa (sf)
RATINGS RATIONALE
The rating on Cl. C was affirmed because the rating is consistent
with Moody's expected loss plus realized losses. Class C has
already experienced a 57% realized loss as result of previously
liquidated loans.
The rating on one IO class, Cl. A-X, was affirmed based on the
credit quality of its referenced classes.
The rating on one IO class, Cl. A-Y, was affirmed based on the
credit quality of its referenced loans.
Moody's rating action reflects a base expected loss of 40.2% of the
current pooled balance, compared to 44.5% at Moody's last review.
Moody's base expected loss plus realized losses is now 11.1% of the
original pooled balance, compared to 11.4% 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 rating Credit Suisse Commercial
Mortgage Trust 2006-C4, 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 Credit Suisse Commercial Mortgage
Trust 2006-C4, Cl. A-X and Cl. A-Y were "Moody's Approach to Rating
Large Loan and Single Asset/Single Borrower CMBS" published in July
2017 and "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" published in June 2017.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 47.8% of the pool is in
special servicing and. In this approach, Moody's determines a
probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then applies the aggregate loss
from specially serviced to the most junior classes and the recovery
as a pay down of principal to the most senior class.
DEAL PERFORMANCE
As of the August 17, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 99.4% to $27.3
million from $4.3 billion at securitization. The certificates are
collateralized by ten mortgage loans ranging in size from less than
1% to 35% of the pool. The pool contains five low-leverage
cooperative loans, constituting 30.2% of the pool balance, that
were too small to credit assess; however, have Moody's leverage
that is consistent with other loans previously assigned an
investment grade Structured Credit Assessments.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 5, compared to 6 at Moody's last review.
Seven loans, constituting 52.2% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Eighty-six loans have been liquidated from the pool, resulting in
an aggregate realized loss of $458.6 million (for an average loss
severity of 52%). Three loans, constituting 47.8% of the pool, are
currently in special servicing. The largest specially serviced loan
is the Downer Avenue Loan ($9.6 million -- 35.3% of the pool),
which is secured by a mixed use property consisting of two
condominium buildings located in Milwaukee, Wisconsin. As of July
2018, the property was 63% occupied. The loan transferred to
special servicing due to imminent monetary default in December 2013
and is now REO.
The second largest specially serviced loan is the Highwood Retail
Loan ($1.8 million -- 6.6% of the pool), which is secured by 11,992
square feet of unanchored retail property located in Highwood,
Illinois. As of April 2018, the property was 78% leased. The loan
transferred to special servicing in July 2016 due to maturity
default and became REO in August of 2017.
The third largest specially serviced loan is the Zeppe's Plaza
($1.6 million -- 5.9% of the pool), which is secured by 21,443
square feet retail center located in Bedford Heights, Ohio. As of
June 2018, the property was 45% occupied. The loan transferred to
special servicing in May 2015 due to imminent monetary default and
became REO in January 2018.
Excluding the cooperative loans and specially serviced loans, there
are only two remaining loans in the portfolio. The largest loan is
the Brookshire Brothers Distribution Facility Loan ($5.1 million --
18.6% of the pool), which is secured by an approximately 652,000 SF
distribution center located in Lufkin, Texas. The property is fully
leased to Brookshire Brothers grocery chain and the lease
expiration coincides with the loan's maturity date. The loan is
fully amortizing and has amortized 72% since securitization.
Moody's LTV and stressed DSCR are 26.0% and greater than 4.00X,
respectively.
The remaining loan is the Illinois Pointe Shoppes Loan ($0.9
million -- 3.4% of the pool), which is secured by 12,141 SF
unanchored strip retail consisting of a single story building,
located in Fort Wayne, Indiana. The loan is fully amortizing and
has amortized 45% since securitization. Moody's LTV and stressed
DSCR are 103.4% and 1.05X, respectively.
CREST 2004-1: Moody's Raises Rating on Class F Debt to Caa3
-----------------------------------------------------------
Moody's Investors Service has upgraded the rating on the following
notes issued by Crest 2004-1. Collateralized Debt Obligations:
Cl. F, Upgraded to Caa3 (sf); previously on Aug 17, 2017 Affirmed C
(sf)
Moody's has also affirmed the ratings on the following notes:
Cl. G-1, Affirmed C (sf); previously on Aug 17, 2017 Affirmed C
(sf)
Cl. G-2, Affirmed C (sf); previously on Aug 17, 2017 Affirmed C
(sf)
Cl. H-1, Affirmed C (sf); previously on Aug 17, 2017 Affirmed C
(sf)
Cl. H-2, Affirmed C (sf); previously on Aug 17, 2017 Affirmed C
(sf)
The Cl. F, Cl. G-1, Cl. G-2, Cl. H-1 and Cl. H-2 notes are referred
to herein as the "Rated Notes".
RATINGS RATIONALE
Moody's has upgraded the rating of one class of notes due to
greater than expected recoveries on high credit risk assets since
last review, resulting in a greater certainty of repayment to the
Cl. F note. This more than offset the increase in credit risk of
the remaining collateral pool, as evidenced by WARF. Moody's has
affirmed the ratings on four classes of notes 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
ReRemic) transactions.
Crest 2004-1 is a static cash transaction backed by a portfolio of:
i) commercial mortgage backed securities (CMBS) (74.7% of the
current pool balance); and ii) and CRE CDOs (25.3%). As of the July
23, 2018 note valuation report, the aggregate note balance of the
transaction, including preferred shares, has decreased to $130.7
million compared to $428.5 million at issuance, with pay down
directed to the senior most outstanding class of notes as a result
of scheduled amortization as well as the failure of certain par
value tests.
The pool contains seven assets totaling $5.9 million (88.1% of the
collateral pool balance) that are listed as defaulted securities as
of the trustee's July 23, 2018 report. While there have been
realized losses on the underlying collateral to date, Moody's
expects moderate/significant losses to occur on the defaulted
securities.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: 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 5193,
compared to 4104 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 48.1% compared to 24.7% at
last review; A1-A3 and 0.0% compared to 2.4% at last review;
Baa1-Baa3 and 0.0% compared to 1.6% at last review; Ba1-Ba3 and
0.0% compared to 3.5% at last review; B1-B3 and 0.0% compared to
2.8% at last review; and Caa1-Ca/C and 51.9% compared to 64.9% at
last review.
Moody's modeled a WAL of 0.7 years, compared to 1.2 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%, same as that at last review.
Moody's modeled 4 obligors, compared to 8 obligors at last review.
Moody's modeled a pair-wise asset correlation of 51.5%, compared to
57.0% at last review.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating SF CDOs" published in June 2017.
Factors That Would Lead to 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.
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.
CREST LTD 2003-2: Moody's Hikes Ratings on 2 Tranches to 'Caa2'
---------------------------------------------------------------
Moody's Investors Service upgrades the ratings on the following
notes issued by Crest 2003-2, Ltd.:
Cl. E-1, Upgraded to Caa2 (sf); previously on Mar 17, 2017 Affirmed
Caa3 (sf)
Cl. E-2, Upgraded to Caa2 (sf); previously on Mar 17, 2017 Affirmed
Caa3 (sf)
The Cl. E-1 and E-2 notes are referred to herein as the "Rated
Notes."
RATINGS RATIONALE
Moody's has upgraded the ratings on the Rated Notes due to higher
than anticipated recoveries on high credit risk assets since last
review, including defaulted collateral, resulting in greater
certainty of re-payment to the Cl. E-1 and Cl. E-2 notes. This more
than offset the increase in credit risk of the remaining collateral
pool, as evidenced by WARF and WARR. The rating action is the
result of Moody's on-going surveillance of commercial real estate
collateralized debt obligation (CRE CDO CLO) transactions.
Crest 2003-2, Ltd. is a static cash transaction backed by a
portfolio of: i) commercial mortgage backed securities (CMBS)
(66.8% of the collateral pool balance); iii) credit tenant leases
(CTL) (28.0%); and ii) CRE CDOs (5.2%) As of the July 31, 2018 note
valuation report, the aggregate note balance of the transaction,
including preferred shares, is $63.1 million, compared to $325.0
million at issuance.
The pool contains seven assets totaling $7.7 million (51.7% of the
collateral pool balance) that are listed as defaulted securities as
of the trustee's July 31, 2018 report. While there have been
limited realized losses on the underlying collateral to date,
Moody's does expect low-to-moderate losses to occur on the
defaulted securities.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CLO 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 4330,
compared to 3187 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 (43.9%, compared to 35.0% at last
review); A1-A3 (0.0%, compared to 16.0% at last review); Ba1-Ba3
(12.4%, compared to 12.7% at last review); B1-B3 (0.0%, compared to
9.8% at last review); Caa1-Ca/C (43.7%, compared to 26.0% at last
review).
Moody's modeled a WAL of 4.9 years, compared to 2.4 years at last
review. The greater than expected reduction in WAL is due to the
repayment and/or default of shorter pay obligations.
Moody's modeled a fixed WARR of 9.1%, compared to 11.6% at last
review.
Moody's modeled 8 obligors, compared to 11 at last review.
Moody's modeled a MAC of 3.2%, compared to 4.7% at last review.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating SF CDOs" published in June 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The servicing decisions and
management of the transaction will also affect the performance of
the Rated Notes.
Together with the set of modeling assumptions, Moody's conducted an
additional sensitivity analysis, which was a component in
determining the rating assigned to the Rated Notes. 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.
CSAIL 2018-CX12: Fitch Rates $7.56MM Class G-RR Certs 'B-sf'
------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Ratings
Outlooks to Credit Suisse CSAIL 2018-CX12 Commercial Mortgage Trust
Commercial Mortgage Pass-Through Certificates, Series 2018-CX12:
-- $15,990,000 class A-1 'AAAsf'; Outlook Stable;
-- $136,474,000 class A-2 'AAAsf'; Outlook Stable;
-- $115,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $173,994,000 class A-4 'AAAsf'; Outlook Stable;
-- $29,404,000 class A-SB 'AAAsf'; Outlook Stable;
-- $538,129,000a class X-A 'AAAsf'; Outlook Stable;
-- $50,449,000a class X-B 'AA-sf'; Outlook Stable;
-- $67,267,000 class A-S 'AAAsf'; Outlook Stable;
-- $23,543,000 class B 'AA-sf'; Outlook Stable;
-- $26,906,000 class C 'A-sf'; Outlook Stable;
-- $17,970,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $17,970,000b class D 'BBB-sf'; Outlook Stable;
-- $12,300,000bc class E-RR 'BBB-sf'; Outlook Stable;
-- $15,976,000bc class F-RR 'BB-sf'; Outlook Stable;
-- $7,567,000bc class G-RR 'B-sf'; Outlook Stable.
The following class is not rated:
-- $30,270,369bc class NR-RR.
(a) Notional amount and interest-only.
(b) Privately placed and pursuant to Rule 144A.
(c) Horizontal credit risk retention interest.
Since Fitch issued its expected ratings on Aug. 2, 2018, the rating
on class X-B has been updated to 'AA-sf' from 'A-sf' to reflect the
rating of the lowest referenced tranche whose payable interest has
an impact on the IO payments, consistent with Fitch's Global
Structured Finance Rating Criteria dated May 15, 2018.
Additionally, the balances for class A-3 and class A-4 were
finalized. At the time that expected ratings were assigned, the
class A-3 balance range was $75,000,000-$115,000,000 and the
expected class A-4 balance range was $173,994,000-$213,994,000. The
final class sizes for class A-3 and A-4 are $115,000,000 and
$173,994,000, respectively. The balances for the class X-D and D
were updated to $17,970,000, down from $18,162,000, and the balance
for the class E-RR was updated to $12,300,000, up from $12,108,000.
The classes reflect the final ratings and deal structure.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 41 loans secured by 44
commercial properties having an aggregate principal balance of
$672,661,370 as of the cutoff date. The loans were contributed to
the trust by Column Financial, Inc., Natixis Real Estate Capital
LLC, Argentic Real Estate Finance LLC, and Rialto Mortgage Finance,
LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 79.7% of the properties
by balance, cash flow analysis of 87.1% and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Fitch Debt Service Coverage (DSCR) Lower Than Recent Transactions:
The pool's Fitch DSCR is 1.18x, which is lower than the YTD 2018
and 2017 averages of 1.23x and 1.26x, respectively. However, the
pool's LTV of 101.0% is comparable with the YTD 2018 and 2017
averages of 103.5% and 101.6%, respectively. Excluding
investment-grade credit opinion loans, the pool has a Fitch DSCR
and LTV of 1.11x and 113.0%, respectively.
Investment-Grade Credit Opinion Loans: Three loans comprising 23.2%
of the transaction received an investment-grade credit opinion.
Twenty Times Square (9.5% of the pool), and Aventura Mall (7.4% of
the pool) each received a credit opinion of 'Asf*' on a stand-alone
basis. Additionally, Queens Place (6.2% of the pool) received a
stand-alone credit opinion of 'BBB+sf*'. Combined, the three credit
opinion loans have a weighted average Fitch DSCR and LTV of 1.43x
and 61.8%, respectively.
Highly Concentrated Pool: The pool is more concentrated than recent
Fitch-rated transactions. The largest 10 loans comprise 63.5% of
the pool, higher than the average top-10 concentrations for YTD
2018 and 2017 of 51.4% and 53.1%, respectively. The concentration
results in an LCI of 499, which is higher than the YTD 2018 average
of 382 and the 2017 average of 398. Additionally, the pool's SCI of
525 is higher than the YTD 2018 average of 411 and the 2017 average
of 422.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 15.8% below
the most recent year's net operating income (NOI) for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period. Unanticipated further declines
in property-level NCF could result in higher defaults and loss
severities on defaulted loans and in potential rating actions on
the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the
CSAIL 2018-CX12 certificates and found that the transaction
displays average sensitivities to further declines in NCF. In a
scenario in which NCF declined a further 20% from Fitch's NCF, a
downgrade of the junior 'AAAsf' certificates to 'BBBsf' could
result. In a more severe scenario, in which NCF declined a further
30% from Fitch's NCF, a downgrade of the junior 'AAAsf'
certificates to 'BB+sf' could result.
CWHEQ REVOLVING 2006-RES: Moody's Hikes Rating on 4 Tranches to B2
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 28 tranches
issued by CWHEQ Revolving Home Equity Loan Resecuritization Trust
2006-RES. The resecuritization is backed by various RMBS, backed by
second-lien home equity lines of credit (HELOCs).
Complete rating actions are as follows:
Issuer: CWHEQ Revolving Home Equity Loan Resecuritization Trust
2006-RES
Cl. 04D-1a, Upgraded to A2 (sf); previously on Dec 13, 2017
Upgraded to Ba2 (sf)
Cl. 04D-1b, Upgraded to A2 (sf); previously on Dec 13, 2017
Upgraded to Ba2 (sf)
Cl. 04E-1a, Upgraded to Ba2 (sf); previously on Dec 13, 2017
Upgraded to B2 (sf)
Cl. 04E-1b, Upgraded to Ba2 (sf); previously on Dec 13, 2017
Upgraded to B2 (sf)
Cl. 04F-1a, Upgraded to B1 (sf); previously on Dec 13, 2017
Upgraded to B3 (sf)
Cl. 04F-1b, Upgraded to B1 (sf); previously on Dec 13, 2017
Upgraded to B3 (sf)
Cl. 04K-1a, Upgraded to B2 (sf); previously on Dec 13, 2017
Upgraded to Caa1 (sf)
Cl. 04K-1b, Upgraded to B2 (sf); previously on Dec 13, 2017
Upgraded to Caa1 (sf)
Cl. 04L-1a, Upgraded to Baa3 (sf); previously on Dec 13, 2017
Upgraded to Ba3 (sf)
Cl. 04L-1b, Upgraded to Baa3 (sf); previously on Dec 13, 2017
Upgraded to Ba3 (sf)
Cl. 04M-1a, Upgraded to Baa1 (sf); previously on Dec 13, 2017
Upgraded to Ba3 (sf)
Cl. 04M-1b, Upgraded to Baa1 (sf); previously on Dec 13, 2017
Upgraded to Ba3 (sf)
Cl. 04N-1a, Upgraded to Ba3 (sf); previously on Dec 13, 2017
Upgraded to Caa1 (sf)
Cl. 04N-1b, Upgraded to Ba3 (sf); previously on Dec 13, 2017
Upgraded to Caa1 (sf)
Cl. 04Q-1a, Upgraded to Caa1 (sf); previously on Feb 11, 2013
Affirmed Caa3 (sf)
Cl. 04Q-1b, Upgraded to Caa1 (sf); previously on Feb 11, 2013
Affirmed Caa3 (sf)
Cl. 04R-1a, Upgraded to B2 (sf); previously on Dec 13, 2017
Upgraded to Caa1 (sf)
Cl. 04R-1b, Upgraded to B2 (sf); previously on Dec 13, 2017
Upgraded to Caa1 (sf)
Cl. 04T-1a, Upgraded to Caa1 (sf); previously on Feb 11, 2013
Affirmed Ca (sf)
Cl. 04T-1b, Upgraded to Caa1 (sf); previously on Feb 11, 2013
Affirmed Ca (sf)
Cl. 04U-1a, Upgraded to Caa1 (sf); previously on Feb 11, 2013
Affirmed Ca (sf)
Cl. 04U-1b, Upgraded to Caa1 (sf); previously on Feb 11, 2013
Affirmed Ca (sf)
Cl. 05B-1a, Upgraded to B3 (sf); previously on Feb 11, 2013
Affirmed Caa3 (sf)
Cl. 05B-1b, Upgraded to B3 (sf); previously on Feb 11, 2013
Affirmed Caa3 (sf)
Cl. 05G-1a, Upgraded to B1 (sf); previously on Dec 13, 2017
Upgraded to Caa1 (sf)
Cl. 05G-1b, Upgraded to B1 (sf); previously on Dec 13, 2017
Upgraded to Caa1 (sf)
Cl. 05H-1a, Upgraded to Ba3 (sf); previously on Dec 13, 2017
Upgraded to Caa1 (sf)
Cl. 05H-1b, Upgraded to Ba3 (sf); previously on Dec 13, 2017
Upgraded to Caa1 (sf)
RATINGS RATIONALE
The rating upgrades are the result of Moody's upgrades on the
underlying transactions tranches. The credit enhancement available
to the underlying certificates has built-up due to faster paydown
of the bonds due to excess cash flow available in the related
underlying transactions.
The principal methodology used in these ratings was "Moody's
Approach to Rating Resecuritizations" published in February 2014.
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.
DIAMOND CLO 2018-1: S&P Assigns Prelim BB-(sf) Rating on E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Diamond CLO
2018-1 Ltd.'s floating-rate notes.
The note issuance is a collateralized loan obligation (CLO)
transaction backed by both middle market and 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. 20,
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
both middle market and 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
Diamond CLO 2018-1 Ltd.
Class Rating Amount (mil. $)
A-1 AAA (sf) 277.50
A-2 AAA (sf) 32.50
B AA (sf) 30.00
C A (sf) 45.00
D BBB- (sf) 30.00
E BB- (sf) 33.00
Shares NR 53.71
NR--Not rated.
DIAMOND RESORTS 2018-1: S&P Assigns BB(sf) Rating on Class D Notes
------------------------------------------------------------------
S&P Global Ratings assigned its 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 ratings reflect our opinion of the credit enhancement available
in the form of subordination, overcollateralization, a reserve
account, and available excess spread. S&P's ratings also reflect
its view of Diamond Resorts Financial Services Inc.'s servicing
ability and experience in the timeshare market, among other
factors.
RATINGS ASSIGNED
Diamond Resorts Owner Trust 2018-1
Class Rating Amount (mil. $)
A AAA (sf) 214.730
B A (sf) 104.210
C BBB (sf) 62.110
D BB (sf) 18.950
DRYDEN 38: Moody's Assigns Ba3 Rating on $24.2MM Class E-R Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
CLO refinancing notes issued by Dryden 38 Senior Loan Fund:
Moody's rating action is as follows:
US$307,500,000 Class A-1-R Senior Secured Floating Rate Notes due
2030 (the "Class A-1-R Notes"), Definitive Rating Assigned Aaa (sf)
US$62,000,000 Class B-R Senior Secured Floating Rate Notes due 2030
(the "Class B-R Notes"), Definitive Rating Assigned Aa2 (sf)
US$22,500,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2030 (the "Class C-R Notes"), Definitive Rating Assigned
A2 (sf)
US$31,300,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2030 (the "Class D-R Notes"), Definitive Rating Assigned
Baa3 (sf)
US$24,200,000 Class E-R Junior Secured Deferrable Floating Rate
Notes due 2030 (the "Class E-R Notes"), Definitive Rating Assigned
Ba3 (sf)
The Issuer is a managed cash flow collateralized loan obligation.
The issued notes will be collateralized primarily by a portfolio of
broadly syndicated senior secured corporate loans.
PGIM, Inc. manages the CLO. It directs the selection, acquisition,
and disposition of collateral on behalf of the Issuer.
RATINGS RATIONALE
Moody's ratings on the Refinancing Notes address the expected
losses posed to noteholders. The ratings reflect the risks due to
defaults on the underlying portfolio of assets, the transaction's
legal structure, and the characteristics of the underlying assets.
The Issuer has issued the Refinancing Notes on August 23, 2018 in
connection with the refinancing of all classes of the secured notes
previously issued on May 8, 2015. On the Refinancing Date, the
Issuer used proceeds from the issuance of the Refinancing Notes,
along with the proceeds from the issuance of one other class of
secured notes, to redeem in full the Refinanced Original Notes. On
the Original Closing Date, the Issuer also issued one class of
subordinated notes that will remain outstanding.
In addition to the issuance of the Refinancing Notes and the other
class of secured 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; and changes to certain
collateral quality tests.
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
Diversity Score: 85
Weighted Average Rating Factor (WARF): 2850
Weighted Average Spread (WAS): 3.15%
Weighted Average Spread (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 46.50%
Weighted Average Life (WAL): 9 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.
DRYDEN 40: Moody's Assigns B3 Rating on $12MM Class F-R Notes
-------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
CLO refinancing notes issued by Dryden 40 Senior Loan Fund:
Moody's rating action is as follows:
US$384,000,000 Class A-R Senior Secured Floating Rate Notes due
2031 (the "Class A-R Notes"), Assigned Aaa (sf)
US$72,000,000 Class B-R Senior Secured Floating Rate Notes due 2031
(the "Class B-R Notes"), Assigned Aa2 (sf)
US$30,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C-R Notes"), Assigned A2 (sf)
US$33,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class D-R Notes"), Assigned Baa3 (sf)
US$33,000,000 Class E-R Junior Secured Deferrable Floating Rate
Notes due 2031 (the "Class E-R Notes"), Assigned Ba3 (sf)
US$12,000,000 Class F-R Junior Secured Deferrable Floating Rate
Notes due 2031 (the "Class F-R Notes"), Assigned B3 (sf)
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.
PGIM, Inc. 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 22, 2018 in
connection with the refinancing of all classes of the secured notes
previously issued on July 23, 2015 (the "Original Closing Date").
On the Refinancing Date, the Issuer used proceeds from the issuance
of the Refinancing Notes and additional Subordinated 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: $600,000,000
Defaulted par: $0
Diversity Score: 90
Weighted Average Rating Factor (WARF): 2900
Weighted Average Spread (WAS): 3.10%
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 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.
DRYDEN 65 CLO: S&P Assigns Prelim BB- Rating on Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Dryden 65
CLO Ltd./Dryden 65 CLO LLC's floating-rate notes.
The note issuance is a collateralized loan obligation (CLO)
transaction backed primarily by broadly syndicated
speculative-grade senior secured term loans.
The preliminary ratings are based on information as of Aug. 22,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
Dryden 65 CLO Ltd./Dryden 65 CLO LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 310.00
A-2 NR 15.00
B AA (sf) 56.00
C (deferrable) A (sf) 32.00
D (deferrable) BBB- (sf) 29.00
E (deferrable) BB- (sf) 17.00
Subordinated notes NR 51.35
NR--Not rated.
DRYDEN LTD 60: Moody's Assigns Ba3 Rating on $14.4MM Class E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Dryden 60 CLO, Ltd.
Moody's rating action is as follows:
US$3,200,000 Class X Senior Secured Floating Rate Notes due 2031
(the "Class X Notes"), Assigned Aaa (sf)
US$256,000,000 Class A Senior Secured Floating Rate Notes due 2031
(the "Class A Notes"), Assigned Aaa (sf)
US$48,000,000 Class B Senior Secured Floating Rate Notes due 2031
(the "Class B Notes"), Assigned Aa2 (sf)
US$22,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C Notes"), Assigned A2 (sf)
US$24,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class D Notes"), Assigned Baa3 (sf)
US$14,400,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class E Notes"), Assigned Ba3 (sf)
The Class X Notes, the Class A Notes, the Class B Notes, the Class
C Notes, the Class D Notes and the Class E Notes are referred to
herein, collectively, as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
Dryden 60 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90% of the portfolio must consist of
first lien senior secured loans and up to 10% of the portfolio may
consist of second lien loans and unsecured loans. The portfolio is
approximately 85% ramped as of the closing date.
PGIM, Inc. will direct the selection, acquisition and disposition
of the assets on behalf of the Issuer and may engage in trading
activity, including discretionary trading, during the transaction's
five year reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $400,000,000
Diversity Score: 80
Weighted Average Rating Factor (WARF): 2763
Weighted Average Spread (WAS): 3.10%
Weighted Average Coupon (WAC): 6.50%
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.
EDUCATION FUNDING 2016-1: Moody's Cuts Cl. A-3 Notes Rating to Caa3
-------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of Class A-2
notes and downgraded the ratings of Class A-3 notes issued by
Education Funding 2006-1 LLC. The underlying collateral consists of
private student loans that are not guaranteed or reinsured under
either the Federal Family Education Loan Program or any other
federal student loan program. The loans are serviced by Nelnet
Servicing, LLC. Loan Science, LLC, is the administrator of the
securitization.
The complete rating actions are as follows:
Issuer: Education Funding 2006-1 LLC
Cl. A-2, Upgraded to Aa3 (sf); previously on Oct 27, 2011
Downgraded to Baa2 (sf)
Cl. A-3, Downgraded to Caa3 (sf); previously on Feb 23, 2015
Downgraded to Caa1 (sf)
RATINGS RATIONALE
The upgrade of Class A-2 is the result of continued build-up in
credit enhancement supporting the Class A-2 due to the substantial
pay down of the Class A-2 notes. Although the total parity ratio
(the ratio of total assets to total liabilities) has declined to
61% from 64% over the past year, Class A has benefitted from rapid
deleveraging. Subordination and overcollateralization supporting
the class increased to approximately 80% as of June 2018 from
approximately 66% as of June 2017.
The primary rationale for the downgrade of Class A-3 is the
continued deterioration in the collateral performance. As of the
latest reporting date, June 2018, cumulative defaults were
approximately 46% of the original loan balance. High defaults have
been eroding the collateral base of this transaction, causing
steady declines in the parity ratio of Class A-3 notes (the ratio
of total assets to the sum of the outstanding balances of Class A-2
and Class A-3), to 86% as of June 2018 from 87% as of June 2017.
Moody's expected lifetime default as a percentage of original pool
balance is approximately 49.5%.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Moody's
Approach to Rating U.S. Private Student Loan-Backed Securities"
published in January 2010.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the ratings on the notes if net losses are
lower than Moody's expects.
Down
Moody's could downgrade the ratings of the notes if net losses are
higher than Moody's expects.
FLAGSHIP CREDIT 2018-3: S&P Assigns BB- Rating on Cl. E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to Flagship Credit Auto
Trust 2018-3's automobile receivables-backed notes.
The note issuance is an asset-backed securities transaction backed
by automobile receivables-backed notes.
The ratings reflect:
-- The availability of approximately 47.3%, 40.2%, 31.0%, 24.3%,
and 19.8% credit support (including excess spread) for the class A,
B, C, D, and E notes, respectively, based on stressed cash flow
scenarios. These credit support levels provide coverage of
approximately 3.50x, 3.00x, 2.30x, 1.75x, and 1.40x S&P's
12.50%-13.00% expected cumulative net loss (CNL) range for the
class A, B, C, D, and E notes, respectively. These break-even
scenarios cover total cumulative gross defaults (using a recovery
assumption of 40%) of approximately 78%, 66%, 51%, 40%, and 32%,
respectively.
-- The timely interest and principal payments made under stressed
cash flow modeling scenarios that are appropriate to the assigned
ratings.
-- S&P said, "The expectation that under a moderate ('BBB') stress
scenario, all else being equal, our ratings on the class A and B
notes would not be lowered by more than one rating category from
our 'AAA (sf)' and 'AA (sf)' ratings, respectively, throughout the
transaction's life, and our ratings on the class C and D notes
would not be lowered more than two rating categories from our 'A
(sf)' and 'BBB (sf)' ratings, respectively." The rating on the
class E notes would remain within two rating categories of our 'BB-
(sf)' rating within the first year, but the class would eventually
default under the 'BBB' stress scenario after receiving 40%-44% of
its principal. The above rating movements are within the
one-category rating tolerance for 'AAA' and 'AA' rated securities
during the first year and three-category tolerance over three
years; a two-category rating tolerance for 'A', 'BBB', and 'BB'
rated securities during the first year; and a three-category
tolerance for 'A' and 'BBB' rated securities over three years. The
'BB' rated securities are permitted to default under a 'BBB' stress
scenario."
-- The credit enhancement in the form of subordination,
overcollateralization, a reserve account, and excess spread.
-- The characteristics of the collateral pool being securitized.
-- The transaction's payment and legal structures.
RATINGS ASSIGNED
Flagship Credit Auto Trust 2018-3
Class Rating Amount
(mil. $)(i)
A AAA (sf) 183.63
B AA (sf) 31.61
C A (sf) 36.88
D BBB (sf) 27.85
E BB- (sf) 17.31
(i)At least 5% of the initial principal amount of each class of
notes will be retained by the sponsor or a majority-owned affiliate
thereof.
FREDDIE MAC 2018-3: DBRS Finalizes B(low) Rating on Class M Certs
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional rating on the following
Asset-Backed Security, Series 2018-3 (the Certificate) issued by
Freddie Mac Seasoned Credit Risk Transfer Trust, 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
(Wilmington Trust) 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 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.
GE COMMERCIAL 2007-C1: Moody's Affirms C Ratings on 5 Tranches
--------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on eight classes
in GE Commercial Mortgage Corporation, Series 2007-C1 Trust,
Commercial Mortgage Pass-Through Certificates as follows:
Cl. A-M, Affirmed B3 (sf); previously on Aug 18, 2017 Downgraded to
B3 (sf)
Cl. A-MFL, Affirmed B3 (sf); previously on Aug 18, 2017 Downgraded
to B3 (sf)
Cl. A-MFX, Affirmed B3 (sf); previously on Aug 18, 2017 Downgraded
to B3 (sf)
Cl. A-J, Affirmed C (sf); previously on Aug 18, 2017 Downgraded to
C (sf)
Cl. A-JFL, Affirmed C (sf); previously on Aug 18, 2017 Downgraded
to C (sf)
Cl. B, Affirmed C (sf); previously on Aug 18, 2017 Affirmed C (sf)
Cl. C, Affirmed C (sf); previously on Aug 18, 2017 Affirmed C (sf)
Cl. X-C, Affirmed C (sf); previously on Aug 18, 2017 Downgraded to
C (sf)
RATINGS RATIONALE
The ratings on the P&I classes were affirmed because the ratings
are consistent with expected recovery of principal and interest
from specially serviced and troubled loans as well as losses from
previously liquidated loans. Class C has already experienced a 45%
realized loss as result of previously liquidated loans.
Additionally, seven of the remaining loans, representing 74% of the
pool balance, are already real estate owned.
The rating on the IO class, Cl. X-C, was affirmed based on the
credit quality of the referenced classes.
Moody's rating action reflects a base expected loss of 68.1% of the
current pooled balance, compared to 49.8% at Moody's last review.
Moody's base expected loss plus realized losses is now 19.7% of the
original pooled balance, compared to 20.5% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating GE Commercial Mortgage
Corporation, Series 2007-C1 Trust, Cl. A-M, Cl. A-MFL, Cl. A-MFX,
Cl. A-J, Cl. A-JFL, 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 GE Commercial Mortgage
Corporation, Series 2007-C1 Trust, 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.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 77.8% of the pool is in
special servicing and Moody's has identified additional troubled
loans representing 21.5% of the pool. In this approach, Moody's
determines a probability of default for each specially serviced and
troubled loan that it expects will generate a loss and estimates a
loss given default based on a review of broker's opinions of value
(if available), other information from the special servicer,
available market data and Moody's internal data. The loss given
default for each loan also takes into consideration repayment of
servicer advances to date, estimated future advances and closing
costs. Translating the probability of default and loss given
default into an expected loss estimate, Moody's then applies the
aggregate loss from specially serviced and troubled loans 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 August 10, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 87% to $517.4
million from $3.9 billion at securitization. The certificates are
collateralized by nine mortgage loans ranging in size from less
than 1% to 26% of the pool.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 5, compared to 6 at Moody's last review.
There are no loans on the master servicer's watchlist. The
watchlist includes loans that meet certain portfolio review
guidelines established as part of the CRE Finance Council (CREFC)
monthly reporting package. As part of Moody's ongoing monitoring of
a transaction, the agency reviews the watchlist to assess which
loans have material issues that could affect performance.
Fifty three loans have been liquidated from the pool, resulting in
an aggregate realized loss of $425.1 million (for an average loss
severity of 45%). Eight loans, constituting 77.8% of the pool, are
currently in special servicing. The largest specially serviced loan
is the JPMorgan Portfolio Loan ($134.6 million -- 26% of the pool),
which was originally secured by the fee and leasehold interests by
two properties a 724,000 square foot (SF) office building and 1,905
stall parking garage located in Phoenix, Arizona and a 429,000 SF
office building located in Houston, Texas. The loan was transferred
to the special servicer in March 2017 due to the borrower being
unable to repay the loan at maturity in April 2017. The Phoenix
Office Complex was acquired from the GECMC 2007-C1 Trust through
the exercise of the purchase option. The note sale concluded in
March 2018, and paid down the loan balance by approximately $62.2
million. The remaining Houston property was foreclosed in February
2018 and is now REO. The property is currently 100% leased to
JPMorgan Chase through March 2021. Due to the single tenant
exposure, Moody's valuation reflects a lit/dark analysis. Moody's
estimates a significant loss for this specially serviced loan.
The second and third largest specially serviced loans are the
Skyline Portfolio A-note ($105.0 million -- 20.3% of the pool) and
Skyline Portfolio B-note ($98.4 million -- 18.9% of the pool),
which are secured by a portfolio of eight cross-collateralized and
cross-defaulted office properties located in Falls Church, VA
outside of Washington, DC. The total loan represents a portion of
an aggregate $678 million mortgage loan (a total $350 million
A-Note and $328 million B Note). The original loan first
transferred to the special servicer in July 2012 due to imminent
monetary default and was subsequently modified with an A-note /
B-note split effective October 2013. Post-modification, the loan
returned to the master servicer in February 2014, however, the loan
transferred back to the special servicer again in April 2016 due to
imminent monetary default. In December 2016 the loan became REO.
The consolidated occupancy as of July 2018 was 44%. Moody's
estimates a significant loss for this specially serviced loan.
The remaining five specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $308.8 million loss
for the specially serviced loans (76% expected loss on average).
As of the August 10, 2018 remittance statement cumulative interest
shortfalls were $129.2 million. Moody's anticipates interest
shortfalls will continue because of the exposure to specially
serviced loans and/or modified loans. Interest shortfalls are
caused by special servicing fees, including workout and liquidation
fees, appraisal entitlement reductions (ASERs), loan modifications
and extraordinary trust expenses.
The only performing loan remaining in the pool is the Wellpoint
Office Tower Loan ($112.1 million -- 21.7% of the pool), which is
secured by the fee interest in a 13-story, Class A, office building
and three single-story annex buildings located in Woodland Hills,
California. The property is 100% leased to Wellpoint Health
Networks, Inc. (Anthem), through December 2019. The tenant will be
relocating its operations to another vicinity at lease expiration.
Moody's analysis incorporated a Dark value to account for the
departure of the single-tenant and has identified this as a
troubled loan.
GOLUB CAPITAL 37(B): S&P Assigns BB- Rating on Class E Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to Golub Capital Partners
CLO 37(B) Ltd./Golub Capital Partners CLO 37(B) LLC'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 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.
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 2004-GG1: Moody's Rates Class G Certs 'Ba2'
-------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on seven classes
in Greenwich Capital Commercial Funding Corp., 2004-GG1, Commercial
Mortgage Pass-Through Certificates, Series 2004-GG1, as follows:
Cl. F, Affirmed Baa1 (sf); previously on Aug 11, 2017 Affirmed Baa1
(sf)
Cl. G, Affirmed Ba2 (sf); previously on Aug 11, 2017 Affirmed Ba2
(sf)
Cl. H, Affirmed Caa3 (sf); previously on Aug 11, 2017 Downgraded to
Caa3 (sf)
Cl. J, Affirmed C (sf); previously on Aug 11, 2017 Downgraded to C
(sf)
Cl. K, Affirmed C (sf); previously on Aug 11, 2017 Affirmed C (sf)
Cl. L, Affirmed C (sf); previously on Aug 11, 2017 Affirmed C (sf)
Cl. XC, Affirmed C (sf); previously on Aug 11, 2017 Affirmed C (sf)
RATINGS RATIONALE
The ratings on the P&I classes due to the transaction's key
metrics, including Moody's loan-to-value (LTV) ratio and Moody's
stressed debt service coverage ratio (DSCR), being within
acceptable ranges.
The rating of the IO, Cl XC, was affirmed because of the credit
quality of the referenced classes.
Moody's rating action reflects a base expected loss of 39.0% of the
current pooled balance, compared to 39.9% at Moody's last review.
Moody's base expected loss plus realized losses is now 4.5% of the
original pooled balance, compared to 4.6% 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 Greenwich Capital
Commercial Funding Corp., 2004-GG1, Cl. F, Cl. G, Cl. H, Cl. J, Cl.
K, and Cl. L was "Moody's Approach to Rating Large Loan and Single
Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating Greenwich Capital Commercial Funding
Corp., 2004-GG1, Cl. XC were "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in July 2017 and
"Moody's Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the August 10, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 96% to $103.5
million from $2.60 billion at securitization. The certificates are
collateralized by four mortgage loans.
Twenty-four loans have been liquidated from the pool at a loss,
contributing to an aggregate realized loss of $77.1 million (for an
average loss severity of 37%). There are currently no loans in
special servicing.
The largest remaining loans are the Aegon Center - A Note Loan
($82.0 million -- 79.2% of the pool) and the Aegon Center - B Note
($21.1 million -- 20.4% of the pool), which are secured by a
34-story, Class A, office building located in the CBD of
Louisville, Kentucky. The property has been rebranded from the
Aegon Center to 400 West Market following the departure of Aegon.
In addition to the office component, the collateral also consists
of the leasehold interest in an adjacent 504-space parking garage.
The original loan was transferred to the special servicer in March
2012 due to imminent monetary default, but was returned to the
Master Servicer in November 2013 after a loan modification. The
modification resulted in an A-note / B-note split, temporarily
reduced the A-note interest rate, and extended the maturity of the
loan through April 2019. The property was 72% leased as of June
2018. The property's occupancy declined during 2017 due to the
early termination of one tenant whose original lease was set to
expire in March 2018. Recent leasing activity at the property
includes Scoppechio (5.3% of the NRA) and Ernst & Young (2.6%). The
loan is currently on the master servicer's watchlist due to
occupancy falling below 80% and Moody's identified the B Note as a
troubled loan.
The remaining two loans are the Bangor Plaza Loan ($0.3 million --
0.3% of the pool) and Rancho Santa Barbara MHP ($0.1 million --
0.1% of the pool), respectively. Both of these loans are fully
amortizing and have Moody's LTVs below 5.0%.
GREENWICH CAPITAL 2005-GG5: Moody's Hikes Cl. B Debt Rating to Caa1
-------------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class and
affirmed the ratings on four classes in Greenwich Capital
Commercial Funding Corp., 2005-GG5, Commercial Mortgage
Pass-Through Certificates, Series 2005-GG5 as follows:
Cl. B, Upgraded to Caa1 (sf); previously on Aug 24, 2017 Affirmed
Caa3 (sf)
Cl. C, Affirmed C (sf); previously on Aug 24, 2017 Affirmed C (sf)
Cl. D, Affirmed C (sf); previously on Aug 24, 2017 Affirmed C (sf)
Cl. E, Affirmed C (sf); previously on Aug 24, 2017 Affirmed C (sf)
Cl. F, Affirmed C (sf); previously on Aug 24, 2017 Affirmed C (sf)
RATINGS RATIONALE
The rating on Cl. B was upgraded based primarily on an increase in
credit support resulting from loan paydowns and amortization. The
deal has paid down 22% since last review.
The ratings on the remaining four P&I classes were affirmed because
the ratings are consistent with Moody's expected loss plus realized
losses. Class F has already experienced a 68% realized loss as a
result of previously liquidated loans.
Moody's rating action reflects a base expected loss of 90.5% of the
current pooled balance, compared to 74.7% at Moody's last review.
Moody's base expected loss plus realized losses is now 10.4% of the
original pooled balance, compared to 10.6% 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 these ratings were "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 100% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then applies the aggregate loss
from specially serviced to the most junior class(es) and the
recovery as a pay down of principal to the most senior class(es).
DEAL PERFORMANCE
As of the August 10, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 96% to $176 million
from $4.30 billion at securitization. The certificates are
collateralized by seven remaining mortgage loans, all of which are
in special servicing and already REO.
Fifty loans have been liquidated from the pool, resulting in or
contributing to an aggregate realized loss of approximately $289
million (for an average loss severity of 36%).
The largest specially serviced loan is the Schron Industrial
Portfolio Loan ($133.9 million -- 76.0% of the pool), which is
secured by a 134,242 square foot (SF) portfolio of two remaining
industrial properties located in Florida. Originally a 6.2 million
SF portfolio of 36 industrial properties located across 14 U.S.
states, the servicer has sold 34 properties of the portfolio and
the proceeds have already been applied to the loan balance. The
asset is REO and Moody's has estimated a significant loss on this
loan.
The second largest specially serviced loan is the Shoppes at
Foxmoor Loan ($11.4 million -- 6.5% of the pool), which is secured
by an approximately 125,000 SF neighborhood shopping center located
in Robbinsville, New Jersey. The loan transferred to special
servicing in March 2015 due to imminent default and is now REO. As
of June 2018, the property was only 44% leased. Moody's has
estimated a significant loss on this loan.
The third largest specially serviced loan is the Park Place Office
Building Loan ($10.0 million -- 5.7% of the pool), which is secured
by a 70,000 SF, two-story class B office building located in Las
Vegas, Nevada. The loan transferred to special servicing in May
2012 and became REO in March 2013. As of March 2018, the property
was only 62% leased.
The remaining four specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $159.3 million loss
for the specially serviced loans (90% expected loss on average).
As of the August 10, 2018 remittance statement cumulative interest
shortfalls for classes C, D, E and F were $6.1 million. Moody's
anticipates interest shortfalls will continue because of the
exposure to specially serviced loans. Interest shortfalls are
caused by special servicing fees, including workout and liquidation
fees, appraisal entitlement reductions (ASERs), loan modifications
and extraordinary trust expenses.
GS MORTGAGE 2017-STAY: DBRS Confirms B Rating on Class HRR Certs
----------------------------------------------------------------
DBRS Limited confirmed all classes of Commercial Mortgage
Pass-Through Certificates, Series 2017-STAY issued by GS Mortgage
Securities Corporation Trust 2017-STAY as follows:
-- Class A at AAA (sf)
-- Class B at AAA (sf)
-- Class C at AA (sf)
-- Class X-CP at A (high) (sf)
-- Class X-NCP at A (high) (sf)
-- Class D at A (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class HRR at B (sf)
All trends are Stable.
The rating confirmations reflect the stable performance of the
transaction since issuance. The underlying $200.0 million loan is a
floating-rate, interest-only (IO) mortgage with an initial term of
three years and two one-year extension options available. The loan
is secured by the fee interest in a portfolio of 40 extended-stay
hotels totaling 5,195 keys, located in 14 different states across
the United States. The hotels all operate under the In Town Suites
flag. The brand is owned by the loan sponsor, Starwood Capital
Group Global L.P. (Starwood), which has substantial experience in
the hotel sector and maintains considerable financial wherewithal.
Starwood acquired the collateral assets in 2013 when it purchased
the In Town Suites platform from Kenco Realty Corporation. With the
subject transaction, Starwood cashed out $19.0 million at closing.
As noted by DBRS at issuance, extended-stay hotels have a much more
stable cash flow profile than traditional hotels. Based on the
DBRS-concluded value of $213.0 million ($40,991 per key) at
issuance, the DBRS loan-to-value (LTV) ratio of 93.9% is considered
rather high. While the DBRS LTV is high, it is based on a stressed
valuation, assuming a significant increase in market cap rates.
As with the overall hotel market, average daily rate (ADR) and
occupancy levels at the subject properties have been posting strong
gains over the past few years. Although somewhat concentrated in
the Southeast region, the portfolio is geographically diverse and
relatively granular as the 40 hotel assets are located across 14
states and 19 metropolitan statistical areas. No single hotel
represents greater than 4.5% of the allocated loan balance. The
cumulative investment-grade-rated proceeds per key exposure are
healthy at $31,627 and the DBRS Debt Yield, as calculated at
issuance, is high at 15.2%.
The loan was briefly placed on the servicer's watch list in January
2018 for delinquent property taxes, but was removed with the next
month's remittance as the issues were resolved. According to the
year-to-date ending March 2018 financials, the servicer calculated
a debt service coverage ratio (DSCR) of 3.06 times (x) compared
with the DBRS Term DSCR of 2.57x at issuance. Cash flows are up
over the DBRS figure because of a lower capital expenditure figure
that was applied in the servicer's analysis. Reported revenues and
expenses were in line with DBRS estimates. Since 2013, roughly
$24.1 million ($4,639 per key) has been spent on capital
improvements across the portfolio. The loan is structured with
ongoing furniture, fixtures and equipment reserves equal to
one-twelfth of 5.0% of the portfolio's operating income during the
immediately preceding 12-month period, collected monthly during the
loan term.
At issuance, DBRS assumed a floating 30-day London Interbank
Offered Rate (LIBOR) of 1.87%. It should be noted that 30-day LIBOR
has increased by 85 basis points and currently equates to 2.08% as
of August 1, 2018. As interest rates increase, the DSCR could trend
downward in the absence of higher revenue growth.
Smith Travel Research reports dated March 2018 were provided for
all 40 hotel properties. The borrower appears to competitively
undercut the market in terms of ADR and revenue per available room
(Repay) to generate higher occupancy levels. The portfolio's
weighted-average (WA) occupancy increased to 85.7% in March 2018
from 84.2% in April 2017 and ranged from 75.8% to 94.3% by property
location, which yielded a WA market index of 121.5%. Only two
properties have a market index under 100.0%. The portfolio's WA
Repay increased to $32.69 in March 2018 from $31.06 in April 2017
with a WA market index of 90.6%. At issuance, DBRS assumed a Repay
figure of $28.97.
Classes X-CP and X-NCP are IO certificates that reference a single
rated tranche or multiple rated tranches. The IO rating mirrors the
lowest-rated applicable reference obligation tranche adjusted
upward by one notch if senior in the waterfall.
GS MORTGAGE 2018-HULA: DBRS Finalizes B(low) Rating on Cl. G Certs
------------------------------------------------------------------
DBRS, Inc. finalized the provisional ratings on the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2018-HULA issued by GS Mortgage Securities Corporation Trust
2018-HULA:
-- Class A at AAA (sf)
-- Class X-CP at AA (low) (sf)
-- Class X-FP at AA (low) (sf)
-- Class X-NCP at AA (low) (sf)
-- Class B at AAA (sf)
-- Class C at AA (high) (sf)
-- Class D at A (high) (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)
The trends are Stable.
All classes will be privately placed. The Class X-CP, X-FP and
X-NCP balances are notional.
The subject property is an ultra-luxury hotel and resort located on
the Big Island of Hawaii. In addition to a full range of amenities,
the hotel and resort benefit from 725 acres of prime frontage along
the Kohala Coast of the Big Island. Of the total 725-acre
master-planned Hualālai Resort at Historic Kaʻūpūlehu, the
collateral for the loan consists of 530.1 acres, with the balance
being the residential lots that have already been sold off. The
hotel component of the loan collateral includes a 243-key hotel
spread across approximately 39 acres, which includes four pools;
37,000 square feet (sf) of indoor and outdoor event space and five
food and beverage (F&B) outlets. The resort component of the loan
collateral includes a private membership club (currently with 337
members); two 18-hole golf courses and clubhouses; the 30,700 sf
Hualālai Sports Club & Spa; the Beach Club and watersports
program; three additional pools; eight tennis courts; three retail
outlets; five F&B outlets; Hualālai Realty Company and HVH Rental
and Property Management Company; and water utility companies. The
residential land component includes the remaining lots from the
total 483-unit master-planned community, which now includes 26
improved and unimproved single-family lots as well as three bulk
land parcels. Loan proceeds of $450.0 million are being used to
retire outstanding debt of $373.3 million ($300.0 million
commercial mortgage-backed securities loan securitized in GSMS
2015-HULA), return $62.2 million of equity to the sponsor and cover
reserves as well as closing and origination costs. The $450.0
million loan has been split into a senior $350.0 million A-note
that backs this securitization and a subordinate $100.0 million
B-note that will reside outside the trust.
The property has performed very well over the past several years,
and as of the trailing 12-month period ending April 2018, the hotel
reported an occupancy rate and average daily rate of 86.7% and
$1,242.13, respectively, resulting in a revenue per available room
(Repay) figure of $1,077.54, which represents a 3.6% increase over
YE2017, a 9.8% increase over YE2016 and an 11.8% increase since
DBRS last saw the hotel in the 2015 transaction. The property has
performed exceptionally well compared with its competitive set,
with a current March 2018 Smith Travel Research report exhibiting
Repay penetration of 421.4%. DBRS notes that the competitive set
does not truly compete given the quality of the subject, the
extreme exclusivity of the brand, the high level of service and the
strength of the location; therefore, it is difficult to directly
compare. The hotel has achieved AAA Five Diamond and Forbes
Five-Star ratings for over ten years and maintained the highest
Repay among all hotels within the islands for the past several
years. A key differentiator for the subject and support for the
consistently positive revenue growth is its extremely high quality,
diverse amenities and connection to the greater master-planned
community that caters to, and draws in, the ultra-high-end target
demographic.
In addition to the general economic downturn having an impact, the
tsunami of March 2011 temporarily set back the hotel's operations;
however, subsequently, it achieved major gains, with Repay growing
by a total of 93.6% since 2011. While Repay has shown substantial
growth over the past few years, occupancy has been relatively
stable since 2012, only having dipped below 70.0% for a few years
from 2008 to 2011 while the hotel and resort were undergoing
substantial renovations and the downturn was hampering growth.
Additionally, while the hotel did not directly incur any damage
from the Kīlauea Volcano that began erupting on May 3, 2018, the
hotel experienced an increase in canceled room nights for May 2018
and June 2018. While, on average, the hotel experiences
approximately five to ten daily cancelations, that number jumped to
25 to 35 cancelations for those two months. However, based on the
site inspection and analysis of additional information provided by
the sponsor, DBRS notes that the spike in cancelations was driven
by sensationalized headlines in the media that have since subsided.
At 76.5% break-even occupancy, the hotel can withstand a relatively
large 9.0% drop in vacancy and still cover debt service, assuming
no pay downs from lot sales occur and relatively flat performance
in all other aspects.
The DBRS value of $335.0 million represents a notable 53.4%
discount to the as-is appraised value of $718.6 million, which
comprises $641.0 million for the hotel component, $35.7 million for
the club operations component and $41.9 million for the residential
component. In addition, the DBRS cap rate of 10.260% is likely at
least 400 basis points above the current market cap rate, allowing
for significant reversion to the mean in lodging valuation metrics.
In comparison with the 2015 transaction, the subject's aggregate
as-is market value based on the appraisal of $718.6 million
represents a $87.0 million value increase over the estimated
aggregate value of $631.6 million in the 2015 transaction. This
13.8% value increase is greater than the 4.8% net cash flow (NCF)
growth over the same time period; however, this does not
necessarily reflect the recent residential lot sales since the 2015
transaction. As a result of the property's excellent quality and
strong sponsorship and management, in combination with the expected
increase in NCF as the residential lots are sold off and club
memberships correspondingly increase, DBRS expects transaction
performance to be positive during the seven-year term (fully
extended) and refinance risk on the A-note to be manageable given
the loan's moderate refinance metrics.
Classes X-CP, X-FP and X-NCP are interest-only (IO) certificates
that reference a single rated tranche or multiple rated tranches.
The IO rating mirrors the lowest-rated applicable reference
obligation tranche adjusted upward by one notch if senior in the
waterfall.
HPS LOAN 13-2018: S&P Assigns Prelim. B- Rating on Cl. F Notes
--------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to HPS Loan
Management 13-2018 Ltd.'s floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed by primarily broadly syndicated speculative-grade senior
secured term loans that are governed by collateral quality tests.
The preliminary ratings are based on information as of Aug. 23,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
HPS Loan Management 13-2018 Ltd.
Class Rating Amount (mil. $)
X AAA (sf) 4.10
A1 AAA (sf) 303.00
A2 NR 28.50
B AA (sf) 47.69
C A (sf) 35.45
D BBB- (sf) 31.37
E BB- (sf) 18.25
F B- (sf) 9.18
Subordinated notes NR 41.52
NR--Not rated.
HUNT COMMERCIAL 2017-FL1: DBRS Confirms B(low) Rating on E Notes
----------------------------------------------------------------
DBRS Limited confirmed the following classes of the secured
floating-rate notes (the Notes) issued by Hunt Commercial Real
Estate Notes 2017-FL1, Ltd. as follows:
-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at B (low) (sf)
All trends are Stable.
The rating confirmations reflect the performance of the
transaction, which remains in line with DBRS's expectations at
issuance. At issuance, the pool consisted of 23 interest-only
floating-rate loans secured by 36 transitional properties totaling
$279.4 million, excluding the $15.5 million of future funding and
additional ramp-up commitment. The total Target Mortgage Asset
Balance is $349.2 million. As of the July 2018 remittance, the pool
consisted of 22 interest-only floating rate loans with 14 of the
original loans remaining, representing a total aggregate principal
balance of $311.2 million. Currently, eight loans have future
funding participation of $15.6 million remaining. The loans are
secured by cash flowing assets, most of which are in a period of
transition with plans to stabilize and improve the asset value.
The transaction features a reinvestment period through February
2020, whereby the issuer can substitute collateral in the pool
subject to Eligibility Criteria, including Rating Agency
Conditions, by DBRS. The transaction pays sequentially following
the reinvestment period. Since issuance, nine loans have been paid
off and seven loans (36.8% of the current trust balance) have been
contributed to the pool during the reinvestment period. Most loans
have an initial term of two or three years, with extension options
generally available, subject to loan document criteria. Five loans,
representing 20.6% of the current trust balance, have maturities in
2018.
The pool is concentrated by loan size, as the largest 15 loans
represent 82.6% of the current trust balance. The pool is also
concentrated by property type as the majority of the loans are
secured by multifamily properties and only four loans, representing
10.9% of the current trust balance, are secured by office or retail
properties. Per the most recent financials available, the pool had
a weighted-average debt yield of 7.2%, based on fully funded
whole-loan amounts.
JFIN CLO 2012: S&P Assigns B-(sf) Rating on $5MM Class E-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1A-R,
A-1B-R, A-2-R, B-R, C-R, D-R, and E-R replacement notes from JFIN
CLO 2012 Ltd., a collateralized loan obligation (CLO) originally
issued in July 26, 2012 that is managed by Apex Credit Partners LLC
(as successor to Jefferies Finance LLC). S&P withdrew its ratings
on the original class B-2, C, and D notes following payment in full
on the Aug. 17, 2018 refinancing date. The new class X replacement
notes are not rated by S&P Global Ratings.
On the Aug. 17, 2018 refinancing date, the proceeds from the class
A-1A-R, A-1B-R, A-2-R, B-R, C-R, D-R, and E-R replacement note
issuances were used to redeem the original class B-2, C, and D
notes as outlined in the transaction document provisions.
Therefore, S&P withdrew its ratings on the original notes in line
with their full redemption, and S&P is assigning ratings to the
replacement notes.
The replacement notes are being issued via a supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, will also:
-- Change the rated par amount and target initial par amount to
$273.00 million and $290.00 million, respectively, from the
original $269.45 million and $300.00 million, respectively.
-- Extend the reinvestment period to Jan. 20, 2020, from July 20,
2015.
-- Extend the non-call period to April 20, 2019, from July 20,
2014.
-- Extend the weighted average life test to July 20, 2024, from
July 20, 2019.
-- Extend the legal final maturity date on the rated and
subordinated notes to July 20, 2028, from July 20, 2023.
-- Change the required minimum thresholds for the coverage tests.
-- Issue additional class X amortizing deferrable floating-rate
notes, which are expected to be paid in equal installments over the
first seven payment dates beginning in January 2019.
-- Incorporate the recovery rate methodology and updated industry
classifications outlined in our August 2016 CLO criteria update.
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
JFIN CLO 2012 Ltd.
Replacement class Rating Amount (mil. $)
A-1A-R AAA (sf) 177.50
A-1B-R AAA (sf) 12.50
A-2-R AA (sf) 31.00
B-R A (sf) 17.00
C-R BBB (sf) 15.00
D-R BB- (sf) 15.00
E-R B- (sf) 5.00
X NR 4.20
Subordinated notes NR 44.85
RATINGS WITHDRAWN
Rating
Original class To From
B-2 NR AA- (sf)/Watch Positive
C NR BBB+ (sf)/Watch Positive
D NR BB (sf)/Watch Positive
NR--Not rated.
JP MORGAN 2013-7: Fitch Affirms Bsf Rating on $12.2MM Class F Certs
-------------------------------------------------------------------
Fitch Ratings has affirmed 11 classes of JP Morgan Chase Commercial
Mortgage Securities Trust (JPMBB 2013-C17) commercial mortgage
pass-through certificates series 2013-C17.
Fitch has issued a focus report on this transaction. The report
provides a detailed and up-to-date perspective on key credit
characteristics of the JPMBB 2013-C17 transaction and
property-level performance of the related trust loans.
KEY RATING DRIVERS
Sufficient Credit Enhancement Relative to Loss Expectations: The
rating affirmations reflect the generally stable performance of the
majority of the pool. Current loss expectations are slightly higher
than issuance due to the Fitch Loans of Concern (FLOC) but are
offset by increased credit enhancement from loan amortization and
payoffs.
As of the July 2018 distribution date, the pool's aggregate
principal balance has been reduced by 12.45% to $947 million from
$1.1 billion at issuance. Six loans totaling 18.3% of the pool are
designated as FLOC's, including three of the top 15 loans. The
pool's aggregate pool-level NOI for the non-defeased loans has
increased 3.1% above prior year reporting and remains 7.9% higher
than the NOI at issuance. There are no specially serviced loans,
and the pool has incurred $4.8 million in losses to the not rated
NR class.
K-Mart Exposure and Store Closing: The pool has two properties in
the top 15 with exposure to K-Mart as a tenant. The K-Mart at
Springfield plaza closed in October of 2017. Although the
Rivertowne Commons location was not listed on any recent closing
lists, the exposure remains a concern based on the credit retailer
pattern of frequent store closures.
High Multifamily/Low Lodging Exposure: This pool has an
above-average concentration of multifamily properties (27.3%),
including seven student housing properties (2.1%). This is above
the average concentration of 12.2% for Fitch-rated transactions in
the 2013 vintage. Additionally, this transaction has a below
average concentration of hotel properties, which represents 8.8% of
the total pool balance; the 2013 vintage average hotel
concentration was 14.2%.
RATING SENSITIVITIES
The Stable Outlooks on all classes, except for class F, are due to
the generally stable performance of the pool, continued
amortization and sufficient credit enhancement relative to expected
losses. Rating upgrades may occur with improved pool performance
and additional paydown or defeasance. The Negative Outlook on class
F reflects the potential for downgrade should the FLOCs continue to
experience performance issues.
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 affirms the following classes:
-- $210 million class A-3 at 'AAAsf'; Outlook Stable;
-- $319.1 million class A-4 at 'AAAsf'; Outlook Stable;
-- $98.6 million class A-SB at 'AAAsf'; Outlook Stable;
-- $83.9 million** class A-S at 'AAAsf'; Outlook Stable;
-- $711.5 million* class X-A at 'AAAsf'; Outlook Stable;
-- $62.2 million** class B at 'AA-sf'; Outlook Stable;
-- $47.3 million** class C at 'A-sf'; Outlook Stable;
-- $83.7 million** class EC at 'A-sf'; Outlook Stable;
-- $48.7 million class D at 'BBB-sf'; Outlook Stable;
-- $21.6 million class E at 'BBsf'; Outlook Stable;
-- $12.2 million class F at 'Bsf'; Outlook Negative.
Notional amount and interest-only.
Class A-S, B and C certificates may be exchanged for a related
amount of class EC certificates, and class EC certificates may be
exchanged for class A-S, B and C certificates
Class A-1 and A-2 has paid in full. Fitch does not rate the class
NR and X-C certificates. Fitch previously withdrew the rating on
the interest-only class X-B certificates.
JP MORGAN 2018-8: DBRS Assigns Prov. B Rating on Class B-5 Certs
----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the Mortgage
Pass-Through Certificates, Series 2018-8 (the Certificates) issued
by J.P. Morgan Mortgage Trust 2018-8 as follows:
-- $939.0 million Class A-1 at AAA (sf)
-- $939.0 million Class A-2 at AAA (sf)
-- $879.1 million Class A-3 at AAA (sf)
-- $879.1 million Class A-4 at AAA (sf)
-- $659.3 million Class A-5 at AAA (sf)
-- $659.3 million Class A-6 at AAA (sf)
-- $219.8 million Class A-7 at AAA (sf)
-- $219.8 million Class A-8 at AAA (sf)
-- $175.8 million Class A-9 at AAA (sf)
-- $175.8 million Class A-10 at AAA (sf)
-- $44.0 million Class A-11 at AAA (sf)
-- $44.0 million Class A-12 at AAA (sf)
-- $59.9 million Class A-13 at AAA (sf)
-- $59.9 million Class A-14 at AAA (sf)
-- $520.0 million Class A-15 at AAA (sf)
-- $520.0 million Class A-16 at AAA (sf)
-- $139.4 million Class A-17 at AAA (sf)
-- $139.4 million Class A-18 at AAA (sf)
-- $359.1 million Class A-19 at AAA (sf)
-- $359.1 million Class A-20 at AAA (sf)
-- $939.0 million Class A-X-1 at AAA (sf)
-- $939.0 million Class A-X-2 at AAA (sf)
-- $879.1 million Class A-X-3 at AAA (sf)
-- $659.3 million Class A-X-4 at AAA (sf)
-- $219.8 million Class A-X-5 at AAA (sf)
-- $175.8 million Class A-X-6 at AAA (sf)
-- $44.0 million Class A-X-7 at AAA (sf)
-- $59.9 million Class A-X-8 at AAA (sf)
-- $520.0 million Class A-X-9 at AAA (sf)
-- $139.4 million Class A-X-10 at AAA (sf)
-- $16.0 million Class B-1 at AA (sf)
-- $17.5 million Class B-2 at A (sf)
-- $11.5 million Class B-3 at BBB (sf)
-- $7.0 million Class B-4 at BB (sf)
-- $3.0 million Class B-5 at B (sf)
Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8,
A-X-9 and A-X-10 are interest-only notes. The class balances
represent notional amounts.
Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-11, A-13,
A-15, A-17, A-19, A-20, A-X-2, A-X-3, A-X-4 and A-X-5 are
exchangeable certificates. These classes can be exchanged for a
combination of depositable certificates, as specified in the
offering documents.
Classes A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-15,
A-16 A-17, A-18, A-19 and A-20 are super-senior certificates. These
classes benefit from additional protection from the senior support
certificate (Classes A-13 and A-14) with respect to loss
allocation.
The AAA (sf) ratings on the Certificates reflect the 6.00% of
credit enhancement provided by subordinated certificates in the
pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings
reflect 4.40%, 2.65%, 1.50%, 0.80% and 0.50% of credit enhancement,
respectively.
Other than the specified classes above, DBRS does not rate any
other classes in this transaction.
The Certificates are backed by 1,874 loans with a total principal
balance of $998,971,305 as of the Cut-Off Date (August 1, 2018).
The pool consists of fully amortizing fixed-rate mortgages (FRMs)
with original terms to maturity of primarily 30 years.
Approximately 65.0% of the loans in the pool are conforming
mortgage loans originated by J.P. Morgan Chase Bank, National
Association (JPMCB), AmeriHome Mortgage Company (AmeriHome) and
loanDepot.com LLC (loan Depot), which were eligible for purchase by
Fannie Mae or Freddie Mac. For conforming loans, JPMCB generally
delegates underwriting authority to correspondent lenders and does
not subsequently review those loans. Details on the underwriting of
conforming loans can be found in the Key Probability of Default
Drivers section of the related presale report.
The originators for the aggregate mortgage pool are JPMCB (53.9%),
AmeriHome (15.1%), loan Depot (8.1%) and various other originators,
each comprising less than 5.0% of the mortgage loans. Approximately
3.7% of the loans sold to the mortgage loan seller were acquired by
MAXEX Clearing LLC (MaxEx), which purchased loans from the related
originators or an unaffiliated third party that directly or
indirectly purchased such loans from the related originators.
The loans will be serviced or sub-serviced by JPMCB (53.9%), Cenlar
FSB (23.1%), New Penn Financial, LLC d/b/a Shellpoint Mortgage
Servicing (18.8%) and various other servicers, each comprising less
than 5.0% of the mortgage loans.
Wells Fargo Bank, N.A. (Wells Fargo; rated AA by DBRS) will act as
the Master Servicer and Securities Administrator. Wells Fargo and
JPMCB will act as the Custodians. U.S. Bank Trust National
Association will serve as Delaware Trustee. Pentalpha Surveillance
LLC will serve as the representations and warranties (R&W)
Reviewer.
The transaction employs a senior-subordinate shifting-interest cash
flow structure that is enhanced from a pre-crisis structure.
The ratings reflect transactional strengths that include
high-quality underlying assets, well-qualified borrowers and a
satisfactory third-party due diligence review.
This transaction employs an R&W framework that contains certain
weaknesses, such as materiality factors, some unrated R&W
providers, knowledge qualifiers and sunset provisions that allow
for certain R&Ws to expire within three to six years after the
Closing Date. The framework is perceived by DBRS to be limiting
compared with traditional lifetime R&W standards in certain
DBRS-rated securitizations. To capture the perceived weaknesses in
the R&W framework, DBRS reduced the originator scores in this pool.
A lower originator score results in increased default and loss
assumptions and provides additional cushions for the rated
securities.
Notes: All figures are in U.S. dollars unless otherwise noted.
KKR CLO 14: Moody's Assigns Ba3 Rating on Class E-R Notes
---------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
CLO refinancing notes issued by KKR CLO 14 Ltd.:
Moody's rating action is as follows:
US$319,000,000 Class A-R Senior Secured Floating Rate Notes due
2031 (the "Class A-R Notes"), Assigned Aaa (sf)
US$57,400,000 Class B-R Senior Secured Floating Rate Notes due 2031
(the "Class B-R Notes"), Assigned Aa2 (sf)
US$25,200,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2031 (the "Class C-R Notes"), Assigned A2 (sf)
US$31,400,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2031 (the "Class D-R Notes"), Assigned Baa3 (sf)
US$27,700,000 Class E-R Senior Secured Deferrable Floating Rate
Notes due 2031 (the "Class E-R Notes"), Assigned Ba3 (sf)
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.
KKR Financial Advisors II, LLC (the "Manager") manages the CLO. It
directs the selection, acquisition, and disposition of collateral
on behalf of the Issuer.
RATINGS RATIONALE
Moody's ratings on the Refinancing Notes address the expected
losses posed to noteholders. The ratings reflect the risks due to
defaults on the underlying portfolio of assets, the transaction's
legal structure, and the characteristics of the underlying assets.
The Issuer has issued the Refinancing Notes on August 23, 2018 in
connection with the refinancing of all classes of the secured notes
previously issued on June 27, 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: $500,200,000
Defaulted Par: $0
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2795
Weighted Average Spread (WAS): 3.15%
Weighted Average Recovery Rate (WARR): 47.75%
Weighted Average Life (WAL): 9 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
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.
KODIAK CDO I: Moody's Raises Rating on Class A-2 Notes to 'Ba1'
---------------------------------------------------------------
Moody's Investors Service has upgraded the rating on the following
notes issued by Kodiak CDO I, Ltd.:
US$103,500,000 Class A-2 Second Priority Senior Secured Floating
Rate Notes Due 2037 (current balance of $98,310,691.79), Upgraded
to Ba1 (sf); previously on February 24, 2016 Upgraded to B3 (sf)
Kodiak CDO I, Ltd., issued in September 2006, is a collateralized
debt obligation (CDO) backed mainly by a portfolio of REIT trust
preferred securities (TruPS).
RATINGS RATIONALE
The rating action on the Class A-2 notes is primarily a result of
the notes becoming the senior-most tranche in the transaction and
benefiting from the acceleration of the notes, as well as the
repayment of the Class A-2 notes' defaulted interest. On the
February 2018 payment date, the Class A-1 notes were repaid in full
and the Class A-2 notes began receiving current interest and
repaying defaulted interest. Since February 2018, all of the
defaulted interest has been repaid and the notes' principal was
paid down by $5.2 million or 5.0%.
The action also reflects the consideration that an event of default
(EoD) is continuing for the transaction, and that as a remedy to
the EoD, 66 2/3% of each class, voting separately, can direct the
trustee to proceed with the sale and liquidation of the collateral.
The EOD occurred in February 2014 due to failure to pay interest on
the Class B notes. In March 2014, the controlling class voted to
accelerate the deal, which made the Class A-1 notes senior to all
other notes and shut off interest payments to the Class A-2 notes.
Going forward, the Class A-2 notes are the senior-most notes and
will receive all proceeds until they are paid in full.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's Approach
to Rating TruPS CDOs," published in October 2016.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the rating, as described here:
1) Macroeconomic uncertainty: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in the
general economy. Moody's has a stable outlook on the US banking and
insurance sectors.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's current
expectations could have a positive impact on the transaction's
performance. Conversely, asset credit performance weaker than
Moody's current expectations could have adverse consequences on the
transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds and excess
interest proceeds will continue and at what pace. Note repayments
that are faster than Moody's current expectations could have a
positive impact on the notes' ratings, beginning with the notes
with the highest payment priority.
4) Exposure to non-publicly rated assets: The deal contains a large
number of securities whose default probability Moody's assesses
through credit scores derived using RiskCalc™ or credit
estimates. Because these are not public ratings, they are subject
to additional uncertainties.
Loss and Cash Flow Analysis:
Moody's applied a Monte Carlo simulation framework in Moody's
CDOROM™ to model the loss distribution for TruPS CDOs. The
simulated defaults and recoveries for each of the Monte Carlo
scenarios defined the reference pool's loss distribution. Moody's
then used the loss distribution as an input in its CDOEdge™ cash
flow model.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool as having a performing par of $240.6 million,
defaulted par of $90.5 million, a weighted average default
probability of 55.99% (implying a WARF of 4375), and a weighted
average recovery rate upon default of 11.27%.
In addition to the quantitative factors Moody's explicitly models,
qualitative factors are part of rating committee considerations.
Moody's considers the structural protections in the transaction,
the risk of an event of default, recent deal performance under
current market conditions, the legal environment and specific
documentation features. All information available to rating
committees, including macroeconomic forecasts, inputs from other
Moody's analytical groups, market factors, and judgments regarding
the nature and severity of credit stress on the transactions, can
influence the final rating decision.
The portfolio of this CDO contains TruPS issued by small to medium
sized U.S. community banks, insurance companies and REIT companies
that Moody's does not rate publicly. To evaluate the credit quality
of bank TruPS that do not have public ratings, Moody's uses
RiskCalc™, an econometric model developed by Moody's Analytics,
to derive credit scores. Moody's evaluation of the credit risk of
most of the bank obligors in the pool relies on the latest FDIC
financial data. For REIT TruPS that do not have public ratings,
Moody's REIT group assesses their credit quality using the REIT
firms' annual financials.
KODIAK CDO II: Moody's Hikes Rating on 2 Tranches to B1
-------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Kodiak CDO II, Ltd.:
US$338,000,000 Class A-1 Senior Secured Floating Rate Notes Due
2042 (current balance of $6,032,382.71), Upgraded to Aaa (sf);
previously on October 25, 2017 Upgraded to Aa2 (sf)
US$53,000,000 Class A-2 Senior Secured Floating Rate Notes Due
2042, Upgraded to Aa1 (sf); previously on October 25, 2017 Upgraded
to A1 (sf)
US$80,000,000 Class A-3 Senior Secured Floating Rate Notes Due
2042, Upgraded to Aa3 (sf); previously on October 25, 2017 Upgraded
to Baa1 (sf)
US$81,000,000 Class B-1 Senior Secured Floating Rate Notes Due
2042, Upgraded to B1 (sf); previously on October 25, 2017 Upgraded
to B3 (sf)
US$5,000,000 Class B-2 Senior Secured Fixed/Floating Rate Notes Due
2042, Upgraded to B1 (sf); previously on October 25, 2017 Upgraded
to B3 (sf)
Kodiak CDO II, Ltd., issued in June 2007, is a collateralized debt
obligation (CDO) backed mainly by a portfolio of REIT trust
preferred securities (TruPS).
RATINGS RATIONALE
The rating actions are primarily a result of the deleveraging of
the Class A-1 notes and an increase in the transaction's
overcollateralization (OC) ratios since October 2017.
The Class A-1 notes have paid down by approximately 66.0% or $11.7
million since October 2017, using principal proceeds from the
redemption of the underlying assets and the diversion of excess
interest proceeds. Based on Moody's calculations, the Class A-1,
Class A-2, Class A-3, and Class B OC ratios have improved to
5185.96%, 529.94%, 225.01%, and 139.02%, respectively, from October
2017 levels of 1768.28%, 443.28%, 208.01% and 132.44%,
respectively.
The deal has also benefited from improvement in the credit quality
of the underlying portfolio. According to Moody's calculations, the
weighted average rating factor (WARF) improved to 3548 from 4057 in
October 2017.
Methodology Underlying the Rating Action
The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS CDOs," published in October 2016.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described here:
1) Macroeconomic uncertainty: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in the
general economy. Moody's has a stable outlook on the US banking and
insurance sectors.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's current
expectations could have a positive impact on the transaction's
performance. Conversely, asset credit performance weaker than
Moody's current expectations could have adverse consequences on the
transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds and excess
interest proceeds will continue and at what pace. Note repayments
that are faster than Moody's current expectations could have a
positive impact on the notes' ratings, beginning with the notes
with the highest payment priority.
4) Exposure to non-publicly rated assets: The deal contains a large
number of securities whose default probability Moody's assesses
through credit scores derived using RiskCalc™ or credit
estimates. Because these are not public ratings, they are subject
to additional uncertainties.
Loss and Cash Flow Analysis:
Moody's applied a Monte Carlo simulation framework in Moody's
CDOROM™ to model the loss distribution for TruPS CDOs. The
simulated defaults and recoveries for each of the Monte Carlo
scenarios defined the reference pool's loss distribution. Moody's
then used the loss distribution as an input in its CDOEdge™ cash
flow model.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool as having a performing par of $312.8 million,
defaulted par of $ 79.3 million, a weighted average default
probability of 50.09% (implying a WARF of 3548), and a weighted
average recovery rate upon default of 13.3%.
In addition to the quantitative factors Moody's explicitly models,
qualitative factors are part of rating committee considerations.
Moody's considers the structural protections in the transaction,
the risk of an event of default, recent deal performance under
current market conditions, the legal environment and specific
documentation features. All information available to rating
committees, including macroeconomic forecasts, inputs from other
Moody's analytical groups, market factors, and judgments regarding
the nature and severity of credit stress on the transactions, can
influence the final rating decision.
The portfolio of this CDO contains REIT TruPS that Moody's does not
rate publicly. For REIT TruPS that do not have public ratings,
Moody's REIT group assesses their credit quality using the REIT
firms' annual financials.
MASTR ADJUSTABLE 2005-5: Moody's Withdraws Ratings on 4 Tranches
----------------------------------------------------------------
Moody's Investors Service has withdrawn the ratings of Class A-1,
Class A-2, Class A-3, and Class A-X issued by MASTR Adjustable Rate
Mortgages Trust 2005-5.
Complete rating actions are as follows:
Issuer: MASTR Adjustable Rate Mortgages Trust 2005-5
Cl. A-1, Withdrawn (sf); previously on Mar 16, 2017 Upgraded to
Caa2 (sf)
Cl. A-2, Withdrawn (sf); previously on May 24, 2011 Downgraded to C
(sf)
Cl. A-3, Withdrawn (sf); previously on May 24, 2011 Downgraded to C
(sf)
Cl. A-X, Withdrawn (sf); previously on Nov 29, 2017 Confirmed at
Caa3 (sf)
RATINGS RATIONALE
MASTR 2005-5 is a re-securitization transaction (Resec) backed by
14 underlying securities, one of which is Class 5-A from GMACM
Mortgage Loan Trust 2005-AR1. Moody's withdrew the rating on Class
5-A on August 17, 2018 because the number of loans remaining in the
pool has fallen below the level specified in Moody's "US RMBS
Surveillance Methodology" published January 2017. Under Moody's US
RMBS Surveillance Methodology, the ratings on RMBS with such small
pools are subject to withdrawal for small pool factor. Because the
ratings on Resec bonds generally link to the ratings on the
underlying securities and their performance, Moody's cannot
maintain the ratings on Class A-1, Class A-2, Class A-3, and Class
A-X of the MASTR 2005-5 transaction due to the withdrawal of the
rating of the underlying security.
Moody's has decided to withdraw the ratings because it believes it
has insufficient or otherwise inadequate information to support the
maintenance of the ratings.
MERRILL LYNCH 2005-LC1: Moody's Raises Class H Certs Rating to 'Ca'
-------------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class and
affirmed the rating on one class in Merrill Lynch Mortgage Trust
2005-LC1, Commercial Mortgage Pass-Through Certificates, Series
2005-LC1 as follows:
Cl. H, Upgraded to Ca (sf); previously on Jan 4, 2018 Affirmed C
(sf)
Cl. X, Affirmed C (sf); previously on Jan 4, 2018 Affirmed C (sf)
RATINGS RATIONALE
The rating on Cl H. was upgraded to align with Moody's expected
loss plus realized losses. Cl. H has been reduced by 82% from its
original balance and has already experienced a 28% realized loss as
a result of 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 55.3% of the
current pooled balance. Moody's base expected loss plus realized
losses is now 4.1% of the original pooled balance.
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 2005-LC1, Cl. H 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 2005-LC1,
Cl. X were "Moody's Approach to Rating Large Loan and Single
Asset/Single Borrower CMBS" published in July 2017 and "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 100% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then applies the aggregate loss
from specially serviced loans to the most junior class and the
recovery as a pay down of principal to the most senior class.
DEAL PERFORMANCE
As of the August 13, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 99.7% to $3.9
million from $1.55 billion at securitization. The certificates are
collateralized by one mortgage loan, which is in special servicing.
Twenty-nine loans have been liquidated from the pool, resulting in
an aggregate realized loss of $62.0 million (for an average loss
severity of 43.6%). The remaining specially serviced loan is the
Safeway Market Place (Yale & Monaco) loan ($3.9 million), which is
secured by a 23,134 SF grocery-shadow anchored neighborhood retail
center in Denver, Colorado. As of December 2017, the property was
82% occupied. The loan transferred to special servicing in March
2013 due to payment default.
METLIFE 2018-1: DBRS Finalizes B Rating on $8MM Class B2 Debt
-------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Residential Mortgage-Backed Securities, Series 2018-1 (the
Securities) issued by MetLife Securitization Trust 2018-1:
-- $398.2 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)
-- $11.4 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 1,908 loans with a total principal balance
of $497,771,950 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, 508 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 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.
METLIFE SECURITIZATION 2018-1: Fitch Rates Class B2 Notes 'Bsf'
---------------------------------------------------------------
Fitch rates MetLife Securitization Trust 2018-1 (MST 2018-1) as
follows:
-- $398,218,000 class A notes 'AAAsf'; Outlook Stable;
-- $27,377,000 class M1 notes 'AAsf'; Outlook Stable;
-- $21,155,000 class M2 notes 'Asf'; Outlook Stable;
-- $18,418,000 class M3 notes 'BBBsf'; Outlook Stable;
-- $11,449,000 class B1 notes 'BBsf'; Outlook Stable;
-- $7,964,000 class B2 notes 'Bsf'; Outlook Stable.
Fitch will not be rating the following classes:
-- $2,489,000 class B3 notes;
-- $2,489,000 class B4 notes;
-- $2,489,000 class B5 notes;
-- $2,488,000 class B6 notes;
-- $2,489,000 class B7 notes;
-- $746,949 class B8 notes;
-- $470,018,708 class A-IO-S notional notes.
The notes and certificates are supported by 1,909 seasoned
performing and re-performing mortgages with a total balance of
$497.77 million, which includes $27.8 million, or 5.6%, of the
aggregate pool balance in non-interest-bearing, deferred principal
amounts, as of the cutoff date. Principal and interest (P&I) and
loss allocations are based on a traditional senior subordinate,
sequential structure. The transaction is expected to close on Aug.
17, 2018.
The 'AAAsf' rating on the class A notes reflects the 20.00%
subordination provided by the 5.50% class M1, 4.25% class M2, 3.70%
class M3, 2.30% class B1, 1.60% class B2, 0.50% class B3, 0.50%
class B4, 0.50% class B5, 0.50% class B6, 0.50% class B7, and 0.15%
class B8 notes and certificates.
Fitch's ratings on the notes and certificates reflect the credit
attributes of the underlying collateral, the quality of the
representation (rep) and warranty framework, minimal due diligence
findings and the sequential pay structure.
KEY RATING DRIVERS
High Credit Quality (Positive): The notes and certificates are
backed by a pool of high-quality RPL mortgage loans. The weighted
average primary borrower's most recent FICO score of 703 is higher
than most typical RPL RMBS rated by Fitch to date. In addition, the
pool has a current loan-to-value ratio (LTV) of just 72%, a
sustainable LTV of 77.4% and is seasoned on average over 10 years.
This is most evidenced by Fitch's 'AAAsf' loss expectation of
15.50%.
Experienced Aggregator (Positive): This will be the second rated
RPL transaction issued by Metropolitan Life Insurance Company
(MLIC). Fitch reviewed MetLife Investment Management (MIM), a
business division of MetLife, Inc., in August 2017 and currently
considers MIM to be an average aggregator of RPL collateral. MIM,
which began aggregating RPLs in 2012 and managed approximately $16
billion in investments as of Dec. 31, 2017, benefits from a
conservative loan sourcing strategy and the use of robust analytics
in its aggregation process.
Clean Current Loans (Positive): Although 91.5% of the pool has been
modified, all of the borrowers have been paying on time for the
past 24 months. In addition, 95.0% of the borrowers have been clean
for 36 months. Borrowers that have been current for at least the
past 36 months received a 35% reduction to Fitch's 'AAAsf'
probability of default (PD) while those that have been current
between 24 and 36 months received a 26.25% reduction.
Low Operational Risk (Positive): Operational risk is well
controlled for this transaction. MetlLife carries an 'average'
aggregator assessment from Fitch, and third-party due diligence,
which was completed on 100% of the pool, indicated low risk for an
RPL transaction. The issuer's retention of at least 5% of the bonds
and a strong representation and warranty framework (classified by
Fitch as Tier 1) help ensure an alignment of interest between
issuer and investor.
Third-Party Due Diligence (Positive): A third-party due diligence
review was conducted on 100% of the pool and focused on regulatory
compliance and pay histories; a tax and title lien search was also
conducted. Roughly 10% of the pool (195 loans) was assigned a grade
'C' or 'D' for compliance violations, one-third of which had
material violations or lacked documentation to confirm regulatory
compliance and were applied an adjustment by Fitch. The remaining
loans had violations with limited assignee liability or other
exceptions that could delay foreclosure, which is addressed by
Fitch's extended timelines applied to RPLs.
Tier 1 Representation and Warranty Framework (Positive): Life of
loan representations and warranties are being provided by MLIC
(A+/F1+/Stable). Based on Fitch's assessment, the construct for
this transaction was categorized as a Tier 1. The framework
benefits from an automatic breach review after certain performance
triggers are met, as well as the ability for greater than 50% of
unaffiliated noteholders to cause a review. Given the financial
rating and framework of MLIC, Fitch adjusted its expected losses
downward by 65bps at 'AAAsf'.
Sequential-Pay Structure (Positive): The transaction's cash flow is
based on a sequential-pay structure whereby the subordinate classes
do not receive principal until the senior classes are repaid in
full. Losses are allocated in reverse-sequential order.
Furthermore, the provision to re-allocate principal to pay interest
on the 'AAAsf' and 'AAsf' rated notes prior to other principal
distributions is highly supportive of timely interest payments to
those classes in the absence of servicer advancing.
Deferred Amounts (Negative): Non-interest-bearing principal
forbearance amounts totaling $27.8 million (5.6%) of the unpaid
principal balance are outstanding on 512 loans. Fitch included the
deferred amounts when calculating the borrower's LTV and sLTV
despite the lower payment and amounts not being owed during the
term of the loan. The inclusion resulted in higher PDs and LS than
if there were no deferrals. Fitch believes that borrower default
behavior for these loans will resemble that of the higher LTVs, as
exit strategies (that is, sale or refinancing) will be limited
relative to those borrowers with more equity in the property.
No Servicer P&I Advances (Neutral): The servicer will not be
advancing delinquent monthly payments of P&I, which reduce
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 timely payments of interest to the 'AAAsf' and 'AAsf'
rated classes.
Solid Alignment of Interest (Positive): The sponsor, MLIC and/or
one or more of its majority-owned affiliates will acquire and
retain a 5% vertical interest in each class of the securities to be
issued. In addition, the sponsor will also be the rep provider.
CRITERIA APPLICATION
Fitch analyzed the transaction in accordance with its criteria, as
described in its 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 notes.
Fitch's analysis incorporated one criteria variation from "U.S.
RMBS Seasoned, Re-Performing and Non-Performing Loan Rating
Criteria" and one criteria variation from "U.S. RMBS Loan Loss
Model Criteria," as described, which, if not applied, would have
resulted in one rating category lower than the ratings assigned.
The first variation relates to the expectation that credit scores
will be pulled within 6 months prior to the cut-off date. For 10.6%
of the pool, updated scores cannot be provided because the current
servicer, Bayview Loan Servicing, has an internal policy of not
obtaining updated FICOs on borrowers that have a prior Chapter 7
bankruptcy.
Fitch does not believe the outdated FICOs pose a material risk to
the pool. 94% of the borrowers with outdated FICOs have been
performing on their loans for the last 36 months with no
delinquencies. The borrowers' bankruptcies occurred several years
ago, and roughly 67% were modified, so the loans have been
performing well after the modifications. For the loans that were
modified, almost all of the FICOs were refreshed by a prior
servicer after the modifications occurred. Fitch believes that the
outdated FICOs (average score of 674) may be conservative, because
the borrowers' scores likely would have increased since the FICOs
were last pulled due to their clean pay performance.
The second variation relates to not using the default assumption of
600 for re-performing loans missing updated FICO scores. Fitch
assumed the most recent FICOs given in the tape in its analysis
(average score of 674), even if the FICOs were last pulled more
than 6 months prior to the cut-off date. Based on the clean pay
history of the loans, Fitch believes an assumption of 600 is too
punitive.
RATING SENSITIVITIES
Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the metropolitan statistical area (MSA) and
national levels. The implied rating sensitivities are only an
indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to or be
considered in the surveillance of the transaction.
Fitch conducted sensitivity analysis determining 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 7.0% at the base case. The analysis indicates 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'.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC Diligence, LLC (AMC) who was engaged to perform a
regulatory compliance, data integrity, and pay history third-party
due diligence review on the loans. The third-party due diligence
described in Form 15E focused on: regulatory compliance review,
24-month pay-history review, and data integrity review on all of
the loans. In addition, AMC was engaged to perform an updated tax
and title search and a review for recordation of the mortgage note
and subsequent assignments for the entire pool.
Approximately 10% (195 loans) of the loans reviewed were assigned a
compliance grade 'C' or 'D'. For 92 of these loans, Fitch adjusted
its loss expectation at the 'AAAsf' by approximately 12bps to
reflect missing documents that prevented the testing for predatory
lending compliance. Inability to test for predatory lending may
expose the trust to potential assignee liability, which creates
added risk for bond investors. The remaining loans graded 'C' and
'D' include exceptions for loans that are not subject to predatory
lending, loans with missing disclosures and other compliance
defects that were considered non-material by the Fitch analyst.
Loss adjustments were not applied for these loans.
MORGAN STANLEY 2007-TOP27: DBRS Confirms B Rating on Class C Certs
------------------------------------------------------------------
DBRS Limited upgraded the rating of one class of the Commercial
Mortgage Pass-Through Certificates, Series 2007-TOP27 issued by
Morgan Stanley Capital I Trust, Series 2007-TOP27 as follows:
-- Class B to BBB (sf) from BB (sf)
The trend for this class is Stable.
DBRS also downgraded the rating of one class as follows:
-- Class D to D (sf) from C (sf)
This rating for this class does not carry a trend.
In addition, DBRS confirmed the ratings on the following classes:
-- Class A-J at A (low) (sf)
-- Class C at B (low) (sf)
For these two classes, DBRS has changed the trends to Positive from
Stable.
The rating upgrade for one class and the assignment of Positive
trends for two classes reflects DBRS's outlook for the largest loan
in the pool, 360 Park Avenue South (Prospectus ID #1, 85.5% of the
pool). Due to the size of this loan, as well as the strong
performance of the underlying asset, a Class B office property
located in Manhattan, New York, Classes A-J and B are cushioned
against losses DBRS expects will be incurred with the final
resolution of the two loans currently in special servicing. The
downgrade of Class D reflects the loss to that class with the
resolution of the Town Square Mall loan (Prospectus ID #28), which
liquidated in May 2018 with a realized loss of $23.4 million (loss
severity of 99.7%), a figure that was in line with DBRS's analyzed
loss for that loan in December 2017.
In addition to the positive outlook for the largest loan in the
pool, the transaction also benefits from the liquidation of a
smaller loan in special servicing in late 2017 that resulted in no
loss to the trust and the repayment of two performing loans thus
far in 2018. As of the July 2018 remittance, four of the original
225 loans remain in the pool with a current trust balance of $251.4
million. This represents a collateral reduction of 12.2% since
December 2017 and 90.8% since issuance.
The 360 Park Avenue South loan is secured by an office building in
Manhattan that is fully leased to an investment-grade tenant and
lease guarantor, RELX Group (formerly known as Reed Elsevier). The
property is currently 100% subleased, which has been the case for
several years. Performance remains stable, as the loan reported a
YE2017 debt service coverage ratio (DSCR) of 1.65 times (x),
compared with YE2016 DSCR and DBRS Term DSCR at issuance of 1.50x
and 1.17x, respectively. RELX Group is in place through December
2021 and the loan is scheduled to mature in March 2022.
Although the lease expiry within close proximity of maturity and
the fully subleased status present risk factors for this loan, the
trust's exposure at maturity of $422 per square foot (psf) is
considered healthy and the stable physical occupancy rate over the
last several years speaks to the desirability of the property and
its Manhattan location. RELX Group is in place at an approximate
gross rental rate of $60.00 psf; this figure compares well with
submarket metrics as reported by CoStar, which show an average
Class B and Class A rental rate of $66.61 psf and $77.03 psf,
respectively, for office properties within a quarter-mile radius,
with overall vacancy and availability rates of 6.6% and 7.1%,
respectively, as of August 2018.
There are currently two loans in special servicing, representing
13.4% of the current pool balance. Both loans were transferred to
special servicing for maturity default. The larger of the two
loans, Residence Inn – Herndon (Prospectus ID #24, 10.5% of the
pool), is secured by a 23-building extended-stay hotel property
containing 168 rooms, located in Herndon, Virginia. The loan
transferred to special servicing in June 2017 due to maturity
default after the borrower was unable to secure financing to retire
the existing debt. The servicer advises this was due to the $3.5
million property improvement plan renovation that was required to
be completed by December 2018 as part of the Marriott franchise
agreement that runs through 2023. Additionally, to obtain a
ten-year franchise agreement extension, Marriott is also requiring
a total of $7.0 million in immediate repairs. The property was
appraised at a value of $18.64 million as of January 2018. In
DBRS's analysis for this review, DBRS assumed a loss severity in
excess of 60.0%. The estimated losses for this loan and the other
specially serviced loan, 207 Trade winds Boulevard (Prospectus ID
#85, 2.9% of the pool), are expected to be contained to the Class D
certificates.
The ratings assigned to Classes A-J and C materially deviate from
the higher ratings implied by the quantitative results. DBRS
considers a material deviation to be a rating differential of three
or more notches between the assigned rating and the rating implied
by the quantitative results that is a substantial component of a
rating methodology. The deviations are warranted given uncertain
loan-level event risk.
MORGAN STANLEY 2014-C18: DBRS Confirms B Rating on 2 Cert. Classes
------------------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2014-C18
issued by Morgan Stanley Bank of America Merril Lynch Trust
2014-C18 as follows:
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (low) (sf)
-- Class PST at A (low) (sf)
-- Class X-B at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class X-C at B (sf)
-- Class F at B (low) (sf)
DBRS does not rate Class G, the first-loss piece. The Class A-S,
Class B and Class C certificates may be exchanged for the Class PST
certificates (and vice versa). All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction since issuance. At issuance, the transaction had an
original trust balance of $1,033 million and consisted of 65 fixed
rated loans secured by 100 properties. As of the July 2018
remittance, there are 61 loans remaining in the pool secured by 96
properties with a current trust balance of $984.2 million. The
trust has experienced a collateral reduction of 4.9% since issuance
due to scheduled loan amortization and the repayment of four loans.
Three loans, representing 2.58% of the pool balance, are fully
defeased. All but five loans in the pool reported YE2017
financials, reporting a weighted-average (WA) debt service coverage
ratio (DSCR) and debt yield of 1.74 times (x) and 10.1%,
respectively, compared to the DBRS term figures of 1.64x and 9.4%
at issuance.
The pool has benefited from stable cash flow performance. Based on
the most recent financials, the top 15 loans (64.4% of the pool)
reported a WA DSCR of 1.66x, compared with the WA DBRS Term DSCR of
1.50x, representing a WA net cash flow (NCF) growth of 16.0%. The
WA debt yield for the top 15 loans increased to 9.3% from the WA
DBRS debt yield of 8.2%.
As of the July 2018 remittance, there is one loan in special
servicing; representing 1.9% of the current pool balance and eight
loans are on the servicer's watch list, representing 12.9% of the
current pool balance. The loan in special servicing, Value Place
Williston (Prospectus ID#14), is secured by a limited-service hotel
located in Williston, North Dakota. The loan transferred to special
servicing for payment default in October 2015. The servicer noted
that it plans to foreclose or resolve the loan by the end of the
year. DBRS assumed a liquidation scenario for the loan with this
review. For additional information on this loan, please see the
DBRS Viewpoint platform, for which information is provided below.
Two loans in the top 15 are on the servicer's watch list. The
larger of the two, Huntington Oaks Shopping Center (Prospectus
ID#3, 5.9% of the pool), is secured by an anchored retail center in
Monrovia, California. The loan, added to the watch list in April
2018 as Toys "R" Us (13.0% of net rentable area, expiring January
2023), filed for bankruptcy and has officially closed. The servicer
has stated that the loan entered a cash flow sweep period because
of the Toys "R" Us closure. DBRS assumed a stressed scenario for
the loan with this review to increase the probability of default.
At issuance, DBRS shadow rated 300 North LaSalle (Prospectus ID#2,
9.7% of the pool) as investment grade. With this review, DBRS
confirms that the performance of this loan remains consistent with
the investment-grade characteristics.
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.
MORGAN STANLEY 2018-BOP: DBRS Gives Prov. BB Rating on Cl. F Certs
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2018-BOP (the
Certificates) to be issued by Morgan Stanley Capital I Trust
2018-BOP:
-- Class A at AAA (sf)
-- Class X-CP at A (sf)
-- Class X-EXT at A (sf)
-- Class B at AA (high) (sf)
-- Class C at A (high) (sf)
-- Class D at A (low) (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
All trends are Stable.
The Class X-CP and Class X-EXT balances are notional. Class X-CP
will be equal to the B-2 portion of the Class B certificates, the
C-2 portion of the Class C certificates and the D-2 portion of the
Class D certificates. Class X-EXT will be equal to the Class B,
Class C and Class D certificates.
The subject loan is secured by the fee simple interest in a
portfolio of 12 suburban office properties comprising nearly
1.8 million square feet (sf) of suburban office space, located in
four different states on the east coast of the United States. Nine
properties within the portfolio (81.7% of the net rentable area
(NRA); 82.6% of the loan) are primarily concentrated in the
Washington, D.C. metro area, which is composed of the District of
Columbia, Northern Virginia (two properties) and suburban Maryland
(seven properties), and total 1.3 million sf (81.0% of DBRS Base
Rent). The three remaining portfolio properties are located in
Florida (two properties) and Georgia (one property) and total
330,907 sf in the Orlando (13.5% of DBRS Base Rent) and Atlanta
(5.5% of DBRS Base Rent) metro areas. Built between 1970 and 2007,
the portfolio properties are positioned in markets that are
beginning to benefit from an expansion away from government demand,
which has steadily been generated by diverse thriving local
economies. Moreover, the portfolio benefits from tenant diversity
across the government, legal, technology, health-care, financial
services, education and R&D sectors as evidenced by its granular
rent roll. Although none of the subject properties are centered in
what DBRS would consider urban markets, these assets are generally
located within dense suburban markets that benefit from favorable
vehicular accessibility, public transportation availability and
favorable proximity to their respective central business
districts.
The loan is sponsored by Brookfield Strategic Real Estate Partners
II (BSREP II), a large-scale global real estate opportunity fund
with $9.0 billion of committed capital to invest in a diversified
portfolio of high-quality assets in North America, Europe,
Australia, Brazil and other select markets. BSREP II is the second
private fund investment vehicle of its kind created by the
owner-operator, Brookfield Property Partners (NYSE: BPY; TSX:
BPY.UN) (Brookfield). Brookfield is a global real estate company
that invests in and operates best-in-class office, retail,
industrial, multifamily, hospitality, triple net lease,
self-storage and student housing assets. Brookfield's entire
commercial real estate portfolio exceeds 260 assets and 129 million
sf worldwide, with a weighted-average (WA) occupancy of 92.3%. The
Brookfield Properties office portfolio maintains an interest in 147
properties in gateway markets around the globe in downtown cores
and select suburban markets that include New York, Washington,
D.C., Houston, Los Angeles, Toronto, Calgary, Ottawa, London,
Berlin, Sydney, Melbourne and Perth, making Brookfield the global
leader in the ownership and management of office property.
Brookfield is led by Richard Clark, Senior Managing Partner and
Chief Executive Officer. Mr. Clark has been with Brookfield and its
predecessors since 1984 and is a key player in the global
commercial property landscape. Since his appointment to the
leadership role of CEO in 2009, Mr. Clark has grown Brookfield's
market value to $16 billion from $8 billion.
Brookfield acquired the portfolio through two separate
transactions: the WRIT Montgomery County Portfolio in 2016 for
$234.1 million and the TA Realty Portfolio in 2017 for an allocated
purchase price of $107 million. The WRIT Montgomery Portfolio
comprises the Wayne Plaza, 6110 Executive Blvd, Jefferson Plaza,
West Gude Office Park, One Metro Square and One Central Plaza
properties. The TA Realty Portfolio comprises the University
Corporate Center I, University Corporate Center III, Winward
Concourse, Montrose Metro I, Arlington Square and Prince Street
Plaza properties. The Sponsor has already invested a total of $8.6
million into select properties to improve their competitive
position and to stabilize below-market level occupancy. As an
example, the United States Fish and Wildlife Service occupied
100.0% of Arlington Square prior to relocating in 2014. Since
acquiring the property in 2017 and after the previous owner
renovated the lobby into an open two-story design, the sponsor has
already invested an additional $2.3 million into the property to
attract new tenants with above-market rents. These efforts have
increased occupancy to 30.7% from 0.0%.
As of June 27, 2018, the portfolio reported occupancy of 79.9%,
which equates to approximately 379,763 sf available for lease. Much
of the portfolio's stable performance is attributable to its highly
granular rent roll with more than 240 tenants, none of which
accounts for more than 3.4% of the total NRA. The portfolio's
largest six tenants, representing a combined 16.2% of the NRA and
14.8% of the DBRS Base Rent, include many large corporations,
foundations, defense contractors and government entities such as
Bank of America, N.A.; Siemens Real Estate Corporation; The Henry
M. Jackson Foundation; Advanced Micro Devices, Inc.; Northrup
Grumman Space & Mission Systems; Montgomery County, Maryland; and
IQ Solutions, Inc. There are five investment-grade tenants that
lease 252,269 sf (14.0% of the NRA) across the entire portfolio and
generate 11.6% of the DBRS Base Rent.
Total debt proceeds of $278.4 million ($155 psf) were used to pay
off $259.4 million ($144 psf) of existing debt, fund
upfront reserves of approximately $8.3 million and cover roughly
$9.5 million in closing costs. Upfront reserves included $4.7
million for existing tenant improvement/leasing commission
obligations, $1.1 million for upfront real estate tax reserves and
$2.6 million for existing free rent obligations, as well as
deferred maintenance, insurance, environmental and replacement
reserves. The Mortgage Loan Amount is $223.4 million and is secured
by the Borrowers' fee simple interest and first-lien position in
the 12-property suburban office portfolio. The interest-only (IO)
payments due on the Mortgage Loan are based on a floating-rate
one-month LIBOR, plus a 157 basis-point (bps) spread, capped at
4.5% for a two-year term, plus three one-year successive extension
options. Coterminous with the Mortgage Loan are two Mezzanine
Loans: a $30 million Senior Mezzanine Loan that accrues interest at
a rate of one-month LIBOR plus a 400 bps spread and a $25 million
Junior Mezzanine Loan that accrues interest at a rate of one-month
LIBOR, plus a 510 bps spread, totaling $55 million. Newman Knight
Frank has determined the as-is value of the portfolio to be $361.6
million ($201 psf), based on a direct capitalization method using a
WA cap rate of 8.44%. The DBRS value is substantially lower at
$283.9 million ($158 psf) and was calculated by applying a WA cap
rate of 9.0% to the DBRS net cash flow, resulting in a DBRS
loan-to-value (LTV) of 78.7% on the mortgage debt, which is
indicative of modest-leverage financing. However, the DBRS LTV
inclusive of all mezzanine debt is much higher at 98.1%.
Classes X-CP and X-EXT are IO certificates that reference a single
rated tranche or multiple rated tranches. The IO rating mirrors the
lowest-rated applicable reference obligation tranche adjusted
upward by one notch if senior in the waterfall.
NATIONAL COLLEGIATE: Fitch Corrects August 14 Ratings Release
-------------------------------------------------------------
Fitch Ratings replaced a ratings release on National Collegiate
Trust published on August 14, 2018 to amend the servicer breakdown
under Operation Capabilities.
The revised release is as follows:
Fitch Ratings has affirmed the National Collegiate Trust (NCT)
2006-A, NCT 2007-A, NCT 2005-GATE, and NCT 2005-GATE Re-Packaging
(RP) notes.
Fitch has affirmed the notes as none of the variables affecting the
transactions performance have changed beyond that 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.
The affirmation of NCT Trust 2005-GATE RT follows the affirmation
of NCT 2005-GATE, to which the certificates are credit linked.
Although portfolios were mostly originated under First Marblehead
Corp's GATE Program and subsequently transferred to NCTs, these
trusts are not affected by the announcement made by the Consumer
Financial Protection Bureau (CFPB) on Sept. 18, 2017 with respect
to National Collegiate Student Loan Trusts (NCSLT) and Fitch is not
aware of any third-party lawsuits.
KEY RATING DRIVERS
Collateral Performance:
NCT 2006-A, 2007-A and 2005-GATE trusts are collateralized by
private student loans originated by Bank of America
(AA-/F1+/Stable) under First Marblehead Corp's GATE Program. NCT
2006-A and 2007-A also include originations by CHELA Funding II,
LLC.
Fitch's assumed constant default rates of 3.0% for each of the
trusts is unchanged from the last review in Sept. 22, 2017. A
base-case recovery rate of 30% was assumed for National Collegiate
Trust 2006-A & 2007-A, and 14% for National Collegiate Trust
2005-GATE, which was determined to be appropriate based on data
previously provided by the issuer and included credit to the
guarantee provided by Bank of America on loans originated pursuant
to the GATE Program.
Payment Structure
CE is provided by overcollateralization (the excess of the trust's
asset balance over the bond balance) and excess spread. For NCT
2006-A, cash may be released from the trust at the greater of (i)
104% total parity, and (ii) the percentage equivalent of
(outstanding notes + $5,300,000)/ (outstanding notes), currently at
112%. No cash is currently being released from NCT 2006-A. For NCT
2007-A and 2005-GATE, cash is currently being released from the
trusts as the 104% parity level required is currently met.
Liquidity support is provided to NCT 2006-A, NCT 2007-A and NCT
2005-GATE by a reserve account sized at about USD1 million. In
Fitch's view, the available reserve accounts are able to cover for
at least one quarter of senior costs and interest payments.
Operational Capabilities
Pennsylvania Higher Education Assistance Agency (PHEAA) services
100% of NCT 2005-GATE and NCT 2007-A, and 88% of NCT 2006-A.
FirstMark services the remaining 12% of NCT 2006-A. Fitch believes
both servicers are acceptable servicers of private student loans.
Repackaging Trust
The rating on the certificates of NCT 2005-GATE Repackaging Trust
are linked with the rating on the underlying bond. The repack trust
is structured as a simple pass-through. Amount of interest payable
is equal to interest payments received on the underlying bond net
of trust expenses, which are capped at interest payments received
for any related distribution date. The total parity of repackaging
trust will be constant at 100%. All of the class A and EC-1 to EC-4
certificates mature on the same date, which is two business days
after the maturity date of the underlying bond. As such, the risk
exposure of the repack certificates in terms of timely payment of
interest and ultimately payment of principal is not more than that
of the underlying bond.
RATING SENSITIVITIES
As Fitch's base case default proxy is derived primarily from
historical collateral performance, actual performance may differ
from the expected performance, resulting in higher loss levels than
the base case. This will result in a decline in available CE and
the remaining loss coverage levels available to the notes.
Therefore, note ratings may be susceptible to potential negative
rating actions depending on the extent of the decline in the
coverage.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
Fitch has affirmed the following ratings and Outlooks:
National Collegiate Trust 2006-A
-- Class A-2 at 'AAsf'; Outlook Positive;
-- Class B at 'BBsf'; Outlook Stable.
National Collegiate Trust 2007-A
-- Class A at 'AAsf'; Outlook Stable;
-- Class B at 'BBBsf'; Outlook Stable;
-- Class C at 'BBsf'; Outlook Negative.
National Collegiate Trust 2005-GATE
-- Class B at 'BBBsf'; Outlook Stable.
National Collegiate 2005-GATE Re-Packaging Trust
-- Class A3 certificates at 'BBBsf'; Outlook Stable;
-- Class A4 certificates at 'BBBsf'; Outlook Stable;
-- Class A5 certificates at 'BBBsf'; Outlook Stable;
-- Class EC-1 certificates at 'BBBsf'; Outlook Stable;
-- Class EC-2 certificates at 'BBBsf'; Outlook Stable;
-- Class EC-3 certificates at 'BBBsf'; Outlook Stable;
-- Class EC-4 certificates at 'BBBsf'; Outlook Stable.
OCTAGON INVESTMENT 38: S&P Assigns BB-(sf) Rating on Cl. D Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Octagon Investment
Partners 38 Ltd./Octagon Investment Partners 38 LLC's 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 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
Octagon Investment Partners 38 Ltd./Octagon Investment Partners
38 LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 381.90
A-2 NR 34.10
A-3A AA (sf) 45.50
A-3B AA (sf) 32.50
B (deferrable) A (sf) 39.00
C (deferrable) BBB- (sf) 39.00
D (deferrable) BB- (sf) 23.40
Subordinated notes (deferrable) NR 68.60
NR--Not rated.
OHA CREDIT 1: S&P Assigns Prelim BB-(sf) Rating on Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to OHA Credit
Funding 1 Ltd./OHA Credit Funding 1 LLC's $429.50 million
floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed primarily by broadly syndicated speculative-grade senior
secured term loans that are governed by collateral quality tests.
The preliminary ratings are based on information as of Aug. 20,
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
OHA Credit Funding 1 Ltd./OHA Credit Funding 1 LLC
Class Rating Amount (mil. $)
X AAA (sf) 2.00
A-1 AAA (sf) 292.00
A-2 NR 30.50
B AA (sf) 57.50
C A (sf) 30.00
D BBB- (sf) 30.00
E BB- (sf) 18.00
Subordinated notes NR 41.70
NR--Not rated.
PARK AVENUE 2016-1: S&P Assigns BB- Rating on Class D-R Notes
-------------------------------------------------------------
S&P Global Ratings assigned its 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 2016 that is managed by Park Avenue
Institutional Advisers 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. 23, 2018 refinancing date.
On the Aug. 23, 2018 refinancing date, the proceeds from the class
A-1-R, A-2-R, B-R, C-R, and D-R replacement note issuances were
used to redeem the original class A-1, A-2, B, C, and D notes as
outlined in the transaction document provisions. S&P withdrew its
ratings on the original notes in line with their full redemption,
and it is assigning ratings to the replacement notes.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"The assigned ratings reflect our opinion that the credit support
available is commensurate with the associated rating levels.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take rating actions as we
deem necessary."
RATINGS ASSIGNED
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.
RATINGS WITHDRAWN
Rating
Original 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.
RAIT CRE I: Moody's Affirms B1(sf) Rating on Class B Notes
----------------------------------------------------------
Moody's Investors Service has affirmed the ratings on the following
notes issued RAIT CRE CDO I, Ltd.:
Cl. B, Affirmed B1 (sf); previously on Jul 13, 2017 Affirmed B1
(sf)
Cl. C, Affirmed Caa1 (sf); previously on Jul 13, 2017 Affirmed Caa1
(sf)
Cl. D, Affirmed Caa2 (sf); previously on Jul 13, 2017 Affirmed Caa2
(sf)
Cl. E, Affirmed Caa3 (sf); previously on Jul 13, 2017 Affirmed Caa3
(sf)
Cl. F, Affirmed Caa3 (sf); previously on Jul 13, 2017 Affirmed Caa3
(sf)
Cl. G, Affirmed Caa3 (sf); previously on Jul 13, 2017 Affirmed Caa3
(sf)
Cl. H, Affirmed Caa3 (sf); previously on Jul 13, 2017 Affirmed Caa3
(sf)
Cl. J, Affirmed Caa3 (sf); previously on Jul 13, 2017 Affirmed Caa3
(sf)
The Cl. B, Cl. C, Cl. D, Cl. E, Cl. F, Cl. G, Cl. H, and Cl. J
notes are referred to herein as the "Rated Notes."
RATINGS RATIONALE
Moody's has affirmed the ratings on the Rated Notes because the key
transaction metrics are commensurate with existing ratings. The
affirmation is the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation (CRE CDO CLO)
transactions.
RAIT CRE CDO I, Ltd. is a cash transaction whose reinvestment
period ended in November 2011. The transaction is wholly backed by
a portfolio of whole loans, senior participations, mezzanine loans
and preferred equity participations. As of the trustee's July 5,
2018 report, the aggregate balance of the transaction, including
preferred shares, has decreased to $418.0 million from $985.5
million at issuance with paydown directed to the senior most
outstanding class of notes. Previously, there were partial
cancellations to the Class D, F, G and H Notes. In general, holding
all key parameters static, the junior note cancellations results in
slightly higher expected losses and longer weighted average lives
on the senior notes, while producing slightly lower expected losses
on the mezzanine and junior notes. However, this does not cause, in
and of itself, a downgrade or upgrade of any outstanding classes of
notes.
The pool contains seven assets totaling $41.2 million (12.6% of the
collateral pool balance) that are listed as defaulted securities as
of the trustee's July 5, 2018 report. These assets (100.0% of the
defaulted balance) are commercial real estate loans. While there
have been limited realized losses on the underlying collateral to
date, Moody's does expect significant losses to occur on the
defaulted securities.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CLO 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 8540,
compared to 8966 at last review. The current ratings on the
Moody's-rated collateral and the assessments of the non-Moody's
rated collateral follow: B1-B3 and 4.6% compared to 2.8% at last
review, Caa1-Ca/C and 95.4% compared to 97.2% at last review.
Moody's modeled a WAL of 2.4 years, compared to 2.9 years at last
review.
Moody's modeled a fixed WARR of 46.2%, compared to 45.9% at last
review.
Moody's modeled 34 obligors, compared to 50 at last review.
Moody's modeled a pair-wise asset correlation of 35%, the same as
at last review.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating SF CDOs" published in June 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The servicing decisions and
management of the transaction will also affect the performance of
the Rated Notes.
Together with the set of modeling assumptions, Moody's conducted an
additional sensitivity analysis, which was a component in
determining the rating assigned to the Rated Notes. 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.
RENTPATH INC: Bank Debt Trades at 19% Off
-----------------------------------------
Participations in a syndicated loan under which RentPath
Incorporated [ex-Primedia Inc.] is a borrower traded in the
secondary market at 81.25 cents-on-the-dollar during the week ended
Friday, August 17, 2018, according to data compiled by LSTA/Thomson
Reuters MTM Pricing. This represents a decrease of 4.69 percentage
points from the previous week. RentPath Inc. pays 475 basis points
above LIBOR to borrow under the $492 million facility. The bank
loan matures on December 11, 2021. Moody's rates the loan 'B2' and
Standard & Poor's gave a 'B+' rating to the loan. The loan is one
of the biggest gainers and losers among 247 widely quoted
syndicated loans with five or more bids in secondary trading for
the week ended Friday, August 17.
RESIDENTIAL ASSET 2005-A12: Moody's Cuts A-X Debt Rating to Caa2
----------------------------------------------------------------
Moody's Investors Service has downgraded the rating of Cl. A-X from
Residential Asset Securitization Trust 2005-A12 transaction, backed
by Alt-A loans.
Complete rating actions are as follows:
Issuer: Residential Asset Securitization Trust 2005-A12
Cl. A-X, Downgraded to Caa2 (sf); previously on Nov 29, 2017
Confirmed at B3 (sf)
RATINGS RATIONALE
The rating action is a result of the recent downgrade of P&I
tranches from the Residential Asset Securitization Trust 2005-A12
transaction. Cl. A-X is an interest-only (IO) bond that references
a pool, and the rating of such IO bonds is capped at the rating of
the highest rated P&I bond backed by the same reference pool. The
rating action on Cl. A-X reflects the Caa2 (sf) rating of the
highest rated outstanding P&I bonds in the reference pool. Moody's
neglected to take a rating action on Cl. A-X on August 1, 2018,
when the highest rated P&I bond in the reference pool was
downgraded to Caa2 (sf).
The methodologies used in this rating were "US RMBS Surveillance
Methodology" published in January 2017 and "Moody's Approach to
Rating Structured Finance Interest-Only (IO) Securities" published
in June 2017.
Factors that would lead to an upgrade or downgrade of the rating:
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.
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.
SASCO 2001-SB1: Moody's Cuts Ratings on 4 Tranches to 'Caa1'
------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of eight
tranches issued by Structured Asset Securities Corporation (SASCO).
The collateral backing these transactions consists of loans
originated by the Small Business Administration to borrowers who
have experienced property losses in disasters recognized by the
United States federal government. The loans are primarily backed by
single-family homes but are also backed by commercial properties,
manufactured homes, multi-family homes, townhomes, land and
developed lots, and prefabricated homes. The vast majority of these
loans are junior liens.
Complete rating actions are as follows:
Issuer: Structured Asset Securities Corporation (SASCO) 2001-SB1
Cl. A-2, Downgraded to Caa1 (sf); previously on Jul 25, 2016
Assigned B2 (sf)
Cl. A4, Downgraded to Caa1 (sf); previously on Jan 26, 2016
Downgraded to B2 (sf)
Cl. A5, Downgraded to Caa1 (sf); previously on Jan 26, 2016
Downgraded to B2 (sf)
Cl. APO, Downgraded to Caa1 (sf); previously on Jan 26, 2016
Downgraded to B3 (sf)
Cl. B1, Downgraded to C (sf); previously on Nov 15, 2017 Downgraded
to Caa3 (sf)
Cl. B2, Downgraded to C (sf); previously on Jan 26, 2016 Downgraded
to Ca (sf)
Cl. B3, Downgraded to C (sf); previously on Jan 26, 2016 Downgraded
to Ca (sf)
Issuer: Structured Asset Securities Corporation Assistance Loan
Trust 2003-AL1
Cl. B1, Downgraded to Caa1 (sf); previously on Dec 20, 2016
Downgraded to B3 (sf)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pools
and reflect Moody's updated loss expectations on the pools. The
ratings downgraded are primarily due to the deterioration of credit
enhancement resulting from realized losses and amortization of the
subordinate tranches since principal is allocated pro-rata to all
bond holders.
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.
SATURNS JC 2007-1: Moody's Cuts Rating on 3 Cert. Classes to Caa2
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following units issued by SATURNS J.C Penney Corporation Inc.
Debenture Backed Series 2007-1:
US$54,500,000 of 7.00% Callable Units due March 1, 2097
("Certificates"), Downgraded to Caa2 (sf); previously on June 8,
2018 Downgraded to Caa1 (sf)
US$3,690,000 Initial Notional Amortizing Balance of Interest-Only
Class B Callable Units due March 1, 2097 ("Certificates"),
Downgraded to Caa2 (sf); previously on June 8, 2018 Downgraded to
Caa1 (sf)
RATINGS RATIONALE
The rating actions are a result of the change in the rating of J.C.
Penney Corporation, Inc.'s 7.625% Debentures due March 1, 2097,
which was downgraded to Caa2 on August 17, 2018. The transaction is
a structured note whose ratings are based on the rating of the
Underlying Securities and the legal structure of the transaction.
Moody's has also added the (sf) indicator to the ratings of
US$54,500,000 of 7.00% Callable Units due March 1, 2097 and
US$3,690,000 Initial Notional Amortizing Balance of Interest-Only
Class B Callable Units due March 1, 2097 issued by SATURNS J.C
Penney Corporation Inc. Debenture Backed Series 2007-1. Due to an
internal administrative error, the (sf) indicator was not added to
the ratings of these notes on August 2, 2010.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The ratings of the structured notes will be sensitive to any change
in the rating of the 7.625% Debentures due March 1, 2097 issued by
J.C. Penney Corporation, Inc.
SEQUOIA MORTGAGE 2018-7: Moody's Rates Class B-4 Certs 'Ba3'
------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
classes of residential mortgage-backed securities (RMBS) issued by
Sequoia Mortgage Trust 2018-7. The certificates are backed by one
pool of prime quality, first-lien mortgage loans, including 187
agency-eligible high balance mortgage loans. The assets of the
trust consist of 496 fully amortizing, fixed rate mortgage loans.
The borrowers in the pool have high FICO scores, significant equity
in their properties and liquid cash reserves. Nationstar Mortgage
LLC will serve as the master servicer for this transaction. There
are five servicers in this pool: Shellpoint Mortgage Servicing
(80.01%), First Republic Bank (12.43%), HomeStreet Bank (7.27%),
Associated Bank, N.A. (0.17%) and TIAA, FSB (fka EverBank) (0.11%).
The complete rating actions are as follows:
Issuer: Sequoia Mortgage Trust 2018-7
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-5, Definitive Rating Assigned Aaa (sf)
Cl. A-6, Definitive Rating Assigned Aaa (sf)
Cl. A-7, Definitive Rating Assigned Aaa (sf)
Cl. A-8, Definitive Rating Assigned Aaa (sf)
Cl. A-9, Definitive Rating Assigned Aaa (sf)
Cl. A-10, Definitive Rating Assigned Aaa (sf)
Cl. A-11, Definitive Rating Assigned Aaa (sf)
Cl. A-12, Definitive Rating Assigned Aaa (sf)
Cl. A-13, Definitive Rating Assigned Aaa (sf)
Cl. A-14, Definitive Rating Assigned Aaa (sf)
Cl. A-15, Definitive Rating Assigned Aaa (sf)
Cl. A-16, Definitive Rating Assigned Aaa (sf)
Cl. A-17, Definitive Rating Assigned Aaa (sf)
Cl. A-18, Definitive Rating Assigned Aaa (sf)
Cl. A-19, Definitive Rating Assigned Aa1 (sf)
Cl. A-20, Definitive Rating Assigned Aa1 (sf)
Cl. A-21, Definitive Rating Assigned Aa1 (sf)
Cl. A-22, Definitive Rating Assigned Aaa (sf)
Cl. A-23, Definitive Rating Assigned Aaa (sf)
Cl. A-24, Definitive Rating Assigned Aaa (sf)
Cl. B-1, Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Definitive Rating Assigned A3 (sf)
Cl. B-3, Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Definitive Rating Assigned Ba3 (sf)
RATINGS RATIONALE
Summary Credit Analysis
Moody's expected cumulative net loss on the aggregate pool is 0.25%
in a base scenario and reaches 3.85% at a stress level consistent
with the Aaa ratings. Its loss estimates are based on a
loan-by-loan assessment of the securitized collateral pool using
Moody's Individual Loan Level Analysis (MILAN) model. Loan-level
adjustments to the model included: adjustments to borrower
probability of default for higher and lower borrower DTIs,
borrowers with multiple mortgaged properties, self-employed
borrowers, origination channels and at a pool level, for the
default risk of HOA properties in super lien states. The adjustment
to its Aaa stress loss above the model output also includes
adjustments related to aggregator and originators assessments. The
model combines loan-level characteristics with economic drivers to
determine the probability of default for each loan, and hence for
the portfolio as a whole. Severity is also calculated on a
loan-level basis. The pool loss level is then adjusted for
borrower, zip code, and MSA level concentrations.
Collateral Description
The SEMT 2018-7 transaction is a securitization of 496 first lien
residential mortgage loans, with an aggregate unpaid principal
balance of $327,510,655. There are 110 originators in this pool,
including United Shore Financial Services (19.08%) and First
Republic Bank (FRB) (12.43%). None of the originators other than
United Shore and First Republic Bank contributed 10% or more of the
principal balance of the loans in the pool. The loan-level third
party due diligence review (TPR) encompassed credit underwriting,
property value and regulatory compliance. In addition, Redwood
Residential Acquisition Corporation has agreed to backstop the rep
and warranty repurchase obligation of all originators other than
First Republic Bank.
The loans were all aggregated by Redwood Residential Acquisition
Corporation. Moody's considers Redwood, the mortgage loan seller,
as a strong aggregator of prime jumbo loans compared to its peers.
Borrowers of the mortgage loans backing this transaction have a
demonstrated ability to save and to manage credit. In addition,
68.3% of borrowers have more than 24 months of liquid cash reserves
or enough money to pay the mortgage for two years should there be
an interruption to the borrower's cash flow. Consistent with
prudent credit management, the borrowers have high FICO scores,
with a weighted average score of 774. In general, the borrowers
have high income, significant liquid assets and a stable employment
history, all of which have been verified as part of the
underwriting process and reviewed by the TPR firm. Borrowers also
significant equity in their homes (WA CLTV 65.9%) compared to
recent SEMT transactions.
Structural considerations
Similar to recent rated Sequoia transactions, in this transaction,
Redwood is adding a feature prohibiting the servicer, or securities
administrator, from advancing principal and interest to loans that
are 120 days or more delinquent. These loans on which principal and
interest advances are not made are called the Stop Advance Mortgage
Loans. The balance of the SAML will be removed from the principal
and interest distribution amounts calculations. Moody's views the
SAML concept as something that strengthens the integrity of senior
and subordination relationships in the structure. Yet, in certain
scenarios the SAML concept, as implemented in this transaction, can
lead to a reduction in interest payment to certain tranches even
when more subordinated tranches are outstanding. The
senior/subordination relationship between tranches is strengthened
as the removal of SAML in the calculation of the senior percentage
amount, directs more principal to the senior bonds and less to the
subordinate bonds. Further, this feature limits the amount of
servicer advances that could increase the loss severity on the
liquidated loans and preserves the subordination amount for the
most senior bonds. On the other hand, this feature can cause a
reduction in the interest distribution amount paid to the bonds;
and if that were to happen such a reduction in interest payment is
unlikely to be recovered. The final ratings on the bonds, which are
expected loss ratings, take into consideration its expected losses
on the collateral and the potential reduction in interest
distributions to the bonds. Furthermore, the likelihood that in
particular the subordinate tranches could potentially permanently
lose some interest as a result of this feature was considered.
Moody's believes there is a low likelihood that the rated
securities of SEMT 2018-7 will incur any losses from extraordinary
expenses or indemnification payments owing to potential future
lawsuits against key deal parties. First, the loans are prime
quality and were originated under a regulatory environment that
requires tighter controls for originations than pre-crisis, which
reduces the likelihood that the loans have defects that could form
the basis of a lawsuit. Second, Redwood, who initially retains the
subordinate classes and provides a back-stop to the representations
and warranties of all the originators except for FRB, has a strong
alignment of interest with investors, and is incentivized to
actively manage the pool to optimize performance. Third, historical
performance of loans aggregated by Redwood has been very strong to
date. Fourth, the transaction has reasonably well defined processes
in place to identify loans with defects on an ongoing basis. In
this transaction, an independent breach reviewer must review loans
for breaches of representations and warranties when a loan becomes
120 days delinquent, which reduces the likelihood that parties will
be sued for inaction.
Tail Risk & Subordination Floor
The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to increased performance
volatility, known as tail risk. The transaction provides for a
subordination floor of 1.60% of the closing pool balance, which
mitigates tail risk by protecting the senior bonds from eroding
credit enhancement over time.
Third-party Review and Reps & Warranties
Two TPR firms conducted a due diligence review of nearly 100% of
the mortgage loans in the pool. Generally, the TPR firms conducted
a review for credit, property valuation, compliance and data
integrity. The TPR firms randomly selected 68 mortgage loans for
limited review that were originated by First Republic Bank,
PrimeLending, a PlainsCapital Company and HomeStreet Bank.
Generally, for the full review loans, the sponsor or the originator
corrected all material errors identified by following defined
methods of error resolution under the TRID rule or TILA 130(b) as
per the proposed SFIG TRID framework. The sponsor or the originator
provided the borrower with a corrected Closing Disclosure and
letter of explanation as well as a refund where necessary. All
technical errors on the Loan Estimate were subsequently corrected
on the Closing Disclosure. Moody's believes that the TRID
noncompliance risk to the trust is immaterial due to the good-faith
efforts to correct the identified conditions.
No TRID compliance reviews were performed on the limited review
loans. Therefore, there is a possibility that some of these loans
could have unresolved TRID issues. Moody's reviewed the initial
compliance findings of loans from the same originator where a full
review was conducted and there were no material compliance
findings. As a result, Moody's did not increase its Aaa loss.
After a review of the TPR appraisal findings, Moody's notes that
there are 3 loans with final grade 'D' due escrow holdback
distribution amounts. These loans were unable to complete its
review because the appraisal was subject to completion of
renovation work or missing evidence of disbursement of escrow
funds. In the event the escrow funds greater than 10% have not been
disbursed within six months of the closing date, the seller shall
repurchase the affected escrow holdback mortgage loan, on or before
the date that is six months after the closing date at the
applicable repurchase price. Given that the small number of such
loans and that the seller has the obligation to repurchase, Moody's
did not make an adjustment for these loans.
Each of the originators makes the loan-level R&Ws for the loans it
originated, except for loans acquired by Redwood from the FHLB
Chicago. The mortgage loans purchased by Redwood from the FHLB
Chicago were originated by various participating financial
institution originators. For these mortgage loans, FHLB Chicago
will provide the loan-level R&Ws that are assigned to the trust.
In line with other SEMT transactions, the loan-level R&Ws for SEMT
2018-7 are strong and, in general, either meet or exceed the
baseline set of credit-neutral R&Ws Moody's identified for US RMBS.
Among other things, the R&Ws address property valuation,
underwriting, fraud, data accuracy, regulatory compliance, the
presence of title and hazard insurance, the absence of material
property damage, and the enforceability of the mortgage.
The R&W providers vary in financial strength, which include some
financially weaker originators. To mitigate this risk, Redwood will
backstop any R&W providers who may become financially incapable of
repurchasing mortgage loans, except for First Republic Bank, which
is one of the strongest originators. Moreover, a third-party due
diligence firm conducted a detailed review on the loans of all of
the originators, which mitigates the risk of unrated and
financially weaker originators.
Trustee & Master Servicer
The transaction trustee is Wilmington Trust, National Association.
The paying agent and cash management functions will be performed by
Citibank, N.A. and the custodian functions will be performed by
Wells Fargo Bank, N.A., rather than the trustee. In addition,
Nationstar Mortgage LLC, as master servicer, is responsible for
servicer oversight, and termination of servicers and for the
appointment of successor servicers. In addition, Nationstar
Mortgage LLC is committed to act as successor if no other successor
servicer can be found.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
TRINITAS CLO IV: S&P Assigns B Rating on $4.5MM Cl. F-R Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1L-R,
A-1F-R, B-R, C-R, D-R, E-R, and F-R notes, as well as to the new
class X-R replacement 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. S&P said,
"We withdrew our ratings on the original class A, B, C, D-1, D-2,
and E notes following payment in full on the Aug. 23, 2018,
refinancing date. We did not rate the class A-2L-R and A-2F-R
notes."
On the Aug. 23, 2018, refinancing date, the proceeds from the class
A-1L-R, A-1F-R, B-R, C-R, D-R, E-R, and F-R notes, as well as the
new class X-R replacement note issuances were used to redeem the
original class A, B, C, D-1, D-2, and E notes as outlined in the
transaction document provisions. Therefore, S&P withdrew its
ratings on the original notes in line with their full redemption
and assigned ratings to 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.
-- 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 S&P's criteria.
REPLACEMENT AND ORIGINAL NOTE ISSUANCES
Replacement notes
Class Amount Interest
(mil. $) rate (%)
X-R 3.10 3ML + 0.750
A-1L-R 196.90 3ML + 1.180
A-1F-R 25.00 4.192
A-2L-R 19.00 3ML + 1.600
A-2F-R 8.60 4.548
B-R 54.30 3ML + 1.950
C-R 22.65 3ML + 2.450
D-R 25.45 3ML + 3.360
E-R 14.60 3ML + 6.300
F-R 4.50 3ML + 8.250
Subordinated notes 36.65 N/A
Original notes
Class Amount Interest
(mil. $) rate (%)
X(i) 0.00 3ML + 1.000
A 258.00 3ML + 1.750
B 42.00 3ML + 2.750
C 28.00 3ML + 3.700
D-1 15.00 3ML + 5.300
D-2 5.00 3ML + 6.500
E 20.00 3ML + 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. 3ML--Three-month LIBOR. 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."
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
RATINGS WITHDRAWN
Trinitas CLO IV Ltd./Trinitas CLO IV LLC
Rating
Original class To From
A NR AAA (sf)
B NR AA (sf)
C NR A (sf)
D-1 NR BBB (sf)
D-2 NR BBB (sf)
E NR BB- (sf)
NR--Not rated.
VCO CLO 2018-1: S&P Assigns BB- Rating on $17MM Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its 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 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
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.
VIBRANT CLO X: Moody's Assigns (P)Ba3 Rating on $25MM Class D Notes
-------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of notes to be issued by Vibrant CLO X, Ltd.
Moody's rating action is as follows:
US$320,000,000 Class A-1 Senior Secured Floating Rate Notes due
2031 (the "Class A-1 Notes"), Assigned (P)Aaa (sf)
US$57,500,000 Class A-2 Senior Secured Floating Rate Notes due 2031
(the "Class A-2 Notes"), Assigned (P)Aa2 (sf)
US$27,500,000 Class B Secured Deferrable Floating Rate Notes due
2031 (the "Class B Notes"), Assigned (P)A2 (sf)
US$30,000,000 Class C Secured Deferrable Floating Rate Notes due
2031 (the "Class C Notes"), Assigned (P)Baa3 (sf)
US$25,000,000 Class D Secured Deferrable Floating Rate Notes due
2031 (the "Class D Notes"), Assigned (P)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."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
RATINGS RATIONALE
Moody's provisional ratings of the Rated Notes address the expected
losses posed to noteholders. The provisional ratings reflect the
risks due to defaults on the underlying portfolio of assets, the
transaction's legal structure, and the characteristics of the
underlying assets.
Vibrant CLO X is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90% of the portfolio must consist of
first lien senior secured loans, cash and eligible investments, and
up to 10% of the portfolio may consist of second lien loans and
unsecured loans. Moody's expects the portfolio to be approximately
70% ramped as of the closing date.
DFG Investment Advisers, Inc. will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's five year reinvestment period.
Thereafter, the Manager may reinvest unscheduled principal payments
and proceeds from sales of credit risk assets, subject to certain
restrictions.
In addition to the Rated Notes, the Issuer will issue subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2650
Weighted Average Spread (WAS): 3.25%
Weighted Average Coupon (WAC): 6.5%
Weighted Average Recovery Rate (WARR): 45.5%
Weighted Average Life (WAL): 9.1 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions, 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.
WACHOVIA BANK 2007-C31: Moody's Hikes Class C Debt Rating to B1
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two classes
and affirmed the ratings on seven classes in Wachovia Bank
Commercial Mortgage Trust 2007-C31, Commercial Mortgage
Pass-Through Certificates, Series 2007-C31, as follows:
Cl. C, Upgraded to B1 (sf); previously on Aug 31, 2017 Affirmed B3
(sf)
Cl. D, Upgraded to B3 (sf); previously on Aug 31, 2017 Affirmed
Caa2 (sf)
Cl. E, Affirmed Caa3 (sf); previously on Aug 31, 2017 Affirmed Caa3
(sf)
Cl. F, Affirmed C (sf); previously on Aug 31, 2017 Affirmed C (sf)
Cl. G, Affirmed C (sf); previously on Aug 31, 2017 Affirmed C (sf)
Cl. H, Affirmed C (sf); previously on Aug 31, 2017 Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Aug 31, 2017 Affirmed C (sf)
Cl. K, Affirmed C (sf); previously on Aug 31, 2017 Affirmed C (sf)
Cl. IO, Affirmed C (sf); previously on Aug 31, 2017 Downgraded to C
(sf)
RATINGS RATIONALE
The ratings of two P&I classes were upgraded primarily due to an
increase in credit support from loan paydowns and amortization. The
deal has paid down 56% since Moody's last review. The majority of
the paydowns were the result of the repayment of the trust's $357.6
million participation interest in the A-note of the senior mortgage
secured by 666 Fifth Avenue in New York City.
The ratings of six P&I classes were affirmed because the ratings
are consistent with Moody's expected loss plus realized losses.
The rating of the IO class was affirmed because of the credit
quality of the referenced classes.
Moody's rating action reflects a base expected loss of 54.7% of the
current pooled balance, compared to 31.2% at Moody's last review.
Moody's base expected loss plus realized losses is now 7.3% of the
original pooled balance, compared to 7.5% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating Wachovia Bank Commercial
Mortgage Trust 2007-C31, Cl. C, Cl. D, Cl. E, Cl. F, Cl. G, Cl. H,
Cl. J, and Cl. K 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 2007-C31, Cl. IO were "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in July 2017 and
"Moody's Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 85% of the pool is in
special servicing and Moody's has identified additional troubled
loans representing 1.6% of the pool. In this approach, Moody's
determines a probability of default for each specially serviced and
troubled loan that it expects will generate a loss and estimates a
loss given default based on a review of broker's opinions of value
(if available), other information from the special servicer,
available market data and Moody's internal data. The loss given
default for each loan also takes into consideration repayment of
servicer advances to date, estimated future advances and closing
costs. Translating the probability of default and loss given
default into an expected loss estimate, Moody's then applies the
aggregate loss from specially serviced and troubled loans to the
most junior classes and the recovery as a pay down of principal to
the most senior classes.
DEAL PERFORMANCE
As of the August 17, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 93.9% to $371.4
million from $5.85 billion at securitization. The certificates are
collateralized by 20 mortgage loans ranging in size from less than
1.1% to 11.9% of the pool, with the top ten loans (excluding
defeasance) constituting 77.9% of the pool.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 14, compared to five at Moody's last review.
Two loans, constituting 13.5% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Forty-four loans have been liquidated from the pool at a loss,
contributing to an aggregate realized loss of $230.8 million (for
an average loss severity of 18%). Seventeen loans, constituting
84.9% of the pool, are currently in special servicing. The largest
specially serviced loan is the Corporate Plaza Loan ($42.7 million
-- 11.9% of the pool), which is secured by the fee interest in a
278,000 SF, Class A, office building located in downtown
Wilmington, Delaware. The loan transferred to the special servicer
in November 2014 due to tenancy issues and subsequently entered
maturity default in March 2017. A receiver was appointed in March
2018. A new lease was recently signed with Capital One Bank (33% of
the NRA). As part of the Capital One lease, Highmark BCBS (47% of
the NRA) surrendered approximately 30,000 SF and had their rent
reduced.
The second largest specially serviced loan is the St. Louis
Marriott West Loan ($36.3 million -- 10.1% of the pool), which is
secured by 300-key, full-service, hotel located approximately 15
miles east of the CBD of St. Louis, Missouri. The property was
built in 1992 and is comprised of three, eight-story, buildings
located on a six acre site. The property also contains 15,500 SF of
meeting/banquet space. The property underwent a $5.6 million
($18,667/key) renovation between 2000 and 2004. The loan
transferred to the special servicer in February 2017 due to
imminent maturity default. The special servicer reported that the
property is also experiencing significant deferred maintenance.
The third largest specially serviced loan is the Toll Brothers
Corporate Headquarters Loan ($35.1 million -- 9.8% of the pool),
which is secured by the fee interest in a 203,000 SF office
building located in Horsham, Pennsylvania approximately 15 miles
north of the Philadelphia CBD. The property is 100% leased to Toll
Brothers through October 2019. The loan transferred to the special
servicer in February 2017 due to imminent maturity default. Toll
Brothers has not yet provided notice of their lease renewal and
thus the borrower was unable to refinance the loan. The trust took
title to the property in May 2018.
The remaining 14 specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $173.7 million loss
for the specially serviced loans (57% expected loss on average).
Moody's has also assumed a high default probability for one poorly
performing loan, constituting 1.6% of the pool.
As of the August 17, 2018 remittance statement cumulative interest
shortfalls were $103.8 million. Moody's anticipates interest
shortfalls will continue because of the exposure to specially
serviced loans and/or modified loans. Interest shortfalls are
caused by special servicing fees, including workout and liquidation
fees, appraisal entitlement reductions (ASERs), loan modifications
and extraordinary trust expenses.
The top two performing loans represent 13.5% of the pool balance.
The largest loan is the FMC Technologies Loan ($37.2 million --
10.4% of the pool), which is secured by a 463,000 SF industrial
property located approximately 17 miles north of the Houston CBD.
The property is 100% leased to FMC Technologies through March 2022.
FMC Technologies merged with Technip in 2017 to form TechnipFMC,
one of the world's largest oilfield service and equipment
companies. Moody's analysis incorporated a lit/dark approach to
account for the single-tenant exposure. Moody's LTV and stressed
DSCR are 114% and 0.85X, respectively.
The second largest loan is the 1700 Higgins Center A-note Loan
($11.0 million -- 3.1% of the pool), which is secured by a 137,000
SF, Class B, multi-tenant office building located near O'Hare
International Airport in Chicago, Illinois. The loan transferred to
the special servicer in January 2013 due to imminent default
stemming from tenancy issues. The original $17.0 million loan was
modified via an A-note/B-note split into an $11.0 million A-note
and $6.0 million B-note and was returned to the master servicer as
a corrected mortgage in February 2014. The modification also
extended the loan term to March 2019 and instituted hard cash
management. The loan transferred back to the special servicer in
July 2015 due to cash flow issues, following the departure of its
largest tenant, and was subsequently returned to the master
servicer in October 2017. The property was 69% leased as of March
2018, with significant lease roll during 2018. Moody's LTV and
stressed DSCR are 134% and 0.79X, respectively.
WACHOVIA BANK 2007-C33: Moody's Affirms C Rating on 4 Tranches
--------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on eight classes
in Wachovia Bank Commercial Mortgage Trust Series 2007-C33 as
follows:
Cl. A-J, Affirmed Ba3 (sf); previously on Jun 15, 2017 Downgraded
to Ba3 (sf)
Cl. B, Affirmed Caa2 (sf); previously on Jun 15, 2017 Downgraded to
Caa2 (sf)
Cl. C, Affirmed Ca (sf); previously on Jun 15, 2017 Downgraded to
Ca (sf)
Cl. D, Affirmed C (sf); previously on Jun 15, 2017 Downgraded to C
(sf)
Cl. E, Affirmed C (sf); previously on Jun 15, 2017 Downgraded to C
(sf)
Cl. F, Affirmed C (sf); previously on Jun 15, 2017 Affirmed C (sf)
Cl. G, Affirmed C (sf); previously on Jun 15, 2017 Affirmed C (sf)
Cl. H, Affirmed C (sf); previously on Jun 15, 2017 Affirmed C (sf)
RATINGS RATIONALE
The ratings on eight P&I classes were affirmed because the ratings
are consistent with Moody's expected loss.
Moody's rating action reflects a base expected loss of 56.2% of the
current pooled balance, compared to 23.0% at Moody's last review.
Moody's base expected loss plus realized losses is now 12.9% of the
original pooled balance, compared to 12.4% 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 also incorporated a loss and recovery approach in
rating the P&I classes in this deal since 99% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then applies the aggregate loss
from specially serviced loans to the most junior class and the
recovery as a pay down of principal to the most senior class.
DEAL PERFORMANCE
As of the August 17, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 89% to $409.7
million from $3.6 billion at securitization. The certificates are
collateralized by twelve mortgage loans ranging in size from 1% to
49% of the pool.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of three, compared to ten at Moody's last review.
Thirty eight loans have been liquidated from the pool with losses,
resulting in an aggregate realized loss of $233 million (for an
average loss severity of 37%).
Currently, the pool is composed of 11 loans that are in special
servicing and one B-Note (Hope Note), that is not in special
servicing. The largest specially serviced loan is the Independence
Mall Loan ($200.0 million -- 48.6% of the pool), which is secured
by a 398,000 SF portion of a regional mall located in Independence,
Missouri, located approximately 10 miles east of downtown Kansas
City, Missouri. The mall's anchors are Macy's, Sears, and
Dillard's. Dillard's owns its own space. Additionally, the majority
of the Macy's and Sear's space are excluded from the collateral of
the loan. The total mall was 83% leased as of March 2017 compared
to 91% leased as of December 2016, and compared to 96% in December
2015. The loan was transferred to special servicing effective May
12, 2017 and is now in maturity default. The borrower was unable to
repay the loan at the scheduled maturity date in July 2017. The
loan is currently REO and the servicer reports an $80.6 million
appraisal reduction.
The second largest specially serviced loan is the Central / Eastern
Industrial Pool ($81.4 million -- 19.8% of the pool), which is
secured by 13 industrial properties totaling 2.1 million square
feet (SF) and located across several U.S. states. The buildings
range in size from 30,080 square feet to 433,006 square feet, with
an average size of 161,755 square feet. The loan transferred to
special servicing in July 2010 for imminent default. As of December
2016, the properties were 84% leased, compared to 82% leased as of
June 2015. The special servicer took title to the portfolio via
deed-in-lieu of foreclosure in July 2018. The loan is currently REO
and the servicer reports a $68.0 million appraisal reduction.
The third largest specially serviced loan is the Cole Centerpointe
of Woodridge Loan ($29.4 million -- 7.1% of the pool), which is
secured by a 466,426 SF retail center that was built in 1992. The
property is located in Woodridge, Illinois which is approximately
30 miles from Chicago. The loan was transferred to special
servicing in August 2017 for imminent default. The borrower has
requested a loan modification due to the departure of J.C. Penney
and Sam's Club. The special servicer will commence due diligence
while preserving the lender's rights and remedies. The landlord is
presently in negotiations for a renewal with Home Depot.
The remaining eight specially serviced loans are secured by a mix
of property types. Moody's estimates an aggregate $226.3 million
loss for the specially serviced loans (56% expected loss on
average) and 100% loss on the B-Note of $4.9 million.
As of the August 17, 2018 remittance statement cumulative interest
shortfalls were $79.3 million. Moody's anticipates interest
shortfalls will continue because of the exposure to specially
serviced loans and/or modified loans. Interest shortfalls are
caused by special servicing fees, including workout and liquidation
fees, appraisal entitlement reductions (ASERs), loan modifications
and extraordinary trust expenses.
WELLS FARGO 2014-C22: Fitch Affirms 'CCC' Rating on Class F Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 11 classes and downgraded three classes
of Wells Fargo Bank, N.A.'s WFRBS Commercial Trust series 2014-C22
commercial mortgage trust pass-through certificates.
KEY RATING DRIVERS
Increased Loss Expectations: The downgrades reflect increased
expected losses, in large part due to specially serviced loans and
Fitch loans of concern. Approximately 4% of the pool is in special
servicing including a loan that transferred to special servicing in
2016 and three more loans that have transferred to special
servicing since the last rating action. An additional 10% of the
pool is deemed a Fitch Loan of Concern related to performance
deterioration including declines in occupancy, upcoming rollover,
and impacts of natural disasters.
Property Concentrations: Of the top 20 loans, five loans (9.4% of
the pool) are secured by properties leased to a single tenant. This
includes CSM Bakery Supplies Portfolio I & II (4.6%), Preferred
Freezer Houston (1.8%), 400 Atlantic (1.7%), and Lincoln Plaza
(1.2%). These particular loans are considered to be more risky in
comparison to multi-tenant properties.
Increased Credit Enhancement: The affirmations of the senior
classes reflect the relatively stable performance for the majority
of the pool and sufficient credit enhancement of the relative to
expected losses. As of the June 2018 distribution date, the pool's
aggregate principal balance has paid down by 4.33% to $1.423
billion, from $1.488 billion at issuance (compared to paydown of
1.93% at the last rating action).
RATING SENSITIVITIES
Rating Outlooks on classes A-1 through C remain Stable due to
increasing credit enhancement and expected continued paydown.
Future rating upgrades may occur with improved pool performance and
additional defeasance or paydown. The Rating Outlook for class D
remains Negative to reflect risks associated with specially
serviced loans (4% of the pool) and Fitch Loans of Concern (10% of
the pool). Further downgrades could occur to classes E through F if
performance at these properties continues to decline.
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 downgraded the following ratings:
-- $111.6 million class D notes to 'BBsf' from 'BBB-sf'; Outlook
Negative;
-- $31.6 million class E notes to 'CCCsf' from 'Bsf'; RE 100%;
-- $31.6 million class X-C notes to 'CCCsf' from 'Bsf'.
Fitch has affirmed the following ratings:
-- $68.7 million class A-2 notes at 'AAAsf'; Outlook Stable;
-- $59.9 million class A-3 notes at 'AAAsf'; Outlook Stable;
-- $360.0 million class A-4 notes at 'AAAsf'; Outlook Stable;
-- $386.0 million class A-5 notes at 'AAAsf'; Outlook Stable;
-- $102.1 million class A-SB notes at 'AAAsf'; Outlook Stable;
-- $104.1 million class A-S notes at 'AAAsf'; Outlook Stable;
-- $68.8 million class B notes at 'AA-sf'; Outlook Stable;
-- $52.1 million class C notes at 'A-sf'; Outlook Stable;
-- $14.9 million class F notes at 'CCCsf'; Revise RE to 75% from
RE 100%;
-- $1,145.4 million class X-A notes at 'AAAsf'; Outlook Stable;
-- $14.9 million class X-D notes at 'CCCsf'.
Fitch does not rate the class G, X-B, X-E or X-Y certificates.
Class A-1 is paid in full.
WESTLAKE AUTOMOBILE 2018-3: S&P Assigns B+ on Class F Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to Westlake Automobile
Receivables Trust 2018-3's automobile receivables-backed notes
series 2018-3.
The note issuance is an asset-backed securitization (ABS)
transaction backed by subprime auto loan receivables.
The ratings reflect:
-- The availability of approximately 48.7%, 41.7%, 33.1%, 25.5%,
21.8%, and 18.2% credit support for the class A, B, C, D, E, and F
notes, respectively, based on stressed cash flow scenarios
(including excess spread). These provide approximately 3.50x,
3.00x, 2.30x, 1.75x, 1.50x, and 1.23x, respectively, of S&P's
13.00%-13.50% expected cumulative net loss range.
-- The transaction's ability to make timely interest and principal
payments under stressed cash flow modeling scenarios appropriate
for the assigned ratings.
-- S&P said, "Our expectation that under a moderate ('BBB') stress
scenario, all else being equal and for the transaction's life, our
ratings on the class A and B notes would not likely be lowered from
the assigned ratings, our rating on the class C notes would likely
remain within one rating category of the assigned rating, and our
rating on the class D notes would likely remain within two rating
categories of the assigned rating. Our ratings on the class E and F
notes would likely remain within two rating categories of the
assigned ratings during the first year but would ultimately default
at months 62 and 24, respectively, under our 'BBB' moderate stress
scenario, which is within the bounds of our credit stability
criteria."
-- The collateral characteristics of the securitized pool of
subprime automobile loans.
-- The originator/servicer's long history in the
subprime/specialty auto finance business.
-- S&P's analysis of approximately 12 years (2006-2018) of static
pool data on the company's lending programs.
-- The transaction's payment, credit enhancement, and legal
structures.
RATINGS ASSIGNED
Westlake Automobile Receivables Trust 2018-3
Class Rating Amount (mil. $)
A-1 A-1+ (sf) 237.40
A-2-A AAA (sf) 365.82
A-2-B AAA (sf) 50.00
B AA (sf) 97.27
C A (sf) 123.29
D BBB (sf) 115.38
E BB (sf) 48.63
F B+ (sf) 62.21
WOODMONT TRUST 2018-5: S&P Assigns BB Rating on Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to Woodmont 2018-5 Trust's
$356 million floating-rate notes.
The note issuance is a collateralized loan obligation transaction
primarily backed by middle-market speculative-grade senior secured
term loans (those rated 'BB+' or lower).
The ratings reflect:
-- The diversified collateral pool, which consists primarily of
middle-market speculative-grade senior secured term loans that are
governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
Woodmont 2018-5 Trust
Class Rating Amount (mil. $)
A-1 AAA (sf) 220.75
A-2 AAA (sf) 21.25
B AA (sf) 34.00
C (deferrable) A (sf) 30.00
D (deferrable) BBB- (sf) 26.00
E (deferrable) BB (sf) 24.00
Certificates NR 49.56
NR--Not rated.
[*] Moody's Cuts Ratings on 5 Certs in 3 Structured Note Deals
--------------------------------------------------------------
Moody's Investors Service, on Aug. 22, 2018, downgraded the ratings
of five certificates in three structured note transactions:
Issuer: Corporate Asset Backed Corporation
US$52,650,000 Trust Certificates, Downgraded to Caa2; previously on
June 8, 2018 Downgraded to Caa1
Issuer: Corporate Backed Callable Trust Certificates, J.C. Penney
Debenture-Backed Series 2006-1
Class A-1 Certificates, Downgraded to Caa2; previously on June 8,
2018 Downgraded to Caa1
Class A-2 Certificates, Downgraded to Caa2; previously on June 8,
2018 Downgraded to Caa1
Issuer: Corporate Backed Callable Trust Certificates, J.C. Penney
Debenture-Backed Series 2007-1
Class A-1 Certificates, Downgraded to Caa2; previously on June 8,
2018 Downgraded to Caa1
Class A-2 Certificates, Downgraded to Caa2; previously on June 8,
2018 Downgraded to Caa1
RATINGS RATIONALE
The rating actions are a result of the change in the rating of J.C.
Penney Corporation, Inc.'s 7.625% Debentures due March 1, 2097,
which was downgraded to Caa2 on August 17, 2018. The three
transactions listed are structured notes whose ratings are based on
the rating of the Underlying Securities and the corresponding legal
structure of each transaction, respectively.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The ratings of the structured notes will be sensitive to any change
in the rating of the 7.625% Debentures due March 1, 2097 issued by
J.C. Penney Corporation, Inc.
[*] Moody's Takes Action on $95.5MM Subprime RMBS Issued 2000-2006
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 18 tranches
from eight transactions issued by various issuers in between 2000
and 2006.
Complete rating actions are as follows:
Issuer: Banc of America Funding Corporation, Mortgage Pass-Through
Certificates, Series 2005-F
Cl. 6-A-1, Upgraded to Ba2 (sf); previously on Apr 13, 2017
Upgraded to B2 (sf)
Cl. 6-A-2, Upgraded to B3 (sf); previously on Apr 13, 2017 Upgraded
to Caa3 (sf)
Issuer: Conseco Finance Home Equity Loan Trust 2001-C
Cl. B-1, Upgraded to Baa3 (sf); previously on Jun 9, 2014 Upgraded
to Ba1 (sf)
Cl. B-2, Upgraded to Ba1 (sf); previously on Jan 23, 2017 Upgraded
to Ba3 (sf)
Cl. M-2, Upgraded to A3 (sf); previously on Aug 14, 2013 Upgraded
to Baa2 (sf)
Issuer: Credit Suisse First Boston Mortgage Securities Corp. Series
2004-6
Cl. M-1, Upgraded to Aa1 (sf); previously on Dec 6, 2017 Upgraded
to A1 (sf)
Cl. M-2, Upgraded to A1 (sf); previously on Dec 6, 2017 Upgraded to
A3 (sf)
Cl. M-3, Upgraded to A3 (sf); previously on Dec 29, 2016 Upgraded
to Baa3 (sf)
Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2003-2
Cl. 3-A, Upgraded to A3 (sf); previously on Dec 28, 2017 Upgraded
to Baa3 (sf)
Issuer: DLJ ABS Trust Series 2000-7
Cl. A-1, Upgraded to A2 (sf); previously on Dec 6, 2017 Upgraded to
Baa1 (sf)
Underlying Rating: Upgraded to A2 (sf); previously on Dec 6, 2017
Upgraded to Baa1 (sf)
Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1
and Outlook Developing on Jan 17, 2018)
Cl. A-3, Upgraded to Baa2 (sf); previously on Dec 6, 2017 Upgraded
to Ba1 (sf)
Underlying Rating: Upgraded to Baa2 (sf); previously on Dec 6, 2017
Upgraded to Ba1 (sf)
Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1
and Outlook Developing on Jan 17, 2018)
Cl. A-4, Upgraded to Baa2 (sf); previously on Dec 6, 2017 Upgraded
to Ba1 (sf)
Class M-1, Upgraded to Ba1 (sf); previously on Dec 6, 2017 Upgraded
to B2 (sf)
Cl. M-2, Upgraded to Ba2 (sf); previously on Dec 6, 2017 Upgraded
to B3 (sf)
Issuer: J.P. Morgan Mortgage Trust 2004-S1
Cl. 2-A-X, Upgraded to B2 (sf); previously on Dec 20, 2017
Downgraded to B3 (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-HE2
Cl. M-2, Upgraded to B1 (sf); previously on Dec 28, 2010 Upgraded
to B3 (sf)
Cl. M-3, Upgraded to Caa1 (sf); previously on Jul 15, 2010
Downgraded to Ca (sf)
Issuer: Terwin Mortgage Trust 2006-7
Cl. I-A-1, Upgraded to Aa2 (sf); previously on Jan 26, 2017
Upgraded to A3 (sf)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pools
and Moody's updated loss expectations on the pools. The rating
upgrades are primarily due to total credit enhancement available to
the bonds and improvement in pool performance.
The principal methodology used in rating Conseco Finance Home
Equity Loan Trust 2001-C Cl. M-2, Cl. B-1, and Cl. B-2; Credit
Suisse First Boston Mortgage Securities Corp. Series 2004-6 Cl.
M-1, Cl. M-2, and Cl. M-3; CWABS, Inc. Asset-Backed Certificates,
Series 2003-2 Cl. 3-A; DLJ ABS Trust Series 2000-7 Cl. A-1, Cl.
A-3, Cl. A-4, Class M-1, and Cl. M-2; Banc of America Funding
Corporation, Mortgage Pass-Through Certificates, Series 2005-F Cl.
6-A-1 and Cl. 6-A-2; Morgan Stanley ABS Capital I Inc. Trust
2005-HE2 Cl. M-2 and Cl. M-3; and Terwin Mortgage Trust 2006-7 Cl.
I-A-1 was "US RMBS Surveillance Methodology" published in January
2017. The methodologies used in rating J.P. Morgan Mortgage Trust
2004-S1 Cl. 2-A-X were "US RMBS Surveillance Methodology" published
in January 2017 and "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" published in June 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to 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.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds and/or pools.
[*] Moody's Takes Action on 11 Tranches From 9 US RMBS Deals
------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of eleven
interest-only (IO) bonds from nine transactions, backed by Alt-A,
Option ARM, and Prime Jumbo RMBS loans, issued by multiple issuers.
Complete rating actions are as follows:
Issuer: Banc of America Funding 2006-6 Trust, Mortgage Pass-Through
Certificates, 2006-6
Cl. 1-A-11, Downgraded to Caa3 (sf); previously on Oct 27, 2017
Confirmed at Caa2 (sf)
Issuer: Chevy Chase Funding LLC, Mortgage-Backed Certificates,
Series 2005-2
Cl. NIO, Downgraded to C (sf); previously on Oct 27, 2017 Confirmed
at Ca (sf)
Issuer: Chevy Chase Funding LLC, Mortgage-Backed Certificates,
Series 2007-1
Cl. NIO, Downgraded to C (sf); previously on Oct 27, 2017 Confirmed
at Ca (sf)
Issuer: Freddie Mac Securities REMIC Trust 2005-S001
Cl. X, Downgraded to C (sf); previously on Dec 21, 2017 Downgraded
to Ca (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR13
Cl. 2-X, Downgraded to C (sf); previously on Oct 27, 2017 Confirmed
at Ca (sf)
Cl. 3-X, Downgraded to C (sf); previously on Oct 27, 2017 Confirmed
at Ca (sf)
Issuer: Morgan Stanley Mortgage Loan Trust 2007-8XS
Cl. A-14, Downgraded to C (sf); previously on Aug 12, 2010
Downgraded to Caa2 (sf)
Cl. A-18, Downgraded to C (sf); previously on Aug 12, 2010
Downgraded to Caa3 (sf)
Issuer: Structured Asset Mortgage Investments II Trust 2003-AR4
Cl. X, Downgraded to Caa3 (sf); previously on Oct 27, 2017
Confirmed at Caa2 (sf)
Issuer: Structured Asset Mortgage Investments Trust 2002-AR3
Cl. X, Downgraded to Caa3 (sf); previously on Oct 27, 2017
Confirmed at Caa2 (sf)
Issuer: Structured Asset Mortgage Investments Trust 2002-AR4
Cl. X, Downgraded to Caa3 (sf); previously on Oct 27, 2017
Confirmed at Caa2 (sf)
RATINGS RATIONALE
The factors that Moody's considers in rating an IO bond depend on
the type of referenced securities or assets to which the IO bond is
linked. Generally, the ratings on IO bonds reflect the linkage and
performance of the respective transactions, including expected
losses on the collateral, and pay-downs or write-offs of the
related reference bonds. The downgrade actions on Cl. A-14 and Cl.
A-18 from Morgan Stanley Mortgage Loan Trust 2007-8XS to C(sf)
reflects the nonpayment of interest for an extended period of 33
months.
The methodologies used in these ratings were "US RMBS Surveillance
Methodology" published in January 2017 and "Moody's Approach to
Rating Structured Finance Interest-Only (IO) Securities" published
in June 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 3.9% in 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. Performance of
RMBS continues to remain highly dependent on servicer procedures.
Any change resulting from servicing transfers or other policy or
regulatory change can impact the performance of these transactions.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds and/or pools.
[*] Moody's Takes Action on 29 Tranches From 5 US RMBS Deals
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of four tranches
from three transactions, and downgraded the ratings of 25 tranches
from two transactions.
Complete rating actions are as follows:
Issuer: CSFB Home Equity Asset Trust 2005-7
Cl. M-1, Upgraded to Aaa (sf); previously on Oct 2, 2017 Upgraded
to Aa1 (sf)
Cl. M-2, Upgraded to B3 (sf); previously on Oct 2, 2017 Upgraded to
Caa1 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-1CB
Cl. 2-A-1, Downgraded to Ca (sf); previously on Sep 21, 2016
Confirmed at Caa3 (sf)
Cl. 2-A-2, Downgraded to Ca (sf); previously on Sep 21, 2016
Confirmed at Caa3 (sf)
Cl. 2-A-4, Downgraded to Ca (sf); previously on Sep 21, 2016
Confirmed at Caa3 (sf)
Cl. 2-A-5, Downgraded to Ca (sf); previously on Sep 21, 2016
Confirmed at Caa3 (sf)
Cl. 2-A-6, Downgraded to Ca (sf); previously on Sep 21, 2016
Confirmed at Caa3 (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR25
Cl. 6-A-1, Upgraded to Caa1 (sf); previously on Oct 12, 2010
Downgraded to Caa3 (sf)
Issuer: Lehman Mortgage Trust 2005-3
Cl. 1-A1, Downgraded to Ca (sf); previously on Feb 7, 2011
Downgraded to Caa3 (sf)
Cl. 1-A2, Downgraded to Ca (sf); previously on Feb 7, 2011
Downgraded to Caa3 (sf)
Cl. 1-A3, Downgraded to Ca (sf); previously on Apr 8, 2014
Downgraded to Caa3 (sf)
Cl. 1-A4, Downgraded to Ca (sf); previously on Apr 8, 2014 Upgraded
to Caa3 (sf)
Cl. 1-A5, Downgraded to Ca (sf); previously on Feb 7, 2011
Downgraded to Caa3 (sf)
Cl. 1-A6, Downgraded to Ca (sf); previously on Feb 7, 2011
Downgraded to Caa3 (sf)
Cl. 1-A7, Downgraded to Ca (sf); previously on Feb 7, 2011
Downgraded to Caa3 (sf)
Cl. 1-A8, Downgraded to Ca (sf); previously on Feb 7, 2011
Downgraded to Caa3 (sf)
Cl. 1-A9, Downgraded to Ca (sf); previously on Feb 7, 2011
Downgraded to Caa3 (sf)
Cl. 1-A10, Downgraded to Ca (sf); previously on Feb 7, 2011
Downgraded to Caa3 (sf)
Cl. 2-A1, Downgraded to Caa3 (sf); previously on Feb 7, 2011
Downgraded to Caa2 (sf)
Cl. 2-A3, Downgraded to Caa3 (sf); previously on Feb 7, 2011
Downgraded to Caa2 (sf)
Cl. 2-A4, Downgraded to Caa3 (sf); previously on Feb 7, 2011
Downgraded to Caa2 (sf)
Cl. 2-A5, Currently Rated Caa1 (sf); previously on May 20, 2016
Downgraded to Caa1 (sf)
Underlying Rating: Downgraded to Caa3 (sf); previously on Feb 7,
2011 Downgraded to Caa2 (sf)
Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1,
Outlook Developing on Jan 17, 2018)
Cl. 2-A6, Downgraded to Caa3 (sf); previously on Feb 7, 2011
Downgraded to Caa2 (sf)
Cl. 2-A7, Downgraded to Caa3 (sf); previously on Feb 7, 2011
Downgraded to Caa2 (sf)
Cl. 2-A8, Downgraded to Caa3 (sf); previously on Feb 7, 2011
Downgraded to Caa2 (sf)
Cl. 2-A9, Downgraded to Caa3 (sf); previously on Feb 7, 2011
Downgraded to Caa2 (sf)
Cl. 3-A1, Downgraded to Ca (sf); previously on Feb 7, 2011
Downgraded to Caa3 (sf)
Cl. AP, Downgraded to Caa3 (sf); previously on Feb 7, 2011
Downgraded to Caa2 (sf)
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2007-5
Cl. 1-A1, Upgraded to B2 (sf); previously on Oct 30, 2017 Upgraded
to Caa1 (sf)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pools
and Moody's updated loss expectations on the pools. The rating
upgrades are primarily due to total credit enhancement available to
the bonds and improvement in pool performance. The rating
downgrades are mainly due to deteriorating pool performance and
depleting credit enhancement.
The principal methodology used in rating CSFB Home Equity Asset
Trust 2005-7 Cl. M-1 and Cl. M-2; CWALT, Inc. Mortgage Pass-Through
Certificates, Series 2005-1CB Cl. 2-A-1, Cl. 2-A-2, Cl. 2-A-4, Cl.
2-A-5, and Cl. 2-A-6; IndyMac INDX Mortgage Loan Trust 2006-AR25
Cl. 6-A-1; Lehman Mortgage Trust 2005-3 Cl. 1-A1, Cl. 1-A3, Cl.
1-A4, Cl. 1-A5, Cl. 1-A6, Cl. 1-A7, Cl. 1-A10, Cl. AP, Cl. 2-A1,
Cl. 2-A3, Cl. 2-A5, Cl. 2-A7, Cl. 2-A8, Cl. 2-A9, and Cl. 3-A1;
Structured Adjustable Rate Mortgage Loan Trust 2007-5 Cl. 1-A1 was
"US RMBS Surveillance Methodology" published in January 2017. The
methodologies used in rating Lehman Mortgage Trust 2005-3 Cl. 1-A2,
Cl. 1-A8, Cl. 1-A9, Cl. 2-A4, and Cl. 2-A6 were "US RMBS
Surveillance Methodology" published in January 2017 and "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to 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.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds and/or pools.
[*] Moody's Takes Action on 32 Tranches From 20 US RMBS Deals
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 29 tranches,
downgraded ratings of 2 tranches and withdrew rating of one tranche
from 20 US residential mortgage backed transactions (RMBS), backed
by Second Lien and Scratch & Dent loans, issued by multiple
issuers.
Complete rating actions are as follows:
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes, Series
2004-D
Cl. 1-A, Upgraded to A2 (sf); previously on Dec 12, 2017 Upgraded
to Ba2 (sf)
Cl. 2-A, Upgraded to A2 (sf); previously on Dec 12, 2017 Upgraded
to Ba2 (sf)
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes, Series
2004-E
Cl. 1-A, Upgraded to Ba2 (sf); previously on Dec 12, 2017 Upgraded
to B2 (sf)
Cl. 2-A, Upgraded to Baa3 (sf); previously on Dec 12, 2017 Upgraded
to Ba3 (sf)
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes, Series
2004-F
Cl. 1-A, Upgraded to B1 (sf); previously on Dec 12, 2017 Upgraded
to B3 (sf)
Cl. 2-A, Upgraded to Baa3 (sf); previously on Dec 12, 2017 Upgraded
to B1 (sf)
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes, Series
2004-K
Cl. 1-A, Upgraded to B2 (sf); previously on Dec 12, 2017 Upgraded
to Caa1 (sf)
Cl. 2-A, Upgraded to Baa3 (sf); previously on Dec 12, 2017 Upgraded
to Ba3 (sf)
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes, Series
2004-L
Cl. 1-A, Upgraded to Baa3 (sf); previously on Dec 12, 2017 Upgraded
to Ba3 (sf)
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes, Series
2004-M
Cl. 1-A, Upgraded to Baa1 (sf); previously on Dec 12, 2017 Upgraded
to Ba3 (sf)
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes, Series
2004-N
Cl. 1-A, Upgraded to Ba3 (sf); previously on Dec 12, 2017 Upgraded
to Caa1 (sf)
Cl. 2-A, Upgraded to Ba3 (sf); previously on Dec 12, 2017 Upgraded
to Caa1 (sf)
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes, Series
2004-Q
Cl. 1-A, Upgraded to Caa1 (sf); previously on Jun 10, 2010
Confirmed at Caa3 (sf)
Issuer: CWABS Revolving Home Equity Loan Trust, Series 2004-R
Cl. 1-A, Upgraded to B2 (sf); previously on Dec 12, 2017 Upgraded
to Caa1 (sf)
Issuer: CWABS Revolving Home Equity Loan Trust, Series 2004-T
Cl. 1-A, Upgraded to Caa1 (sf); previously on Jun 10, 2010
Confirmed at Ca (sf)
Cl. 2-A, Upgraded to B3 (sf); previously on Jun 10, 2010 Confirmed
at Ca (sf)
Issuer: CWABS Revolving Home Equity Loan Trust, Series 2004-U
Cl. 1-A, Upgraded to Caa1 (sf); previously on Jun 10, 2010
Confirmed at Ca (sf)
Cl. 2-A, Upgraded to Caa3 (sf); previously on Jun 10, 2010
Confirmed at Ca (sf)
Issuer: CWHEQ Revolving Home Equity Loan Trust, Series 2005-B
Cl. 1-A, Upgraded to B3 (sf); previously on Aug 13, 2010 Confirmed
at Caa3 (sf)
Cl. 2-A, Upgraded to Caa2 (sf); previously on Aug 13, 2010
Confirmed at Ca (sf)
Issuer: CWHEQ Revolving Home Equity Loan Trust, Series 2005-G
Cl. 1-A, Upgraded to B1 (sf); previously on Dec 12, 2017 Upgraded
to Caa1 (sf)
Issuer: CWHEQ Revolving Home Equity Loan Trust, Series 2005-H
Cl. 1-A, Upgraded to Ba3 (sf); previously on Dec 12, 2017 Upgraded
to Caa1 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust Series 2004-SL1
Cl. S, Downgraded to C (sf); previously on Oct 27, 2017 Confirmed
at Ca (sf)
Cl. B-3, Downgraded to C (sf); previously on Oct 20, 2010 Confirmed
at Ca (sf)
Issuer: RAAC Series 2005-RP2 Trust
Cl. M-3, Upgraded to Aa1 (sf); previously on Nov 6, 2017 Upgraded
to Aa2 (sf)
Cl. M-4, Upgraded to A1 (sf); previously on Nov 6, 2017 Upgraded to
Baa2 (sf)
Cl. M-5, Upgraded to Ba1 (sf); previously on Nov 22, 2016 Upgraded
to Ba2 (sf)
Issuer: RAAC Series 2005-RP3 Trust
Cl. M-1, Upgraded to Aaa (sf); previously on Nov 22, 2016 Upgraded
to Aa2 (sf)
Issuer: RAAC Series 2005-SP2 Trust
Cl. M-I-2, Upgraded to Aa1 (sf); previously on Nov 21, 2017
Upgraded to A1 (sf)
Issuer: RFSC Series 2003-RP2 Trust
M-2, Upgraded to Aa2 (sf); previously on Nov 6, 2017 Upgraded to A3
(sf)
Issuer: Terwin Mortgage Trust 2005-11
Cl. I-M-1a, Upgraded to Ba1 (sf); previously on Feb 23, 2016
Upgraded to B2 (sf)
Cl. I-G, Withdrawn (sf); previously on Feb 23, 2016 Upgraded to
Baa3 (sf)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pools
and reflect Moody's updated loss expectations on the pools. The
rating downgrades are due to the cumulative outstanding loss to the
bonds. The rating upgrades are a result of improving performance of
the related pools and an increase in credit enhancement available
to the bonds. The rating of Class I-G from Terwin 2005-11 was
withdrawn because of the pay-down of the Class I-G in Jan 2017.
According to the Sale & Servicing Agreement, the balance of Class
I-G will not increase again since the cumulative loss of Group I
(31.78%) has breached the cumulative loss trigger (11.90%).
The principal methodology used in rating CWABS Revolving Home
Equity Loan Asset Backed Notes, Series 2004-D Cl. 2-A and Cl. 1-A;
CWABS Revolving Home Equity Loan Asset Backed Notes, Series 2004-E
Cl. 1-A and Cl. 2-A; CWABS Revolving Home Equity Loan Asset Backed
Notes, Series 2004-F Cl. 1-A and Cl. 2-A; CWABS Revolving Home
Equity Loan Asset Backed Notes, Series 2004-K Cl. 1-A and Cl. 2-A;
CWABS Revolving Home Equity Loan Asset Backed Notes, Series 2004-L
Cl. 1-A; CWABS Revolving Home Equity Loan Asset Backed Notes,
Series 2004-M Cl. 1-A; CWABS Revolving Home Equity Loan Asset
Backed Notes, Series 2004-N Cl. 1-A and Cl. 2-A; CWABS Revolving
Home Equity Loan Asset Backed Notes, Series 2004-Q Cl. 1-A; CWABS
Revolving Home Equity Loan Trust, Series 2004-R Cl. 1-A; CWABS
Revolving Home Equity Loan Trust, Series 2004-T Cl. 1-A and Cl.
2-A; CWABS Revolving Home Equity Loan Trust, Series 2004-U Cl. 1-A
and Cl. 2-A; CWHEQ Revolving Home Equity Loan Trust, Series 2005-B
Cl. 1-A and Cl. 2-A; CWHEQ Revolving Home Equity Loan Trust, Series
2005-G Cl. 1-A; CWHEQ Revolving Home Equity Loan Trust, Series
2005-H Cl. 1-A; Merrill Lynch Mortgage Investors Trust Series
2004-SL1 Cl. B-3; Terwin Mortgage Trust 2005-11 Cl. I-G and Cl.
I-M-1a; RAAC Series 2005-RP2 Trust Cl. M-3, Cl. M-4, and Cl. M-5;
RFSC Series 2003-RP2 Trust Cl. M-2; RAAC Series 2005-RP3 Trust Cl.
M-1; and RAAC Series 2005-SP2 Trust Cl. M-I-2 was "US RMBS
Surveillance Methodology" published in January 2017. The
methodologies used in rating Merrill Lynch Mortgage Investors Trust
Series 2004-SL1 Cl. S were "US RMBS Surveillance Methodology"
published in January 2017 and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published in June
2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to 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.
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.
[*] S&P Takes Actions on 3 National Collegiate Student Loan Trusts
------------------------------------------------------------------
S&P Global Ratings placed its ratings on two classes from National
Collegiate Master Student Loan Trust I (Master Trust I) on
CreditWatch with positive implications. At the same time, S&P
lowered its rating on one class and affirmed its ratings on two
classes from Master Trust I and affirmed its ratings on 14 classes
from National Collegiate Student Loan Trust 2007-3 and 2007-4
(series 2007-3 and 2007-4). There were four issuances out of the
Master Trust I. Series 2007-3 and 2007-4 were issued out of
discrete trusts. All three of the trusts are collateralized by a
pool of private student loans issued between 2001 and 2007.
The rating actions considered the trust's collateral performance
and relevant structural features -- in particular, each trust's
cost of funds, capital structure, payment waterfalls, available
credit enhancement, and non-monetary event of default (EOD)
provisions.
NONMONETARY EVENT OF DEFAULT REVIEW
S&P said, "Based on our criteria, we consider the creditworthiness,
operational capabilities, track records, and incentives of the
transaction parties that have an obligation to minimize the
likelihood of a nonmonetary EOD. We also consider structural
features that mitigate the risk of principal payment
reprioritization after a nonmonetary EOD, such as noteholder voting
or bond insurer consent.
"As a result of unresolved legal disputes between certain
transaction parties discussed in our previous surveillance press
release, as well as the Consumer Financial Protection Bureau's
proposed judgment against the trusts brought to our attention in a
notice dated Sept. 19, 2017, we do not view the likelihood of the
occurrence of a nonmonetary EOD for these trusts to be sufficiently
remote."
Upon a nonmonetary EOD in Master Trust I, principal payment to the
notes becomes pro rata only if the notes are accelerated.
Acceleration for this trust requires the consent of the bond
insurer, Ambac Assurance Corp. (Ambac), or a 100% vote of the
noteholders. Because of these structural mitigants, S&P continues
to view the likelihood of a change in principal payments to pro
rata as a result of a nonmonetary EOD to be sufficiently remote and
we have differentiated our ratings for each class based on
available credit enhancement.
In contrast to Master Trust I, series 2007-3 and 2007-4 do not have
structural features to mitigate a change in principal payments to
pro rata after a nonmonetary EOD. Accordingly, for these trusts
S&P continues to treat the notes as a single class in determining
its ratings.
TRUST PERFORMANCE
Since S&P's last full surveillance review, the pace of increasing
cumulative defaults for all three trusts has slowed. Additionally,
the percentage of loans in repayment and current has remained
stable. The performance, in terms of the pace of defaults and the
percentage of loans in repayment, indicates that the trusts are
likely past their peak default periods. The current performance
largely reflects the seasoning of the collateral pools but also may
be partially attributed to stabilization since U.S. Bank became
special servicer after First Marblehead resigned in 2012.
Table 1 Cumulative Default Rate(i)
As of 12-month Last review 12-month
Trust June 2018 change(ii) March 2016 change(ii)
Master Trust I 28.2% 0.4% 27.2% 0.7%
Series 2007-3 45.4% 1.4% 41.3% 2.8%
Series 2007-4 45.5% 1.5% 41.4% 2.9%
(i)Reported cumulative defaults as a percentage of initial student
loans financed.
(ii)Calculated as the 12-month absolute change in the cumulative
default rate.
Table 2 Collateral Performance
In current repayment status(i)
Current pool As of As of
Trust factor June 2018 March 2016
Master Trust I 12.2% 96.3% 95.7%
Series 2007-3 39.9% 94.8% 92.9%
Series 2007-4 39.9% 94.6% 92.7%
(i)Reported percentage of the loan pool in repayment and less than
30 days delinquent as a percentage of total principal ending
balance (does not include accrued interest).
The historical impact of poor collateral performance, as measured
by high levels of realized cumulative net losses, has led to
significant undercollateralization for all of the trusts. Total
parity for each trust is approximately 50% for all three trusts.
However, class parity for the two highest-priority notes in Master
Trust I has increased since our last review.
Table 3 Total Parity(i)
Trust Class June 2018 March 2016
Master Trust I AR-12 278.2% 179.5%
Master Trust I AR-13 127.0% 124.2%
Master Trust I AR-14 82.2% 95.0%
Master Trust I AR-15 60.9% 76.9%
Master Trust I AR-16 48.3% 64.6%
Series 2007-3(ii) 49.3% 59.3%
Series 2007-4(ii) 49.2% 59.3%
(i)Parity is generally defined as total assets/outstanding note
balance. For the master trust, the total outstanding notes for each
class include the balance of any notes senior in the capital
structure.
(ii)For the two discrete trusts, we treat the notes as a single
class in assigning our ratings; therefore the outstanding note
balance includes all notes.
STRUCTURAL FEATURES
All three of the trusts were originally structured with a bond
insurance policy from Ambac. Because S&P does not rate Ambac, it
does not assume the bond insurance policy provides any support to
the notes.
The reserve accounts for each of the trusts are currently at, or
amortizing to, their respective floors. The reserve accounts are
available to pay note interest and fees, as well as principal at
final maturity.
At issuance, each of the trusts were structured to provide excess
spread over the transaction's life as additional credit
enhancement. Excess spread levels have been under pressure for each
trust, primarily because of undercollateralization. Additionally,
all three trusts contain higher-cost auction-rate notes. Coupons on
the auction-rate notes have been based on the maximum rate
definitions in the indentures (generally LIBOR plus a rating
dependent margin) since the auction-rate market failed.
RATIONALE
S&P said, "Since our last review of the master trust, the class
AR-11 note has paid in full and the class AR-12 note is now
receiving principal. The class AR-12 note's parity has increased to
278% from 179%, and the class AR-13 note's parity has increased to
127% from 124%. Based on principal reduction since the last review,
we estimate that the class AR-12 and AR-13 notes could be paid in
full in approximately 1.5 years and 3.5 years, respectively.
Furthermore, collateral performance continues to improve for the
Master Trust I. Accordingly, we believe the class AR-12 and class
AR-13 notes are likely to have sufficient credit enhancement to
support higher ratings. We will evaluate the impact of the
increased total parity relative to our rating on the class AR-12
and class AR-13 notes from the master trust and update the market
on the outcome of our analysis once we complete our review."
All of the remaining classes in the master trust are
undercollateralizated and continue to experience declines in class
parity despite the improvements in the collateral performance. S&P
said, "For the discrete trusts, we treat the notes as a single
class in determining our ratings and therefore focus on total
parity for all notes instead of the parity for each class of notes.
The discrete trusts are also significantly undercollateralized and
continue to experience declines in total parity. Accordingly, we
have applied "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', and
'CC' Ratings," published Oct. 1, 2012 (CCC/CC criteria) in
surveilling the remaining undercollateralized notes from all three
trusts."
S&P said, "In applying our CCC/CC criteria, we rate an issue 'CC
(sf)' when we expect default to be virtually certain, regardless of
the time to default. Accordingly, the 'CC (sf)' rated classes
reflect that we believe they will default under the optimistic
collateral performance scenario over a longer period of time based
on their substantial undercollateralization (less than 90%) and
their declining trend in hard enhancement. Classes rated 'CCC (sf)'
reflect that they have sufficient collateralization but, in our
view, are vulnerable to nonpayment.
"We will continue to monitor the ongoing performance of these
trusts. In particular, we will continue to review available credit
enhancement, which is primarily a function of the pace of defaults,
principal amortization, excess spread, and the unresolved disputes
between the transaction parties."
RATINGS PLACED ON CREDITWATCH POSITIVE
National Collegiate Master Student Loan Trust I
Rating
Series Class To From
NCT-2003 AR-12 CCC- (sf)/Watch Pos CCC- (sf)
NCT-2003 AR-13 CCC- (sf)/Watch Pos CCC- (sf)
RATING LOWERED
National Collegiate Master Student Loan Trust I
Rating
Series Class To From
NCT-2003 AR-14 CC (sf) CCC- (sf)
RATINGS AFFIRMED
National Collegiate Master Student Loan Trust I
Series Class Rating
NCT-2005AR AR-15 CC (sf)
NCT-2005AR AR-16 CC (sf)
National Collegiate Student Loan Trust 2007-3
Series Class Rating
2007-3 A-3-AR-2 CCC (sf)
2007-3 A-3-AR-3 CCC (sf)
2007-3 A-3-AR-4 CCC (sf)
2007-3 A-3-AR-5 CC (sf)
2007-3 A-3-AR-6 CC (sf)
2007-3 A-3-AR-7 CC (sf)
2007-3 A-3-L CC (sf)
National Collegiate Student Loan Trust 2007-4
Series Class Rating
2007-4 A-3-AR-2 CCC (sf)
2007-4 A-3-AR-3 CCC (sf)
2007-4 A-3-AR-4 CCC (sf)
2007-4 A-3-AR-5 CC (sf)
2007-4 A-3-AR-6 CC (sf)
2007-4 A-3-AR-7 CC (sf)
2007-4 A-3-L CC (sf)
[] Discounted Tickets for 2018 Distressed Investing Conference!
---------------------------------------------------------------
Discounted tickets for Beard Group, Inc.'s Annual Distressed
Investing 2018 Conference are available if you register by August
31. Your cost will be $695, a $200 savings.
Visit https://www.distressedinvestingconference.com/ for
registration details and information about this year's conference
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
and debt and equity investments to gather and discuss the latest
topics and trends in the distressed investing industry, as well as
exchange ideas about high-profile chapter 11 bankruptcy proceedings
and out-of-court restructurings. They are distinguished
professionals who place their resources and reputations at risk to
produce stellar results by preserving jobs, rebuilding broken
businesses, and efficiently redeploying underutilized assets in the
marketplace.
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
To learn how you can be a sponsor and participate in shaping the
day-long program, contact:
Bernard Tolliver at bernard@beardgroup.com
or Tel: (240) 629-3300 x-149
To learn about media sponsorship opportunities to bring your outlet
into the view of leaders in corporate restructuring, lending and
debt and equity investments, and to expand your network of news
sources, contact:
Jeff Baxt at jeff@beardgroup.com
or (240) 629-3300, ext 150
Beard Group, Inc., publishes Turnarounds & Workouts, Troubled
Company Reporter, and Troubled Company Prospector. Visit
http://bankrupt.com/freetrial/for a free trial subscription to one
or more of Beard Group's corporate restructuring publications.
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
TCR subscribers have free access to our on-line news archive.
Point your Web browser to http://TCRresources.bankrupt.com/and use
the e-mail address to which your TCR is delivered to login.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors.
Copyright 2018. All rights reserved. ISSN: 1520-9474.
This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers. Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.
The TCR subscription rate is $975 for 6 months delivered via
e-mail. Additional e-mail subscriptions for members of the same
firm for the term of the initial subscription or balance thereof
are $25 each. For subscription information, contact Peter A.
Chapman at 215-945-7000.
*** End of Transmission ***