/raid1/www/Hosts/bankrupt/TCR_Public/181216.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, December 16, 2018, Vol. 22, No. 349
Headlines
AMMC CLO 15: Moody's Rates $22.8MM Class ERR Notes Ba3
ATRIUM XV: S&P Assigns BB- Rating on $38MM Class E Notes
BARINGS CLO 2018-IV: Moody's Rates $27.5MM Class E Notes 'Ba3'
BEAR STEARNS 2005-PWR9: S&P Raises Class F Certs Rating to B+
CARLYLE GLOBAL 2012-3: S&P Assigns Prelim BB- Rating on D-R2 Notes
COLONNADE GLOBAL 2018-3X: DBRS Gives (P)BB(high) Rating on K Debt
COMM 2014-LC15: DBRS Confirms B Rating on Class F Certs
DRYDEN 70 CLO: S&P Assigned Prelim BB- Rating on Class E Notes
EXETER AUTOMOBILE: DBRS Reviews 43 Ratings From 12 Transactions
GALAXY XXVI: Moody's Rates $7.45MM Class F Notes 'Ba3'
GE COMMERCIAL 2002-1: Moody's Affirms C Rating on 2 Tranches
GLOBAL LEVERAGED I: S&P Lowers Rating on 2 Tranches to CC
GS MORTGAGE 2005-GG4: Moody's Hikes Class E Certs Rating to Caa3
GS MORTGAGE 2014-GC18: Fitch Lowers Class D Certs Rating to BBsf
HOME PARTNERS 2016-2: Moody's Hikes Class E Debt Rating to Ba1
HOMEWARD TRUST 2018-2: S&P Assigns Prelim B+ Rating on B-2 Notes
JP MORGAN 2005-LDP1: Moody's Affirms Ba1 Rating on Class G Certs
JP MORGAN 2007-CIBC20: Fitch Hikes Class C Certs Rating to BBsf
JP MORGAN 2007-CIBC20: Fitch Hikes Class C Certs Rating to BBsf
JP MORGAN 2016-C1: Fitch Affirms BB- Rating on $29.4MM Cl. E Certs
MADISON PARK XXXI: S&P Assigns BB- Rating on $30MM Cl. E Notes
MERRILL LYNCH 2006-C1: S&P Affirms B+ Rating on Class AJ Certs
MORGAN STANLEY 2017-HR2: DBRS Confirms B Rating on Cl. H-RR Certs
MORGAN STANLEY 2018 H-4: Fitch to Rate $7.96MM Cl. G-RR Certs B-
OHA CREDIT X-R: S&P Assigns B- Rating on $11.75MM Cl. F Notes
PEAKS CLO 3: S&P Assigns BB- Rating on $6.25MM Class E Notes
SELKIRK 2014-3A: DBRS Hikes Class F Notes Rating to BB
SELKIRK 2014-3V: DBRS Hikes Class F Notes Rating to BB
SOUND POINT XI: Moody's Rates $25MM Class E-R Notes 'Ba2'
THL CREDIT 2018-3: S&P Assigns BB- Rating on Class E Notes
UBS COMMERCIAL 2018-C15: Moody's to Rate Cl. G-RR Certs B-
VENTURE XIX: Moody's Rates $25MM Class E-RR Notes 'Ba3'
VERUS TRUST 2018-INV2: S&P Gives Prelim B Rating on B-2 Certs
WEST CLO 2013-1: S&P Affirms BB- Rating on Class D Notes
[*] Moody's Takes Action on $22.6MM RMBS Issued 2002-2006
[*] Moody's Takes Action on $269.7MM Debt Backed by Housing Loans
[*] Moody's Takes Action on $430.3MM Securities Issued 2004-2007
[*] Moody's Takes Action on $59.6MM Securities Issued 1995-2001
[*] S&P Discontinues 'D' Ratings on 11 Classes From 8 US CMBS Deals
[*] S&P Takes Actions on 61 Classes From 17 US RMBS Deals
[*] S&P Takes Various Actions on 37 Classes From Nine US RMBS Deals
[*] S&P Takes Various Actions on 45 Classes From 18 US RMBS Deals
*********
AMMC CLO 15: Moody's Rates $22.8MM Class ERR Notes Ba3
------------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
CLO refinancing notes issued by AMMC CLO 15, Limited:
Moody's rating action is as follows:
US$2,500,000 Class AXRR Amortizing Senior Secured Floating Rate
Notes due 2032 (the "Class AXRR Notes"), Assigned Aaa (sf)
US$265,300,000 Class ARR Senior Secured Floating Rate Notes due
2032 (the "Class ARR Notes"), Assigned Aaa (sf)
US$16,000,000 Class AFRR Senior Secured Fixed Rate Notes due 2032
(the "Class AFRR Notes"), Assigned Aaa (sf)
US$52,700,000 Class BRR Senior Secured Floating Rate Notes due 2032
(the "Class BRR Notes"), Assigned Aa2 (sf)
US$21,100,000 Class CRR Senior Secured Deferrable Floating Rate
Notes due 2032 (the "Class CRR Notes"), Assigned A2 (sf)
US$26,500,000 Class DRR Senior Secured Deferrable Floating Rate
Notes due 2032 (the "Class DRR Notes"), Assigned Baa3 (sf)
US$22,800,000 Class ERR Senior Secured Deferrable Floating Rate
Notes due 2032 (the "Class ERR Notes"), Assigned Ba3 (sf)
US$5,140,000 Class FRR Senior Secured Deferrable Floating Rate
Notes due 2032 (the "Class FRR Notes"), Assigned B3 (sf)
The Issuer is a managed cash flow collateralized loan obligation.
The issued notes are collateralized primarily by a portfolio of
broadly syndicated senior secured corporate loans.
American Money Management Corporation manages the CLO. It directs
the selection, acquisition, and disposition of collateral on behalf
of the Issuer.
RATINGS RATIONALE
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 December 10, 2018 in
connection with the refinancing of all classes of secured notes
previously refinanced on December 9, 2016 and originally issued on
December 9, 2014. 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: reinstatement and 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, weighted average spread, 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: $439,660,000
Diversity Score: 80
Weighted Average Rating Factor (WARF): 2905
Weighted Average Spread (WAS): 3.35%
Weighted Average Coupon (WAC): 6.5%
Weighted Average Recovery Rate (WARR): 47.5%
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.
The Credit Rating for AMMC CLO 15, Limited was assigned in
accordance with Moody's existing Methodology entitled "Moody's
Global Approach to Rating Collateralized Loan Obligations," dated
August 31, 2017. Please note that on November 14, 2018, Moody's
released a Request for Comment, in which it has requested market
feedback on potential revisions to its Methodology for
Collateralized Loan Obligations. If the revised Methodology is
implemented as proposed, Moody's do not expect the changes to
affect the Credit Rating on AMMC CLO 15, Limited. Please refer to
Moody's Request for Comment, titled "Proposed Update to Moody's
Global Approach to Rating Collateralized Loan Obligations," for
further details regarding the implications of the proposed
Methodology revisions on certain Credit Ratings.
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.
ATRIUM XV: S&P Assigns BB- Rating on $38MM Class E Notes
--------------------------------------------------------
S&P Global Ratings assigned its ratings to Atrium XV/Atrium XV
LLC's $876.00 million floating- and fixed-rate notes.
The note issuance is a collateralized loan obligation transaction
backed primarily by broadly syndicated speculative-grade senior
secured term loans that are governed by collateral quality tests.
The ratings reflect:
-- The diversified collateral pool.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
Atrium XV/Atrium XV LLC
Class Rating Amount (mil. $)
X AAA (sf) 3.00
A-1 AAA (sf) 600.00
A-2 NR 45.00
B AA (sf) 115.00
C (deferrable) A (sf) 67.50
D (deferrable) BBB- (sf) 52.50
E (deferrable) BB- (sf) 38.00
Subordinated notes NR 111.75
NR--Not rated.
BARINGS CLO 2018-IV: Moody's Rates $27.5MM Class E Notes 'Ba3'
--------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to five
classes of notes issued by Barings CLO Ltd. 2018-IV.
Moody's rating action is as follows:
US$305,000,000 Class A-1 Senior Secured Floating Rate Notes due
2030 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf)
US$51,250,000 Class B Senior Secured Floating Rate Notes due 2030
(the "Class B Notes"), Definitive Rating Assigned Aa2 (sf)
US$25,000,000 Class C Secured Deferrable Mezzanine Floating Rate
Notes due 2030 (the "Class C Notes"), Definitive Rating Assigned A2
(sf)
US$31,250,000 Class D Secured Deferrable Mezzanine Floating Rate
Notes due 2030 (the "Class D Notes"), Definitive Rating Assigned
Baa3 (sf)
US$27,500,000 Class E Secured Deferrable Mezzanine Floating Rate
Notes due 2030 (the "Class E Notes"), Definitive Rating Assigned
Ba3 (sf)
The Class A-1 Notes, the Class B Notes, the Class C Notes, the
Class D Notes and the Class E Notes are referred to herein,
collectively, as the "Rated Notes."
RATINGS RATIONALE
The definitive 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.
Barings 2018-IV is a managed cash flow CLO. The issued notes will
be collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90.0% of the portfolio must consist of
first lien senior secured loans and eligible investments, and up to
10.0% of the portfolio may consist of second lien loans and
unsecured loans. The portfolio is approximately 55% ramped as of
the closing date.
Barings LLC will direct the selection, acquisition and disposition
of the assets on behalf of the Issuer and may engage in trading
activity, including discretionary trading, during the transaction's
five year reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue one other
class of secured notes and subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2814
Weighted Average Spread (WAS): 3.20%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 47.00%
Weighted Average Life (WAL): 8.9 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
The Credit Rating for Barings CLO Ltd. 2018-IV was assigned in
accordance with Moody's existing Methodology entitled "Moody's
Global Approach to Rating Collateralized Loan Obligations," dated
August 31, 2017. Please note that on November 14, 2018, Moody's
released a Request for Comment, in which it has requested market
feedback on potential revisions to its Methodology for
Collateralized Loan Obligations. If the revised Methodology is
implemented as proposed, Moody's does not expect the changes to
affect the Credit Rating on Barings CLO Ltd. 2018-IV. Please refer
to Moody's Request for Comment, titled "Proposed Update to Moody's
Global Approach to Rating Collateralized Loan Obligations," for
further details regarding the implications of the proposed
Methodology revisions on certain Credit Ratings.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
BEAR STEARNS 2005-PWR9: S&P Raises Class F Certs Rating to B+
-------------------------------------------------------------
S&P Global Ratings raised its ratings on the class D, E, and F
commercial mortgage pass-through certificates from Bear Stearns
Commercial Mortgage Securities Trust 2005-PWR9, a U.S. commercial
mortgage-backed securities (CMBS) transaction. In addition, S&P
affirmed its rating on the class C certificates from the same
transaction.
For the affirmation and upgrades, S&P's credit enhancement
expectations were in line with the affirmed or raised rating
levels.
The upgrades on classes D, E, and F also reflect the deleveraging
of the pool, resulting from the liquidation of specially serviced
assets and the amount of defeased loans in the transaction ($44.1
million, 39.6% of the trust).
While available credit enhancement levels suggest further positive
rating movements on classes E and F, our analysis also considered
the potential for reduced liquidity support to these classes from
the specially serviced assets ($18.1 million, 16.3%) and the
transaction's concentration to loans secured by retail properties.
Specifically, the Burlington Coat Factory loan ($5.7mm, 5.11%) did
not pay off at the loan's anticipated repayment date in September
2015. Furthermore, the property securing the loan has substantial
tenant rollover risk in 2020 when the largest tenant, Burlington
Coat Factory, lease will expire.
TRANSACTION SUMMARY
As of the Nov. 13, 2018, trustee remittance report, the collateral
pool balance was $111.4 million, which is 5.2% of the pool balance
at issuance. The pool currently includes 14 loans and four real
estate owned (REO) assets, down from 200 loans at issuance. Four of
these assets ($18.1 million, 16.3%) are with the special servicer,
six ($44.1 million, 39.6%) are defeased, and two ($12.7 million,
11.4%) are on the master servicer's watchlist.
S&P calculated a 1.33x S&P Global Ratings weighted average debt
service coverage (DSC) and 59.4% S&P Global Ratings weighted
average loan-to-value (LTV) ratio using a 7.65% S&P Global Ratings
weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude the specially serviced
assets and the defeased loans.
The top 10 nondefeased loans have an aggregate outstanding pool
trust balance of $65.1 million (58.4%). Adjusting the
servicer-reported numbers, we calculated an S&P Global Ratings
weighted average DSC and LTV of 1.33x and 60.7%, respectively, for
six of the top 10 nondefeased loans.
To date, the transaction has experienced $116.2 million in
principal losses, or 5.4% of the original pool trust balance. We
expect losses to reach approximately 6.0% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses we expect upon the eventual resolution of the
four specially serviced assets.
CREDIT CONSIDERATIONS
As of the Nov. 13, 2018, trustee remittance report, four assets in
the pool were with the special servicer, C-III Asset Management
LLC. Details of the two largest specially serviced assets, both of
which are top 10 nondefeased assets, are as follows:
-- The Purple Creek Plaza - Jackson Retail Portfolio REO asset
($6.7 million, 6.0%) is the fourth-largest nondefeased asset in the
pool and has a total reported exposure of $7.8 million. The asset
is a retail property, built in 1989, covering 81,636 sq. ft.,
located in Jackson, Miss. The loan transferred to the special
servicer in May 2015 and became REO on May 2016. An ARA of $1.8
million is in effect against this asset. S&P expects a moderate
loss upon this asset's eventual resolution.
-- The Wright Executive Center REO asset ($5.9 million, 5.3%) is
the fifth-largest nondefeased asset in the pool and has a total
reported exposure of $6.2 million. At origination, two office
properties secured the loan. Currently, only one of the properties
remains as collateral for the trust. The asset is a 59,555 sq. ft.
office property built in 1987, located in Fairborn, Ohio. The loan
transferred to the special servicer in August 2015 and became REO
on July 2017. An ARA of $3.1 million is in effect against this
asset. S&P expects a significant loss upon this asset's eventual
resolution.
The two remaining assets with the special servicer each have
individual balances that represent less than 2.8% of the total pool
trust balance. We estimated losses for the four specially serviced
assets, arriving at a weighted-average loss severity of 67.1%.
RATINGS RAISED
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9
Commercial mortgage pass-through certificates
Rating
Class To From
D AA+ (sf) AA- (sf)
E A+ (sf) BBB- (sf)
F B+ (sf) B- (sf)
RATING AFFIRMED
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9
Commercial mortgage pass-through certificates
Class Rating
C AAA (sf)
CARLYLE GLOBAL 2012-3: S&P Assigns Prelim BB- Rating on D-R2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1a-2, A-2a-2, A-2b-2, B-R2, C-R2, and D-R2 replacement notes from
Carlyle Global Market Strategies CLO 2012-3 Ltd., a collateralized
loan obligation (CLO) originally issued in 2012 and previously
refinanced in 2014, that is managed by Carlyle CLO Management LLC.
The replacement notes will be issued via a proposed supplemental
indenture.
The preliminary ratings reflect S&P's opinion that the credit
support available is commensurate with the associated rating
levels.
Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Dec. 14, 2018, refinancing date, the proceeds from the
issuance of the replacement notes are expected to redeem the
original notes. S&P said, "At that time, we anticipate withdrawing
the ratings on the original notes and assigning ratings to the
replacement notes. However, if the refinancing doesn't occur, we
may affirm the ratings on the original notes and withdraw our
preliminary ratings on the replacement notes."
The replacement notes are being issued via a proposed supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, will also:
-- The replacement class B-R2, C-R2, and D-R2 notes are expected
to be issued at a lower spread than the refinanced notes.
-- The replacement class A-1a-2 and A-1b-2 floating-rate notes are
expected to be issued to replace the class A-1-R notes, and the
class A-2a-2 and A-2b-2 floating- and fixed-rate notes are expected
to be issued to replace the class A-2-R notes.
-- The stated maturity and reinvestment period will be extended
3.25 years. The non-call period will be extended 2.25 years.
-- The transaction now has the ability to hold a limited amount of
long-dated securities.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take further rating actions
as we deem necessary."
PRELIMINARY RATINGS ASSIGNED
Replacement class Rating Amount (mil. $)
A-1a-2 AAA (sf) 378.00
A-1b-2 NR 18.50
A-2a-2 AA (sf) 32.00
A-2b-2 AA (sf) 35.00
B-R2 (deferrable) A (sf) 37.00
C-R2 (deferrable) BBB- (sf) 36.50
D-R2 (deferrable) BB- (sf) 24.00
Subordinated notes (deferrable) NR 59.46
NR--Not rated.
COLONNADE GLOBAL 2018-3X: DBRS Gives (P)BB(high) Rating on K Debt
-----------------------------------------------------------------
DBRS Ratings Limited assigned provisional ratings to 11 tranches of
an unexecuted, unfunded financial guarantee (the senior guarantee)
regarding a portfolio of corporate loans and credit facilities (the
Colonnade Global 2018-3X portfolio) originated or managed by
Barclays Bank PLC (Barclays) and its affiliates as follows:
-- USD1,883,210,000 Tranche A at AAA (sf)
-- USD35,630,000 Tranche B at AA (high) (sf)
-- USD12,410,000 Tranche C at AA (sf)
-- USD12,870,000 Tranche D at AA (low) (sf)
-- USD39,080,000 Tranche E at A (high) (sf)
-- USD6,200,000 Tranche F at A (sf)
-- USD18,160,000 Tranche G at A (low) (sf)
-- USD38,850,000 Tranche H at BBB (high) (sf)
-- USD7,350,000 Tranche I at BBB (sf)
-- USD11,490,000 Tranche J at BBB (low) (sf)
-- USD33,600,569 Tranche K at BB (high) (sf)
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. Borrower
default events are limited to failure to pay, bankruptcy and
restructuring events.
The ratings only take the creditworthiness of the reference
portfolio into consideration. The ratings do not address
counterparty risk nor 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' corporate and investment banking
businesses in the Barclays International division over its regular
course of business.
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 (from 8.7% to
100.0%) of the same USD 2,298.8 million portfolio.
The ratings assigned by DBRS are expected to remain provisional
until the underlying agreements are executed. Barclays 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.
Under the senior guarantee, Barclays will buy protection against
principal losses as well as interest accrued prior to the
occurrence of a credit event and unpaid interest on the reference
portfolio for a period of eight years. The transaction has a
three-year replenishment period during which time Barclays can add
new reference obligations or increase the notional amount of
existing reference obligations. Barclays has implemented
rules-based selection guidelines that are designed to minimize the
chances that new reference obligations are adversely selected. In
addition, the new reference obligations need to comply with the
eligibility criteria and portfolio profile tests that are
established to ensure that the credit quality of new reference
obligations proposed are similar or better than that of 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. Therefore, movements in the foreign exchange rate
should not have a negative impact on the rated tranches.
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 calculated stressed interest rates in accordance with
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 also took comfort from the portfolio profile test that limits
to only 2% 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, Australian dollar, and Swiss franc. Other
currencies are referred to as minority currencies. DBRS assumed a
stressed interest rate index ranging from 8.5% at AAA and 4.4% at
BB rating stress for the obligations denominated in eligible
currencies. DBRS also assumed a stressed interest rate index
ranging from 42.4% at AAA and 21.8% at BB rating stress for
obligations denominated in minority currencies. The analysis 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
24.1% 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 operating in 31 countries around the
world. DBRS applies different recovery rates depending on the
recovery tier and seniority. All eligible borrowers will be based
in countries with a DBRS recovery Tier 1 (higher recovery) to
recovery Tier 5 (lower recovery). The aggregate balance of
portfolio for borrowers who conduct their primary operations in
Tier 1 countries will be at least 79.6% of the total portfolio
balance. The aggregate balance of portfolio for borrowers who
conduct their primary operations in Tier 5, Tier 4 and Tier 3
countries is limited to 0.6%, 4.5%, and 2.3%, respectively.
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 rating mapping to DBRS ratings of Barclays'
internal rating 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 and portfolio profile test define key
obligor eligibility and exclusion criteria as well as portfolio
level concentration limits which DBRS used to determine a
worst-case portfolio for the analysis. Relevant portfolio level
criteria include the maximum single borrower group concentration of
0.50% and a maximum single DBRS industry concentration of 11%.
COMM 2014-LC15: DBRS Confirms B Rating on Class F Certs
-------------------------------------------------------
DBRS Limited confirmed the ratings on all classes of Commercial
Mortgage Pass-Through Certificates, Series 2014-LC15 (the
Certificates) issued by COMM 2014-LC15 Mortgage Trust (the Trust)
as follows:
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class X-A at AAA (sf)
-- Class A-M at AAA (sf)
-- Class B at AA (sf)
-- Class PEZ at A (sf)
-- Class C at A (sf)
-- Class X-B at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class X-C at B (high) (sf)
-- Class F at B (sf)
All trends are Stable with the exception of Class F, whose trend
DBRS changed to Negative from Stable. DBRS does not rate the first
loss piece, Class G.
The trend change on Class F to Negative reflects the concern
surrounding the McKinley Mall loan (1.1% of the pool), which is
secured by a 728,133-square foot (sf) portion of an 846,847 sf
regional mall in Hamburg, New York. The loan became delinquent in
June 2018 after three anchor tenants vacated the subject, with the
remaining two tenants, Sears and JCPenney, currently still in
place. The property received an updated valuation in July 2018 at
$15.0 million ($21 psf); down from $56.5 million ($78 psf) at
issuance, suggesting the trust will experience a significant loss
with the ultimate resolution of the loan.
The rating confirmations reflect the overall stable performance of
the transaction. At issuance, the collateral consisted of 48
fixed-rate loans secured by 197 commercial properties. As of the
November 2018 remittance, 45 loans remained in the pool with an
aggregate principal balance of $867.1 million, representing a
collateral reduction of 4.1% as a result of scheduled loan
amortization, the successful repayment of two loans and the
liquidation of one delinquent loan, which resulted in a trust loss
of $3.4 million in August 2018.
To date, 39 loans (93.7% of the pool) have reported partial-year
2018 financials, while 44 loans (99.0% of the pool) reported YE2017
financials. Based on the most recent year-end financial reporting,
the transaction had a weighted-average (WA) debt service coverage
ratio (DSCR) and WA Debt Yield of 1.53 times (x) and 10.3%,
respectively, which remained relatively flat year over year. In
comparison, the DBRS WA Term DSCR and WA Debt Yield at issuance
were 1.37x and 9.1%, respectively. Cash flow growth for the top 15
loans is more pronounced, as the YE2017 WA DSCR for these loans was
1.49x, which reflects a WA net cash flow growth of 14.4% over the
DBRS issuance figures. The pool also benefits from defeasance
collateral, as one loan, representing 1.0% of the pool, is fully
defeased. Additionally, two loans representing, 11.8% of the pool,
are scheduled to mature in Q1 2019. Both loans are located in
Manhattan, New York; however, each has an exit debt yield below
8.0% based on the most recently reported cash flow. According to
servicer reporting, it will provide maturity updates as available
as neither borrower has confirmed it has secured refinance capital
at this time.
As of the November 2018 remittance, there are three loans (2.7% of
the pool) in special servicing and ten loans (29.6% of the pool) on
the servicer's watch list. Two loans in special servicing, the
previously mentioned McKinley Mall (Prospectus ID#22, 1.1% of the
pool), and Holiday Inn Express Snyder (Prospectus ID#33, 0.6% of
the pool) are delinquent and are expected to be resolved with a
loss to the trust. The other specially serviced loan, Moss-Bauer
Apartments (Prospectus ID#24, 1.0% of the pool) transferred after
the borrower did not comply with cash management provisions. The
borrower is now being cooperative, and the special servicer has
identified a resolution strategy. Of the ten loans on the
servicer's watch list, two loans (11.8% of pool) were flagged for
upcoming maturity, three loans (3.6% of the pool) were flagged for
deferred maintenance, and the remaining five loans (16.8% of the
pool) were flagged because of either occupancy declines and/or
near-term tenant rollover.
Classes X-A, X-B, and X-C are interest-only (IO) certificates that
reference a single rated tranche or multiple rated tranches. The IO
rating mirrors the lowest-rated applicable reference obligation
tranche adjusted upward by one notch if senior in the waterfall.
DRYDEN 70 CLO: S&P Assigned Prelim BB- Rating on Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Dryden 70
CLO Ltd./Dryden 70 CLO LLC's floating-rate notes.
The note issuance is a collateralized loan obligation (CLO)
transaction backed primarily by broadly syndicated
speculative-grade senior secured term loans.
The preliminary ratings are based on information as of Dec. 11,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
Dryden 70 CLO Ltd./Dryden 70 CLO LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 297.00
A-2A NR 17.50
A-2B NR 10.60
B AA (sf) 59.50
C A (sf) 26.50
D BBB- (sf) 29.00
E BB- (sf) 17.00
Subordinated notes NR 49.35
NR--Not rated.
EXETER AUTOMOBILE: DBRS Reviews 43 Ratings From 12 Transactions
---------------------------------------------------------------
DBRS, Inc. reviewed 43 ratings from 12 Exeter Automobile
Receivables Trusts, which are U.S. structured finance asset-backed
securities transactions. Of the 43 outstanding publicly rated
classes reviewed, DBRS upgraded 21 classes, discontinued six
classes due to repayment and confirmed 16 classes. 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. 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.
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.
The Affected Ratings is available at https://bit.ly/2LcmNG5
GALAXY XXVI: Moody's Rates $7.45MM Class F Notes 'Ba3'
------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Galaxy XXVI CLO, Ltd.
Moody's rating action is as follows:
US$288,000,000 Class A Senior Floating Rate Notes due 2031 (the
"Class A Notes"), Assigned Aaa (sf)
US$52,000,000 Class B Senior Floating Rate Notes due 2031 (the
"Class B Notes"), Assigned Aa2 (sf)
US$21,600,000 Class C Deferrable Mezzanine Floating Rate Notes due
2031 (the "Class C Notes"), Assigned A2 (sf)
US$27,700,000 Class D Deferrable Mezzanine Floating Rate Notes due
2031 (the "Class D Notes"), Assigned Baa3 (sf)
US$24,750,000 Class E Deferrable Junior Floating Rate Notes due
2031 (the "Class E Notes"), Assigned Ba3 (sf)
US$7,450,000 Class F Deferrable Junior Floating Rate Notes due 2031
(the "Class F Notes"), Assigned B3 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes, the Class E Notes and the Class F Notes are referred to
herein, collectively, as the "Rated Notes."
RATINGS RATIONALE
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.
Galaxy XXVI is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90% of the portfolio must consist of
first lien senior secured loans and eligible investments, and up to
10% of the portfolio may consist of second lien loans and unsecured
loans. The portfolio is approximately 80% ramped as of the closing
date.
PineBridge Galaxy LLC will direct the selection, acquisition and
disposition of the assets on behalf of the Issuer and may engage in
trading activity, including discretionary trading, during the
transaction's five year reinvestment period. Thereafter, the
Manager may reinvest unscheduled principal payments and proceeds
from sales of credit risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer issued two classes of
subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $450,000,000
Diversity Score: 75
Weighted Average Rating Factor (WARF): 2856
Weighted Average Spread (WAS): 3.10%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 48.00%
Weighted Average Life (WAL): 9 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
The Credit Rating for Galaxy XXVI was assigned in accordance with
Moody's existing Methodology entitled "Moody's Global Approach to
Rating Collateralized Loan Obligations," dated August 31, 2017.
Please note that on November 14, 2018, Moody's released a Request
for Comment, in which it has requested market feedback on potential
revisions to its Methodology for Collateralized Loan Obligations.
If the revised Methodology is implemented as proposed, Moody's does
not expect the changes to affect the Credit Rating on Galaxy XXVI.
Please refer to Moody's Request for Comment, titled "Proposed
Update to Moody's Global Approach to Rating Collateralized Loan
Obligations," for further details regarding the implications of the
proposed Methodology revisions on certain Credit Ratings.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
GE COMMERCIAL 2002-1: Moody's Affirms C Rating on 2 Tranches
------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes
in GE Commercial Mortgage Corp., Commercial Mortgage Pass-Through
Certificates, Series 2002-1 as follows:
Cl. N, Affirmed C (sf); previously on Nov 10, 2017 Affirmed C (sf)
Cl. X-1*, Affirmed C (sf); previously on Nov 10, 2017 Affirmed C
(sf)
* Reflects interest-only classes
RATINGS RATIONALE
The rating on Cl. N was affirmed because the rating is consistent
with Moody's expected loss plus realized losses. Cl. N has already
experienced a 31% realized loss as result of previously liquidated
loans.
The rating on the interest-only (IO) class 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 all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating interest-only classes 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.
The Credit Rating for GE Commercial Mortgage Corp., Commercial
Mortgage Pass-Through Certificates, Series 2002-1, Cl. X-1, was
assigned in accordance with Moody's existing Methodology entitled
"Moody's Approach to Rating Structured Finance Interest-Only (IO)
Securities" dated June 2017. Please note that on November 14, 2018,
Moody's released a Request for Comment, in which it has requested
market feedback on potential revisions to its Methodology for
rating structured finance interest-only (IO) securities. If the
revised Methodology is implemented as proposed, the Credit Rating
on GE Commercial Mortgage Corp., Commercial Mortgage Pass-Through
Certificates, Series 2002-1, Cl. X-1, may be positively affected.
Please refer to Moody's Request for Comment, titled "Proposed
Update to Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities," for further details regarding the
implications of the proposed Methodology revisions on certain
Credit Ratings.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 100% of the pool is
secured by a troubled loan. In this approach, Moody's determines a
probability of default for the 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 the troubled
loan 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 November 13, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 99.5% to $5 million
from $1.04 billion at securitization. The certificates are
collateralized by one mortgage loan.
Sixteen loans have been liquidated from the pool, contributing to
an aggregate realized loss of $24 million. As of the November 2018
remittance statement cumulative interest shortfalls were $1.2
million. Moody's anticipates interest shortfalls will continue
because of the exposure to specially serviced loans and/or modified
loans. Interest shortfalls are caused by special servicing fees,
including workout and liquidation fees, appraisal entitlement
reductions (ASERs), loan modifications and extraordinary trust
expenses.
The sole remaining loan in the pool is the Campus Executive Office
Park ($5 million -- 100% of the pool), which is secured by a Class
B office property located in Sacramento, California. The loan is on
the master servicer's watchlist for low DSCR and low occupancy. The
loan was previously in special servicing and was returned the
master servicer after a 2014 modification which included a seven
year maturity extension to March 2019, an interest rate reduction
and a conversion from partial to full interest-only for the
remainder of the loan term. The property was only 15% leased as of
June 2018. The loan remains current as of the November 2018 payment
date, however, due to the low occupancy, Moody's has identified
this as a troubled loan and estimates a moderate loss for the loan
in its analysis.
GLOBAL LEVERAGED I: S&P Lowers Rating on 2 Tranches to CC
---------------------------------------------------------
S&P Global Ratings lowered its ratings on the class E-1 and E-2
(collectively class E) notes from Global Leveraged Capital Credit
Opportunity Fund I, a U.S. collateralized loan obligation
transaction that was issued in December 2006.
The rating actions follow S&P's review of the notice of proposed
forbearance agreement and request for action issued by the trustee
on Nov. 26, 2018, and the collateral manager's wind-down plan for
the transaction contained therein.
Per the indenture, the notes' stated maturity is Dec. 20, 2018, and
the only rated notes remaining in the transaction are the class E
notes.
Through the above-referenced notice, the manager informed the class
E noteholders that it intends to allow a nonpayment event of
default to occur in order to more effectively wind-down the
transaction. Further, the manager requested that the class E
noteholders enter into a forbearance agreement, pursuant to which
the noteholders would forbear for approximately one year from
exercising certain remedies available to them as a result of the
nonpayment event of default.
Since the manager is not proposing to amend the notes' stated
maturity as defined in the deal's indenture, S&P's review
considered the possibility of the class E noteholders receiving
their remaining outstanding balance and accrued interest on their
stated maturity.
S&P said, "Based on our review of the notice and the manager's
proposed wind-down plan, and considering the relative illiquid
nature of the assets remaining in the transaction, the class E
noteholders, in our opinion, face an increased risk of not
receiving their full payment interest and principal due on the
scheduled maturity.
"As a result, we downgraded the class E ratings to 'CC (sf)'. We
will likely take further action once we receive more information
from the trustee on the payments expected to be made on Dec. 20,
2018. We will lower the rating to 'D (sf)' if the notes do not
receive their interest and principal due on their stated maturity
date."
RATINGS LOWERED
Global Leveraged Capital credit Opportunity Fund I
Rating
Class To From
E-1 CC (sf) B+ (sf)
E-2 CC (sf) B+ (sf)
GS MORTGAGE 2005-GG4: Moody's Hikes Class E Certs Rating to Caa3
----------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one and
affirmed the ratings on two classes in GS Mortgage Securities
Corporation II, Commercial Mortgage Pass-Through Certificates,
Series 2005-GG4 as follows:
Cl. E, Upgraded to Caa3 (sf); previously on Dec 20, 2017 Affirmed
Ca (sf)
Cl. F, Affirmed C (sf); previously on Dec 20, 2017 Affirmed C (sf)
Cl. X-C*, Affirmed C (sf); previously on Dec 20, 2017 Affirmed C
(sf)
* Reflects interest-only class
RATINGS RATIONALE
The rating on principal and interest (P&I) Cl. E was upgraded due
to paydowns and expected recoveries on the remaining collateral.
The rating on P&I class, Cl. F was affirmed because the ratings are
consistent with Moody's expected loss plus realized losses.
The rating on the interest-only (IO) class was affirmed based on
the credit quality of the referenced classes.
Moody's rating action reflects a base expected loss of 75.7% of the
current pooled balance, compared to 69.1% at Moody's last review.
Moody's base expected loss plus realized losses is now 7.2% of the
original pooled balance, the same as at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating interest-only classes 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.
The Credit Rating for GS Mortgage Securities Corporation II,
Commercial Mortgage Pass-Through Certificates, Series 2005-GG4 Cl.
X-C was assigned in accordance with Moody's existing Methodology
entitled "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" dated June 2017. Please note that on
November 14, 2018, Moody's released a Request for Comment, in which
it has requested market feedback on potential revisions to its
Methodology for rating structured finance interest-only (IO)
securities. If the revised Methodology is implemented as proposed,
the Credit Rating on GS Mortgage Securities Corporation II,
Commercial Mortgage Pass-Through Certificates, Series 2005-GG4, Cl.
X-C may be positively affected. Please refer to Moody's Request for
Comment, titled "Proposed Update to Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities," for further
details regarding the implications of the proposed Methodology
revisions on certain Credit Ratings.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 100% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then applies the aggregate loss
from specially serviced loans to the most junior class and the
recovery as a pay down of principal to the most senior class.
DEAL PERFORMANCE
As of the November 13, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 99.5% to $19.9
million from $4.0 billion at securitization. The certificates are
collateralized by two mortgage loans ranging in size from 30% to
70% 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 two, the same as at Moody's last review.
Fifty-six loans have been liquidated from the pool, resulting in an
aggregate realized loss of $273.4 million (for an average loss
severity of 28.8%). Two loans, constituting 100% of the pool, are
currently in special servicing. The largest specially serviced loan
is the Homewood Suites - Lansdale (Gulph Creek) Loan ($13.9 million
-- 70% of the pool), which is secured by a 170-room, 6 story hotel
located in Lansdale, Pennsylvania. The hotel was built in 2002 and
transferred to special servicing in March 2015 due to imminent
maturity default. The lender is proceeding with foreclosure while
dual-tracking negotiations with the borrower.
The second largest specially serviced loan is the Catalina Village
Loan ($5.9 million -- 30% of the pool), which is secured by a
90,000 square feet (SF) retail center located in Tucson, Arizona.
The loan transferred to special servicing in July 2011 and has been
real estate owned ("REO") since January 2013.
Moody's estimates an aggregate $15 million loss for the specially
serviced loans (76% expected loss on average).
As of the November 13, 2018 remittance statement cumulative
interest shortfalls were $36 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.
GS MORTGAGE 2014-GC18: Fitch Lowers Class D Certs Rating to BBsf
----------------------------------------------------------------
Fitch Ratings has downgraded four and affirmed 10 classes of GS
Mortgage Securities Trust 2014-GC18 pass-through certificates.
KEY RATING DRIVERS
Higher Loss Expectations/Potential for Outsized Losses: The
downgrades and the application of Negative Outlooks reflect an
increase to Fitch's loss expectations due to continued
underperformance of several large loans and the transfer of the
fourth-largest loan to special servicing. The affirmations of the
senior classes reflect sufficient credit enhancement relative to
expected losses.
Credit Enhancement: Although credit enhancement has improved since
the last rating action, primarily due to the payoff of two loans,
overall pool performance has been declining. As of the November
2018 distribution date, the pool's aggregate principal balance has
been reduced by 15.1% to $945.4 million from $1.1 billion at
issuance.
Specially Serviced Loans/FLOCs: Three loans (8.75%) are currently
in special servicing. The largest loan in special servicing is the
Wyoming Valley Mall (7.8%), a 910,000 sf super regional mall
located in Wilkes-Barre, PA. It transferred in June 2018 for
imminent default. The property lost anchors Sears and The Bon-Ton
in 2018. The loss of the two anchors is expected to trigger
co-tenancy clauses, which could further increase vacancy at the
property. The remaining two assets in special servicing are secured
by an anchored retail center located in Mentor, OH and a real
estate owned (REO) multifamily property located in Willington, ND.
Both loans combine for 1% of the pool balance.
Fitch has designated eight loans (23.7%) as a Fitch Loan of Concern
(FLOC), including four of the top 15 loans. Two of the top 15 FLOCs
are secured by regional malls, the Wyoming Valley Mall and The
Crossroads located in Portage, MI. The remaining FLOCs in the top
15 are secured by two hotel properties located in Anchorage, AK and
Cranberry, PA. Both have exhibited significant performance declines
since issuance.
Alternative Loss Considerations: In addition to modeling a base
case loss, Fitch applied additional stresses on four loans - The
Wyoming Valley Mall, The Crossroads, Crown Plaza Anchorage and
Hilton Garden Inn Pittsburgh - to address the potential for
outsized losses. Fitch performed an additional sensitivity on the
Wyoming Valley Mall that assumed a 100% loss based on the loan
transferring to special servicing and the significant occupancy
declines from the vacating of two anchors and possible further
vacancy increase due to co-tenancy clauses. Fitch's additional
sensitivity on The Crossroads, Crown Plaza Anchorage and Hilton
Garden Inn Pittsburgh assumed a 25% loss on the balloon balance to
account for declining performance and market weakness. While the
additional sensitivity scenarios contribute to the Negative Rating
Outlooks, the base case loss is the driver of the downgrades.
ADDITIONAL CONSIDERATIONS
High Retail Concentration and Regional Malls: Loans secured by
retail properties represent 41.4% of the pool, including three
loans in the top five secured by regional mall properties: The
Shops at Canal Place (10.5% of pool) located in New Orleans, LA;
The Crossroads (9.0%) located in Portage, MI; and Wyoming Valley
Mall (7.2%).
RATING SENSITIVITIES
The Negative Rating Outlook on classes B, C, D and E reflect the
possibility for future downgrades if the performance of the FLOCs
continues to deteriorate. The Stable Rating Outlooks on classes A-2
through A-S reflect significant credit enhancement relative to
expected losses and continued amortization.
Deutsche Bank is the trustee for the transaction, and also serves
as the backup advancing agent. Fitch's Issuer Default Rating for
Deutsche Bank is currently 'BBB+'/'F2'/Negative. Fitch relies on
the master servicer, Wells Fargo & Company (A+/F1/Stable), which is
currently the primary advancing agent, as a direct counterparty.
Fitch provided ratings confirmation on Jan. 24, 2018.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has downgraded the following classes:
-- $55.7 million class D to 'BBsf' from 'BBB-sf'; Outlook
Negative;
-- $22.3 million class E to 'Bsf' from 'BBsf'; Outlook Negative;
-- $12.5 million class F to 'CCCsf' from 'Bsf'; RE 0%;
-- Interest-Only class X-C to 'Bsf' from 'BBsf'; Outlook to
Negative from Stable.
Fitch has affirmed the following classes:
-- $4.8 million class A-2 at 'AAAsf'; Outlook Stable;
-- $216.7 million class A-3 at 'AAAsf'; Outlook Stable;
-- $302.0 million class A-4 at 'AAAsf'; Outlook Stable;
-- $87.8 million class A-AB at 'AAAsf'; Outlook Stable;
-- $68.2 million class A-S at 'AAAsf'; Outlook Stable;
-- $76.6 million class B at 'AA-sf'; Outlook to Negative from
Stable;
-- $44.5 million class C at 'A-sf'; Outlook to Negative from
Stable;
-- $189.3 million class PEZ at 'A-sf'; Outlook to Negative from
Stable;
-- Interest-Only class X-A at 'AAAsf'; Outlook Stable;
-- Interest-Only class X-B at 'AA-sf'; Outlook to Negative from
Stable.
Fitch does not rate the class G or class X-D certificates.
HOME PARTNERS 2016-2: Moody's Hikes Class E Debt Rating to Ba1
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of four tranches
issued by Home Partners of America 2016-2 Trust. HPA 2016-2 is
backed by one 2-year term loan with 3 consecutive 1-year extension
options secured by a pool of single family rental properties.
Complete rating actions are as follows:
Issuer: Home Partners of America 2016-2 Trust
Cl. B, Upgraded to Aa1 (sf); previously on Sep 13, 2016 Definitive
Rating Assigned Aa2 (sf)
Cl. C, Upgraded to Aa3 (sf); previously on Sep 13, 2016 Definitive
Rating Assigned A2 (sf)
Cl. D, Upgraded to A3 (sf); previously on Sep 13, 2016 Definitive
Rating Assigned Baa2 (sf)
Cl. E, Upgraded to Ba1 (sf); previously on Sep 13, 2016 Definitive
Rating Assigned Ba2 (sf)
RATINGS RATIONALE
The rating upgrades are driven by the steady build-up in equity in
the properties backing the transaction and the operator's ability
to maintain operating expense ratios below its original
expectations for at least 31 months since transaction inception,
while managing to increase contractual rents and keeping vacancies
and delinquencies low.
The transactions have benefited from home price appreciation of
about 14.89%. This has reduced Moody's LTV to 79.4% from 92.3%.
Correspondingly, Moody's expected recovery value has increased to
$392.4M from $370.8M since closing. The recovery value represents
the funds expected to be generated by liquidation of the underlying
rental properties in the event that the issuer is unable to secure
refinancing before the anticipated repayment date of the loan in
2021 and the certificates need to be repaid. Moody's calculates
Moody's value by applying home price appreciation to each
property's assigned Moody's Value at closing. The increase in
property values is calculated based on home price appreciation at
the metropolitan statistical area (MSA) level, based on data
reported by Moody's Analytics.
In addition, the vacancy and delinquency rates in these
transactions have been lower than its initial expectations due to
strong consumer rental demand and the limited supply of single
family rental properties. As of January 2018, the transactions had
a trailing twelve month vacancy rate of 4.7%, compared to its
long-term vacancy rate assumption of 10% for the transactions.
Similarly, the delinquency rates have remained very low, at an
average of 1% over the last twelve months.
The transactions' operator, Home Partners of America (HPA), was
able to increase contractual rent by an average of 4% since closing
while keeping the average monthly turnover rate low.
Net cash flow of $20 million for normalized 6 months as of June
2018 increased 2% from NCF of $19.6 million at closing. Because of
properties released from the transaction, the Debt Yield improved
to 6.4% as of June 2018, which is well above Low Debt Yield trigger
set at 5%.
The principal methodology used in these ratings was "Moody's
Approach to Rating Single-Family Rental Securitizations" published
in November 2015.
Factors that would lead to an upgrade or downgrade of the ratings:
UP
Moody's would consider upgrading the transaction or some of its
tranches if, for example, properties underlying the portfolio were
to appreciate substantially and the property conditions were to
remain well maintained.
DOWN
Moody's would consider downgrading the transaction if the
transaction was to breach their debt yield triggers or DSCR
triggers. Additionally, breaches of certain loan covenants could
lead to an event of default in the transaction and, if unremedied,
a downgrade. Moody's will also monitor the transaction's portfolio
mix for any unexpected changes. Unexpected negative changes could
result from unusual patterns in the properties that are released by
a sponsor as contemplated by the transaction documents. Also, where
available, changes in rent renewal and lease turnover rates and
time to re-rent could indicate performance issues.
HOMEWARD TRUST 2018-2: S&P Assigns Prelim B+ Rating on B-2 Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Homeward
Opportunities Fund I Trust 2018-2's (HOF I Trust 2018-2's) mortgage
pass-through securities.
The securities issuance is an residential mortgage-backed
securities (RMBS) transaction backed by first-lien, fixed- and
adjustable-rate, fully amortizing residential mortgage loans (some
with interest-only periods) generally secured by single-family
residential properties, planned-unit developments, condominiums,
and two- to four-family residential properties to prime and
nonprime borrowers. The loans are primarily nonqualified mortgage
loans.
The preliminary ratings are based on information as of Dec. 10,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The pool's collateral composition;
-- The credit enhancement provided for this transaction;
-- The transaction's associated structural mechanics;
-- The representation and warranty (R&W) framework for this
transaction;
-- The geographic concentration; and
-- The mortgage aggregator, Neuberger Berman Investment Advisors
LLC (Neuberger Berman), as investment manager for HOF I Trust
2018-2.
PRELIMINARY RATINGS ASSIGNED
Homeward Opportunities Fund I Trust 2018-2
Class Rating(i) Amount ($)
A-1 AAA (sf) 213,510,000
A-2 AA (sf) 21,287,000
A-3 A (sf) 36,332,000
M-1 BBB (sf) 17,445,000
B-1 BB (sf) 13,285,000
B-2 B+ (sf) 8,483,000
B-3 NR 9,763,288
A-IO-S NR Notional(i)
X NR Notional(i)
R NR N/A
(i)The notional amount will equal the aggregate stated principal
balance of the mortgage loans as of the first day of the related
due period.
NR--Not rated.
N/A--Not applicable.
JP MORGAN 2005-LDP1: Moody's Affirms Ba1 Rating on Class G Certs
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes
in J.P. Morgan Chase Commercial Mortgage Securities Corp.,
Commercial Pass-Through Certificates, Series 2005-LDP1 as follows:
Cl. G, Affirmed Ba1 (sf); previously on Dec 15, 2017 Affirmed Ba1
(sf)
Cl. H, Affirmed Ca (sf); previously on Dec 15, 2017 Affirmed Ca
(sf)
RATINGS RATIONALE
The rating on Cl. G was affirmed because the transaction's key
metrics, including Moody's loan-to-value ratio, Moody's stressed
debt service coverage ratio and the transaction's Herfindahl Index,
are within acceptable ranges.
The rating on Cl. H was affirmed because the ratings are consistent
with Moody's expected loss plus realized losses. Cl. H has already
experienced a 50% realized loss as result of previously liquidated
loans.
Moody's rating action reflects a base expected loss of 4.0% of the
current pooled balance, compared to 3.4% at Moody's last review.
Moody's base expected loss plus realized losses is now 4% of the
original pooled balance, the same as at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.
DEAL PERFORMANCE
As of the November 15, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 98.6% to $40.9
million from $2.9 billion at securitization. The certificates are
collateralized by 12 mortgage loans ranging in size from less than
1% to 31.7% of the pool, with the top ten loans (excluding
defeasance) constituting 93.5% of the pool. Two loans, constituting
6.5% of the pool, have defeased and are secured by US government
securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 5, the same as at Moody's last review.
One loan, constituting 31.7% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Thirty-three loans have been liquidated from the pool, contributing
to an aggregate realized loss of $111.7 million (for an average
loss severity of 49%). One loan, the South Park Business Center
($5.6 million -- 13.7% of the pool), is currently in special
servicing. The loan is secured by three office buildings totaling
approximately 162,500 square feet (SF) located in Greenwood, IN,
roughly 12 miles southeast of the Indianapolis central business
district. The loan transferred to special servicing in January 2015
due to maturity default. The loan became REO in July 2016. As of
the October 2018 rent roll, the three buildings were collectively
74% leased, compared to 73% as of September 2017. The special
servicer is actively working to lease up additional space.
As of the November 15, 2018 remittance statement cumulative
interest shortfalls were $4.9 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 90% of the
pool, and full or partial year 2018 operating results for 50% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 87.6%, compared to 79.3% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 34.9% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.31%.
Moody's actual and stressed conduit DSCRs are 1.21X and 1.45X,
respectively, compared to 1.29X and 1.46X 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 performing loans represent 64.2% of the pool balance.
The largest loan is the Golf Glen Loan ($12.9 million -- 31.7% of
the pool), which is secured by a 235,000 square foot (SF) retail
center located in Niles, Illinois approximately 26 miles northwest
of downtown Chicago. The grocery anchor (45% of the NRA) vacated in
June 2016 due to low sales, ahead of their lease expiration in
December 2024. The borrower has been marketing the space and has
yet to procure a replacement tenant. As per the September 2018 rent
roll the property was 92% leased with physical occupancy of 47%.
The loan matures in December 2019 and has amortized 17.5% since
securitization. Moody's LTV and stressed DSCR are 118.2% and 0.91X,
respectively, compared to 109.1% and 0.89X at the last review.
The second largest loan is the Chimney Hill Center Loan ($8.1
million -- 19.8% of the pool), which is secured by a 197,500 square
foot (SF) retail center anchored by Farm Fresh with a lease
expiration of January 2020. The property is located in Virginia
Beach, Virginia. As per the September 2018 rent roll the property
was 82% leased, compared to 98% leased as of September 2017. The
decline in occupancy was caused by the departure of the former
third largest tenant, Big Lots, whose lease expired in November
2017. The loan matures in December 2019 and has amortized 17.4%
since securitization. Moody's LTV and stressed DSCR are 94.5% and
1.03X, respectively, compared to 75% and 1.29X at the last review.
The third largest loan is the Crenshaw Plaza Loan ($5.2 million --
12.8% of the pool), which is secured by a retail center anchored by
Ralph's grocery store with a lease expiration in June 2024. The
property is located in Los Angeles, California. The loan's
collateral portion of the property was 87% leased as of September
2018, the same as of September 2017. The loan is fully amortizing
and has amortized 37% since securitization. Moody's LTV and
stressed DSCR are 40% and 2.42X, respectively, compared to 42% and
2.29X at the last review.
JP MORGAN 2007-CIBC20: Fitch Hikes Class C Certs Rating to BBsf
---------------------------------------------------------------
Fitch Ratings upgrades one class and affirms 10 classes of J.P.
Morgan Chase Commercial Mortgage Securities Corp. (JPMCC)
commercial mortgage pass-through certificates, series 2007-CIBC20.
KEY RATING DRIVERS
Increased Credit Enhancement: The upgrade to class C reflects the
improved credit enhancement due to loan dispositions with better
than expected recoveries and scheduled amortization since Fitch's
last rating action. As of the November 2018 distribution date, the
transaction has paid down by 95.1% to $124.8 million from $2.5
billion at issuance.
High Loss Expectations/Specially Serviced Loans/Assets: The
distressed ratings on the majority of classes reflect the expected
losses; Fitch's overall loss expectations on the specially serviced
loans/REO assets remain high. Since Fitch's last rating action, the
largest loan in the pool, Clark Tower (48.3%) was transferred to
special servicing in July 2018 for imminent maturity default. The
loan did not payoff at its previously extended maturity date in
September 2018. The borrower has one extension option remaining.
The loan is secured by a 657,245 sf office tower located in
Memphis, TN, which has undergone $8 million in renovations but
remains only 68% occupied.
Three (25.6%) of the remaining specially serviced assets are REO
and one (8%) is in foreclosure. The largest REO asset is secured by
a hotel with a total of 238 rooms in two properties located in
Mechanicsburg, PA. The loan was transferred to special servicing in
July 2016 when the borrower indicated it could no longer support
cash flow shortfalls and would cooperate with receiver and
foreclosure. The properties reported occupancy, ADR, and RevPAR as
of TTM August 2018 were 42.7%, $75.21, and $32.14, respectively. A
foreclosure sale was held Aug. 8, 2018 and the deed was recorded
Oct. 20, 2018. A receiver is in place and complying with franchise
requirements for capital expenditure items. Per the special
servicer reporting, the Lodge property (part of the subject's
collateral) of 20 rooms has been shut down and mothballed as cost
to rehab rooms is not feasible at this time and would compete with
the main buildings of the Park Inn. The special servicer is
evaluating the asset before making a recommendation for marketing.
The second largest REO asset is a 107,587 sf retail property
located in Turnersville, NJ, 62.6% occupied. Largest tenants are
Harbor Freight Tools USA Inc.; Aldi, Inc.; and Pioneer Education
with lease expirations in May 2023; October 2025; and April 2023;
respectively. The loan was transferred to special servicing in
September 2013 for imminent payment default and became REO in
February 2016. Per the special servicer, significant interest has
been received for two of the vacant spaces for approximately 30k sf
and capital projects have begun to address deferred maintenance.
The special servicer is pursuing leasing prospects and expects to
market the property for sale in April 2019.
Increased Pool Concentration: The transaction has become highly
concentrated with only eight loans remaining, of which, five (82%
of the pool) are specially serviced. There are interest shortfalls
in the amount of $16 million affecting distressed classes E thru
NR.
Maturity Concentration: Of the performing loans in the pool, one
(14.5%) matures in September 2019; one (2.2%) in September 2022;
and one (1.8%) in August 2027.
RATING SENSITIVITIES
The Stable Outlook on class C reflects the sufficient credit
enhancement relative to the pool expected losses. The class
continues to receive principal paydown and may pay in full within
12 months. The distressed classes may be subject to further
downgrades if there is an increase in the number of specially
serviced loans and additional 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 upgraded the following ratings:
-- $15.4 million class C to 'BBsf' from 'CCCsf'; assigns Outlook
Stable.
Fitch has also affirmed the following ratings:
-- $28.6 million class D at 'CCsf'; RE 100%;
-- $22.3 million class E at 'CCsf'; RE revised to 90% from 60%;
-- $22.3 million class F at 'Csf'; RE 0%;
-- $25.4 million class G at 'Csf'; RE 0%;
-- $10.9 million class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-4, A-SB, A-1A, A-M, A-MFX, A-J, and B
certificates have paid in full. Fitch does not rate the class P, Q,
T and NR certificates. Fitch previously withdrew the ratings on the
interest-only class X-2 and X-1.
JP MORGAN 2007-CIBC20: Fitch Hikes Class C Certs Rating to BBsf
---------------------------------------------------------------
Fitch Ratings upgrades one class and affirms 10 classes of J.P.
Morgan Chase Commercial Mortgage Securities Corp. (JPMCC)
commercial mortgage pass-through certificates, series 2007-CIBC20.
KEY RATING DRIVERS
Increased Credit Enhancement: The upgrade to class C reflects the
improved credit enhancement due to loan dispositions with better
than expected recoveries and scheduled amortization since Fitch's
last rating action. As of the November 2018 distribution date, the
transaction has paid down by 95.1% to $124.8 million from $2.5
billion at issuance.
High Loss Expectations/Specially Serviced Loans/Assets: The
distressed ratings on the majority of classes reflect the expected
losses; Fitch's overall loss expectations on the specially serviced
loans/REO assets remain high. Since Fitch's last rating action, the
largest loan in the pool, Clark Tower (48.3%) was transferred to
special servicing in July 2018 for imminent maturity default. The
loan did not payoff at its previously extended maturity date in
September 2018. The borrower has one extension option remaining.
The loan is secured by a 657,245 sf office tower located in
Memphis, TN, which has undergone $8 million in renovations but
remains only 68% occupied.
Three (25.6%) of the remaining specially serviced assets are REO
and one (8%) is in foreclosure. The largest REO asset is secured by
a hotel with a total of 238 rooms in two properties located in
Mechanicsburg, PA. The loan was transferred to special servicing in
July 2016 when the borrower indicated it could no longer support
cash flow shortfalls and would cooperate with receiver and
foreclosure. The properties reported occupancy, ADR, and RevPAR as
of TTM August 2018 were 42.7%, $75.21, and $32.14, respectively. A
foreclosure sale was held Aug. 8, 2018 and the deed was recorded
Oct. 20, 2018. A receiver is in place and complying with franchise
requirements for capital expenditure items. Per the special
servicer reporting, the Lodge property (part of the subject's
collateral) of 20 rooms has been shut down and mothballed as cost
to rehab rooms is not feasible at this time and would compete with
the main buildings of the Park Inn. The special servicer is
evaluating the asset before making a recommendation for marketing.
The second largest REO asset is a 107,587 sf retail property
located in Turnersville, NJ, 62.6% occupied. Largest tenants are
Harbor Freight Tools USA Inc.; Aldi, Inc.; and Pioneer Education
with lease expirations in May 2023; October 2025; and April 2023;
respectively. The loan was transferred to special servicing in
September 2013 for imminent payment default and became REO in
February 2016. Per the special servicer, significant interest has
been received for two of the vacant spaces for approximately 30k sf
and capital projects have begun to address deferred maintenance.
The special servicer is pursuing leasing prospects and expects to
market the property for sale in April 2019.
Increased Pool Concentration: The transaction has become highly
concentrated with only eight loans remaining, of which, five (82%
of the pool) are specially serviced. There are interest shortfalls
in the amount of $16 million affecting distressed classes E thru
NR.
Maturity Concentration: Of the performing loans in the pool, one
(14.5%) matures in September 2019; one (2.2%) in September 2022;
and one (1.8%) in August 2027.
RATING SENSITIVITIES
The Stable Outlook on class C reflects the sufficient credit
enhancement relative to the pool expected losses. The class
continues to receive principal paydown and may pay in full within
12 months. The distressed classes may be subject to further
downgrades if there is an increase in the number of specially
serviced loans and additional 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 upgraded the following ratings:
-- $15.4 million class C to 'BBsf' from 'CCCsf'; assigns Outlook
Stable.
Fitch has also affirmed the following ratings:
-- $28.6 million class D at 'CCsf'; RE 100%;
-- $22.3 million class E at 'CCsf'; RE revised to 90% from 60%;
-- $22.3 million class F at 'Csf'; RE 0%;
-- $25.4 million class G at 'Csf'; RE 0%;
-- $10.9 million class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-4, A-SB, A-1A, A-M, A-MFX, A-J, and B
certificates have paid in full. Fitch does not rate the class P, Q,
T and NR certificates. Fitch previously withdrew the ratings on the
interest-only class X-2 and X-1.
JP MORGAN 2016-C1: Fitch Affirms BB- Rating on $29.4MM Cl. E Certs
------------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of JP Morgan Chase JPMBB
2016-C1 Mortgage Trust commercial mortgage pass-through
certificates.
KEY RATING DRIVERS
Stable Performance: The affirmations follow the generally stable
performance of the pool. There have been no material changes to the
pool since issuance, therefore the original rating analysis was
considered in affirming the transaction.
One loan is in special servicing. The University Parke loan (1.8%)
transferred in July 2018 due to payment default. The loan is
secured by a 468-bed student housing property located in Big
Rapids, MI (approximately one mile from the Ferris State University
campus). According to the borrower, occupancy has dropped to 45%
for the Fall 2018 year due to new supply in the market and a
decline in student enrollment. A receiver has been put in place to
find tenants for the remainder of the current year and to prelease
units for the next year. The servicer reports that a sale is
expected in the first quarter of 2019.
Minimal Changes in Credit Enhancement: As of the November 2018
distribution date, the pool's aggregate principal balance has been
reduced by 2.33% to $1.02 billion resulting in minimal increases in
credit enhancement to the senior classes. Eight of the largest 15
loans, representing 39.3% of the pool, are full-term interest-only
loans. In total, there are 11 full-term interest-only loans
representing 41% of the pool. Additionally, there are 11 loans
representing 25% of the pool that remain in their partial
interest-only period.
Other Considerations
Watchlist Loans: There are three loans (12.4%) on the servicer's
watchlist. The Naples Grand Beach loan (6.9%) is on the servicer's
watchlist due to damage associated with Hurricane Irma. The
property is a 474-key resort hotel located in Naples, FL. According
to the master servicer, the resort suffered water and wind damage
and was temporarily closed to assess the severity. Roughly 40% of
the rooms had water damage, but the vast majority of the hard goods
were not damaged. Property performance declined as a result of the
water damage and the hotel was closed for three months to undergo
renovation work. The year-end 2017 debt service coverage ratio
(DSCR) was reported to be 1.28x, but it has since rebounded to
1.89x as of September 2018. The other two loans on the servicer's
watchlist are due to deferred maintenance issues.
Property Concentration: The largest property type is office
(36.4%), followed by hotel (20.9%), and multifamily (16.3%). The
pool's office concentration is above the 2014 vintage average of
22.8% and the 2015 vintage average of 23.5%. And the pool's hotel
concentration is higher than the 2014 vintage concentration of
14.2% and the 2015 vintage average of 17.0%.
RATING SENSITIVITIES
Rating Outlooks on all classes remain Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset-level event changes the transaction's overall
portfolio-level metrics.
Fitch has affirmed the following classes:
-- $5.4 million class A-1 at 'AAAsf'; Outlook Stable;
-- $95.9 million class A-2 at 'AAAsf'; Outlook Stable;
-- $44.5 million class A-3 at 'AAAsf'; Outlook Stable;
-- $175 million class A-4 at 'AAAsf'; Outlook Stable;
-- $317.5 million class A-5 at 'AAAsf'; Outlook Stable;
-- $53.3 million class A-SB at 'AAAsf'; Outlook Stable;
-- $750.3 million* class X-A at 'AAAsf'; Outlook Stable;
-- $58.8 million class A-S at 'AAAsf'; Outlook Stable;
-- $58.8 million class B at 'AA-sf'; Outlook Stable;
-- $47.3 million class C at 'A-sf'; Outlook Stable;
-- $56.2 million* class X-D at 'BBB-sf'; Outlook Stable;
-- $34.5 million class D-1 at 'BBBsf'; Outlook Stable;
-- $21.7 million class D-2 at 'BBB-sf'; Outlook Stable;
-- $56.2 million class D at 'BBB-sf'; Outlook Stable;
-- $29.4 million class E at 'BB-sf'; Outlook Stable;
-- $11.5 million class F at 'B-sf'; Outlook Stable.
* Indicates notional amount and interest-only.
The Class D-1 and Class D-2 certificates may be exchanged for Class
D certificates, and Class D certificates may be exchanged for the
Class D-1 and Class D-2 certificates.
Fitch does not rate the class NR certificates. Fitch previously
withdrew the ratings on the interest-only classes X-B and X-C
certificates.
MADISON PARK XXXI: S&P Assigns BB- Rating on $30MM Cl. E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to Madison Park Funding
XXXI Ltd./Madison Park Funding XXXI LLC's fixed- and floating-rate
notes.
The note issuance is a collateralized loan obligation transaction
backed by primarily broadly syndicated speculative-grade senior
secured term loans.
The ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade (rated 'BB+' and lower) senior
secured term loans that are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
Madison Park Funding XXXI Ltd.
Class Rating Amount (mil. $)
X AAA (sf) 3.00
A-1 AAA (sf) 456.00
A-2A NR 45.00
A-2B NR 15.00
B AA (sf) 88.00
C (deferrable) A (sf) 48.00
D (deferrable) BBB- (sf) 50.00
E (deferrable) BB- (sf) 30.00
Subordinated notes NR 81.70
NR--Not rated.
MERRILL LYNCH 2006-C1: S&P Affirms B+ Rating on Class AJ Certs
--------------------------------------------------------------
S&P Global Ratings affirmed its 'B+ (sf)' rating on the class AJ
commercial mortgage pass-through certificates from Merrill Lynch
Mortgage Trust 2006-C1, a U.S. commercial mortgage-backed
securities (CMBS) transaction.
For the affirmation, S&P's credit enhancement expectation was in
line with the affirmed rating level.
S&P said, "While available credit enhancement levels suggest a
positive rating movement on class AJ, our analysis also considered
the magnitude of assets with the special servicer (eight assets;
$99.7 million, 99.3%), the susceptibility to reduced liquidity
support from the eight specially serviced assets, and the class'
reliance upon master servicer advances on the two assets not yet
deemed nonrecoverable. In the event that appraisal reduction
amounts (ARA) increase or additional assets are deemed
non-recoverable, we believe that class AJ is susceptible to
interest shortfalls."
TRANSACTION SUMMARY
As of the Nov. 13, 2018, trustee remittance report, the collateral
pool balance was $100.4 million, which is 4.0% of the pool balance
at issuance. The pool currently includes four loans and five real
estate owned (REO) assets, down from 244 loans at issuance. Eight
of these assets are with the special servicer, none are defeased,
and none are on the master servicer's watchlist.
S&P calculated a 1.35x S&P Global Ratings debt service coverage
(DSC) and 32.2% S&P Global Ratings loan-to-value (LTV) ratio using
a 7.50% S&P Global Ratings capitalization rate for the sole
performing loan.
To date, the transaction has experienced $197.8 million in
principal losses, or 7.9% of the original pool trust balance. S&P
expects losses to reach approximately 9.6% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses we expect upon the eventual resolution of the
eight specially serviced assets.
CREDIT CONSIDERATIONS
As of the Nov. 13, 2018, trustee remittance report, eight assets in
the pool were with the special servicer, LNR Partners LLC (LNR).
Details of the two largest specially serviced assets are as
follows:
-- The Gateway One loan ($44.1 million, 44.0%) is the largest loan
in the pool and has a total reported exposure of $46.8 million. The
loan is secured by a 409,920-sq.-ft. office property in St. Louis.
The loan, which has a foreclosure in process payment status, was
transferred to the special servicer on May 4, 2016, because of
maturity default (matured on March 1, 2016). LNR stated that it is
pursuing foreclosure. The reported DSC and occupancy for the three
months ended March 31, 2018, were 0.93x and 76.2%, respectively. A
$23.8 million ARA is in effect against this loan. S&P expects a
moderate loss (26%-59%) upon this loan's eventual resolution.
-- The Wachovia Center REO asset ($12.0 million, 12.0%) has a
total reported exposure of $13.7 million. The asset is a
99,987-sq.-ft. office building in Gainesville, Ga. The loan was
transferred to the special servicer on April 13, 2017, because of
imminent default. LNR indicated that it is working to lease and
stabilize the property. The reported DSC and occupancy for the six
months ended June 30, 2018, were 0.19x and 44.0%, respectively. A
$6.3 million ARA is in effect against this loan. S&P expects a
moderate loss upon this loan's eventual resolution.
The six remaining assets with the special servicer each have
individual balances that represent less than 10.0% of the total
pool trust balance. S&P estimated losses for the eight specially
serviced assets, arriving at a weighted-average loss severity of
42.0%.
MORGAN STANLEY 2017-HR2: DBRS Confirms B Rating on Cl. H-RR Certs
-----------------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2017-HR2 issued by Morgan Stanley
Capital I Trust 2017-HR2 as follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (high) (sf)
-- Class B at AA (sf)
-- Class C at A (low) (sf)
-- Class X-D at A (low) (sf)
-- Class D at BBB (high) (sf)
-- Class E-RR at BBB (low) (sf)
-- Class F-RR at BB (high) (sf)
-- Class G-RR at BB (low) (sf)
-- Class H-RR at B (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction, which has remained in line with DBRS's
expectations from issuance. This transaction closed in December
2017 with an original trust balance of $942.7 million and consisted
of 42 fixed-rate loans secured by 82 commercial and multifamily
properties. Per the November 2018 remittance, the current trust
balance was $939.2 million with all loans remaining in the pool,
representing a collateral reduction of 0.4% due to scheduled loan
amortization. Due to the transaction closing in December 2017,
year-end (YE) 2017 financials were not provided for the loans,
which are not uncommon; however, 34 loans, representing 65.2% of
the pool balance, provided partial-year 2018 financials. Ten loans
of the largest 15 loans, representing 36.4% of the pool balance,
reported partial-year 2018 financials, including the largest two
loans. DBRS will continue to monitor for updated financials as the
deal continues to season.
As of the November 2018 remittance, there are 19 loans (67.5% of
the pool) structured with full-term interest-only (IO) payments;
however, seven loans (19.1% of the pool) are backed by collateral
in urban markets. There is one loan (Eagle Village Apartments –
Prospectus ID#28, 1.0% of the pool) on the servicer's watch list,
secured by a student-housing property in Evansville, Indiana. The
property experienced a decline in occupancy during the first half
of 2018 which led to a decrease in cash flow. However, DBRS
believes loan performance will rebind as the borrower has
implemented 12-month lease structures that will stabilize occupancy
over the long term.
At issuance, The Woods (Prospectus ID#2, 9.1% of the pool) was
shadow-rated investment grade and in its analysis for this review,
DBRS confirmed that the performance of this loan remains consistent
with investment-grade characteristics.
Classes X-A, X-B and X-D are interest-only (IO) certificates that
reference a single rated tranche or multiple rated tranches. The IO
rating mirrors the lowest-rated applicable reference obligation
tranche adjusted upward by one notch if senior in the waterfall.
MORGAN STANLEY 2018 H-4: Fitch to Rate $7.96MM Cl. G-RR Certs B-
----------------------------------------------------------------
Fitch Ratings expects to rate the following classes of Morgan
Stanley Capital I Trust (MSC) commercial mortgage pass-through
certificates series 2018 H-4:
-- $19,100,000 Class A-1 'AAAsf'; Outlook Stable;
-- $32,900,000 Class A-2 'AAAsf'; Outlook Stable;
-- $32,600,000 Class A-SB 'AAAsf'; Outlook Stable;
-- $160,000,000a Class A-3 'AAAsf'; Outlook Stable;
-- $313,164,000a Class A-4 'AAAsf'; Outlook Stable;
-- $557,764,000b Class X-A 'AAAsf'; Outlook Stable;
-- $64,740,000 Class A-S 'AAAsf'; Outlook Stable;
-- $37,849,000 Class B 'AA-sf'; Outlook Stable;
-- $102,589,000b Class X-B 'AA-sf'; Outlook Stable;
-- $35,856,000 Class C 'A-sf'; Outlook Stable;
-- $25,298,000ce Class D 'BBB-sf'; Outlook Stable;
-- $16,534,000cde Class E-RR 'BBB-sf'; Outlook Stable;
-- $20,916,000cd Class F-RR 'BB-sf'; Outlook Stable;
-- $7,968,000cd Class G-RR 'B-sf'; Outlook Stable.
The following Class will not be rated by Fitch:
-- $29,881,045cd Class H-RR.
(a) The initial certificate balance of Class A-3 and A-4 are
unknown. The expected class A-3 balance range is $100,000,000 to
$220,000,000. The expected class A-4 balance range is $253,164,000
to $373,164,000.
(b) Notional amount and interest only.
(c) Privately placed and pursuant to Rule 144A.
(d) Horizontal credit risk retention interest representing at least
5% of the estimated fair value of all classes of regular
certificates issued by the issuing entity (as of the closing
date).
(e) The initial certificate balances of each of the Class D and
Class E-RR certificates are subject to change based on final
pricing of all certificates and the final determination of the fair
market value of the Class E-RR, Class F-RR, Class G-RR and Class
H-RR certificates. The initial certificate balance of the Class D
certificates is expected to fall within a range of $22,629,000 and
$28,685,000. The initial certificate balance of the Class E-RR
certificates is expected to fall within a range of $13,147,000 and
$19,203,000.
The expected ratings are based on information provided by the
issuer as of Monday, Dec. 10, 2018.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 51 loans secured by commercial
properties located throughout the United States having an aggregate
principal balance of $796,806,045 as of the cut-off date. Loans
were contributed to the trust by Morgan Stanley Mortgage Capital
Holdings LLC, Argentic Real Estate Finance, LLC, Starwood Mortgage
Capital, LLC, KeyBank National Association and Cantor Commercial
Real Estate Lending, L.P.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 64.3% of the properties
by balance, cash flow analysis of 85.6% and asset summary reviews
on 100.0% of the pool.
KEY RATING DRIVERS
Fitch Leverage: The pool's Fitch LTV of 103.3% is slightly worse
than the 2017 and YTD 2018 averages of 101.6% and 101.9%,
respectively. The pool's Fitch DSCR of 1.17x is lower than the 2017
and YTD 2018 averages of 1.26x and 1.23x, respectively, given the
slightly higher weighted average (WA) mortgage rate.
Weak Amortization: Sixteen loans (47.0% of the pool) are full-term,
interest only and 21 loans (31.9% of the pool) are partial interest
only. Based on the scheduled balance at maturity, the pool will
amortize by 6.8%, which is lower the 2017 and YTD 2018 averages of
7.9% and 7.2%, respectively.
Investment-Grade Credit Opinion Loan: Only one loan, representing
7.5% of the pool, received an investment-grade credit opinion,
which is lower than the 2017 and YTD 2018 averages of 11.7% and
14.0%. The second largest loan, Aventura Mall, has a stand-alone
credit opinion of 'Asf*'.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was approximately
11.7% below the most recent year's NCF (for properties for which a
full year NCF was provided, excluding properties where dated
information has been provided). Unanticipated further declines in
property-level NCF could result in higher defaults and loss
severities on defaulted loans and in potential rating actions on
the certificates.
Fitch evaluated the sensitivity of the ratings assigned to MSC
2018-H4 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the 'AAAsf' certificates to 'BBB+sf' could result. In a more severe
scenario, in which NCF declined a further 30% from Fitch's NCF, a
downgrade of the 'AAAsf' certificates to 'BBB-sf' could result.
OHA CREDIT X-R: S&P Assigns B- Rating on $11.75MM Cl. F Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to OHA Credit Partners X-R
Ltd./OHA Credit Partners X-R LLC's floating-rate notes. This is a
reissue of OHA Credit Partners X Ltd. (not rated by S&P Global
Ratings) with the assets being transferred in the form of
participations.
The note issuance is a collateralized loan obligation transaction
backed primarily by broadly syndicated senior secured term loans
that are governed by collateral quality tests.
The ratings reflect:
-- The diversified collateral pool.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The experience of the collateral manager's team, as this can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
OHA Credit Partners X-R Ltd./OHA Credit Partners X-R LLC
Class Rating Amount (mil. $)
X AAA (sf) 4.15
A-1 AAA (sf) 348.00
A-2a NR 23.50
A-2b NR 12.50
B AA (sf) 72.00
C (deferrable) A (sf) 36.00
D (deferrable) BBB- (sf) 36.00
E (deferrable) BB- (sf) 21.00
F (deferrable) B- (sf) 11.75
Subordinated notes NR 73.00
NR--Not rated.
PEAKS CLO 3: S&P Assigns BB- Rating on $6.25MM Class E Notes
------------------------------------------------------------
S&P Global Ratings assigns its ratings to Peaks CLO 3 Ltd./Peaks
CLO 3 LLC's fixed- and floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed primarily by speculative-grade senior secured term loans
that are governed by collateral quality tests.
The ratings reflect:
-- The collateral pool.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
Peaks CLO 3 Ltd./Peaks CLO 3 LLC
Class Rating Amount (mil. $)
X AAA (sf) 1.50
A-1 AAA (sf) 56.00
A-2 AAA (sf) 17.00
B-1 AA (sf) 18.00
B-2 AA (sf) 7.00
B-3 AA (sf) 2.50
C (deferrable) A (sf) 11.25
D (deferrable) BBB- (sf) 9.75
E (deferrable) BB- (sf) 6.25
Subordinated notes NR 24.45
NR--Not rated.
SELKIRK 2014-3A: DBRS Hikes Class F Notes Rating to BB
------------------------------------------------------
DBRS Limited upgraded the ratings of the following classes of
Asset-Backed Notes issued by Selkirk 2014-3A:
-- Class C to AA (low) (sf) from A (sf)
-- Class D to A (low) (sf) from BBB (sf)
-- Class E to BBB (low) (sf) from BB (sf)
-- Class F to BB (sf) from B (high) (sf)
DBRS also confirmed the ratings of the following classes:
-- Class A2 at AAA (sf)
-- Class B at AA (sf)
All trends are Stable.
The rating upgrades reflect the increased credit support to the
bonds as a result of successful loan repayments as well as the
overall strong performance of the remaining collateral. As of the
November 2018 remittance, there has been a collateral reduction of
46.4% since issuance as 37 loans remain in the pool out of the
original 62. The top 15 loans continue to exhibit stable
performance with a weighted-average debt service coverage ratio and
Debt Yield of 1.95 times and 16.8%, respectively, based on the most
recent year-end reporting available for the individual loans.
Seven loans in the top 15, comprising 27.9% of the pool balance,
are secured by properties in California. Six of the properties are
not located near the recent California wild fires while the
remaining loan, Prospectus ID#13 – Westlake Village Marketplace,
remains open for business and was not materially affected by the
wild fires. There are no loans in special servicing and no loans on
the servicer's watch list.
Notes: The principal methodology is North American CMBS
Surveillance Methodology, which can be found on dbrs.com under
Methodologies & Criteria. For a list of the Structured Finance
related methodologies that may be used during the rating process,
please see the DBRS Global Structured Finance Related Methodologies
document on www.dbrs.com. Please note that not every related
methodology listed under a principal Structured Finance asset class
methodology may be used to rate or monitor an individual structured
finance or debt obligation.
SELKIRK 2014-3V: DBRS Hikes Class F Notes Rating to BB
------------------------------------------------------
DBRS Limited upgraded the ratings of the following classes of
Asset-Backed Notes issued by Selkirk 2014-3V:
-- Class C to AA (low) (sf) from A (sf)
-- Class D to A (low) (sf) from BBB (sf)
-- Class E to BBB (low) (sf) from BB (sf)
-- Class F to BB (sf) from B (high) (sf)
DBRS also confirmed the ratings of the following classes:
-- Class A2 at AAA (sf)
-- Class B at AA (sf)
All trends are Stable.
The rating upgrades reflect the increased credit support to the
bonds as a result of successful loan repayments as well as the
overall strong performance of the remaining collateral. As of the
November 2018 remittance, there has been a collateral reduction of
46.4% since issuance as 37 loans remain in the pool out of the
original 62. The top 15 loans continue to exhibit stable
performance with a weighted-average debt service coverage ratio and
Debt Yield of 1.95 times and 16.8%, respectively, based on the most
recent year-end reporting available for the individual loans.
Seven loans in the top 15, comprising 27.9% of the pool balance,
are secured by properties in California. Six of the properties are
not located near the recent California wild fires while the
remaining loan, Prospectus ID#13 – Westlake Village Marketplace,
remains open for business and was not materially affected by the
wild fires. There are no loans in special servicing and no loans on
the servicer's watch list.
SOUND POINT XI: Moody's Rates $25MM Class E-R Notes 'Ba2'
---------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
CLO refinancing notes issued by Sound Point CLO XI, Ltd.:
Moody's rating action is as follows:
US$322,500,000 Class A-R Senior Secured Floating Rate Notes due
2028 (the "Class A-R Notes"), Assigned Aaa (sf)
US$57,500,000 Class B-R Senior Secured Floating Rate Notes due 2028
(the "Class B-R Notes"), Assigned Aa1 (sf)
US$30,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class C-R Notes"), Assigned A2 (sf)
US$25,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class D-R Notes"), Assigned Baa2 (sf)
US$25,000,000 Class E-R Junior Secured Deferrable Floating Rate
Notes due 2028 (the "Class E-R Notes"), Assigned Ba2 (sf)
The Issuer is a managed cash flow collateralized loan obligation.
The issued notes are collateralized primarily by a portfolio of
broadly syndicated senior secured corporate loans.
Sound Point Capital Management, LP manages the CLO. It directs the
selection, acquisition, and disposition of collateral on behalf of
the Issuer.
RATINGS RATIONALE
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 December 6, 2018 in
connection with the refinancing of all classes of the secured notes
previously issued on May 26, 2016. On the Refinancing Date, the
Issuer used proceeds from the issuance of the Refinancing Notes to
redeem in full the Refinanced Original Notes.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extensions of the non-call period
and changes to certain collateral quality tests.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Performing par and principal proceeds balance: $500,000,000
Diversity Score: 71
Weighted Average Rating Factor (WARF): 2573
Weighted Average Spread (WAS): 3.57%
Weighted Average Recovery Rate (WARR): 47.61%
Weighted Average Life (WAL): 5.98 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.
The Credit Ratings for Sound Point CLO XI, Ltd. were assigned in
accordance with Moody's existing Methodology titled "Moody's Global
Approach to Rating Collateralized Loan Obligations," dated August
31, 2017. Please note that on November 14, 2018, Moody's released a
Request for Comment, in which it has requested market feedback on
potential revisions to its Methodology for Collateralized Loan
Obligations. If the revised Methodology is implemented as proposed,
Moody's does not expect the changes to affect the Credit Ratings on
Sound Point CLO XI, Ltd. Please refer to Moody's Request for
Comment, titled "Proposed Update to Moody's Global Approach to
Rating Collateralized Loan Obligations," for further details
regarding the implications of the proposed Methodology revisions on
certain Credit Ratings.
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.
THL CREDIT 2018-3: S&P Assigns BB- Rating on Class E Notes
----------------------------------------------------------
S&P Global Ratings assigned its ratings to THL Credit Wind River
2018-3 CLO Ltd./THL Credit Wind River 2018-3 CLO LLC's
floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed primarily by broadly syndicated senior secured term loans.
The ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade (rated 'BB+' and lower) senior
secured term loans that are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
THL Credit Wind River 2018-3 CLO Ltd./THL Credit Wind River
2018-3 CLO LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 299.50
A-2 NR 23.00
B AA (sf) 57.50
C (deferrable) A (sf) 30.00
D (deferrable) BBB- (sf) 30.00
E (deferrable) BB- (sf) 18.00
Subordinated notes NR 50.40
NR--Not rated.
UBS COMMERCIAL 2018-C15: Moody's to Rate Cl. G-RR Certs B-
----------------------------------------------------------
Fitch Ratings has issued a presale report on UBS Commercial
Mortgage Trust 2018-C15 commercial mortgage pass-through
certificates, series 2018-C15.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $20,496,000 class A-1 'AAAsf'; Outlook Stable;
-- $62,148,000 class A-2 'AAAsf'; Outlook Stable;
-- $34,111,000 class A-SB 'AAAsf'; Outlook Stable;
-- $150,000,000a class A-3 'AAAsf'; Outlook Stable;
-- $185,779,000a class A-4 'AAAsf'; Outlook Stable;
-- $452,534,000b class X-A 'AAAsf'; Outlook Stable;
-- $122,022,000b class X-B 'A-sf'; Outlook Stable;
-- $63,839,000 class A-S 'AAAsf'; Outlook Stable;
-- $30,708,000 class B 'AA-sf'; Outlook Stable;
-- $27,475,000 class C 'A-sf'; Outlook Stable;
-- $8,385,000bc class X-D 'BBB+sf'; Outlook Stable;
-- $8,385,000c class D 'BBB+sf'; Outlook Stable;
-- $21,515,000c class D-RR 'BBB-sf'; Outlook Stable;
-- $7,273,000c class E-RR 'BB+sf'; Outlook Stable;
-- $6,464,000c class F-RR 'BB-sf'; Outlook Stable;
-- $6,465,000c class G-RR 'B-sf'; Outlook Stable.
The following class is not expected to be rated:
-- $21,819,345a class NR-NR.
(a) The initial certificate balances of class A-3 and A-4 are
unknown and expected to be $335,779,000 in aggregate. The expected
class A-3 balance range is $125,000,000 to $175,000,000, and the
expected class A-4 balance range is $160,779,000 to $210,779,000.
(b) Notional amount and interest-only.
(c) Privately placed and pursuant to Rule 144A.
The expected ratings are based on information provided by the
issuer as of Dec. 7, 2018.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 41 loans secured by 317
commercial properties having an aggregate principal balance of
$646,477,345 as of the cut-off date. The loans were contributed to
the trust by UBS AG, Societe Generale, German American Capital
Corporation, Natixis Real Estate Capital LLC, CIBC, Inc. and Rialto
Mortgage Finance LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 60.5% of the properties
by balance, cash flow analysis of 86.6% and asset summary reviews
on 100.0% of the pool.
KEY RATING DRIVERS
Average Leverage Relative to Recent Transactions: The pool has
average leverage relative to other recent Fitch-rated multiborrower
transactions. The pool's Fitch DSCR of 1.21x is slightly worse than
both the YTD 2018 average of 1.23x and the 2017 average of 1.26x.
The pool's Fitch LTV of 99.3% is slightly better than both the YTD
2018 average of 101.9% and the 2017 average of 101.6%. Excluding
the credit opinion loans, the Fitch DSCR is 1.18x and the Fitch LTV
is 103.7%.
Investment-Grade Credit Opinion Loans: There are two loans with
investment-grade credit opinions totaling 10.1% of the pool. Great
Value Storage Portfolio (8.5% of the pool) received a credit
opinion of 'BBB-sf*' and Christiana Mall (1.7% of the pool)
received a credit opinion of 'AA-sf*', both on a stand-alone basis.
This is below the 2017 and YTD 2018 average percentage of credit
opinion loans in Fitch-rated multiborrower transactions of 11.73%
and 14.0% respectively.
Pool Concentration: The pool has above-average loan concentration
relative to other Fitch-rated transactions. The top-10 loans make
up 53.1% of the pool, which is higher than the YTD 2018 average of
50.7%, but equal to the 2017 average. The loan concentration index
(LCI) of 405 is higher than the YTD 2018 average of 374 and the
2017 average of 398. Likewise, the sponsor concentration index
(SCI) of 426 is higher than the YTD 2018 average of 400 and the
2017 average of 422.
RATING SENSITIVITIES
For this transaction, Fitch's NCF was 12.5% below the most recent
year's NOI for properties, for which a full-year NOI was provided,
excluding properties that were stabilizing during this period.
Unanticipated further declines in property-level NCF could result
in higher defaults and loss severities on defaulted loans and in
potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the UBS
2018-C14 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'BBB+sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'
could result.
VENTURE XIX: Moody's Rates $25MM Class E-RR Notes 'Ba3'
-------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
CLO refinancing notesissued by Venture XIX CLO, Limited:
Moody's rating action is as follows:
US$4,100,000 Class X Senior Secured Floating Rate Notes Due 2032
(the "Class X Notes"), Assigned Aaa (sf)
US$366,000,000 Class A-RR Senior Secured Floating Rate Notes Due
2032 (the "Class A-RR Notes"), Assigned Aaa (sf)
US$89,000,000 Class B-RR Senior Secured Floating Rate Notes Due
2032 (the "Class B-RR Notes"), Assigned Aa2 (sf)
US$32,000,000 Class C-RR Mezzanine Secured Deferrable Floating Rate
Notes Due 2032 (the "Class C-RR Notes"), Assigned A2 (sf)
US$36,500,000 Class D-RR Mezzanine Secured Deferrable Floating Rate
Notes Due 2032 (the "Class D-RR Notes"), Assigned Baa3 (sf)
US$25,000,000 Class E-RR Junior Secured Deferrable Floating Rate
Notes Due 2032 (the "Class E-RR Notes"), Assigned Ba3 (sf)
US$7,900,000 Class F-RR Junior Secured Deferrable Floating Rate
Notes Due 2032 (the "Class F-RR 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.
MJX Asset Management LLC manages the CLO. It directs the selection,
acquisition, and disposition of collateral on behalf of the Issuer.
RATINGS RATIONALE
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 December 11, 2018 in
connection with the refinancing of all classes of the secured notes
previously partially refinanced on December 22, 2016 and originally
issued on January 15, 2015. On the Second Refinancing Date, the
Issuer used proceeds from the issuance of the Refinancing Notes
along with the proceeds from the issuance of additional
subordinated notes to redeem in full the Refinanced Original Notes.
In addition to the issuance of the Refinancing Notes and additional
subordinated notes, a variety of other changes to transaction
features will occur in connection with the refinancing. These
include: extension of the reinvestment period; extensions of the
stated maturity and non-call period; changes to certain collateral
quality tests; and changes to the overcollateralization test
levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Performing par and principal proceeds balance: $600,000,000
Diversity Score: 90
Weighted Average Rating Factor (WARF): 2922
Weighted Average Spread (WAS): 3.70%
Weighted Average Coupon (WAC): 6.00%
Weighted Average Recovery Rate (WARR): 46.25%
Weighted Average Life (WAL): 9.0 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
The Credit Ratings for Venture XIX CLO, Limited were assigned in
accordance with Moody's existing Methodology entitled "Moody's
Global Approach to Rating Collateralized Loan Obligations," dated
August 31, 2017. Please note that on November 14, 2018, Moody's
released a Request for Comment, in which it has requested market
feedback on potential revisions to its Methodology for
Collateralized Loan Obligations. If the revised Methodology is
implemented as proposed, Moody's does not expect the changes to
affect the Credit Ratings on Venture XIX CLO, Limited. Please refer
to Moody's Request for Comment, titled "Proposed Update to Moody's
Global Approach to Rating Collateralized Loan Obligations," for
further details regarding the implications of the proposed
Methodology revisions on certain Credit Ratings.
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.
VERUS TRUST 2018-INV2: S&P Gives Prelim B Rating on B-2 Certs
-------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Verus
Securitization Trust 2018-INV2's mortgage pass-through
certificates.
The note issuance is a residential mortgage-backed securities
(RMBS) transaction backed by U.S. residential mortgage loans.
The preliminary ratings are based on information as of Dec. 11,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The pool's collateral composition;
-- The credit enhancement provided for this transaction;
-- The transaction's associated structural mechanics;
-- The representation and warranty framework for this transaction;
and
-- The mortgage aggregator, Invictus Capital Partners.
PRELIMINARY RATINGS ASSIGNED
Verus Securitization Trust 2018-INV2
Class Rating(i) Amount (mil. $)
A-1FX AAA (sf) 102,011,000
A-1FL AAA (sf) 50,000,000
A-2 AA (sf) 24,847,000
A-3 A (sf) 34,658,000
M-1 BBB- (sf) 15,546,000
B-1 BB- (sf) 12,487,000
B-2 B (sf) 7,186,000
B-3 NR 8,104,518
A-IO-S NR 254,839,618(ii)
XS NR 254,839,618(ii)
P NR 100
R NR N/A
(i)The collateral and structural information in this report reflect
the term sheet dated Dec. 10, 2018; the preliminary ratings
assigned to the classes address the ultimate payment of interest
and principal.
(ii)Notional amount equals the loans' stated principal balance.
N/A--Not applicable.
NR--Not rated.
WEST CLO 2013-1: S&P Affirms BB- Rating on Class D Notes
--------------------------------------------------------
S&P Global Ratings raised its ratings on the class A-2AR, A-2BR,
B-R, and C notes from West CLO 2013-1 Ltd. S&P also removed the
ratings on the class A-2AR, A-2BR, and B-R notes from CreditWatch,
where it placed them with positive implications on Oct. 26, 2018.
At the same time, S&P affirmed its ratings on the class A-1AR,
A-1BR, and D notes from the same transaction.
The rating actions follow its review of the transaction's
performance using data from the Oct. 26, 2018, trustee report.
The upgrades reflect the transaction's $198.13 million in
collective paydowns to the class A-1AR and A-1BR notes since S&P's
May 2017 rating actions. These paydowns resulted in improved
reported overcollateralization (O/C) ratios since the March 28,
2017, trustee report, which S&P used for its previous rating
actions:
-- The class A-2B O/C ratio improved to 153.96% from 129.44%.
-- The class B O/C ratio improved to 130.90% from 118.65%.
-- The class C O/C ratio improved to 117.81% from 111.75%.
-- The class D O/C ratio improved to 108.17% from 106.23%.
S&P said, "The collateral portfolio's credit quality has slightly
deteriorated since our last rating actions. Collateral obligations
with ratings in the 'CCC' category have increased, with $28.09
million reported as of the October 2018 trustee report, compared
with $27.94 million reported as of the March 2017 trustee report.
Over the same period, the weighted-average spread (WAS) of the
portfolio has contracted to 3.47% from 3.70%, and the pool has
become more concentrated, comprising 83 assets from 71 obligors,
down from 159 assets from 116 obligors. However, despite the larger
concentration in the 'CCC' category, the lower WAS, and the lower
diversity across assets and obligors, the transaction has benefited
from a drop in weighted average life due to underlying collateral's
seasoning, with 3.42 years reported as of the October 2018 trustee
report, compared with 4.24 years reported at the time of our May
2017 rating actions.
"The upgrades reflect the improved credit support at the prior
rating levels; the affirmations reflects our 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-R, C, and D notes. S&P
said, "However, given the portfolio's heightened exposure to 'CCC'
rated collateral obligations, lower WAS, and lower asset and
obligor diversity, we limited the upgrades on the class B-R and C
notes and merely affirmed our rating on the class D notes to offset
future potential credit migration in the underlying collateral and
increased concentration in the portfolio as the assets mature or
prepay."
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--and other qualitative factors as
applicable--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
West CLO 2013-1 Ltd.
Rating
Class To From
A-2AR AAA (sf) AA (sf)/Watch Pos
A-2BR AAA (sf) AA (sf)/Watch Pos
B-R AA (sf) A (sf)/Watch Pos
RATING RAISED
West CLO 2013-1 Ltd.
Rating
Class To From
C A- (sf) BBB (sf)
RATINGS AFFIRMED
West CLO 2013-1 Ltd.
Class Rating
A-1AR AAA (sf)
A-1BR AAA (sf)
D BB- (sf)
[*] Moody's Takes Action on $22.6MM RMBS Issued 2002-2006
---------------------------------------------------------
Moody's Investors Service has downgraded the ratings of four
tranches and upgraded the rating of one tranche from four
transactions, backed by Scratch and Dent, Prime Jumbo, and Subprime
loans, issued by multiple issuers.
Complete rating actions are as follows:
Issuer: Ameriquest Mortgage Securities Inc., Series 2004-FR1
Cl. M-1, Downgraded to B2 (sf); previously on Oct 1, 2015 Upgraded
to B1 (sf)
Cl. M-4, Upgraded to Caa2 (sf); previously on May 4, 2012
Downgraded to C (sf)
Issuer: Bear Stearns Asset-Backed Securities Trust 2004-SD1
Cl. M-1, Downgraded to B1 (sf); previously on Jul 5, 2012
Downgraded to Baa1 (sf)
Issuer: CDC Mortgage Capital Trust 2002-HE2
Cl. M-1, Downgraded to Baa3 (sf); previously on Sep 13, 2018
Upgraded to Baa1 (sf)
Issuer: Citigroup Mortgage Loan Trust 2006-AR1
Cl. II-X*, Downgraded to C (sf); previously on May 18, 2018
Downgraded to Ca (sf)
RATINGS RATIONALE
The rating upgrade is due to an increase in the credit enhancement
available to the bond. The rating downgrades on Ameriquest Mortgage
Securities Inc., Series 2004-FR1 Cl. M-1, Bear Stearns Asset-Backed
Securities Trust 2004-SD1 Cl. M-1, and CDC Mortgage Capital Trust
2002-HE2 Cl. M-1 are primarily due to the outstanding interest
shortfalls on the bonds, which are not expected to be reimbursed.
The rating actions also reflect the recent performance and Moody's
updated loss expectations on the underlying pools.
The downgrade of the rating of Citigroup Mortgage Loan Trust
2006-AR1 Cl. II-X to C(sf) reflects the nonpayment of interest for
an extended period of 13 months. For this bond, the coupon rate is
subject to a calculation that has reduced the required interest
distribution to zero. The reduction to zero is generally attributed
to weak performance and/or rate reduction on the collateral due to
underlying loan modifications. Because the coupon on this bond is
subject to changes in interest rates and/or collateral composition,
there is a remote possibility that it may receive interest in the
future. The rating of C(sf) addresses the loss of interest
attributable to credit related reasons.
The principal methodology used in rating all deals except
interest-only classes was "US RMBS Surveillance Methodology"
published in January 2017. The methodologies used in rating
interest-only classes were "US RMBS Surveillance Methodology"
published in January 2017 and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published in June
2017.
The Credit Rating for Ameriquest Mortgage Securities Inc., Series
2004-FR1 Cl. M-1 and Cl. M-4, Bear Stearns Asset-Backed Securities
Trust 2004-SD1 Cl. M-1, CDC Mortgage Capital Trust 2002-HE2 Cl. M-1
and Citigroup Mortgage Loan Trust 2006-AR1 Cl. II-X was assigned in
accordance with Moody's existing Methodology entitled "US RMBS
Surveillance Methodology," dated 1/31/2017. Please note that on
11/14/2018, Moody's released a Request for Comment, in which it has
requested market feedback on potential revisions to its Methodology
for pre-2009 US RMBS Prime Jumbo, Alt-A, Option ARM, Subprime,
Scratch and Dent, Second Lien and Manufactured Housing
transactions. If the revised Methodology is implemented as
proposed, the Credit Rating on Ameriquest Mortgage Securities Inc.,
Series 2004-FR1 Cl. M-1 and Cl. M-4, Bear Stearns Asset-Backed
Securities Trust 2004-SD1 Cl. M-1, CDC Mortgage Capital Trust
2002-HE2 Cl. M-1 and Citigroup Mortgage Loan Trust 2006-AR1 Cl.
II-X is not expected to be affected. Please refer to Moody's
Request for Comment, titled "Proposed Update to US RMBS
Surveillance Methodology," for further details regarding the
implications of the proposed Methodology revisions on certain
Credit Ratings.
The Credit Rating for Citigroup Mortgage Loan Trust 2006-AR1 Cl.
II-X was assigned in accordance with Moody's existing Methodology
entitled "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities," dated 6/8/2017. Please note that on
11/14/2018, Moody's released a Request for Comment, in which it has
requested market feedback on potential revisions to its Methodology
for Structured Finance Interest-Only (IO) Securities . If the
revised Methodology is implemented as proposed, the Credit Rating
on Citigroup Mortgage Loan Trust 2006-AR1 Cl. II-X may be
positively affected. Please refer to Moody's Request for Comment,
titled "Proposed Update to Moody's Approach to Rating Structured
Finance Interest-Only (IO) Securities," for further details
regarding the implications of the proposed Methodology revisions on
certain Credit Ratings.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 3.7% in October 2018 from 4.1% in
October 2017. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2018 year. Deviations from this central
scenario could lead to rating actions in the sector. House prices
are another key driver of US RMBS performance. Moody's expects
house prices to continue to rise in 2018. Lower increases than
Moody's expects or decreases could lead to negative rating actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds and/or pools.
[*] Moody's Takes Action on $269.7MM Debt Backed by Housing Loans
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 22 tranches
and downgraded the ratings of two tranches from 14 deals backed by
"scratch and dent" or manufactured housing RMBS loans.
Complete rating actions are as follows:
Issuer: Bayview Financial Mortgage Pass-Through Certificates,
Series 2004-D
Cl. B-1, Upgraded to A1 (sf); previously on Feb 20, 2018 Upgraded
to Baa1 (sf)
Cl. B-2, Upgraded to B3 (sf); previously on Jul 7, 2011 Downgraded
to Caa2 (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2004-RP1
Cl. M-2, Downgraded to B2 (sf); previously on Mar 5, 2013
Downgraded to B1 (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2006-MH1
Cl. B-1, Upgraded to Caa2 (sf); previously on Mar 22, 2017 Upgraded
to Ca (sf)
Cl. M-2, Upgraded to Aa1 (sf); previously on Mar 9, 2018 Upgraded
to A3 (sf)
Issuer: Conseco Finance Securitization Corp. Series 2002-2
Class M-1, Upgraded to Ba1 (sf); previously on Sep 18, 2013
Upgraded to B1 (sf)
Issuer: Conseco Finance Securitizations Corp. Series 2002-1
Class M-1-A, Upgraded to A3 (sf); previously on Mar 2, 2018
Upgraded to Baa3 (sf)
Class M-1-F, Upgraded to A3 (sf); previously on Mar 2, 2018
Upgraded to Baa3 (sf)
Issuer: CountryPlace Manufactured Housing Contract 2005-1
Cl. A-4, Upgraded to Baa1 (sf); previously on Nov 22, 2011
Downgraded to Baa3 (sf)
Issuer: CountryPlace Manufactured Housing Contract Trust 2007-1
Cl. A-4, Upgraded to Ba3 (sf); previously on Dec 14, 2010
Downgraded to Caa2 (sf)
Issuer: CSFB ABS Trust Manufactured Housing Pass-Through
Certificates 2001-MH29
Cl. B-1, Upgraded to Caa1 (sf); previously on Mar 9, 2018 Upgraded
to Ca (sf)
Cl. M-2, Upgraded to Aaa (sf); previously on Mar 9, 2018 Upgraded
to Aa3 (sf)
Issuer: CSFB Manufactured Housing Pass-Through Certificates, Series
2002-MH3
Cl. M-1, Upgraded to Aaa (sf); previously on Mar 19, 2018 Upgraded
to Aa3 (sf)
Cl. M-2, Upgraded to Caa3 (sf); previously on Mar 19, 2018 Upgraded
to Ca (sf)
Issuer: Deutsche Financial Capital Securitization LLC, Series
1997-I
Class M, Upgraded to Aaa (sf); previously on Mar 2, 2018 Upgraded
to A2 (sf)
Issuer: EMC Mortgage Loan Trust 2002-A
Cl. A-1, Upgraded to A1 (sf); previously on Mar 1, 2018 Upgraded to
Baa2 (sf)
Cl. A-2, Upgraded to A1 (sf); previously on Mar 1, 2018 Upgraded to
Baa2 (sf)
Cl. M-1, Upgraded to B1 (sf); previously on Mar 1, 2018 Upgraded to
Caa1 (sf)
Issuer: GSRPM Mortgage Loan Trust 2003-1
Cl. B-2, Downgraded to Caa3 (sf); previously on Feb 4, 2013
Affirmed Caa1 (sf)
Issuer: MESA Trust Asset Backed Certificates, Series 2001-5
Cl. A, Upgraded to Aa1 (sf); previously on Mar 1, 2018 Upgraded to
A1 (sf)
Underlying Rating: Upgraded to Aa1 (sf); previously on Mar 1, 2018
Upgraded to A1 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Issuer: Mid-State Capital Corp. 2005-1
Cl. A, Upgraded to A1 (sf); previously on Mar 14, 2012 Downgraded
to Baa1 (sf)
Cl. B, Upgraded to Ba1 (sf); previously on Apr 13, 2017 Upgraded to
B2 (sf)
Cl. M-1, Upgraded to A2 (sf); previously on Mar 14, 2012 Downgraded
to Baa2 (sf)
Cl. M-2, Upgraded to Baa1 (sf); previously on Jun 29, 2015 Upgraded
to Ba1 (sf)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pools
and reflect Moody's updated loss expectations on the pools. The
ratings upgraded are a result of improving performance of the
related pools and/or an increase in credit enhancement available to
the bonds. The ratings downgraded are due to the weaker performance
of the underlying collateral, the erosion of enhancement available
to the bonds or cumulative interest shortfalls on the bonds.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
The Credit Ratings for the mentioned deals were assigned in
accordance with Moody's existing Methodology entitled "US RMBS
Surveillance Methodology," dated 1/31/2017. Please note that on
11/14/2018, Moody's released a Request for Comment, in which it has
requested market feedback on potential revisions to its Methodology
for pre-2009 US RMBS. Prime Jumbo, Alt-A, Option ARM, Subprime,
Scratch and Dent, Second Lien and Manufactured Housing
transactions. If the revised Methodology is implemented as
proposed, the Credit Ratings on the mentioned deals are not
expected to be affected. Please refer to Moody's Request for
Comment, titled "Proposed Update to US RMBS Surveillance
Methodology," for further details regarding the implications of the
proposed Methodology revisions on certain Credit Ratings.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to macroeconomic
uncertainty, and in particular the unemployment rate. The
unemployment rate fell to 3.7% in October 2018 from 4.1% in October
2017. Moody's forecasts an unemployment central range of 3.5% to
4.5% for the 2018 year. Deviations from this central scenario could
lead to rating actions in the sector. House prices are another key
driver of US RMBS performance. Moody's expects house prices to
continue to rise in 2018. Lower increases than Moody's expects or
decreases could lead to negative rating actions. Finally,
performance of RMBS continues to remain highly dependent on
servicer procedures.
[*] Moody's Takes Action on $430.3MM Securities Issued 2004-2007
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 31 tranches
from nine transactions, and downgraded the ratings of two tranches
from one transaction.
Complete rating actions are as follows:
Issuer: American General Mortgage Pass-Through Certificates, Series
2006-1
Cl. B-1, Downgraded to B3 (sf); previously on Feb 9, 2018
Downgraded to B1 (sf)
Cl. M-2, Downgraded to Ba3 (sf); previously on Oct 19, 2012
Downgraded to Ba1 (sf)
Issuer: CSFB Adjustable Rate Mortgage Trust 2005-10
Cl. 5-A-1, Upgraded to Caa1 (sf); previously on May 4, 2010
Downgraded to Caa3 (sf)
Issuer: Deutsche Mortgage Securities, Inc. Mortgage Loan Trust,
Series 2004-4
Cl. I-A-5, Upgraded to A3 (sf); previously on Feb 7, 2018 Upgraded
to Baa3 (sf)
Cl. I-A-6, Upgraded to A1 (sf); previously on May 4, 2012 Upgraded
to Baa1 (sf)
Issuer: DSLA Mortgage Loan Trust 2007-AR1
Cl. 1A-1A, Upgraded to B3 (sf); previously on Dec 23, 2010
Downgraded to Caa2 (sf)
Cl. 2A-1A, Upgraded to B3 (sf); previously on Dec 23, 2010
Downgraded to Caa2 (sf)
Issuer: GSAA Home Equity Trust 2005-11
Cl. 1A1, Upgraded to Aa3 (sf); previously on Feb 9, 2018 Upgraded
to A1 (sf)
Cl. 1A2, Upgraded to A3 (sf); previously on Feb 9, 2018 Upgraded to
Ba1 (sf)
Cl. 2A1, Upgraded to Aaa (sf); previously on Feb 9, 2018 Upgraded
to A1 (sf)
Cl. 2A2, Upgraded to A1 (sf); previously on Feb 9, 2018 Upgraded to
Ba1 (sf)
Cl. 3A1, Upgraded to Aaa (sf); previously on Feb 9, 2018 Upgraded
to Aa1 (sf)
Cl. 3A2, Upgraded to A1 (sf); previously on Feb 9, 2018 Upgraded to
Baa2 (sf)
Cl. 3A5, Upgraded to A1 (sf); previously on Feb 9, 2018 Upgraded to
Baa1 (sf)
Cl. M-1, Upgraded to Ca (sf); previously on Feb 4, 2011 Downgraded
to C (sf)
Issuer: GSAA Home Equity Trust 2005-9
Cl. 1A2, Upgraded to Aaa (sf); previously on Feb 9, 2018 Upgraded
to Aa2 (sf)
Cl. 2A4, Upgraded to Aaa (sf); previously on Feb 9, 2018 Upgraded
to Aa2 (sf)
Cl. M-5, Upgraded to B3 (sf); previously on Feb 9, 2018 Upgraded to
Caa3 (sf)
Issuer: Impac CMB Trust Series 2004-7 Collateralized Asset-Backed
Bonds, Series 2004-7
Cl. 1-A-2, Upgraded to Baa2 (sf); previously on Mar 18, 2016
Upgraded to Baa3 (sf)
Cl. 2-A, Upgraded to Baa1 (sf); previously on May 1, 2015 Upgraded
to Baa3 (sf)
Underlying Rating: Upgraded to Baa1 (sf); previously on May 1, 2015
Upgraded to Baa3 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. M-1, Upgraded to Ba1 (sf); previously on Mar 18, 2016 Upgraded
to Ba2 (sf)
Cl. M-2, Upgraded to Ba2 (sf); previously on Mar 18, 2016 Upgraded
to B1 (sf)
Cl. M-3, Upgraded to Ba3 (sf); previously on Mar 18, 2016 Upgraded
to B2 (sf)
Cl. M-4, Upgraded to B1 (sf); previously on Jan 17, 2018 Upgraded
to B3 (sf)
Issuer: Impac Secured Assets Corp. Mortgage Pass-Through
Certificates, Series 2006-1
Cl. 2-B, Upgraded to A3 (sf); previously on Mar 28, 2017 Upgraded
to Ba1 (sf)
Cl. 2-M-2, Upgraded to A3 (sf); previously on Mar 21, 2013 Affirmed
Baa1 (sf)
Cl. 2-M-3, Upgraded to A3 (sf); previously on Mar 28, 2017 Upgraded
to Baa3 (sf)
Issuer: Opteum Mortgage Acceptance Corporation Asset Backed
Pass-Through Certificates 2005-5
Cl. I-A1D, Upgraded to Ba3 (sf); previously on Aug 4, 2015 Upgraded
to Caa1 (sf)
Cl. I-APT, Upgraded to Ba3 (sf); previously on Jun 28, 2013
Confirmed at Caa1 (sf)
Cl. II-A1D1, Upgraded to Aa2 (sf); previously on Feb 9, 2018
Upgraded to Baa1 (sf)
Cl. II-A1D2, Upgraded to Aa2 (sf); previously on Feb 9, 2018
Affirmed A2 (sf)
Underlying Rating: Upgraded to Aa2 (sf); previously on Feb 9, 2018
Upgraded to Baa1 (sf)
Financial Guarantor: Assured Guaranty Municipal Corp (A2, Outlook
Stable on May 7, 2018)
Cl. II-AN, Upgraded to Aa1 (sf); previously on Feb 9, 2018 Upgraded
to Baa1 (sf)
Issuer: Residential Asset Securitization Trust 2004-A4
Cl. A-9, Upgraded to Baa1 (sf); previously on Feb 9, 2015
Downgraded to Ba1 (sf)
RATINGS RATIONALE
The rating actions reflect the recent performance and Moody's
updated loss expectations on the underlying pools. The rating
upgrades are due to an increase in the credit enhancement available
to the bonds. The rating downgrades are due to the weaker
performance of the underlying collateral or the erosion of
enhancement available to the bonds.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
The Credit Rating for these 33 tranches was assigned in accordance
with Moody's existing Methodology entitled "US RMBS Surveillance
Methodology," dated 1/31/2017. Please note that on 11/14/2018,
Moody's released a Request for Comment, in which it has requested
market feedback on potential revisions to its Methodology for
pre-2009 US RMBS Prime Jumbo, Alt-A, Option ARM, Subprime, Scratch
and Dent, Second Lien and Manufactured Housing transactions. If the
revised Methodology is implemented as proposed, the Credit Rating
on these 33 tranches are not expected to be affected. Please refer
to Moody's Request for Comment, titled "Proposed Update to US RMBS
Surveillance Methodology," for further details regarding the
implications of the proposed Methodology revisions on certain
Credit Ratings."
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 3.7% in October 2018 from 4.1% in
October 2017. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2018 year. Deviations from this central
scenario could lead to rating actions in the sector. House prices
are another key driver of US RMBS performance. Moody's expects
house prices to continue to rise in 2018. Lower increases than
Moody's expects or decreases could lead to negative rating actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
[*] Moody's Takes Action on $59.6MM Securities Issued 1995-2001
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 10 tranches
and downgraded the ratings of 3 tranches from 7 deals backed by
manufactured housing loans.
Complete rating actions are as follows:
Issuer: Green Tree Financial Corporation MH 1995-08
B-1, Upgraded to Aaa (sf); previously on Mar 9, 2018 Upgraded to
Aa2 (sf)
Issuer: Green Tree Financial Corporation MH 1996-01
B-1, Upgraded to Aa3 (sf); previously on Mar 9, 2018 Upgraded to A3
(sf)
Issuer: Green Tree Financial Corporation MH 1996-07
M-1, Upgraded to A3 (sf); previously on Feb 12, 2018 Upgraded to
Baa3 (sf)
Issuer: GreenPoint Credit Manufactured Housing Contract Trust
Pass-Through Certificates, Series 2001-2
Cl. I A-2, Upgraded to A1 (sf); previously on Apr 10, 2009 Upgraded
to A2 (sf)
Issuer: IndyMac MH Contract 1997-1
Cl. A-2, Upgraded to A1 (sf); previously on Mar 9, 2018 Upgraded to
Baa1 (sf)
Cl. A-3, Upgraded to A1 (sf); previously on Mar 9, 2018 Upgraded to
Baa1 (sf)
Cl. A-4, Upgraded to A1 (sf); previously on Mar 9, 2018 Upgraded to
Baa1 (sf)
Cl. A-5, Upgraded to A1 (sf); previously on Mar 9, 2018 Upgraded to
Baa1 (sf)
Cl. A-6, Upgraded to A1 (sf); previously on Mar 9, 2018 Upgraded to
Baa1 (sf)
Issuer: IndyMac MH Contract 1998-1
A-3, Downgraded to Caa1 (sf); previously on Mar 15, 2017 Upgraded
to B2 (sf)
A-4, Downgraded to Caa1 (sf); previously on Mar 15, 2017 Upgraded
to B2 (sf)
A-5, Downgraded to Caa1 (sf); previously on Mar 15, 2017 Upgraded
to B2 (sf)
Issuer: MERIT Securities Corp Series 12
1-M1, Upgraded to Baa3 (sf); previously on Mar 9, 2018 Upgraded to
Ba2 (sf)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pools
and reflect Moody's updated loss expectations on the pools. The
rating upgrades are a result of improving performance of the
related pools and an increase in credit enhancement available to
the bonds. The rating downgrades are due to the weaker performance
of the underlying collateral and the erosion of credit enhancement
available to the bonds.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
The Credit Ratings for mentioned deals were assigned in accordance
with Moody's existing Methodology entitled "US RMBS Surveillance
Methodology," dated 1/31/2017. Please note that on 11/14/2018,
Moody's released a Request for Comment, in which it has requested
market feedback on potential revisions to its Methodology for
pre-2009 US RMBS. Prime Jumbo, Alt-A, Option ARM, Subprime, Scratch
and Dent, Second Lien and Manufactured Housing transactions. If the
revised Methodology is implemented as proposed, the Credit Ratings
on the mentioned deals are not expected to be affected.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to macroeconomic
uncertainty, and in particular the unemployment rate. The
unemployment rate fell to 3.7% in November 2018 from 4.1% in
November 2017. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2018 year. Deviations from this central
scenario could lead to rating actions in the sector. House prices
are another key driver of US RMBS performance. Moody's expects
house prices to continue to rise in 2018. Lower increases than
Moody's expects or decreases could lead to negative rating actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures.
[*] S&P Discontinues 'D' Ratings on 11 Classes From 8 US CMBS Deals
-------------------------------------------------------------------
S&P Global Ratings discontinued its 'D (sf)' ratings on 11 classes
of commercial mortgage pass-through certificates from eight U.S.
commercial mortgage-backed securities (CMBS) transactions.
S&P said, "We discontinued these ratings according to our
surveillance and withdrawal policy. We had previously lowered the
ratings on these classes to 'D (sf)' because of principal losses
and/or accumulated interest shortfalls that we believed would
remain outstanding for an extended period of time. We view a
subsequent upgrade to a rating higher than 'D (sf)' to be unlikely
under the relevant criteria for the classes within this review."
RATINGS DISCONTINUED
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2006-2
Rating
Class To From
E NR D (sf)
Banc of America Commercial Mortgage Trust 2007-5
Commercial mortgage pass-through certificates series 2007-5
Rating
Class To From
B NR D (sf)
C NR D (sf)
Banc of America Commercial Mortgage Trust 2008-1
Commercial mortgage pass-through certificates series 2008-1
Rating
Class To From
A-J NR D (sf)
B NR D (sf)
Credit Suisse Commercial Mortgage Trust Series 2007-C3
Commercial mortgage pass-through certificates series 2007-C3
Rating
Class To From
A-J NR D (sf)
Credit Suisse Commercial Mortgage Trust Series 2008-C1
Commercial mortgage pass-through certificates series 2008-C1
Rating
Class To From
E NR D (sf)
J.P. Morgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2005-LDP5
Rating
Class To From
H NR D (sf)
JPMorgan Chase Commercial Mortgage Securities Trust 2007-LDP11
Commercial mortgage pass-through certificates series 2007-LDP11
Rating
Class To From
A-J NR D (sf)
B NR D (sf)
Wachovia Bank Commercial Mortgage Trust Series 2007-C31
Commercial mortgage pass-through certificates series 2007-C31
Rating
Class To From
G NR D (sf)
[*] S&P Takes Actions on 61 Classes From 17 US RMBS Deals
---------------------------------------------------------
S&P Global Ratings completed its review of 61 classes from 17 U.S.
residential mortgage-backed securities (RMBS) resecuritized real
estate mortgage investment conduit (re-REMIC) transactions and one
subprime transaction issued between 2004 and 2010. All of these
transactions are backed by prime, subprime, and alternative-A
collateral. The review yielded 10 upgrades, one downgrade, 42
affirmations, and eight discontinuances.
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations include:
-- Underlying collateral performance/delinquency trends;
-- Historical interest shortfalls;
-- Priority of principal payments; and
-- Available subordination and/or overcollateralization.
Rating Actions
S&P said, "The affirmations of ratings reflect our opinion that our
projected credit support and collateral performance on these
classes has remained relatively consistent with our prior
projections.
"We raised four ratings from three transactions (see ratings list)
by five or more notches due to increased credit support. The
upgrades on these classes reflect their ability to withstand a
higher level of projected losses than previously anticipated.
"We also raised our rating on class 5-A7 from RBSSP
Resecuritization Trust 2010-3 to 'AAA (sf)' from 'BBB (sf)' due to
expected short duration. Based on the average principal payments
received over the last 12 months, the class is expected to be paid
down in about six months."
A list of Affected Ratings can be viewed at:
https://bit.ly/2PobMSk
[*] S&P Takes Various Actions on 37 Classes From Nine US RMBS Deals
-------------------------------------------------------------------
S&P Global Ratings completed its review of 37 classes from nine
U.S. residential mortgage-backed securities (RMBS) transactions
issued between 2002 and 2008. All of these transactions are backed
by alternative-A or negative-amortization collateral. The review
yielded three downgrades and 34 affirmations.
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations include:
-- Collateral performance/delinquency trends;
-- Historical interest shortfalls;
-- Priority of principal payments;
-- Small loan count; and
-- Available subordination and/or overcollateralization.
A list of Affected Ratings can be viewed at:
https://bit.ly/2B6G7A4
[*] S&P Takes Various Actions on 45 Classes From 18 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 45 classes from 18 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 1999 and 2007. All of these transactions are backed by
subprime, prime jumbo, or closed-end second-lien collateral. The
review yielded six upgrades, 37 affirmations, and two
discontinuances.
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations include:
-- Collateral performance/delinquency trends;
-- Historical interest shortfalls;
-- Priority of principal payments;
-- Proportion of reperforming loans in the pool;
-- Tail risk; and
-- Available subordination and/or overcollateralization.
Rating Actions
S&P said, "The affirmations of ratings reflect our opinion that our
projected credit support and collateral performance on these
classes has remained relatively consistent with our prior
projections.
"We raised our rating by five or more notches on class AV-1 from
Equity One Mortgage Pass-Through Trust 2002-3 due to an expected
short duration and/or an increase in credit support. This class has
the benefit of a failing cumulative loss trigger, whereby the most
senior classes in the payment priority are receiving all scheduled
and unscheduled principal allocations, which in effect increases
credit support. As a result, we believe this class has the credit
support that is sufficient to withstand losses at higher rating
levels."
A list of Affected Ratings can be viewed at:
https://bit.ly/2BUG2Rn
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
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however, be complete or accurate. The Monday Bond Pricing table
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Monthly Operating Reports are summarized in every Saturday edition
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The Sunday TCR delivers securitization rating news from the week
then-ending.
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Point your Web browser to http://TCRresources.bankrupt.com/and use
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*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors.
Copyright 2018. All rights reserved. ISSN: 1520-9474.
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*** End of Transmission ***