/raid1/www/Hosts/bankrupt/TCR_Public/180916.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, September 16, 2018, Vol. 22, No. 258
Headlines
AMERICAN CREDIT 2018-3: DBRS Gives Prov. B Rating on Class F Notes
AMERICAN CREDIT: DBRS Takes Rating Actions on 5 Debt Classes
BEAR STEARNS 2005-TOP20: Moody's Affirms Caa3 Rating on Cl. E Certs
BUTTERMILK PARK: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes
CARLYLE GLOBAL 2014-5: S&P Gives Prelim. B- Rating on F-RR Debt
CITIGROUP COMMERCIAL 2004-C2: Moody's Affirms Ca Rating on XC Certs
COLONNADE GLOBAL 2017-1: DBRS Confirms (P)BB Rating on K Debt
COLT 2018-3: DBRS Assigns Prov. BB Rating on Class B-1 Certs
COMM MORTGAGE 2016-COR1: Fitch Affirms BB- Rating on Class E Certs
FREDDIE MAC 2018-DNA3: S&P Gives Prelim. B-(sf) Rating on B-1 Notes
GS MORTGAGE 2007-GG10: Moody's Affirms C Rating on Class A-J Certs
GSMS 2012-GCJ7: DBRS Lowers Rating on Class X-B Certs to B(low)
JP MORGAN 2006-LDP7: Fitch Lowers Rating on Class Certs to 'Csf'
MAGNETITE LTD XII: Moody's Assigns B3 Rating on Class F-R Notes
MCAP CMBS 2014-1: DBRS Confirms B Rating on Class G Certificates
MORGAN STANLEY 2015-c26: Fitch Affirms B- Rating on Class F Certs
OCP CLO 2014-7: S&P Assigns B-(sf) Rating on Class E-RR Notes
REALT 2014-1: DBRS Confirms B Rating on Class G Certs
REALT 2016-2: DBRS Confirms B Rating on Class G Notes
SYMPHONY CLO V: S&P Affirms BB+(sf) Rating on Class D Notes
SYMPHONY CLO XVI: Moody's Assigns B3 Rating on Class F-R Notes
[*] S&P Takes Various Actions on 62 Classes From 7 US RMBS Deals
[*] S&P Takes Various Actions on 69 Classes From 24 US RMBS Deals
*********
AMERICAN CREDIT 2018-3: DBRS Gives Prov. B Rating on Class F Notes
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by American Credit Acceptance Receivables Trust
2018-3 (ACAR 2018-3):
-- $102,200,000 Class A Notes rated AAA (sf)
-- $30,800,000 Class B Notes rated AA (sf)
-- $47,600,000 Class C Notes rated A (sf)
-- $32,200,000 Class D Notes rated BBB (sf)
-- $25,200,000 Class E Notes rated BB (sf)
-- $18,200,000 Class F Notes rated B (sf)
The ratings are based on DBRS's review of the following analytical
considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- Credit enhancement is in the form of overcollateralization,
subordination, amounts held in the reserve fund and excess spread.
Credit enhancement levels are sufficient to support the
DBRS-projected expected cumulative net loss assumption under
various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the ratings address the
payment of timely interest on a monthly basis and the payment of
principal by the legal final maturity date.
-- ACAR 2018-3 provides for Class A, B, C and D coverage multiples
that are slightly below the DBRS range of multiples set forth in
the criteria for this asset class. DBRS believes that this is
warranted, given the magnitude of expected loss and the structural
features of the transaction.
-- The capabilities of American Credit Acceptance, LLC (ACA) with
regard to originations, underwriting and servicing.
-- DBRS has performed an operational review of ACA and considers
the entity to be an acceptable originator and servicer of subprime
automobile loan contracts.
-- The ACA senior management team has considerable experience,
with an average of 18 years in banking, finance and auto finance
companies, as well as an average of approximately five years of
company tenure.
-- ACA has completed 23 securitizations since 2011, including two
transactions in 2018.
-- ACA maintains a strong corporate culture of compliance and a
robust compliance department.
-- The credit quality of the collateral and the consistent
performance of ACA's auto loan portfolio.
-- Considerable availability of historical performance data and a
history of consistent performance on the ACA portfolio.
The ratings also consider the statistical pool characteristics:
-- The pool is seasoned approximately seven months and contains
ACA originations from Q1 2012 through Q3 2018.
-- The average remaining life of the collateral pool is
approximately 63 months.
-- The weighted-average FICO score of the pool is 545.
-- The legal structure and presence of legal opinions that address
the true sale of the assets to the Issuer, the non-consolidation of
the special-purpose vehicle with ACA, that the trust has a valid
first-priority security interest in the assets and the consistency
with DBRS's "Legal Criteria for U.S. Structured Finance"
methodology.
The ACAR 2018-3 transaction represents the 24th securitization
completed by ACA since 2011 and will offer both senior and
subordinate rated securities. The receivables securitized in ACAR
2018-3 will be subprime automobile loan contracts secured primarily
by used automobiles, light-duty trucks, vans, motorcycles and
minivans.
The rating on the Class A Notes reflects the 65.00% of initial hard
credit enhancement provided by the subordinated notes in the pool,
the Reserve Fund (1.50%) and overcollateralization (8.5%). The
ratings on the Class B, Class C, Class D, Class E and Class F Notes
reflect 54.00%, 37.00%, 25.50%, 16.50% and 10.00% of initial hard
credit enhancement, respectively. Additional credit support may be
provided from excess spread available in the structure.
AMERICAN CREDIT: DBRS Takes Rating Actions on 5 Debt Classes
------------------------------------------------------------
DBRS, Inc. reviewed five ratings from American Credit Acceptance
Receivables Trust 2017-3. Of the five outstanding publicly rated
classes reviewed, two were confirmed and three were upgraded. For
the ratings that were confirmed, performance trends are such that
credit enhancement levels are sufficient to cover DBRS's expected
losses at their current respective rating levels. For the ratings
that were upgraded, performance trends are such that credit
enhancement levels are sufficient to cover DBRS's expected losses
at their new respective rating levels.
The ratings are based on DBRS's review of the following analytical
considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- The transaction parties' capabilities with regard to
origination, underwriting and servicing.
-- The credit quality of the collateral pool and historical
performance.
Notes: The principal methodology is DBRS Master U.S. ABS
Surveillance Methodology, which can be found on dbrs.com under
Methodologies.
The Affected Ratings is available at https://bit.ly/2NtDhxd
BEAR STEARNS 2005-TOP20: Moody's Affirms Caa3 Rating on Cl. E Certs
-------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on six classes
in Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20,
Commercial Mortgage Pass-Through Certificates, Series 2005-TOP20 as
follows:
Cl. D, Affirmed A3 (sf); previously on Sep 8, 2017 Downgraded to A3
(sf)
Cl. E, Affirmed Caa3 (sf); previously on Sep 8, 2017 Downgraded to
Caa3 (sf)
Cl. F, Affirmed C (sf); previously on Sep 8, 2017 Downgraded to C
(sf)
Cl. G, Affirmed C (sf); previously on Sep 8, 2017 Downgraded to C
(sf)
Cl. H, Affirmed C (sf); previously on Sep 8, 2017 Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Sep 8, 2017 Affirmed C (sf)
RATINGS RATIONALE
The rating on Cl. D was affirmed because the transaction's key
metrics, including Moody's loan-to-value (LTV) ratio, Moody's
stressed debt service coverage ratio (DSCR) and the transaction's
Herfindahl Index (Herf), are within acceptable ranges.
The ratings on the remaining P&I classes were affirmed because the
ratings are consistent with Moody's expected loss plus realized
losses.
Moody's rating action reflects a base expected loss of 69.3% of the
current pooled balance, compared to 68.8% at Moody's last review.
Moody's base expected loss plus realized losses is now 7.3% of the
original pooled balance, compared to 7.4% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 80% 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 classes 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 95% to $108.7
million from $2.07 billion at securitization. The certificates are
collateralized by 11 mortgage loans ranging in size from less than
1% to 72% of the pool. One loan, constituting 3% of the pool, has
defeased and is secured by US government securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 2, the same as at Moody's last review
No loans are currently on the master servicer's watchlist. The
watchlist includes loans that meet certain portfolio review
guidelines established as part of the CRE Finance Council (CREFC)
monthly reporting package. As part of Moody's ongoing monitoring of
a transaction, the agency reviews the watchlist to assess which
loans have material issues that could affect performance.
Twenty-four loans have been liquidated from the pool, contributing
to an aggregate realized loss of $76 million (for an average loss
severity of 27%). Two loans, constituting 80% of the pool, are
currently in special servicing. The largest specially serviced loan
is the Lakeforest Mall -- A Note Loan ($78 million -- 72% of the
pool), which is secured by a 400,000 square foot collateral portion
of a two-level, one million square foot super-regional mall. The
mall is located in Gaithersburg, Maryland, approximately 25 miles
north of downtown Washington, DC. The mall's non-collateral anchors
are Lord & Taylor, Macy's, JC Penney and Sears. The property's
financial performance has been in steady decline. In 2012, the loan
was modified and split into an $82 million A Note and a $34 million
B Note, and the A Note maturity was extended to September 2015 with
a two-year extension option through September 2017. The loan
defaulted again at the extended maturity date and foreclosure began
in September 2017. The trust took title to the property in January
2018. The B Note recognized a loss of nearly 100% and no longer
exists. The property is REO and had been marketed for sale by the
servicer. An offer was accepted and the prospective purchaser is
working with the local governing body on future development plans.
The second specially serviced loan is the Mercado Fiesta Center ($9
million -- 8% of the pool), which is secured by a 72,000 square
foot retail center located in Mesa, Arizona. The property has been
REO since July 2016. As of July 2018 the property was 35% leased,
down from 52% in July 2017.
Moody's estimates an aggregate $75 million loss for the specially
serviced loans (87% expected loss on average).
As of the August 13, 2018 remittance statement, cumulative interest
shortfalls were $4.2 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.
Moody's received full year 2017 operating results for 100% of the
pool, and partial year 2018 operating results for 82% of the pool
(excluding specially serviced and defeased loans). Moody's weighted
average conduit LTV is 56%, compared to 60% 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 23.7% to the most recently available net
operating income (NOI). Moody's value reflects a weighted average
capitalization rate of 9.3%.
Moody's actual and stressed conduit DSCRs are 1.10X and 2.10X,
respectively, compared to 1.12X and 1.94X 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 12.9% of the pool balance.
The largest loan is the Hinckley Portfolio Loan ($9 million -- 8%
of the pool), which is secured by five waterfront properties in
Florida, Rhode Island and Maine totaling 474,000 square feet. The
properties are 100% leased to a single tenant which specializes in
yacht design, building and maintenance. The loan metrics benefit
from amortization and has amortized 49% since securitization.
Moody's value incorporates a lit/dark analysis to address the
single tenant rollover risk. Moody's LTV and stressed DSCR are 56%
and 1.83X, respectively, compared to 62% and 1.65X at the last
review.
The second largest loan is the Weaver Fields Apartments Loan ($3
million -- 3% of the pool), which is secured by a 108-unit
multifamily property located in Memphis, Tennessee. The property
was 93% leased as of December 2017. The loan metrics benefit from
amortization and has amortized 23% since securitization. Moody's
LTV and stressed DSCR are 84% and 1.12X, respectively, compared to
87% and 1.09X at the last review.
The third largest loan is the Posthole Office Loan ($2.5 million --
2% of the pool), which is secured by a 41,000 square foot office
property in Las Vegas, Nevada. The loan was 100% occupied as of
March 2018. The loan is fully amortizing and has amortized 49%
since securitization. Moody's LTV and stressed DSCR are 58% and
1.93X, respectively, compared to 64% and 1.74X at the last review.
BUTTERMILK PARK: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Buttermilk
Park CLO Ltd./Buttermilk Park CLO LLC's fixed- and floating-rate
notes.
The note issuance is a collateralized loan obligation (CLO) backed
primarily by broadly syndicated speculative-grade senior secured
term loans.
The preliminary ratings are based on information as of Sept. 6,
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
Buttermilk Park CLO Ltd./Buttermilk Park CLO LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 306.25
A-2 NR 18.75
B-1 AA (sf) 35.00
B-2 AA (sf) 12.50
C (deferrable) A (sf) 37.00
D (deferrable) BBB- (sf) 30.00
E (deferrable) BB- (sf) 18.00
Subordinated notes NR 58.15
NR--Not rated.
CARLYLE GLOBAL 2014-5: S&P Gives Prelim. B- Rating on F-RR Debt
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Carlyle
Global Market Strategies CLO 2014-5 Ltd.'s floating-rate notes.
The note issuance is a collateralized loan obligation (CLO)
transaction backed by primarily broadly syndicated
speculative-grade senior secured term loans that are governed by
collateral quality tests.
The preliminary ratings are based on information as of Sept. 10,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
Carlyle Global Market Strategies CLO 2014-5 Ltd.
Class Rating Amount (mil. $)
A-l-RR AAA (sf) 309.50
A-2-RR NR 14.25
B-RR AA (sf) 58.75
C-RR A (sf) 32.50
D-RR BBB- (sf) 25.00
E-RR BB- (sf) 19.00
F-RR B- (sf) 7.00
Subordinated notes NR 49.95
NR--Not rated.
CITIGROUP COMMERCIAL 2004-C2: Moody's Affirms Ca Rating on XC Certs
-------------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class and
affirmed the ratings on seven classes of Citigroup Commercial
Mortgage Trust 2004-C2, Commercial Pass-Through Certificates,
Series 2004-C2 as follows:
Cl. E, Affirmed Aaa (sf); previously on Sep 7, 2017 Affirmed Aaa
(sf)
Cl. F, Affirmed Aaa (sf); previously on Sep 7, 2017 Affirmed Aaa
(sf)
Cl. G, Affirmed Aaa (sf); previously on Sep 7, 2017 Upgraded to Aaa
(sf)
Cl. H, Upgraded to A1 (sf); previously on Sep 7, 2017 Upgraded to
A3 (sf)
Cl. J, Affirmed Caa3 (sf); previously on Sep 7, 2017 Upgraded to
Caa3 (sf)
Cl. K, Affirmed C (sf); previously on Sep 7, 2017 Affirmed C (sf)
Cl. L, Affirmed C (sf); previously on Sep 7, 2017 Reinstated to C
(sf)
Cl. XC, Affirmed Ca (sf); previously on Sep 7, 2017 Affirmed Ca
(sf)
RATINGS RATIONALE
The ratings on Classes E, F and G were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The rating on the Class H was upgraded based primarily due to an
increase in credit support resulting from loan paydowns and
amortization.
The ratings on the Classes J, K and L were affirmed because the
ratings are consistent with Moody's expected loss plus realized
losses.
The rating on the IO class, Class XC, was affirmed based on the
credit quality of its referenced classes.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating Citigroup Commercial
Mortgage Trust 2004-C2, Cl. E, 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 Citigroup Commercial Mortgage Trust
2004-C2, 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 17th, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 94% to $60.2 million
from $1.03 billion at securitization. The certificates are
collateralized by three mortgage loans, two of which have defeased
and are secured by US government securities.
Fifteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $34 million (for an average loss
severity of 34%). No loans are on the master servicer's watchlist
and no loans are currently in special servicing.
The sole non-defeased loan is the Desert Sky Esplanade Loan ($12.4
million -- 20.5% of the pool), which is secured by an anchored
retail center located in Phoenix, Arizona. The property is shadow
anchored by a WalMart Supercenter & Lowe's (not part of the
collateral). As of June 2018, the property was 98%, compared to
100% at last review. Moody's LTV and stressed DSCR are 119% and
0.86X, compared to 123% and 0.84X at Moody's last review.
COLONNADE GLOBAL 2017-1: DBRS Confirms (P)BB Rating on K Debt
-------------------------------------------------------------
DBRS Ratings Limited confirmed its provisional ratings of 11
tranches issued by Colonnade Global 2017-1 (the Issuer) as
follows:
-- USD 2,420,563,380 Tranche A at AAA (sf)
-- USD 30,422,535 Tranche B at AA (high) (sf)
-- USD 15,774,648 Tranche C at AA (sf)
-- USD 17,746,479 Tranche D at AA (low) (sf)
-- USD 27,887,324 Tranche E at A (high) (sf)
-- USD 8,169,014 Tranche F at A (sf)
-- USD 22,816,901 Tranche G at A (low) (sf)
-- USD 30,985,915 Tranche H at BBB (high) (sf)
-- USD 9,577,465 Tranche I at BBB (sf)
-- USD 13,521,127 Tranche J at BBB (low) (sf)
-- USD 19,436,620 Tranche K at BB (high) (sf)
The ratings confirmed by DBRS are expected to remain provisional
until the moment the underlying agreements are executed. However,
it is important to note that Barclays (the Originator) may have no
intention of executing the senior guarantee. DBRS will maintain and
monitor the provisional ratings throughout the life of the
transaction or while it continues to receive performance
information.
The ratings address the likelihood of a reduction to the respective
tranche notional amounts resulting from borrower defaults within
the guaranteed portfolio of the notional loan portfolio financial
guarantee during the eight-year credit protection period. The
borrower default events are limited to failure to pay, bankruptcy
and restructuring.
The ratings take into consideration only the creditworthiness of
the reference portfolio only. The ratings do not address
counterparty risk or the likelihood of any event of default or
termination events under the agreement occurring.
The transaction is a synthetic balance-sheet collateralized loan
obligation structured in the form of a financial guarantee. The
loans were originated by Barclays' investment banking division.
Barclays bought protection under a similar financial guarantee for
the first loss piece but has not executed the contracts relating to
the rated tranches. Under the unexecuted guarantee agreement,
Barclays will transfer the remaining credit risk (to 100% from
7.1%) of the same USD 2,816.9 million portfolio.
The confirmation follows an annual review of the transaction. Based
on the investor report, as of August 2018 there were no cumulative
defaults and the credit enhancement levels for each of the tranches
remain the same as at closing.
The transaction has a two-year replenishment period left, during
which time Barclays can add new reference obligations or increase
the notional amount of existing reference obligations. The
replenishment period follows rules-based selection guidelines that
are designed to ensure the new reference obligations are not
adversely selected. In addition, the new reference obligations also
need to comply with the eligibility criteria and portfolio profile
tests, which are established to ensure that the credit quality of
new reference obligations proposed are similar or better than the
reference obligations they replace.
The credit facilities under the reference portfolio can be drawn in
various currencies but any negative impact from currency movements
is neutralized. As such, movements in the foreign exchange rate
should not have a negative impact on the rated tranches. DBRS also
took comfort from the portfolio profile test that limits the
guaranteed obligations that can be denominated in a currency other
than the U.S. dollar, British pound sterling, Japanese yen,
Canadian dollar, euro, Swedish krona, Norwegian krone, Danish krone
and Australian dollar (other currencies are referred to as minority
currencies) to 2%.
However, each reference obligation can reference a broad number of
interest rate indices around the world. The interest rate index,
spread and interest payment frequency will determine the amount of
additional risk that the guarantee has to cover. To address this
risk, DBRS has calculated stressed interest rates based on its
"Interest Rate Stresses for European Structured Finance
Transactions" methodology as well as the spread and
weighted-average (WA) payment frequency covenants defined as part
of the transaction's portfolio profile tests.
DBRS assumed a stressed interest rate index of 7.6% for the
obligations denominated in eligible currencies and a stressed
interest rate index of 37.9% for the obligations denominated in a
minority currency. The analysis above was used to haircut the
standard recovery rate assumptions applied. For example, at the AAA
(sf) stress level, the unsecured recovery rate for an obligor in a
DBRS recovery Tier 1 country was reduced to 24.2% from 28.5%. This
adjustment was made to account for the additional risk posed by the
accrual interest coverage of the guarantee.
For the recovery rate, DBRS applied the senior secured and senior
unsecured recovery rates defined in its "Rating CLOs and CDOs of
Large Corporate Credit" methodology. The portfolio can reference
obligations from obligors based in Argentina, Australia, Austria,
Belgium, Brazil, Canada, the Cayman Islands, Chile, Denmark,
Finland, France, Germany, Ireland, the Isle of Man, Italy, Japan,
Jersey, Luxembourg, Mexico, the Netherlands, New Zealand, Norway,
Portugal, Romania, Russia, South Africa, South Korea, Spain,
Sweden, Switzerland or the United Kingdom. DBRS applies different
recovery rates depending on the recovery tier and seniority. All
the eligible borrowers will be based in countries with a DBRS
recovery Tier 1 (higher recovery) to recovery Tier 5 (lower
recovery).
For the recovery rate, DBRS assumed all reference obligations to be
senior unsecured and applied the recovery rates defined in its
"Rating CLOs and CDOs of Large Corporate Credit" methodology and
adjusted as per the analysis mentioned above.
The portfolio WA recovery rate was calculated based on the
worst-case concentration allowed under the portfolio profile tests
and adjusted as per the analysis mentioned above.
DBRS used the CLO Asset Model to determine expected default rates
for the portfolio at each rating level. To determine the credit
risk of each underlying reference obligation, DBRS relied on either
public ratings or a ratings mapping to DBRS ratings of Barclays'
internal ratings models. The mapping was completed in accordance
with DBRS's "Mapping Financial Institution Internal Ratings to DBRS
Ratings for Global Structured Credit Transactions" methodology.
The eligibility criteria exclude obligations that are either
subordinated, defined as either project finance, structured finance
or currently in credit watch with a value of "2" or worse. The
maximum single borrower group concentration allowed is 1.5% for
borrower groups with the better internal rating score, with lower
single borrower concentration limits for borrower groups with lower
internal rating scores.
COLT 2018-3: DBRS Assigns Prov. BB Rating on Class B-1 Certs
------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the COLT 2018-3 Mortgage
Pass-Through Certificates, Series 2018-3 (the Certificates) issued
by COLT 2018-3 Mortgage Loan Trust (the Trust) as follows:
-- $229.2 million Class A-1 at AAA (sf)
-- $31.5 million Class A-2 at AA (sf)
-- $29.5 million Class A-3 at A (sf)
-- $15.8 million Class M-1 at BBB (sf)
-- $5.8 million Class M-2 at BBB (low) (sf)
-- $9.6 million Class B-1 at BB (sf)
-- $6.6 million Class B-2 at B (sf)
The AAA (sf) rating on the Certificates reflects the 33.10% of
credit enhancement (CE) provided by subordinated Certificates in
the pool. The AA (sf), A (sf), BBB (sf), BBB (low) (sf), BB (sf)
and B (sf) ratings reflect 23.90%, 15.30%, 10.70%, 9.00%, 6.20% and
4.27% of CE, 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 fixed- and
adjustable-rate, prime and non-prime first-lien residential
mortgages. The Certificates are backed by 700 loans with a total
principal balance of $342,650,149 as of the Cut-Off Date (September
1, 2018).
Caliber Home Loans, Inc. (Caliber) is the originator and servicer
for 100.0% of the portfolio. The Caliber mortgages were originated
under the following five programs:
(1) Premier Access (59.4%) – Generally made to borrowers with
unblemished credit. These loans may have interest-only (IO)
features, higher debt-to-income (DTI) and loan-to-value (LTV)
ratios or lower credit scores compared with those in traditional
prime jumbo securitizations.
(2) Homeowner's Access (20.2%) – Made to borrowers who do not
qualify for agency or prime jumbo mortgages for various reasons,
such as loan size in excess of government limits, alternative or
insufficient credit or prior derogatory credit events that occurred
more than two years prior to origination.
(3) Fresh Start (11.5%) – Made to borrowers with lower credit and
significant recent credit events within the past 24 months.
(4) Elite Access (7.1%) – Generally made to borrowers with strong
credit history seeking loans with non-conforming balances who do
not meet strict prime jumbo guidelines for various reasons. These
loans may have IO features, higher DTI and LTV ratios or lower
credit scores compared with those in traditional prime jumbo
securitizations. This program has higher minimum FICO requirements
than Premier Access and does not allow for mortgage latest in the
past 12 months.
(5) Investor (1.9%) – Made to borrowers who finance investor
properties where the mortgage loan would not meet agency or
government guidelines because of such factors as property type,
number of financed properties, lower borrower credit score or a
seasoned credit event.
Wells Fargo Bank, N.A. (Wells Fargo; rated AA with a Stable trend
by DBRS) will act as the Master Servicer, Securities Administrator
and Certificate Registrar. U.S. Bank National Association (rated AA
(high) with a Stable trend by DBRS) will serve as Trustee.
Although the mortgage loans were originated to satisfy Consumer
Financial Protection Bureau (CFPB) ability-to-repay (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 CFPB
Qualified Mortgage (QM) rules, 6.3% of the loans are designated as
QM Safe Harbor, 26.1% as QM Rebuttable Presumption and 65.7% as
non-QM. Approximately 1.9% of the loans are not subject to the QM
rules.
The Servicer will generally fund advances of delinquent principal
and interest on any mortgage until such loan becomes 180 days
delinquent and it is 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 earlier of (1) the two-year anniversary of the
Closing Date and (2) the date when the aggregate stated principal
balance of the mortgage loans is reduced to 30% of the Cut-Off Date
balance, the Depositor has the option to purchase all outstanding
Certificates at a price equal to the outstanding class balance,
plus accrued and unpaid interest, including any cap carry-over
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.
The ratings reflect transactional strengths that include the
following:
(1) ATR rules and Appendix Q compliance: All mortgage loans were
underwritten in accordance with the eight underwriting factors of
the ATR rules. In addition, Caliber's underwriting standards comply
with the Standards for Determining Monthly Debt and Income as set
forth in Appendix Q of Regulation Z with respect to income
verification and the calculation of DTI ratios. However, 180 loans
were permitted to have non-material deviations from Appendix Q.
(2) Strong underwriting standards: For prime or non-prime
mortgages, underwriting standards have improved significantly from
the pre-crisis era. The Caliber loans were underwritten to a full
documentation standard with respect to verification of income
(generally through two years of W-2 forms or tax returns),
employment and assets. Generally, fully executed 4506-Ts are
obtained and tax returns are verified with IRS transcripts if
applicable.
(3) Robust loan attributes and pool composition:
-- The mortgage loans in this portfolio generally have robust loan
attributes, reflected in combined LTV ratios, borrower household
income and liquid reserves, including the loans in Homeowner's
Access and Fresh Start, the two programs with weaker borrower
credit.
-- The pool contains low proportions of cash-out and investor
properties.
-- As the programs move down the credit spectrum, certain
characteristics, such as lower LTVs or DTIs, suggest the
consideration of compensating factors for riskier pools.
-- The pool comprises 47.8% fixed-rate mortgages, which have the
lowest default risk because of the stability of monthly payments.
The pool comprises 52.2% hybrid adjustable-rate mortgages with an
initial fixed period of five to seven years, allowing borrowers
sufficient time to credit cure before rates reset.
(4) Satisfactory third-party due diligence review: A third-party
due diligence firm conducted property valuation, credit and
compliance reviews on 100% of the loans in the pool. Data integrity
checks were also performed on the pool.
(5) Satisfactory loan performance to date (albeit short): Caliber
began originating similar loans in Q4 2014. Since the first
transaction issued in November 2015, the COLT shelf's historical
performance has been satisfactory, though short. For the previous
COLT non-QM transactions rated by DBRS, as of August 2018, 60+ day
delinquency rates ranged from 0.8% to 3.3% and cumulative losses
are no higher than 0.01%. Additionally, one of the unrated
transactions (COLT 2015-1) exhibited higher 60+ day delinquency
rate of 6.1%. Finally, voluntary prepayment rates have been
relatively high as these borrowers tend to credit cure and
refinance into lower-rate mortgages. For details on the COLT
securitization performance, please refer to the "Historical
Performance" section of the related presale report.
The transaction also includes the following challenges and
mitigating factors:
(1) Representations and Warranties (R&W) framework and provider:
The R&W framework is considerably weaker compared with that of a
post-crisis prime jumbo securitization. Instead of an automatic
review when a loan becomes seriously delinquent, this transaction
employs an optional review only when realized losses occur (unless
the alleged breach relates to an ATR or TILA-RESPA Integrated
Disclosure-violation). In addition, rather than engaging a
third-party due diligence firm to perform the R&W review, the
Controlling Holder (initially the Sponsor or a majority-owned
affiliate of the Sponsor) has the option to perform the review in
house or use a third-party reviewer. Finally, the R&W provider (the
Originator) is an unrated entity, has limited performance history
of non-prime, 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:
-- The holders of Certificates representing 25% interest in the
Certificates may direct the Trustee to commence a separate review
of the related mortgage loan, to the extent they disagree with the
Controlling Holder's determination of a breach.
-- Third-party due diligence was conducted on 100% of the loans
included in the pool. A comprehensive due diligence review
mitigates the risk of future R&W violations.
-- DBRS conducted an on-site originator (and servicer) review of
Caliber and deems it to be operationally sound.
-- The Sponsor or an affiliate of the Sponsor will retain certain
classes of Certificates, which represent at least 5% of the fair
value of all the Certificates, aligning Sponsor and investor
interest in the capital structure.
-- Notwithstanding the above, DBRS adjusted the originator score
downward to account for the potential inability to fulfill
repurchase obligations, the lack of performance history as well as
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: Compared
with post-crisis prime jumbo transactions, this portfolio contains
some mortgages originated to borrowers with weaker credit and prior
derogatory credit events as well as QM-rebuttable presumption or
Non-QM loans.
-- All loans were originated to meet the eight underwriting
factors as required by the ATR rules and were also underwritten to
comply with the standards set forth in Appendix Q, although certain
loans may have non-material exceptions with respect to Appendix Q.
-- Underwriting standards have improved substantially since the
pre-crisis era.
-- The DBRS 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
Homeowner's Access and Fresh Start programs, borrower credit events
had generally happened, on average, 35 months and 25 months prior
to origination, respectively. In its analysis, DBRS applies
additional penalties for borrowers with recent credit events within
the past two years.
(3) Servicer advances of delinquent principal and interest: The
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 liquidation of the mortgages but
will increase the possibility of periodic interest shortfalls to
the Certificate holders. Mitigating factors include that principal
proceeds can be used to pay interest shortfalls to the Certificates
as the outstanding senior Certificates are paid in full and 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 related presale report.
(4) Servicer's financial capability: In this transaction, Caliber,
as the Servicer, is responsible for funding advances to the extent
required. The Servicer is an unrated entity and may face financial
difficulties in fulfilling its servicing advance obligations in the
future. Consequently, the transaction employs Wells Fargo as the
Master Servicer. If the Servicer fails in its obligation to make
advances, Wells Fargo will be obligated to fund such servicing
advances.
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.
COMM MORTGAGE 2016-COR1: Fitch Affirms BB- Rating on Class E Certs
------------------------------------------------------------------
Fitch Ratings has affirmed German American Capital Corp.'s COMM
Mortgage Securities Trust 2016-COR1 commercial mortgage
pass-through certificates.
KEY RATING DRIVERS
Steady Performance and Loss Expectations: The affirmations reflect
the generally stable performance of the pool. One loan (0.75%) is
specially serviced.
The Comfort Inn Jamestown, a 99-key hotel in Jamestown, NY,
transferred to special servicing in August 2017 due to imminent
default. The property has struggled following the opening of two
new hotels and subsequently losing market share. As of the March
2018 STR report, the property's year-to-date (YTD) occupancy was
43.6% compared to its peer set's average occupancy of 50.5% over
the same time period. As of Dec. 31, 2017, DSCR had dropped to
0.20x from 1.37x in 2016. The property is currently being marketed
for sale.
Minimal Changes to Credit Enhancement: The pool's aggregate balance
was paid down by 1.02% to $881.6 million from $890.7 million at
issuance. The pool is scheduled to pay down by only 9.4%. Fifteen
loans (52.3% of the pool) are full term interest only. Fourteen
loans (24.5% of the pool) are partial interest only, and the
remaining 13 loans (23.2%) are amortizing.
High Exposure to Retail & Lodging: The pool is exposed to a high
number loans that are designated as retail (27.8%) or hotel (14.2%)
property types. The largest loan, Glendale Fashion Center (9.3%),
is a 263,882 SF retail property in Glendale, CA. The property is
anchored by Nordstrom Rack, Ross Dress for Less and Ralph's.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset-level event changes the transaction's overall
portfolio-level metrics. For additional sensitivity analysis,
please refer to Fitch's presale dated Oct. 3, 2016.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings:
-- $21.1 million class A-1 at 'AAAsf'; Outlook Stable;
-- $64.9 million class A-2 at 'AAAsf'; Outlook Stable;
-- $48.0 million class A-SB at 'AAAsf'; Outlook Stable;
-- $215.0 million class A-3 at 'AAAsf'; Outlook Stable;
-- $265.4 million class A-4 at 'AAAsf'; Outlook Stable;
-- $667.9 million(b) class X-A at 'AAAsf'; Outlook Stable;
-- $53.4 million class A-M at 'AAAsf'; Outlook Stable;
-- $54.5 million class B at 'AA-sf'; Outlook Stable;
-- $41.2 million class C at 'A-sf'; Outlook Stable;
-- $54.5 million(ab) class X-B at 'AA-sf'; Outlook Stable;
-- $46.8 million(ab) class X-C at 'BBB-sf'; Outlook Stable;
-- $22.3 million(ab) class X-E at ' BB-sf'; Outlook Stable;
-- $10.0 million(ab) class X-F at ' B-sf'; Outlook Stable;
-- $46.8 million(a) class D at 'BBB-sf'; Outlook Stable;
-- $22.3 million(a) class E at 'BB-sf'; Outlook Stable;
-- $10.0 million(a) class F at 'B-sf'; Outlook Stable.
a) Privately placed pursuant to Rule 144A.
b) Notional amount and interest-only.
Fitch does not rate the X-G and G certificates.
FREDDIE MAC 2018-DNA3: S&P Gives Prelim. B-(sf) Rating on B-1 Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Freddie Mac
STACR Trust 2018-DNA3's notes.
The note issuance is residential mortgage-backed securities
transaction backed by fully amortizing, first-lien, fixed-rate
residential mortgage loans secured by one- to four-family
residences, planned-unit developments, condominiums, cooperatives,
and manufactured housing to mostly prime borrowers.
The preliminary ratings are based on information as of Sept. 6,
2018 Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The credit enhancement provided by the subordinated reference
tranches, as well as the associated structural deal mechanics;
-- The credit quality of the collateral included in the reference
pool;
-- A credit-linked note structure that reduces the counterparty
exposure to Freddie Mac for periodic principal payments but, at the
same time, relies on credit premium payments from Freddie Mac (a
highly rated counterparty) to make monthly interest payments and to
make up for any investment losses;
-- The issuer's aggregation experience and alignment of interests
between the issuer and noteholders in the deal's performance,
which, in S&P's view, enhances the notes' strength; and
-- The enhanced credit risk management and quality control
processes Freddie Mac uses in conjunction with the underlying
representations and warranties framework.
PRELIMINARY RATINGS ASSIGNED
Freddie Mac STACR Trust 2018-DNA3
Class Rating Amount (mil. $)
A-H(i) NR 28,429,987,815
M-1 BBB+ (sf) 210,000,000
M-1H(i) NR 86,145,706
M-2 B+ (sf) 400,000,000
M-2R B+ (sf) 400,000,000
M-2S B+ (sf) 400,000,000
M-2T B+ (sf) 400,000,000
M-2U B+ (sf) 400,000,000
M-2I B+ (sf) 400,000,000
M-2A BB+ (sf) 200,000,000
M-2AR BB+ (sf) 200,000,000
M-2AS BB+ (sf) 200,000,000
M-2AT BB+ (sf) 200,000,000
M-2AU BB+ (sf) 200,000,000
M-2AI BB+ (sf) 200,000,000
M-2AH(i) NR 81,338,422
M-2B B+ (sf) 200,000,000
M-2BR B+ (sf) 200,000,000
M-2BS B+ (sf) 200,000,000
M-2BT B+ (sf) 200,000,000
M-2BU B+ (sf) 200,000,000
M-2BI B+ (sf) 200,000,000
M-2RB B+ (sf) 200,000,000
M-2SB B+ (sf) 200,000,000
M-2TB B+ (sf) 200,000,000
M-2UB B+ (sf) 200,000,000
M-2BH(i) NR 81,338,421
B-1 B- (sf) 105,000,000
B-1A B+ (sf) 52,500,000
B-1AR B+ (sf) 52,500,000
B-1AI B+ (sf) 52,500,000
B-1AH(i) NR 21,536,426
B-1B B- (sf) 52,500,000
B-1BH(i) NR 21,536,427
B-2 NR 105,000,000
B-2A NR 52,500,000
B-2AR NR 52,500,000
B-2AI NR 52,500,000
B-2AH(i) NR 21,536,426
B-2B NR 52,500,000
B-2BH(i) NR 21,536,427
B-3H(i) NR 29,614,571
(i)Reference tranche only and will not have corresponding notes.
Freddie Mac retains the risk of each of these tranches.
NR--Not rated.
GS MORTGAGE 2007-GG10: Moody's Affirms C Rating on Class A-J Certs
------------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class and
affirmed the rating on one class in GS Mortgage Securities Trust
2007-GG10, Commercial Mortgage Pass-Through Certificates, Series
2007-GG10 as follows:
Cl. A-M, Upgraded to B1 (sf); previously on Sep 8, 2017 Affirmed B3
(sf)
Cl. A-J, Affirmed C (sf); previously on Sep 8, 2017 Downgraded to C
(sf)
RATINGS RATIONALE
The rating on Cl. A-M was upgraded based primarily on an increase
in credit support resulting from loan paydowns and liquidations.
The deal has paid down 48% since Moody's last review and 95% since
securitization.
The rating on Cl. A-J was affirmed because the rating is consistent
with Moody's expected loss plus realized losses. Cl. A-J has
already experienced a 42% realized loss as result of previously
liquidated loans.
Moody's rating action reflects a base expected loss of 33.9% of the
current pooled balance, compared to 48.1% at Moody's last review.
Moody's base expected loss plus realized losses is now 17.8% of the
original pooled balance, compared to 18.2% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 40% of the pool is in
special servicing and Moody's has identified additional troubled
loans representing 19% 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 95% to $396 million
from $7.56 billion at securitization. The certificates are
collateralized by 17 mortgage loans ranging in size from 1% to 22%
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 7, compared to 6 at Moody's last review.
Two loans, constituting 28% 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.
Sixty-two loans have been liquidated from the pool, resulting in an
aggregate realized loss of $1.21 billion (for an average loss
severity of 28%). Twelve loans, constituting 40% of the pool, are
currently in special servicing. The largest specially serviced loan
is the Rosemont Commons Loan ($56 million -- 14% of the pool). The
loan is secured by a 483,000 square foot (SF) retail property
located in Fairlawn, Ohio, a suburb of Akron. Tenants at the
property include Sam's Club, Wal-Mart, Giant Eagle, Bed Bath and
Beyond, and Michael's. The loan transferred to special servicing in
April 2017 and the loan passed its scheduled maturity date on June
6, 2017. As of June 30, 2018, the property is 98.5% leased.
The second largest specially serviced loan is the One Financial
Plaza Loan ($46 million -- 12% of the pool). The loan is secured by
a 322,000 SF office tower in Providence, Rhode Island. The loan
transferred to special servicing in January 2017 for imminent
default. As a prospective purchaser surfaced, Borrower requested a
short sale and the special servicer has approved that transaction.
The contract was executed in January 2018.
The third largest specially serviced loan is the Ashley Furniture
and former Gordmans Loan ($11 million -- 3% of the pool), which is
secured by a 103,952 SF retail center in Appleton, Wisconsin. Loan
transferred to special servicing in April 2017 due to imminent
default associated with the bankruptcy and subsequent rejection of
its lease by a major tenant. As of June 30, 2018, the property has
only one tenant occupying 49% of the total space.
The remaining nine specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $42.1 million loss
for the specially serviced loans (27% expected loss on average).
Moody's has also assumed a high default probability for three
poorly performing loans, constituting 19% of the pool, and has
estimated an aggregate loss of $42 million (a 57% expected loss on
average) from these troubled loans.
The top three performing loans represent 47% of the pool balance.
The largest performing loan is the State House Square Loan ($88
million -- 22% of the pool), which is secured by the leasehold
interest in an 837,000 SF office tower in downtown Hartford,
Connecticut. The original 75 year ground lease expires in May 2046
and requires a flat annual ground lease payment of $116,850 for the
remainder of the lease term. The loan was transferred to the
special servicer in April 2016 due to an imminent maturity default,
but was returned to the Master Servicer in October 2016 after a
loan modification. The property was 85% leased as of March 2018,
compared to 90% leased as of March 2017. The property's largest
tenant, occupying 374,000 SF (45% NRA), has multiple lease
expiration dates: 151,000 SF expiring in December 2019, 168,000 SF
expiring in December 2024, and 55,000 SF expiring in June 2025.
Moody's LTV and stressed DSCR are 157% and 0.62X, respectively, the
same as at the last review.
The second largest performing loan is the Franklin Mills -- A Note
Loan ($75 million -- 19% of the pool), which represents a pari
passu portion of a $188 million A Note. The loan is secured by a
super-regional mall located in Philadelphia, Pennsylvania, and has
rebranded under the name "Philadelphia Mills." The total property
was 86% leased while in-line occupancy was 76% as of March 2018,
compared to 88% and 79%, respectively, in March 2017. For the March
2018 trailing-twelve period, in-line sales per square foot were
$293 compared to the actual 2017 of $285. JC Penney has vacated
their 100,200 SF store at this location but continue to make lease
payments until February 2022. The loan was previously modified in
November 2012 with an A/B Note split, and the B note totals $90.0
million, $36 million of which is contributed to this trust. This
loan is pari passu with JPMCC 2007-LDP11. Moody's LTV and stressed
DSCR are 159% and 0.66X, respectively, the same as at the last
review. Moody's identified the B Note as a troubled loan and
anticipates a significant loss on this note.
The third largest performing loan is the CitiFinancial loan ($25
million -- 6% of the pool), which is secured by a 165,000 SF office
building in Fort Mill, South Carolina that is 100% leased to
CitiFinancial, who has an upcoming lease expiration in October
2020. The tenant has subleased 58,009 SF to OneMain Financial
Group, LLC. The loan previously transferred to the special servicer
in April 2017 due to an imminent maturity default, but was returned
to the Master Servicer in June 2018 after a loan modification. As
part of the modification, the maturity date was extended to
December 2018, and the borrower made a principal curtailment of
$2.7 million. Moody's incorporated a lit / dark analysis to account
for the single-tenant concentration and has identified this as a
troubled loan.
GSMS 2012-GCJ7: DBRS Lowers Rating on Class X-B Certs to B(low)
---------------------------------------------------------------
DBRS Limited downgraded three classes of the Commercial Mortgage
Pass-Through Certificates, Series 2012-GCJ7 issued by GS Mortgage
Securities Trust, Series 2012-GCJ7 as follows:
-- Class E to B (high) (sf) from BB (sf)
-- Class F to CCC (sf) from B (low) (sf)
-- Class X-B to B (low) (sf) from B (sf)
In addition, DBRS changed the trend on Class E to Negative from
Stable. The trend on Class X-B remains Negative and the rating for
Class F does not carry a trend.
DBRS confirmed the remaining classes with Stable trends as
follows:
-- Class A-4 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at A (sf)
-- Class D at BBB (low) (sf)
The rating downgrades reflect DBRS's concerns with the two loans in
special servicing, 545 Long Wharf Drive (Prospectus ID#14, 2.4% of
the pool) and Fifth Third Center (Prospectus ID#24, 1.3% of the
pool). In addition, DBRS also has significant concerns with the
second-largest loan on the servicer's watch list, Shoppes on Main
(Prospectus ID#12, 2.8% of the pool), which is secured by a retail
property that will be completely vacant in the near term following
the departure of Walmart and pending departure of Burlington Coat
Factory (Burlington). The trust previously took a loss with the
liquidation of Independence Place, the 16th-largest loan in the
pool at issuance, which was resolved with a loss of $8.3 million in
April 2017. The loss was contained to the unrated Class G
certificates, but lowered the balance of that class by 17.0%,
reducing credit support for the lowest-rated bonds in the
transaction, leaving them more vulnerable to negative movement in
the resolution outlook for the delinquent loans in the pool.
The rating confirmations reflect the significant paydown since
issuance, as well as the overall healthy performance of the bulk of
the loans in the top 15 and the relatively significant defeasance
in the pool, which represents 10.9% of the pool balance. As of the
August 2018 remittance, there were 63 loans remaining of the
original 79 loans, with a collateral reduction of 28.6% since
issuance. There is one loan scheduled to mature in the next 12
months, representing 4.1% of the pool. This loan, 101 Ludlow
(Prospectus ID#8) is defeased, representing 4.1% of the pool. The
overall performance metrics are healthy, with a weighted-average
(WA) in-place debt-service coverage ratio (DSCR) of 1.52 times (x)
and a WA debt yield of 11.9% for the pool as based on the most
recent year-end figures reported for the remaining non-defeased
loans. Those figures compare with the DBRS WA Term DSCR and DBRS WA
Debt Yield for the remaining loans at issuance of 1.39x and 9.9%,
respectively. When excluding the specially serviced 545 Long Wharf
Drive and the watch listed Shoppes on Main loans, the WA DSCR for
the largest 12 non-defeased loans (56.9% of the pool) was 1.73x as
at YE2017, with a WA NCF growth of 23.3% over the DBRS issuance
figures.
As of the August 2018 remittance, there were a total of 14 loans on
the servicer's watch list, representing 15.6% of the pool balance,
and two loans in special servicing, representing 3.7% of the pool.
The majority of the loans on the watch list are being monitored for
low DSCR driven by occupancy issues, with some monitored for minor
deferred maintenance and missing financial reporting.
As previously outlined, DBRS's concerns with this pool are
generally concentrated with the two loans in special servicing and
the watch listed Shoppes on Main loan. Shoppes on Main is secured
by a retail property in White Plains, New York, approximately ten
miles west of Greenwich, Connecticut. There is also mezzanine debt
in place, with a balance of $9.0 million at issuance. DBRS has been
monitoring the property for the loss of Walmart (68.0% of the net
rental area (NRA) on a lease through July 2021) in early August
2018 and the subsequent announcement that the only remaining
tenant, Burlington (31.0% of the NRA), would be vacating at lease
expiry in January 2019. These events triggered a cash flow sweep
for the loan, but as the structure allows for the mezzanine lender
to be paid before funds are trapped, this structure is essentially
useless in terms of protecting the senior loan. Given these
factors, DBRS applied a stressed cash-flow scenario for this loan
to significantly increase the probability of default and will
monitor closely for developments.
Both of the loans currently in special servicing were transferred
in 2017 and are secured by office properties in secondary markets.
The 545 Long Wharf Drive loan is secured by a mid-rise office
building in New Haven, Connecticut, and was transferred to special
servicing following the property's loss of AT&T, which formerly
represented 72.1% of the NRA. The special servicer obtained a May
2017 appraisal that placed the property's as-is value at $9.7
million, but a subsequent January 2018 appraisal valued the
property at $10.3 million on an as-is basis. The value remains well
below the $46.0 million value at issuance and, based on DBRS's
analysis, implies a loss severity in excess of 75.0%.
The Fifth Third Center loan is secured by an office building in
Dayton, Ohio, and was transferred to special servicing when the
loan failed to repay at the April 2017 maturity date. Occupancy
rates have steadily fallen since issuance, with near-term lease
expiries and a pending downsize for the largest tenant remaining,
Fifth Third Bank (20.7% of the NRA through October 2019). The
special servicer's most recent appraisal, dated June 2018,
estimated an as-is value of $6.0 million, a sharp decline from
$29.5 million at issuance and indicative of a loss severity in
excess of 90%, based on DBRS's analysis.
For additional information on the loans in special servicing and
the larger loans on the servicer's watch list, please see the loan
commentary on the DBRS Viewpoint platform, for which information
has been provided below.
Classes X-A and X-B are interest-only (IO) certificates that
reference a single rated tranche or multiple rated tranches. The IO
rating mirrors the lowest-rated applicable reference obligation
tranche adjusted upward by one notch if senior in the waterfall.
JP MORGAN 2006-LDP7: Fitch Lowers Rating on Class Certs to 'Csf'
----------------------------------------------------------------
Fitch Ratings has downgraded two and affirmed 10 classes of J.P.
Morgan Chase Commercial Mortgage Securities Corp (JPMCC) commercial
mortgage pass-through certificates series 2006-LDP7.
KEY RATING DRIVERS
Increased Loss Expectations: The downgrades reflect the higher loss
expectations for the pool and the lack of progress surrounding the
resolution of the remaining REO assets. The pool remains highly
distressed with 10 loans/assets (83% of the current pool) in
special servicing, nine of which (82%) are REO. The remaining nine
non-specially serviced loans (8.9%) are all performing, amortizing,
and low-levered. The largest, Linden Plaza (8.5%) is secured by a
community shopping center whose anchor tenant, Walmart (41.3% of
NRA), recently announced plans to vacate the property. The loan was
previously modified in August 2015 and a Hope Note was created. All
of the outstanding classes in the transaction are reliant upon
proceeds from the REO assets for which resolution amounts and
workout timelines remain uncertain.
Increased Credit Enhancement: Since Fitch's last rating action,
four specially serviced loans were disposed with better than
expected recoveries; principal proceeds received from the loan
dispositions, along with continued amortization of the remaining
performing loans, contributed to the payoff of class A-M and 43.8%
paydown of class A-J.
High Concentration of Specially Serviced Loans/Assets: The largest
asset in the pool, Westfield Centro Portfolio (62.2% of the current
pool), consists of a portfolio of five retail centers totaling 2.4
million square feet (sf). The loan transferred to special servicing
in May 2014 for imminent default due to a significant decline in
portfolio cashflow because of a decline in anchor and inline
occupancy and increasing operating expenses. The asset became REO
in 2016. Two of the five properties were sold in the third quarter
of 2017. The remaining three properties are all secured by regional
malls located in secondary/tertiary markets with several dark
anchor tenants and exposure to troubled retailers Macy's, Sears
Auto Center and JCPenney. Occupancy at the properties has increased
to 75% or higher as of June 2018 due to new leasing activity with
overall portfolio occupancy at 87.1%. However, given the most
recent servicer provided valuation, Fitch expects significant
losses on the asset.
The remaining specially serviced loans/assets include one REO asset
(8.8%) secured by a full-service Hilton hotel consisting of 309
rooms located in Lisle, IL, which is being required to undergo a
flag conversion; one REO asset (4%) secured by an
industrial/warehouse property with a significant decline in
occupancy due to the loss of its single-tenant; two REO assets and
one loan in foreclosure (3.9%) secured by suburban office buildings
with upcoming lease expirations and/or low occupancy; three REO
assets (3.6%) secured by retail centers; and one REO asset secured
by a multi-family property in a tertiary market.
As of the August 2018 remittance report, the pool's aggregate
principal balance has been reduced by 90.2% to $386.6 million from
$3.9 billion at issuance. Realized losses total $265.4 million
(6.7% of original pool balance). The transaction is
undercollateralized by $879,243. Cumulative interest shortfalls of
$47.6 million are currently affecting classes AJ through NR.
RATING SENSITIVITIES
Future upgrades, although unlikely, are possible with better than
expected recoveries on the specially serviced loans/assets, but may
be limited due to pool concentration and adverse selection of the
remaining collateral. Downgrades are possible should losses on the
specially serviced loans/assets exceed Fitch's expectations and as
principal losses are realized.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has downgraded the following classes and revised Recovery
Estimates as follows:
-- $174.3 million class A-J to 'CCsf' from 'CCCsf'; RE to 50%
from 75%;
-- $78.8 million class B to 'Csf' from 'CCsf'; RE 0%.
Fitch has affirmed the following classes:
-- $44.3 million class C at 'Csf''; RE 0%;
-- $14.8 million class D at 'Csf'; RE 0%;
-- $39.4 million class E at 'Csf'; RE 0%;
-- $35.0 million class F at 'Dsf'; RE 0%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%.
The class A-1, A-2, A-3A, A-3FL, A-3B, A-4, A-SB, A-1A and A-M
certificates have paid in full. Fitch does not rate the class N, P,
Q and NR certificates. Fitch previously withdrew the rating on the
interest-only class X certificates.
MAGNETITE LTD XII: Moody's Assigns B3 Rating on Class F-R Notes
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
CLO refinancing notes issued by Magnetite XII, Ltd.:
Moody's rating action is as follows:
US$6,000,000 Class X Amortizing Senior Secured Floating Rate Notes
due 2031 (the "Class X Notes"), Assigned Aaa (sf)
US$379,650,000 Class A-RR Senior Secured Floating Rate Notes due
2031 (the "Class A-RR Notes"), Assigned Aaa (sf)
US$52,290,000 Class B-RR-A Senior Secured Floating Rate Notes due
2031 (the "Class B-RR-A Notes"), Assigned Aa2 (sf)
US$12,960,000 Class B-RR-B Senior Secured Fixed Rate Notes due 2031
(the "Class B-RR-B Notes"), Assigned Aa2 (sf)
US$29,660,000 Class C-RR Deferrable Mezzanine Floating Rate Notes
due 2031 (the "Class C-RR Notes"), Assigned A2 (sf)
US$38,560,000 Class D-R Deferrable Mezzanine Floating Rate Notes
due 2031 (the "Class D-R Notes"), Assigned Baa3 (sf)
US$32,630,000 Class E-R Deferrable Mezzanine Floating Rate Notes
due 2031 (the "Class E-R Notes"), Assigned Ba3 (sf)
US$11,860,000 Class F-R Deferrable Mezzanine 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.
BlackRock Financial Management, Inc. (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 September 6, 2018 in
connection with the refinancing of all classes of the secured notes
previously partially refinanced on November 30, 2016 and originally
issued on March 12, 2015. On the Refinancing Date, the Issuer used
proceeds from the issuance of the Refinancing Notes, along with the
proceeds from the issuance of additional preferred shares, to
redeem in full the Refinanced Original Notes.
In addition to the issuance of the Refinancing Notes and additional
preferred shares, 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: $593,200,000
Defaulted par: $0
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2756
Weighted Average Spread (WAS): 2.95%
Weighted Average Recovery Rate (WARR): 48.5%
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 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.
MCAP CMBS 2014-1: DBRS Confirms B Rating on Class G Certificates
----------------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2014-1 (the
Certificates) issued by MCAP CMBS Issuer Corporation, Series 2014-1
as follows:
-- Class A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class X at A (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
-- Class G at B (sf)
All trends are Stable, with the exception of Class G, for which
DBRS has maintained a Negative trend, and Class F, for which DBRS
has changed the trend to Stable from Negative, as it appears the
borrower has produced a viable business plan to refinance the 1177
11 Avenue SW loan (5.3% of the pool), which is currently secured by
an office property in Calgary; however, the property is planned to
be redeveloped into a multifamily property. The Negative trend on
Class G remains to reflect the ongoing concern regarding the 1121
Centre Street NW loan (5.8% of the pool), which is also secured by
an office property located in Calgary. The office market in Calgary
continues to exhibit prolonged and significant vacancy, reductions
in rental rates and an overall lack of liquidity.
The rating confirmations reflect the overall stable performance
exhibited since September 2017. As of the August 2018 remittance,
25 of the original 32 loans remained in the pool with an aggregate
balance of $166.6 million, representing a collateral reduction of
25.6% since issuance due to loan repayment and scheduled loan
amortization. To date, 19 loans (70.2% of the pool) have reported
year-end 2017 net cash flows (NCFs), while three loans (21.6% of
the pool) have reported year-end 2016 NCFs. The other three loans
(8.2% of the pool) remain current and are fully occupied. Based on
the most recently reported year-end (YE) financials, the
transaction had a weighted-average (WA) debt service coverage ratio
(DSCR) and WA debt yield of 1.32 times (x) and 9.3%, respectively,
compared with the DBRS Term DSCR and debt yield of 1.25x and 8.3%,
respectively. In addition, 17 loans (62.4% of the pool) have some
form of meaningful recourse for their respective sponsor and/or
guarantor.
As of the August 2018 remittance, there was one loan (5.3% of the
pool) in special servicing and five loans (18.5% of the pool) on
the servicer's watch list. Of the five loans on the servicer's
watch list, three loans (9.0% of the pool) were flagged due to
upcoming maturities, while two loans (9.5% of the pool) were
flagged for performance-related reasons. To date, all loans are
current and the three loans with near-term maturity dates are
expected to pay in full upon maturity.
The specially serviced loan, 1177 11 Avenue SW, is secured by a
61,925 square foot (sf), Class B office building located in the
Beltline District of Calgary. The loan had an initial maturity date
in February 2017; however, following two short-term extensions to
allow time for re-tenanting, the loan entered into a two-year
forbearance agreement, through August 2019. The property is
currently vacant, but Strategic Group (Strategic) – of which the
guarantor, Ritz Madman, is the CEO – has plans to partner with a
large Canadian pension fund as an equity partner for 35% of the
asset in order to convert the property into a residential building
with ground-floor retail. The deal is expected to close in
September 2018, which would result in the full repayment of the
loan shortly thereafter.
The second loan on DBRS's radar is 1121 Centre Street NW (5.8% of
the pool), secured by another Class B office property totaling
62,843 sf, situated approximately 6.0 kilometers southwest of the
1177 11 Avenue SW property. Although performance of the asset has
historically been stable and the loan also benefits from
sponsorship from Strategic, DBRS is concerned with potential
refinance risk upon maturity in August 2019. The property is
currently 89.7% occupied; however, two tenants, representing 24.8%
of the net rentable area (NRA) have lease expirations prior to
September 2019, elevating the loan's refinance risk if the property
is to follow submarket trends. Per CBRE's Q2 2018 Market View,
Class B office properties in the Beltline submarket reported a
vacancy rate of 26.7%, relatively unchanged from 26.9% at Q2 2017.
While the whole loan amount of $170 per square foot (psf) is below
the issuance appraised value of $269 psf, according to Real Capital
Analytics, sales comparable within a 1.5-mile radius over the last
24 months have averaged a sale price of $106 psf, indicating the
loan's relatively high leverage in today's market. The largest
tenant at the property, Vepica Ltd. (formerly Excelsior Engineering
Ltd; 50.8% of the NRA) does not have a lease expiration until June
2022 and the loan does benefit from a 50.0% recourse guarantee from
the sponsor, providing a measure of stability to the loan. As noted
above, Strategic has previously partnered with the Canadian Pension
Fund, using capital to repay debt obligations, including a loan
amount that was in excess of $44.0 million in 2017 and the sponsor
has shown its commitment to assets in the Calgary market.
Class X is an interest-only (IO) certificate that references
multiple rated tranches. The IO rating mirrors the lowest-rated
applicable reference obligation tranche. However, the rating
assigned to Class X materially deviates from the lower rating
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 deviation is warranted as consideration was given
for actual loan, transaction and sector performance where a rating
based on the lowest-rated notional class may not reflect the
observed risk.
Notes: All figures are in Canadian dollars unless otherwise noted.
MORGAN STANLEY 2015-c26: Fitch Affirms B- Rating on Class F Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Morgan Stanley Bank of
America Merrill Lynch Trust's MSBAM 2015-C26 Mortgage Trust
commercial mortgage pass-through certificates.
KEY RATING DRIVERS
Stable Performance and Loss Expectations: Overall pool performance
and loss expectations remain stable since issuance. There have been
no realized losses to date and there are no specially serviced or
delinquent loans. Three loans (2.2% of current pool) outside of the
top 15 have been designated as Fitch Loans of Concern (FLOCs). The
FLOCs include a medical office loan with a NOI DSCR decline due to
a significant reduction in expense reimbursements between year-end
(YE) 2017 and YE 2016, a hotel loan with YE 2017 NOI DSCR below
1.0x due to renovations that took place between mid-October and
mid-December 2017 and a multifamily loan with lower cash flow due
to increased operating expenses as the property undergoes major
repairs and capital expenditures.
Increased Credit Enhancement: Since Fitch's last rating action,
credit enhancement has improved due to five loans (2.1% of original
pool balance) prepaying with yield maintenance and continued
amortization. As of the August 2018 distribution date, the pool's
aggregate principal balance has paid down by 3.5% to $1.01 billion
from $1.05 billion at issuance.
Limited Upcoming Maturities: Only 0.9% of the pool is scheduled to
mature in 2020. The majority of the pool matures in 2024 (9.9%) and
2025 (88.8%). There is one ARD loan (0.4%). Based on the loans'
scheduled maturity balances, the pool is expected to amortize 9.8%
during the term. Eight loans (33.2%) are full-term interest-only,
22 loans (26.8%) remain within their partial interest-only period
and the remaining loans are currently amortizing.
Manhattan Concentration: The three largest loans (29.8% of current
pool) are located in Manhattan. These three properties are
considered to be in very strong locations for office and retail,
including the Grand Central office market/Lower Fifth Avenue,
Herald Square and Midtown South submarkets.
Limited Retail and Hotel Exposure; Pool Concentration:
Approximately 10.4% of the current pool consists of retail
properties, which is below the average 2015 concentration of 26.7%.
Approximately 6.9% of the current pool balance consists of hotel
properties, which is below the average 2015 concentration of 17%.
The top-10 loans make up 52.9% of the pool.
RATING SENSITIVITIES
Rating Outlooks on all classes remain Stable due to overall stable
pool performance and expected continued paydown. Future rating
upgrades may occur with improved pool performance and additional
defeasance or paydown. Rating downgrades to the classes are
possible should overall pool performance decline.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings:
-- $14.8 million class A-2 at 'AAAsf'; Outlook Stable;
-- $59.8 million class A-SB at 'AAAsf'; Outlook Stable;
-- $100 million class A-3 at 'AAAsf'; Outlook Stable;
-- $215 million class A-4 at 'AAAsf'; Outlook Stable;
-- $307.4 million class A-5 at 'AAAsf'; Outlook Stable;
-- $77.3 million class A-S at 'AAAsf'; Outlook Stable;
-- $48.5 million class B at 'AA-sf'; Outlook Stable;
-- $44.5 million class C at 'A-sf'; Outlook Stable;
-- $60.3 million class D at 'BBB-sf'; Outlook Stable;
-- $26.2 million class E at 'BB-sf'; Outlook Stable;
-- $10.5 million class F at 'B-sf'; Outlook Stable;
-- $697 million class X-A* at 'AAAsf'; Outlook Stable;
-- $125.8 million class X-B* at 'AA-sf'; Outlook Stable;
-- $60.3 million class X-D* at 'BBB-sf'; Outlook Stable.
The class A-1 certificates have paid in full.
Notional amount and interest-only.
OCP CLO 2014-7: S&P Assigns B-(sf) Rating on Class E-RR Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-1-RR, A-2-RR, B-1-RR, B-2-RR, C-RR, D-RR, and E-RR notes and the
new class X-RR notes from OCP CLO 2014-7 Ltd., a collateralized
loan obligation (CLO) originally issued in November 2014 and
subsequently refinanced in October 2017 that is managed by Onex
Credit Partners LLC. S&P withdrew its ratings on the current class
A-1A-R, A-1B-R, A-2A-R, A-2B-R, B-1-R, B-2-R, C, D, and E notes
following payment in full on the Sept. 6, 2018 refinancing date.
On the Sept. 6, 2018, refinancing date, the proceeds from the
replacement class A-1-RR, A-2-RR, B-1-RR, B-2-RR, C-RR, D-RR, and
E-RR notes and the new class X-RR notes issuances were used to
redeem the current class A-1A-R, A-1B-R, A-2A-R, A-2B-R, B-1-R,
B-2-R, C, D, and E notes as outlined in the transaction document
provisions. Therefore, S&P withdrew its ratings on the class
A-1A-R, A-1B-R, A-2A-R, A-2B-R, B-1-R, B-2-R, C, D, and E 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:
-- Issue the replacement class at a higher weighted average cost
of debt than the current notes.
-- Issue all replacement classes at floating spreads, except the
class B-2-RR notes, which will be issued with a fixed rate.
-- Extend the stated maturity by 2.75 years compared to the
original transaction's stated maturity.
-- End the reinvestment and non-call periods 2.87 and 0.87 years,
respectively, from the reset closing date.
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
OCP CLO 2014-7 Ltd.
Replacement class Rating Amount (mil $)
X-RR AAA (sf) 5.00
A-1-RR AAA (sf) 330.00
A-2-RR AA (sf) 50.00
B-1-RR A (sf) 20.00
B-2-RR A (sf) 10.00
C-RR BBB- (sf) 30.00
D-RR BB- (sf) 24.00
E-RR B- (sf) 6.00
Subordinated notes NR 10.00
Preference shares NR 75.95
RATINGS WITHDRAWN
OCP CLO 2014-7 Ltd.
Rating
Current class To From
A-1A-R NR AAA (sf)
A-1B-R NR AAA (sf)
A-2A-R NR AA (sf)
A-2B-R NR AA (sf)
B-1-R NR A (sf)
B-2-R NR A (sf)
C NR BBB (sf)
D NR BB (sf)
E NR B (sf)
NR--Not rated.
REALT 2014-1: DBRS Confirms B Rating on Class G Certs
-----------------------------------------------------
DBRS Limited confirmed the ratings on the following Commercial
Mortgage Pass-Through Certificates, Series 2014-1 issued by Real
Estate Asset Liquidity Trust, Series 2014-1:
-- Class A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class X at A (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
-- Class G at B (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction since issuance. At issuance, the pool consisted of
34 loans secured by 46 properties with a trust balance of $280.6
million. As of the August 2018 remittance, the pool has a current
trust balance of $255.3 million, representing a collateral
reduction of 9.0% due to scheduled loan amortization with all loans
remaining in the pool. Based on the most recent reporting, the pool
is reporting a weighted-average (WA) debt service coverage ratio
(DSCR) of 1.49 times (x) and 10.1%, respectively, compared with the
DBRS WA DSCR and debt yield of 1.46x and 8.9%, respectively, at
issuance. Based on the most recent reporting, the Top 15 loans
(excluding defeasance) are reporting a WA DSCR and debt yield of
1.54x and 10.5%, respectively, representing a net cash flow (NCF)
growth of 9.2% over DBRS NCF figures at issuance. Twenty-two loans
(69.4% of the pool) have partial or full recourse to their
respective sponsors and 26 loans (89.5% of the pool) are secured by
properties in urban or suburban markets. The pool benefits from
defeasance collateral as one loan (Prospectus ID#13; 3.1% of the
pool) is fully defeased.
According to the August 2018 remittance, there are three loans
(3.8% of the pool) on the servicer's watch list and no loans in
special servicing. Four Points Sheraton Kamloops (Prospectus ID#14;
2.7% of the pool) was added to the servicer's watch list in July
2016 for declining cash flow performance since issuance. Increased
competition in the submarket hindered the subject's performance
until September 2017; however, occupancy has increased to
near-issuance levels as of May 2018 reporting. The subject's
franchise agreement with Clock tower Hotel Limited Partnership
expires in July 2020 and the loan is full recourse to the sponsor.
Magnum Building Edmonton (Prospectus ID#31; 0.6% of the pool) and
Whitestone Manor Multi-Residence Edmonton (Prospectus ID#34; 0.5%
of the pool) were added to the servicer's watch list due to
rollover and declining cash flow performance, respectively.
Class X is an interest-only (IO) certificate that references
multiple rated tranches. The IO rating mirrors the lowest-rated
applicable reference obligation tranche.
REALT 2016-2: DBRS Confirms B Rating on Class G Notes
-----------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2016-2 (the
Certificates) issued by Real Estate Asset Liquidity Trust, Series
2016-2 as follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class X at A (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
-- Class G at B (sf)
All trends are Stable.
The rating confirmations reflect the stable overall performance of
the transaction since issuance. The collateral consists of 47 loans
secured by 72 commercial properties for a total issuance balance of
$421.0 million. As of the August 2018 remittance, all loans remain
in the pool with a total trust balance of $400.6 million,
representing a 4.8% collateral reduction since issuance. Most of
the loans in the pool show updated reporting as 44 loans,
representing 94.6% of the pool, are reporting YE2017 net cash flow
(NCF) figures. These loans reported a weighted-average (WA) debt
service coverage ratio (DSCR) and WA debt yield of 1.59 times (x)
and 10.5%, respectively, compared with the DBRS Term DSCR and DBRS
Debt Yield for those loans of 1.38x and 9.2%, respectively.
Performance for the largest 15 loans, which collectively represent
56.2% of the pool, has been healthy overall with the most recently
reported year-end NCF figures showing a WA DSCR of 1.50x and a WA
NCF growth of 10.5% compared with the DBRS figures derived at
issuance.
There are two loans, representing 4.5% of the pool balance, on the
servicer's watch list. Both the Duke of Devonshire (Prospectus
ID#17) and 4000 Innovation (Prospectus ID#25) are being monitored
due to tenancy issues. Of these two loans, the most noteworthy is
4000 Innovation as the property's single tenant is BlackBerry
Limited (Blackberry) with a lease scheduled to expire in May 2019.
Blackberry has vacated the property and part of the space is
subleased by Ford Motor Company (Ford); news reports suggest that
Ford could sign a direct lease for the property once Blackberry
rolls off.
Class X is an interest-only (IO) certificate that references a
single rated tranche or multiple rated tranches. The IO rating
mirrors the lowest-rated applicable reference obligation tranche
adjusted upward by one notch if senior in the waterfall.
SYMPHONY CLO V: S&P Affirms BB+(sf) Rating on Class D Notes
-----------------------------------------------------------
S&P Global Ratings raised its ratings on the class A-2, B, and C
notes from Symphony CLO V Ltd. S&P said, "At the same time, we
affirmed our ratings on the class A-1 and D notes from the same
transaction. We also removed our ratings on the class A-2, B, C,
and D from CreditWatch, where we placed them with positive
implications on June 8, 2018."
The rating actions follow S&P's review of the transaction's
performance using data from the July 13, 2018 trustee report.
The upgrades reflect the transaction's $137.62 million in paydowns
to the class A-1 notes since our June 16 2017, rating actions.
These paydowns resulted in improved reported overcollateralization
(O/C) ratios since the May 17, 2017, trustee report, which we used
for our June 16, 2017, rating actions:
-- The class A O/C ratio improved to 184.57% from 133.30%.
-- The class B O/C ratio improved to 152.62% from 124.03%.
-- The class C O/C ratio improved to 132.54% from 116.92%.
-- The class D O/C ratio improved to 118.87% from 111.33%.
The upgrades reflect the improved credit support at the prior
rating levels; the affirmed ratings reflect S&P's view that the
credit support available is commensurate with the current rating
levels.
On a standalone basis, the results of the cash flow analysis
indicated higher ratings on the class B, C, and D notes. However,
as the portfolio amortizes, it has become concentrated, and 'CCC'
rated assets and defaulted collateral obligations have increased as
a percentage of the portfolio. S&P said, "We also considered that
the portfolio's weighted average spread declined to 2.64% in July
2018 from 3.02% in June 2017. As a result, we limited the upgrades
on these classes to offset future potential credit migration,
concentration risks, and volatility in the underlying collateral."
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the aforementioned 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 and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis demonstrated, in our view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with these rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and will take rating actions as we deem
necessary."
RATINGS RAISED AND REMOVED FROM CREDITWATCH POSITIVE
Symphony CLO V Ltd.
Rating
Class To From
A-2 AAA (sf) AA+ (sf)/Watch Pos
B AA+ (sf) AA- (sf)/Watch Pos
C A+ (sf) BBB+ (sf)/Watch Pos
RATING AFFIRMED AND REMOVED FROM CREDITWATCH POSITIVE
Symphony CLO V Ltd.
Rating
Class To From
D BB+ (sf) BB+ (sf)/Watch Pos
RATING AFFIRMED
Symphony CLO V Ltd.
Class Rating
A-1 AAA (sf)
SYMPHONY CLO XVI: Moody's Assigns B3 Rating on Class F-R Notes
--------------------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
CLO refinancing notes issued by Symphony CLO XVI, Ltd.:
Moody's rating action is as follows:
US$256,000,000 Class A-R Senior Floating Rate Notes due 2031 (the
"Class A-R Notes"), Assigned Aaa (sf)
US$30,000,000 Class B-1R Senior Floating Rate Notes due 2031 (the
"Class B-1R Notes"), Assigned Aa2 (sf)
US$14,400,000 Class B-2R Senior Fixed Rate Notes due 2031 (the
"Class B-2R Notes"), Assigned Aa2 (sf)
US$15,000,000 Class C-1R Deferrable Mezzanine Floating Rate Notes
due 2031 (the "Class C-1R Notes"), Assigned A2 (sf)
US$5,000,000 Class C-2R Deferrable Mezzanine Fixed Rate Notes due
2031 (the "Class C-2R Notes"), Assigned A2 (sf)
US$24,800,000 Class D-R Deferrable Mezzanine Floating Rate Notes
due 2031 (the "Class D-R Notes"), Assigned Baa3 (sf)
US$22,800,000 Class E-R Deferrable Junior Floating Rate Notes due
2031 (the "Class E-R Notes"), Assigned Ba3 (sf)
US$8,000,000 Class F-R Deferrable Junior 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.
Symphony Asset Management LLC manages the CLO. It directs the
selection, acquisition, and disposition of collateral on behalf of
the Issuer.
RATINGS RATIONALE
Moody's ratings on the Refinancing Notes address the expected
losses posed to noteholders. The ratings reflect the risks due to
defaults on the underlying portfolio of assets, the transaction's
legal structure, and the characteristics of the underlying assets.
The Issuer has issued the Refinancing Notes on September 7, 2018 in
connection with the refinancing of all classes of the secured notes
previously issued on July 15, 2015. 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: $400,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2846
Weighted Average Spread (WAS): 3.20%
Weighted Average Coupon (WAC): 5.00%
Weighted Average Recovery Rate (WARR): 47.50%
Weighted Average Life (WAL): 9.5 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.
[*] S&P Takes Various Actions on 62 Classes From 7 US RMBS Deals
----------------------------------------------------------------
S&P Global Ratings completed its review of 62 classes from seven
U.S. residential mortgage-backed securities (RMBS) resecuritized
real estate mortgage investment conduit (re-REMIC) transactions
issued between 2003 and 2010. All of these transactions are backed
by mixed collateral. The review yielded 18 upgrades, two
downgrades, and 42 affirmations.
ANALYTICAL CONSIDERATIONS
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations include:
-- Underlying collateral performance/delinquency trends,
-- Expected short duration,
-- Priority of principal payments,
-- Loan modification criteria, and
-- Available subordination and/or overcollateralization.
A list of Affected Ratings can be viewed at:
https://bit.ly/2oV66EM
[*] S&P Takes Various Actions on 69 Classes From 24 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 69 classes from 24 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2002 and 2007. All of these transactions are backed by
subprime and prime jumbo collateral. The review yielded 17
upgrades, six downgrades, 44 affirmations, and two withdrawals.
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations include:
-- Collateral performance/delinquency trends;
-- Erosion of or increases in credit support;
-- Historical missed interest payments;
-- Priority of principal payments;
-- Expected duration; and
-- Available subordination and/or overcollateralization.
A list of Affected Ratings can be viewed at:
https://bit.ly/2QhSMH3
*********
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