/raid1/www/Hosts/bankrupt/TCR_Public/190210.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, February 10, 2019, Vol. 23, No. 40
Headlines
AIG CLO 2018-1: S&P Assigns BB- Rating on $19MM Class E Notes
AMERIQUEST MORTGAGE: Moody's Hikes 5 Tranches From 3 Transactions
ANGEL OAK 2019-1: DBRS Finalizes B(high) Rating on Class B-2 Certs
BANK 2018-BNK10: DBRS Confirms B Rating on Class X-F Certs
BEAR STEARNS 2007-PWR18: DBRS Confirms C on 2 Cert. Classes
COMM 2007-FL14: S&P Discontinues 'D (sf)' Rating on Class J Certs
CPS AUTO 2019-A: DBRS Finalizes BB Rating on $25.7MM Class E Notes
CSMC 2019-SKLZ: S&P Assigns Prelim BB+ Rating on HRR Certs
DRYDEN 71 CLO: S&P Assigns BB- Rating on $18MM Class E Notes
DT AUTO 2019-1: S&P Assigns Prelim. BB Rating on Cl. E Notes
EXETER AUTOMOBILE 2019-1: S&P Rates $50MM Cl. E Notes 'BB'
FLAGSHIP CREDIT 2019-1: S&P Assigns Prelim BB- Rating on E Notes
FREDDIE MAC 2019-DNA1: S&P Rates $43MM Class B-1B Notes 'B-'
FREDDIE MAC SCRT 2017-1: Moody's Hikes Cl. M-1 Debt Rating to Ba1
GLS AUTO 2019-1: S&P Gives Prelim BB- Rating on $27.6MM Cl. D Notes
GREENWICH CAPITAL 2006-GG7: S&P Affirms BB+ Rating on Certs
GS MORTGAGE 2013-G1: DBRS Confirms BB Rating on Class DM Certs
HERTZ VEHICLE 2019-1: DBRS Gives Prov. BB Rating on Class D Notes
JP MORGAN 2019-1: Fitch Assigns Bsf Rating on Class B-5 Certs
MADISON PARK XXXII: S&P Rates $30MM Class E Notes 'BB-'
MANITOULIN USD: DBRS Rates Muskoka 2019-1 Class D Notes 'BB'
MORGAN STANLEY 2015-C23: Fitch Affirms B-sf Rating on Cl. F Certs
MORGAN STANLEY: Moody's Ups Ratings on 7 Tranches From 4 RMBS Deals
MSC MORTGAGE 2012-C4: DBRS Confirms B Rating on Class G Certs
NATIXIS COMMERCIAL 2018-TECH: DBRS Confirms B(high) on G Certs
NYT 2019-NYT: Fitch Assigns BB-sf Rating on $24.46MM Class F Certs
ONEMAIN FINANCIAL 2019-1: DBRS Finalizes BB on $57MM Cl. E Notes
SHERIDAN INVESTMENT: Moody's Confirms Caa3 CFR, Outlook Negative
WELLS FARGO 2012-C7: Fitch Affirms BB Rating on $19.3MM Cl. F Certs
*********
AIG CLO 2018-1: S&P Assigns BB- Rating on $19MM Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to AIG CLO 2018-1 Ltd./AIG
CLO 2018-1 LLC's floating-rate notes.
The note issuance is a collateralized loan obligation (CLO)
transaction backed by broadly syndicated speculative-grade (rated
'BB+' and lower) senior secured term loans managed by AIG Asset
Management (U.S.) LLC.
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
AIG CLO 2018-1 Ltd./AIG CLO 2018-1 LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 296.50
A-2a NR 10.00
A-2b NR 11.00
B (deferrable) AA (sf) 62.50
C (deferrable) A (sf) 32.00
D (deferrable) BBB- (sf) 26.00
E BB- (sf) 19.00
Subordinated notes NR 46.15
NR--Not rated.
AMERIQUEST MORTGAGE: Moody's Hikes 5 Tranches From 3 Transactions
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of five tranches
from three transactions, backed by subprime loans, issued by
Ameriquest Mortgage Securities Inc.
Complete rating actions are as follows:
Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R11
Cl. M-4, Upgraded to B1 (sf); previously on Feb 27, 2018 Upgraded
to B3 (sf)
Cl. M-5, Upgraded to Ca (sf); previously on Mar 13, 2009 Downgraded
to C (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R4
Cl. M-6, Upgraded to Caa2 (sf); previously on Feb 3, 2017 Upgraded
to Ca (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2006-R1
Cl. M-2, Upgraded to B1 (sf); previously on Apr 18, 2016 Upgraded
to B2 (sf)
Cl. M-3, Upgraded to Ca (sf); previously on Apr 14, 2010 Downgraded
to C (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 upgrades are a result of improving performance of the
related pools and/or an increase in credit enhancement available to
the bonds. The upgrades of Cl. M-4 and M-5 from Ameriquest Mortgage
Securities Inc., Series 2005-R11 and Cl. M2 from Ameriquest
Mortgage Securities Inc., Series 2006-R1 also reflect a correction
to the cash-flow models used by Moody's in rating these
transactions previously. In prior rating actions, excess cash-flow
was not allocated to reimburse losses to the bonds subsequent to
bond write-down. This error has now been corrected, and the rating
actions reflect this change.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 3.9% in December 2018 from 4.1% in
December 2017. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2019 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 2019. 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.
ANGEL OAK 2019-1: DBRS Finalizes B(high) Rating on Class B-2 Certs
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgage-Backed Certificates, Series 2019-1 (the Certificates)
issued by Angel Oak Mortgage Trust I, LLC 2019-1 (AOMT 2019-1 or
the Trust):
-- $390.1 million Class A-1 at AAA (sf)
-- $54.3 million Class A-2 at AA (sf)
-- $49.1 million Class A-3 at A (sf)
-- $40.8 million Class M-1 at BBB (sf)
-- $20.7 million Class B-1 at BB (high) (sf)
-- $22.9 million Class B-2 at B (high) (sf)
The AAA (sf) rating on the Class A-1 Certificates reflects the
36.00% of credit enhancement provided by subordinated Certificates
in the pool. The AA (sf), A (sf), BBB (sf), BB (high) (sf) and B
(high) (sf) ratings reflect 27.10%, 19.05%, 12.35%, 8.95% and 5.20%
of credit enhancement, respectively.
Other than the specified classes above, DBRS does not rate any
other classes in this transaction.
This transaction is a securitization of a portfolio of primarily
first-lien fixed- and adjustable-rate, non-prime and prime
residential mortgages. The Certificates are backed by 1,752 loans
with a total principal balance of $609,601,531 as of the Cut-Off
Date (January 1, 2019).
Angel Oak Home Loans LLC (AOHL), Angel Oak Mortgage Solutions LLC
(AOMS) and Angel Oak Prime Bridge LLC (collectively, Angel Oak)
originated 95.5% of the portfolio (1,539 loans). The Angel Oak
first-lien mortgages were originated under the following nine
programs:
(1) Portfolio Select (36.7%) – Made to borrowers with near-prime
credit scores who are unable to obtain financing through
conventional or governmental channels because (a) they fail to
satisfy credit requirements, (b) they are self-employed and need an
alternate income calculation using 12 or 24 months of bank
statements to qualify, (c) they may have a credit score that is
lower than that required by government-sponsored entity
underwriting guidelines or (d) they may have been subject to a
bankruptcy or foreclosure 24 or more months prior to origination.
(2) Platinum (34.5%) – Made to borrowers who have prime or
near-prime credit scores but who are unable to obtain financing
through conventional or governmental channels because (a) they fail
to satisfy credit requirements, (b) they are self-employed and need
alternative income calculations using 12 or 24 months of bank
statements or (c) they may have been subject to a bankruptcy or
foreclosure 48 or more months prior to origination.
(3) Prime Jumbo (9.4%) – Made to borrowers who have prime credit
scores and cleaner housing history with no bankruptcy or
foreclosure in the 60 months prior to origination. The loan amounts
will also allow high balance-conforming loan limits. The
interest-only feature is allowed. The income documentation
requirements follow Appendix Q.
(4) Non-Prime General (7.1%) – Made to borrowers who have not
sustained a housing event in the past 24 months, but whose credit
reports show multiple 30+- and/or 60+-day delinquencies on any
reported debt in the past 12 months.
(5) Investor Cash Flow (4.1%) – Made to real estate investors who
are experienced in purchasing, renting and managing investment
properties with an established five-year credit history and at
least 24 months of clean housing payment history but who are unable
to obtain financing through conventional or governmental channels
because (a) they fail to satisfy the requirements of such programs
or (b) may be over the maximum number of properties allowed. Loans
originated under the Investor Cash Flow program are considered
business-purpose and are not covered by the Ability-to-Repay (ATR)
rules or the TRID rule.
(6) Asset Qualifier (1.4%) – Made to borrowers with prime credit
and significant assets who can purchase the property with their
assets but choose to use a financing instrument for cash flow
purposes. Assets should cover the purchase of the home plus 60
months of debt service and six months of reserves. No income
documentation is obtained, but the borrower is qualified based on
certain credit requirements (minimum score of 700) and significant
asset requirements. These loans are available within both the
Platinum and Portfolio Select programs.
(7) Non-Prime Foreign National (1.2%) – Made to investment
property borrowers who are citizens of foreign countries and who do
not reside or work in the United States. Borrowers may use
alternative income and credit documentation. Income is typically
documented by the employer or accountant and credit is verified by
letters from overseas credit holders.
(8) Non-Prime Recent Housing (1.1%) – Made to borrowers who have
completed or have had their properties subject to a short sale,
deed-in-lieu, notice of default or foreclosure. Borrowers who have
filed bankruptcy 12 or more months prior to origination or have
experienced severe delinquencies may also be considered for this
program.
(9) Non-Prime Investment Property (0.1%) – Made to real estate
investors who may have financed up to four mortgaged properties
with the originators (or 20 mortgaged properties with all
lenders).
In addition, the pool contains 0.1% second-lien mortgage loans,
which were originated under the guidelines established by the
Federal National Mortgage Association (Fannie Mae) and overlaid by
Angel Oak.
The remaining 213 mortgage loans (4.5% of the aggregate pool
balance) were originated by two third-party originators. Of the
third-party origination loans, 29 loans (3.0% of the aggregate pool
balance) were originated by Home-Bridge Financial Services (Home
Bridge).
Select Portfolio Servicing Inc. (SPS) is the servicer for all loans
not originated by Home Bridge. Home bridge will be the servicer for
Home Bridge-originated loans. AOHL and Home Bridge will act as
Servicing Administrators and Wells Fargo Bank, N.A. (Wells Fargo;
rated AA with a Stable trend by DBRS) will act as the Master
Servicer. U.S. Bank National Association will serve as Trustee and
Custodian.
Although the mortgage loans were originated to satisfy the Consumer
Financial Protection Bureau (CFPB) ATR rules, they were made to
borrowers who generally do not qualify for an agency, government or
private-label non-agency prime jumbo products for the various
reasons described above. In accordance with the CFPB Qualified
Mortgage (QM) rules, 9.1% of the loans are designated as QM Safe
Harbor, 1.1% is designated as QM Rebuttable Presumption and 79.2%
are designated as Non-QM. Approximately 10.7% of the loans are for
investment properties and thus are not subject to QM rules.
The Servicers will generally fund advances of delinquent principal
and interest on any mortgage until such loan becomes 180 days
delinquent and they are obligated to make advances in respect of
taxes, insurance premiums and reasonable costs incurred in the
course of servicing and disposing of properties.
On or after the distribution date in January 2022, the Depositor
has the option to purchase all of the outstanding certificates at a
price equal to the outstanding class balance plus accrued and
unpaid interest, including any cap carryover amounts. After such
purchase, the Depositor then has the option to sell all of the
remaining mortgage loans either (1) to an unaffiliated third-party
or (2) in an auction in which the Trustee has received at least two
bids from unaffiliated third parties in a single transaction or
multiple simultaneous transactions.
The transaction employs a sequential-pay cash flow structure with a
pro rata principal distribution among the senior tranches.
Principal proceeds can be used to cover interest shortfalls on the
Certificates as the outstanding senior Certificates are paid in
full. Further, the excess spread can be used to cover realized
losses first before being allocated to unpaid cap carryover amounts
up to Class B-1.
The ratings reflect transactional strengths that include the
following:
(1) Strong Underwriting Standards: Whether for prime or non-prime
mortgages, underwriting standards have improved significantly from
the pre-crisis era. All of the mortgage loans (except for Investor
Cash Flow, Investment Property and Foreign National) were
underwritten in accordance with the eight underwriting factors of
the ATR rules, although they may not necessarily comply with
Appendix Q of Regulation Z.
(2) Robust Loan Attributes and Pool Composition:
-- The mortgage loans in this portfolio generally have robust loan
attributes, as reflected in the combined loan-to-value (LTV)
ratios, borrower household incomes and liquid reserves, including
the loans in the Non-Prime programs that have weaker borrower
credit.
-- LTV ratios gradually reduce as the programs move down the
credit spectrum, suggesting the consideration of compensating
factors for riskier pools.
-- The pool comprises 63.2% hybrid adjustable-rate mortgages with
an initial fixed period of five to ten years, allowing borrowers
sufficient time to credit cure before rates reset. The remaining
36.8% of the pool comprises fixed-rate mortgages, which have the
lowest default risk because of the stability of monthly payments.
(3) Satisfactory Third-Party Due Diligence Review: Third-party due
diligence firms conducted property valuation and credit reviews on
100% of the loans in the pool. For 95.9% of the loans (i.e., the
entire pool, excluding 162 Investor Cash Flow loans), third-party
due diligence firms performed a regulatory compliance review. Data
integrity checks were also performed on the pool.
(4) Strong Servicer: SPS, a strong residential mortgage servicer
and a wholly owned subsidiary of Credit Suisse AG, services most of
the loans (97.0%) in the pool. In this transaction, AOHL and Home
Bridge, as the Servicing Administrators, or SPS, as the main
servicer, are responsible for funding advances to the extent
required. In addition, the transaction employs Wells Fargo as the
Master Servicer. If the Servicing Administrators or the Servicers
fail in their obligations to make principal and interest advances,
Wells Fargo will be obligated to fund such servicing advances.
(5) Current Loans and Faster Prepayments: Angel Oak began
originating non-agency loans in Q4 2013. Since the first
transaction was issued in December 2015, voluntary prepayment rates
have been relatively high, as these borrowers tend to credit cure
and refinance into lower-cost mortgages. Also, the loans in the
AOMT 2019-1 portfolio are 100% current. Although 3.1% of the pool
has experienced prior delinquencies, these loans have all cured.
The transaction also includes the following challenges and
mitigating factors:
(1) Representations and Warranties (R&W) Framework and Provider:
Although slightly stronger than other comparable Non-QM
transactions rated by DBRS, the R&W framework for AOMT 2019-1 is
weaker compared with post-crisis prime jumbo securitization
frameworks. Instead of an automatic review when a loan becomes
seriously delinquent, this transaction employs a mandatory review
upon less immediate triggers. In addition, the R&W provider,
guarantor or backstop provider are unrated entities, have limited
performance history in Non-QM securitizations and may potentially
experience financial stress that could result in the inability to
fulfill repurchase obligations. DBRS notes the following mitigating
factors:
-- Satisfactory third-party due diligence was conducted on 100% of
the loans included in the pool with respect to credit, property
valuation, and data integrity. A regulatory compliance review was
performed on all but 162 Investor Cash Flow loans. A comprehensive
due diligence review mitigates the risk of future R&W violations.
-- An independent third-party R&W reviewer, Covius Real Estate
Services, LLC is named in the transaction to review loans for
alleged breaches of R&W.
-- DBRS conducted an on-site originator review of AOHL and AOMS
and deems the mortgage companies to be acceptable.
-- The Sponsor or Co-Sponsor, both affiliates of Angel Oak, will
retain an eligible vertical interest in at least 5% of each class'
certifications aligning sponsor and investor interest in the
capital structure.
-- Notwithstanding the above, DBRS adjusted the originator scores
downward to account for the potential inability to fulfill
repurchase obligations, the lack of performance history and the
weaker R&W framework. A lower originator score results in increased
default and loss assumptions and provides additional cushions for
the rated securities.
(2) Non-Prime, QM-Rebuttable Presumption or Non-QM Loans: As
compared with post-crisis prime jumbo transactions, this portfolio
contains mortgages originated to borrowers with weaker credits or
who have prior derogatory credit events, as well as QM-Rebuttable
Presumption or Non-QM loans. In addition, certain loans were
underwritten using 24-month bank statements for income (30.5%),
12-month bank statements (20.6%), assets in lieu of income
verification (1.4%) or as Investor Cash Flow loans (4.1%). DBRS
notes the following mitigating factors:
-- All loans subject to the ATR rules were originated to meet the
eight required underwriting factors.
-- Underwriting standards have improved substantially since the
pre-crisis era.
-- Bank statements as income and business-purpose loans are
treated as less-than-full documentation in the RMBS Insight Model,
which increases expected losses on those loans.
-- The RMBS Insight Model incorporates loss severity penalties for
Non-QM and QM Rebuttable Presumption loans, as explained further in
the Key Loss Severity Drivers section of the related report.
-- For loans in this portfolio that were originated through the
Non-Prime General and Non-Prime Recent Housing Event programs,
borrower credit events had generally happened, on average, 36
months and 20 months, respectively, prior to the Cut-Off date. In
its analysis, DBRS applies additional penalties to borrowers with
recent credit events within the past two years.
(3) Geographic Concentration: Compared with other recent
securitizations, the AOMT 2019-1 pool has a high concentration of
loans located in Florida (24.2% of the pool). Mitigating factors
include the following:
-- Although the pool is concentrated in Florida, the loans are
well dispersed among metropolitan statistical areas (MSAs). The
largest Florida MSA, Miami-Miami Beach-Kendall, represents only
5.1% of the entire transaction. DBRS does not believe the AOMT
2019-1 pool is particularly sensitive to any deterioration in
economic conditions or to the occurrence of a natural disaster in
any specific region.
-- DBRS's RMBS Insight Model generates an elevated asset
correlation for this portfolio, as determined by the loan size and
geographic concentration, compared with pools with similar
collateral, resulting in higher expected losses across all rating
categories.
(4) Servicer Advances of Delinquent Principal and Interest: The
related Servicer will advance scheduled principal and interest on
delinquent mortgages until such loans become 180 days delinquent or
until such advances are deemed unrecoverable. This will likely
result in lower loss severities to the transaction because advanced
principal and interest will not have to be reimbursed from the
Trust upon the liquidation of the mortgages but will increase the
possibility of periodic interest shortfalls to the Certificate
holders. Mitigating factors include the fact that (a) principal
proceeds can be used to pay interest shortfalls to the Certificates
as the outstanding senior Certificates are paid in full and (b)
subordination levels are greater than expected losses, which may
provide for the payment of interest to the Certificates. DBRS ran
cash flow scenarios that incorporated principal and interest
advancing up to 180 days for delinquent loans; the cash flow
scenarios are discussed in more detail in the Cash Flow Analysis
section of the related report.
The DBRS ratings of AAA (sf) and AA (sf) address the timely payment
of interest and full payment of principal by the legal final
maturity date in accordance with the terms and conditions of the
related Certificates. The DBRS ratings of A (sf), BBB (sf), BB
(high) (sf) and B (high) (sf) address the ultimate payment of
interest and full payment of principal by the legal final maturity
date in accordance with the terms and conditions of the related
Certificates.
Notes: All figures are in U.S. dollars unless otherwise noted.
BANK 2018-BNK10: DBRS Confirms B Rating on Class X-F Certs
----------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates (the Certificates),
Series 2018-BNK10 issued by BANK 2018-BNK10:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class X-B at A (high) (sf)
-- Class C at A (sf)
-- Class X-D at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class X-E at BB (sf)
-- Class E at BB (low) (sf)
-- Class X-F at B (sf)
-- Class F at B (low) (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction, which has remained in line with DBRS's
expectations since issuance. The subject transaction closed in
February 2018, and the collateral consists of 68 loans secured by
181 commercial properties. As of the December 2018 remittance, all
loans remained in the pool, and the aggregate principal balance was
$1,282.7 million, representing a coalitional reduction of 0.4%
since issuance. Approximately 91.7% of loan the loan balance
reported 2018 partial-year financials, which is expected due to the
recent vintage and first-quarter closing date. At issuance, the
loans reported a weighted-average (WA) DBRS Term debt service
coverage ratio (DSCR) and WA DBRS Debt Yield of 1.90 times (x) and
9.4%, respectively.
As of the December 2018 remittance, there were four loans on the
servicer's watch list, representing 1.6% of the current pool
balance. Three of these loans were flagged for low DSCRs and were
based on partial-year financials. Cash flow variances are rather
common as the loans continue to season and stabilize. The remaining
watchlisted loan (Worthington Industrial Park – Prospectus ID#58;
0.2% of the pool balance) was flagged for upcoming tenant rollover,
as over 70.0% of its net rentable area has lease expirations prior
to year-end 2019.
At issuance, two loans (Apple Campus 3 – Prospectus ID#1 and
Moffett Towers II – Building 2 – Prospectus ID#10),
representing 10.6% of the current pool balance, were shadow-rated
investment grade. With this review, DBRS confirms that the
performance of these loans remains consistent with investment-grade
loan characteristics. For additional information on these loans,
please see the loan commentary in the DBRS Viewpoint platform, for
which information is provided below.
Classes X-A, X-B, X-D, X-E, X-F are interest-only (IO) certificates
that reference a single rated tranche or multiple rated tranches.
The IO rating mirrors the lowest-rated applicable reference
obligation tranche adjusted upward by one notch if senior in the
waterfall.
BEAR STEARNS 2007-PWR18: DBRS Confirms C on 2 Cert. Classes
-----------------------------------------------------------
DBRS Limited upgraded the rating on the following class of
Commercial Mortgage Pass-Through Certificates, Series 2007-PWR18
issued by Bear Stearns Commercial Mortgage Securities Trust
2007-PWR18 as follows:
-- Class B to BBB (sf) from B (sf)
In addition, DBRS confirmed the ratings on the following classes:
-- Class C at C (sf)
-- Class D at C (sf)
All trends are Stable, with the exception of Class C and Class D,
which have ratings that do not carry trends.
The rating upgrade to Class B reflects the increased credit support
to the bonds as a result of the successful repayment of Classes AJ
and AJ-A. With those repayments, the Class B certificate is now the
most senior class outstanding. At issuance, the transaction
consisted of 186 loans with an original balance of $2.5 billion. As
of the January 2018 remittance, only one loan remains, with an
outstanding balance of $69.9 million. This represents a collateral
reduction of 97.2% since issuance as a result of successful loan
repayments as well as realized losses and recovered proceeds from
loans liquidated from the pool.
Over the past year, eleven loans have been disposed from the trust,
representing a pay down of approximately $70.9 million. Nine of the
disposed of loans paid postmaturity, one loan prepaid during the
loan term and the remaining loans incurred a loss after being
liquidated. In the January 2018 review, DBRS estimated Concord
Plaza and Mall would incur a 0% loss severity given a 40% haircut
to its issuance appraisal value of $37.0 million; however, the
property was valued at $7.1 million (80.8% haircut) in mid-2018
before it paid out, resulting in a $4.7 million loss and 36.4% loss
severity.
The remaining loan is Prospectus ID#6 – Marriott Houston West
chase, a 600-room full-service hotel located in Houston, Texas. The
loan transferred to special servicing in July 2017 due to imminent
default as the loan was not expected to refinance at November 2017
maturity. The special servicer approved a loan modification in June
2018, extending the maturity date to June 2021. As part of the
maturity extension, the sponsor paid down the principal balance by
$1.8 million (2.5% of the outstanding principal balance at the
time). In addition, in 2017, the sponsor completed a $20.0 million
improvement project for the hotel, mandated by the franchisor,
which consisted of a full renovation for all guestrooms and
corridors and a conversion of the hotel bar to the newly dubbed M
Club Lounge. The hotel's performance has been down for several
years since the downturn in the energy markets, which led to a
general disruption in the local Houston economy and difficulties
for commercial real estate, particularly office and hotel
properties. The most recently reported debt service coverage ratio
(DSCR) is as of the trailing six months ending June 2018, with a
coverage of 0.89 times (x), down from the year-end (YE) 2017 DSCR
of 0.95x, but still up from the low of 0.49x at YE2016. The 2018
DSCR figure assumes the original debt-service requirement, with no
adjustment for the principal pay down. In addition, as revenue per
available room (RevPAR) was reported at $82.90 as of the trailing
12 months (T-12) ending September 2018 in the Smith Travel Research
report provided to DBRS, indicative of year-over-year RevPAR growth
of 7.8%, DBRS expects the DSCR to improve significantly with a full
T-12 reporting cycle.
As of the January 2019 remittance, the loan had an outstanding
principal balance of $69.9 million, with no outstanding advances or
other expenses pulling to the remittance report for this loan. The
current exposure of approximately $116,490 per key is considered
high given the low DSCR and general market difficulties, supporting
the rating confirmations for Classes C and D at C (sf). However,
DBRS believes the recent $20.0 million investment into the
property, as well as the $1.8 million principal pay down funded
last year, have put the Class B certificate holders in a generally
good position, with a class balance of $23.3 million as of the
January 2019 remittance (exposure of just under $39,000 per key on
the remaining asset), supporting the rating upgrade.
All ratings are subject to surveillance, which could result in
ratings being upgraded, downgraded, placed under review, confirmed
or discontinued by DBRS.
Notes: All figures are in U.S. dollars unless otherwise noted.
COMM 2007-FL14: S&P Discontinues 'D (sf)' Rating on Class J Certs
-----------------------------------------------------------------
S&P Global Ratings lowered its rating to 'D (sf)' from 'CCC (sf)'
on the class J commercial mortgage pass-through certificates from
COMM 2007-FL14, a U.S. commercial mortgage-backed securities (CMBS)
transaction, and subsequently withdrew the rating. In addition, S&P
discontinued its 'CCC+ (sf)' rating on class H from the same
transaction.
The downgrade on class J to 'D (sf)' reflects principal losses
incurred by the class due to the liquidation of the sole remaining
asset, as detailed in the revised Dec. 17, 2018, trustee remittance
report (revised as of Jan. 14, 2019). The New Jersey Office
Portfolio real estate-owned asset liquidated at an 11.0% loss
severity on its $40.4 million beginning pooled trust balance.
Consequently, class J experienced a loss of $524,279, representing
3.9% of its $13.5 million original principal balance and class K
(not rated by S&P Global Ratings) lost 100% of its $3.9 million
beginning balance. S&P subsequently withdrew its rating on class J
because the principal balance was reduced to zero. According to the
special servicer, Trimont Real Estate Advisors LLC (Trimont), it
has held back a portion of the asset sales proceeds for potential
lagging pre-closing expenses. Trimont stated that any remaining
amount will be distributed to bondholders at a future date. This
could result in the reversal of a portion of the loss amount, but
the amount and timing of any such distribution/reversal is
currently unknown, and all bond balances should remain zero.
In addition, S&P discontinued its rating on class H following its
full principal repayment as detailed in the revised Dec. 17, 2018,
trustee remittance report.
RATING LOWERED AND SUBSEQUENTLY WITHDRAWN
COMM 2007-FL14
Commercial mortgage pass-through certificates
Rating
Class To Interim From
J NR D (sf) CCC (sf)
RATING DISCONTINUED
COMM 2007-FL14
Commercial mortgage pass-through certificates
Rating
Class To From
H NR CCC+ (sf)
NR--Not rated.
CPS AUTO 2019-A: DBRS Finalizes BB Rating on $25.7MM Class E Notes
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by CPS Auto Receivables Trust 2019-A (CPS
2019-A or the Issuer):
-- $123,491,000 Class A Notes rated AAA (sf)
-- $40,015,000 Class B Notes rated AA (sf)
-- $35,245,000 Class C Notes rated A (sf)
-- $29,944,000 Class D Notes rated BBB (sf)
-- $25,705,000 Class E Notes rated BB (sf)
The ratings are based on DBRS's review of the following analytical
considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- Credit enhancement will be in the form of
over-collateralization, subordination, amounts held in the reserve
fund and excess spread. Credit enhancement levels are sufficient to
support the DBRS-projected expected cumulative net loss assumption
under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the ratings address the
timely payment of interest on a monthly basis and the payment of
principal by the legal final maturity date.
-- The capabilities of Consumer Portfolio Services, Inc. (CPS)
with regard to originations, underwriting, and servicing.
-- DBRS has performed an operational review of CPS and considers
the entity to be an acceptable originator and servicer of subprime
auto loan contracts with an acceptable backup servicer.
-- The CPS senior management team has considerable experience and
a successful track record within the auto finance industry, having
managed the company through multiple economic cycles.
-- The quality and consistency of provided historical static pool
data for CPS originations and performance of the CPS auto loan
portfolio.
-- The May 29, 2014, settlement of the Federal Trade Commission
(FTC) inquiry relating to allegedly unfair trade practices.
-- CPS paid imposed penalties and restitution payments to
consumers.
-- CPS has made considerable improvements to the collections
process, including management changes, systems, and software
upgrades and implementation of new policies and procedures focused
on maintaining compliance.
-- CPS will be subject to ongoing monitoring of certain processes
by the FTC.
-- The legal structure and presence of legal opinions that address
the true sale of the assets to the Issuer, the non-consolidation of
the special-purpose vehicle with CPS, that the trust has a valid
first-priority security interest in the assets and the consistency
with DBRS's "Legal Criteria for U.S. Structured Finance"
methodology.
The CPS 2019-A transaction represents the 32nd securitization
completed by CPS since 2010 and will offer both senior and
subordinate rated securities. The receivables securitized in CPS
2019-A will be subprime auto loan contracts secured primarily by
used automobiles, light-duty trucks, vans, and minivans.
The rating on the Class A Notes reflects the 54.40% of initial hard
credit enhancement provided by the subordinated notes in the pool
(49.40%), the Reserve Account (1.00%) and overcollateralization
(4.00%). The ratings on Class B, Class C, Class D, and Class E
Notes reflect 39.30%, 26.00%, 14.70% and 5.00% of initial hard
credit enhancement, respectively. Additional credit support may be
provided from excess spread available in the structure.
Notes: All figures are in U.S. dollars unless otherwise noted.
CSMC 2019-SKLZ: S&P Assigns Prelim BB+ Rating on HRR Certs
----------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to CSMC
2019-SKLZ's commercial mortgage pass-through certificates.
The certificate issuance is a commercial mortgage-backed securities
transaction backed by the borrowers' fee simple and/or leasehold
interest in 83 properties, including 80 skilled nursing facilities,
two assisted-living facilities, and one assisted-living and skilled
nursing facility containing 9,908 licensed beds and 9,441 available
beds. The properties are located in 12 states.
The preliminary ratings are based on information as of Jan. 30,
2019. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of the collateral's
historical and projected performance, the sponsors' and manager's
experience, the trustee-provided liquidity, the loan's terms, and
the transaction's structure.
PRELIMINARY RATINGS ASSIGNED
CSMC 2019-SKLZ
Class Rating(i) Amount ($)
A AAA (sf) 142,900,000
X-CP AA- (sf) 64,030,000(ii)
X-NCP AA- (sf) 67,400,000(ii)
B AA- (sf) 67,400,000
C A- (sf) 50,000,000
D BBB- (sf) 57,900,000(iii)
HRR BB+ (sf) 16,800,000(iii)
(i)The issuer will issue the certificates to qualified
institutional buyers in line with Rule 144A of the Securities Act
of 1933.
(ii)Notional balance. The class X-CP certificates will initially be
equal to the B-2 and B-3 portions of the class B certificates. The
notional balance of the class X-NCP certificates will initially be
equal to the balance of the class B certificates. (iii)The initial
certificate balances of the class D and HRR certificates are
subject to change based on the final pricing of all certificates
and the final determination of the eligible horizontal residual
interest that will be held by a retaining third-party purchaser so
that Column Financial Inc., as loan seller, can satisfy its U.S.
risk retention requirements with respect to this securitization
transaction.
DRYDEN 71 CLO: S&P Assigns BB- Rating on $18MM Class E Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to Dryden 71 CLO
Ltd./Dryden 71 CLO LLC's floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed primarily by broadly syndicated speculative-grade (rated
'BB+' and lower) 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
Dryden 71 CLO Ltd./Dryden 71 CLO LLC
Class Rating Amount (mil. $)
A AAA (sf) 270.00
B AA (sf) 48.50
C (deferrable) A (sf) 22.00
D (deferrable) BBB- (sf) 11.50
E (deferrable) BB- (sf) 18.00
Subordinated notes NR 32.60
NR--Not rated.
DT AUTO 2019-1: S&P Assigns Prelim. BB Rating on Cl. E Notes
------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to DT Auto
Owner Trust 2019-1's asset-backed notes series 2019-1.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The preliminary ratings are based on information as of Jan. 30,
2019. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The availability of approximately 64.4%, 59.2%, 49.5%, 41.2%
and 36.9% credit support for the class A, B, C, D, and E notes,
respectively, based on stressed break-even cash flow scenarios
(including excess spread). These credit support levels provide
approximately 2.20x, 2.00x, 1.65x, 1.35x, and 1.20x coverage of our
expected net loss range of 28.50%-29.50% for the class A, B, C, D,
and E notes, respectively. Credit enhancement also covers
cumulative gross losses of approximately 91.9%, 84.5%, 70.7%, 58.9%
and 52.6%, respectively, assuming a 30% recovery rate.
-- The timely interest and principal payments by the legal final
maturity dates made under stressed cash flow modeling scenarios
that S&P deems appropriate for the assigned preliminary ratings.
-- S&P said, "Our expectation that under a moderate ('BBB') stress
scenario, the ratings on the class A, B, and C notes would likely
not be lowered, and the class D notes would likely remain within
one category of our preliminary 'BBB (sf)' rating, all else being
equal. The rating on class E would remain within two rating
categories of our preliminary 'BB (sf)' rating during the first
year, though it would ultimately default in the moderate ('BBB')
stress scenario with approximately 63% principal repayment. These
potential rating movements are consistent with our credit stability
criteria."
-- The collateral characteristics of the subprime pool being
securitized, including a high percentage (approximately 75%) of
obligors with higher payment frequencies (more than once a month),
which S&P expects will result in a somewhat faster paydown on the
pool.
-- The transaction's sequential-pay structure, which builds credit
enhancement (on a percentage-of-receivables basis) as the pool
amortizes.
PRELIMINARY RATINGS ASSIGNED
DT Auto Owner Trust 2019-1
Class Rating Amount (mil. $)(i)
A AAA (sf) 181.13
B AA (sf) 42.75
C A (sf) 58.50
D BBB (sf) 56.25
E BB (sf) 34.87
(i)The actual size of these tranches will be determined on the
pricing date.
EXETER AUTOMOBILE 2019-1: S&P Rates $50MM Cl. E Notes 'BB'
----------------------------------------------------------
S&P Global Ratings assigned its ratings to Exeter Automobile
Receivables Trust 2019-1's automobile receivables-backed notes.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The ratings reflect:
-- The availability of approximately 60.5%, 53.8%, 45.2%, 35.5%,
and 29.5% credit support for the class A, B, C, D, and E notes,
respectively, based on stressed cash flow scenarios (including
excess spread). This credit support provides coverage of
approximately 2.85x, 2.50x, 2.05x, 1.55x, and 1.27x S&P's
20.50%-21.50% expected cumulative net loss (CNL) range. These
break-even scenarios withstand cumulative gross losses (CGLs) of
approximately 93.0%, 82.8%, 72.3%, 56.8%, and 48.9%, respectively.
-- The timely interest and principal payments that S&P believes
will be made to the rated notes under stressed cash flow modeling
scenarios, which, in S&P's view, are appropriate for the assigned
ratings.
-- S&P said, "The expectation that under a moderate ('BBB') stress
scenario (1.55x our expected loss level), all else being equal, our
rating on the class A notes will remain at the assigned 'AAA (sf)'
rating; our ratings on the class B and C notes will remain within
one rating category of the assigned 'AA (sf)' and 'A (sf)' ratings,
respectively, for the deal's life; and our rating on the class D
notes will remain within two rating categories of the assigned 'BBB
(sf)' rating over the deal's life. We expect the class E notes to
remain within two rating categories of the assigned 'BB (sf)'
rating over the first year, but we expect them to eventually
default under this stress scenario. These rating movements are
within the limits specified by our credit stability criteria."
-- The collateral characteristics of the subprime automobile loans
securitized in this transaction.
-- The transaction's payment, credit enhancement, and legal
structures.
RATINGS ASSIGNED
Exeter Automobile Receivables Trust 2019-1
Class Rating Amount (mil. $)
A AAA (sf) 253.29
B AA (sf) 75.26
C A (sf) 81.05
D BBB (sf) 89.45
E BB (sf) 50.95
FLAGSHIP CREDIT 2019-1: S&P Assigns Prelim BB- Rating on E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Flagship
Credit Auto Trust 2019-1's automobile receivables-backed notes.
The note issuance is an asset-backed securities transaction backed
by automobile receivables-backed notes.
The preliminary ratings are based on information as of Jan. 30,
2019. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The availability of approximately 44.6%, 38.6%, 30.0%, 23.2%,
and 19.0% credit support (including excess spread) for the class A,
B, C, D, and E notes, respectively, based on stressed cash flow
scenarios. These credit support levels provide coverage of
approximately 3.50x, 3.00x, 2.30x, 1.75x, and 1.40x S&P's
12.25%-12.75% expected cumulative net loss (CNL) range for the
class A, B, C, D, and E notes, respectively. These break-even
scenarios cover total cumulative gross defaults (using a recovery
assumption of 40%) of approximately 74%, 64%, 50%, 39%, and 32%,
respectively.
-- The timely interest and principal payments made under stressed
cash flow modeling scenarios that are appropriate to the assigned
ratings.
-- The expectation that under a moderate ('BBB') stress scenario,
all else being equal, our ratings on the class A and B notes would
not be lowered by more than one rating category from our
preliminary 'AAA (sf)' and 'AA (sf)' ratings, respectively, and our
ratings on the class C and D notes would not be lowered more than
two rating categories from our preliminary 'A (sf)' and 'BBB (sf)'
ratings, respectively, throughout the transaction's life. The
rating on the class E notes would remain within two rating
categories of S&P's preliminary 'BB- (sf)' rating within the first
year, but the class would eventually default under the 'BBB' stress
scenario after receiving 31%-43% of its principal. The above rating
movements are within the one-category rating tolerance for 'AAA'
and 'AA' rated securities during the first year and three-category
tolerance over three years; a two-category rating tolerance for
'A', 'BBB', and 'BB' rated securities during the first year; and a
three-category tolerance for 'A' and 'BBB' rated securities over
three years. 'BB' rated securities are permitted to default under a
'BBB' stress scenario.
-- The credit enhancement in the form of subordination,
overcollateralization, a reserve account, and excess spread.
-- The characteristics of the collateral pool being securitized.
-- The transaction's payment and legal structures.
PRELIMINARY RATINGS ASSIGNED
Flagship Credit Auto Trust 2019-1
Class Rating Type Interest Amount
rate(i) (mil. $)
A AAA (sf) Senior Fixed 166.78
B AA (sf) Subordinate Fixed 22.29
C A (sf) Subordinate Fixed 29.50
D BBB (sf) Subordinate Fixed 23.86
E BB- (sf) Subordinate Fixed 17.57
(i)The actual coupons of these tranches will be determined on the
pricing date.
FREDDIE MAC 2019-DNA1: S&P Rates $43MM Class B-1B Notes 'B-'
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to Freddie Mac Structured
Agency Credit Risk Trust 2019-DNA1's (STACR Trust 2019-DNA1)
notes.
The note issuance is a residential mortgage-backed securities
(RMBS) transaction backed by fully amortizing, first-lien,
fixed-rate residential mortgage loans secured by one- to
four-family residences, planned-unit developments, condominiums,
cooperatives, and manufactured housing to mostly prime borrowers.
The ratings reflect:
-- The credit enhancement provided by the subordinated reference
tranches, as well as the associated structural deal mechanics;
-- The credit quality of the collateral included in the reference
pool;
-- A credit-linked note structure that reduces the counterparty
exposure to Freddie Mac for periodic principal payments but, at the
same time, relies on credit premium payments from Freddie Mac (a
highly rated counterparty) to make monthly interest payments and to
make up for any investment losses;
-- The issuer's aggregation experience and the alignment of
interests between the issuer and noteholders in the deal's
performance, which, in our view, enhances the notes' strength; and
-- The enhanced credit risk management and quality control
processes Freddie Mac uses in conjunction with the underlying
representations and warranties framework.
RATINGS ASSIGNED
Freddie Mac STACR Trust 2019-DNA1
Class Rating Amount (mil. $)
A-H(i) NR 23,561,926,526
M-1 BBB+ (sf) 215,000,000
M-1H(i) NR 92,596,952
M-2 B+ (sf) 327,000,000
M-2R B+ (sf) 327,000,000
M-2S B+ (sf) 327,000,000
M-2T B+ (sf) 327,000,000
M-2U B+ (sf) 327,000,000
M-2I B+ (sf) 327,000,000
M-2A BBB- (sf) 163,500,000
M-2AR BBB- (sf) 163,500,000
M-2AS BBB- (sf) 163,500,000
M-2AT BBB- (sf) 163,500,000
M-2AU BBB- (sf) 163,500,000
M-2AI BBB- (sf) 163,500,000
M-2AH(i) NR 70,273,684
M-2B B+ (sf) 163,500,000
M-2BR B+ (sf) 163,500,000
M-2BS B+ (sf) 163,500,000
M-2BT B+ (sf) 163,500,000
M-2BU B+ (sf) 163,500,000
M-2BI B+ (sf) 163,500,000
M-2RB B+ (sf) 163,500,000
M-2SB B+ (sf) 163,500,000
M-2TB B+ (sf) 163,500,000
M-2UB B+ (sf) 163,500,000
M-2BH(i) NR 70,273,684
B-1 B- (sf) 86,000,000
B-1A B+ (sf) 43,000,000
B-1AR B+ (sf) 43,000,000
B-1AI B+ (sf) 43,000,000
B-1AH(i) NR 18,519,391
B-1B B- (sf) 43,000,000
B-1BH(i) NR 18,519,391
B-2 NR 86,000,000
B-2A NR 43,000,000
B-2AR NR 43,000,000
B-2AI NR 43,000,000
B-2AH(i) NR 18,519,390
B-2B NR 43,000,000
B-2BH(i) NR 18,519,390
B-3H(i) NR 24,607,757
(i)Reference tranche only and will not have corresponding notes.
Freddie Mac retains the risk of each of these tranches.
NR--Not rated.
FREDDIE MAC SCRT 2017-1: Moody's Hikes Cl. M-1 Debt Rating to Ba1
-----------------------------------------------------------------
Moody's Investors Service has upgraded the rating of Class M-1
issued by Freddie Mac Seasoned Credit Risk Transfer Trust (SCRT
Trust), Series 2017-1. The deal is a securitization of seasoned
re-performing mortgage loans that have all been previously
modified. The loans are divided into two groups: Group H and Group
M. Group H is comprised of first lien mortgage loans that were
subject to step rate modifications and Group M is comprised of
first lien mortgage loans that were subject to fixed rate
modifications.
Complete rating actions are as follows:
Issuer: Freddie Mac Seasoned Credit Risk Transfer Trust, Series
2017-1
Cl. M-1, Upgraded to Ba1 (sf); previously on May 3, 2017 Definitive
Rating Assigned Ba3 (sf)
RATINGS RATIONALE
The rating upgrade is driven by the strong performance of the
underlying loans in the pools and an increase in the credit
enhancement available to the rated bond. The action reflects
Moody's updated loss expectations on the pool, which incorporate
its assessment of the representations and warranties frameworks of
the transaction, the due diligence findings of the third party
review received at the time of issuance, and the strength of Select
Portfolio Servicing, Inc. (SPS) as the transaction's servicer.
The loans underlying the pools have few delinquencies, resulting in
an improvement in its loss projections on the pools. Moreover,
cumulative losses realized on the pools to date have been small.
Moody's bases its expected losses on a pool of re-performing
mortgage loans on its estimates of 1) the default rate on the
remaining balance of the loans and 2) the principal recovery rate
on the defaulted balances. Its estimates of defaults are driven by
annual delinquency assumptions adjusted for roll-rates, prepayments
and default burnout factors. In estimating defaults on these pools,
Moody's used expected annual delinquency rates ranging from 5% to
6% and expected prepayment rates of 4% based on the collateral
characteristics of the individual pools.
The rating upgrade further reflects the increase in credit
enhancement available to the bond, owing to the current sequential
pay structure of the transaction.
The methodologies used in this rating were "Moody's Approach to
Rating Securitisations Backed by Non- Performing and Re-Performing
Loans" published in August 2016 and "US RMBS Surveillance
Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 3.9% in December 2018 from 4.1% in
December 2017. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2019 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 2019. 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.
GLS AUTO 2019-1: S&P Gives Prelim BB- Rating on $27.6MM Cl. D Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to GLS Auto
Receivables Issuer Trust 2019-1's automobile receivables-backed
notes series 2019-1.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The preliminary ratings are based on information as of Jan. 31,
2019. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The availability of approximately 49.9%, 40.7%, 31.9%, and
25.8% of credit support for the class A, B, C, and D notes,
respectively, based on stressed cash flow scenarios (including
excess spread). These credit support levels provide coverage of
approximately 2.50x, 2.00x, 1.55x, and 1.22x S&P's 19.25%-20.25%
expected cumulative net loss for the class A, B, C, and D notes,
respectively.
-- The expectation that under a moderate ('BBB') stress scenario
(1.55x S&P's expected loss level), all else being equal, its rating
on the class A and B notes will remain within one rating category
of the assigned preliminary 'AA (sf)' and 'A (sf)' ratings and its
rating on the class C notes will remain within two rating
categories of the assigned preliminary 'BBB (sf)' rating. The class
D notes will remain within two rating categories of the assigned
preliminary 'BB- (sf)' rating during the first year but will
eventually default under the 'BBB' stress scenario. These rating
movements are within the limits specified by S&P's credit
stability criteria.
-- S&P's analysis of over four years of origination static pool
data and securitization performance data on Global Lending
Services' (GLS') five Rule 144A securitizations.
-- The collateral characteristics of the subprime automobile loans
securitized in this transaction, including the representation in
the transaction documents that all contracts in the pool have made
a least one payment.
-- The notes' underlying credit enhancement in the form of
subordination, overcollateralization, a reserve account, and excess
spread for the class A, B, C, and D notes.
-- The timely interest and principal payments made to the notes
under S&P's stressed cash flow modeling scenarios, which it
believes are appropriate for the assigned preliminary ratings.
PRELIMINARY RATINGS ASSIGNED
GLS Auto Receivables Issuer Trust 2019-1
Class Rating Amount (mil. $)(i)
A AA (sf) 162.96
B A (sf) 43.65
C BBB (sf) 34.19
D BB- (sf) 27.64
(i)The interest rates and actual sizes of these tranches will be
determined on the pricing date.
GREENWICH CAPITAL 2006-GG7: S&P Affirms BB+ Rating on Certs
-----------------------------------------------------------
S&P Global Ratings lowered its ratings on two classes of commercial
mortgage pass-through certificates from Greenwich Capital
Commercial Funding Corp.'s series 2006-GG7, a U.S. commercial
mortgage-backed securities (CMBS) transaction. At the same time,
S&P affirmed its rating on one class from the same transaction.
The downgrades reflect S&P's expectation that the accumulated
interest shortfalls on classes A-J and B will remain outstanding in
the near term and a credit support erosion will occur upon the
eventual resolution of the seven assets ($391.8 million, 77.4%)
with the special servicer. Classes A-J and B had accumulated
interest shortfalls outstanding for two and three consecutive
months, respectively.
According to the Jan. 11, 2019, trustee remittance report, the
current monthly interest shortfalls totaled $652,315 and resulted
primarily from modified interest rate reductions totaling $343,228,
appraisal subordinate entitlement reduction amounts totaling
$230,924, and special servicing fees totaling $88,271. The current
interest shortfalls affected classes subordinate to and including
class B.
The affirmation reflects the expected credit enhancement level,
which is in line with the affirmed rating. While available credit
enhancement level suggests positive rating movement on class A-M,
S&P's analysis also considered the susceptibility to reduced
liquidity support from the seven specially serviced assets and the
Montehiedra Town Center corrected mortgage loan ($114.7 million,
22.6%).
TRANSACTION SUMMARY
As of the Jan. 11, 2019, trustee remittance report, the collateral
pool balance was $506.5 million, which is 14.0% of the pool balance
at issuance. The pool currently includes two loans and six real
estate owned (REO) assets, down from 134 loans at issuance. Seven
of these assets are with the special servicer, none are defeased,
and none are on the master servicer's watchlist.
S&P calculated a 1.45x S&P Global Ratings debt service coverage
(DSC) and 92.6% S&P Global Ratings loan-to-value (LTV) ratio using
an 8.75% S&P Global Ratings capitalization rate for the Montehiedra
Town Center loan (calculation based on the $84.6 million A note
balance).
To date, the transaction has experienced $314.7 million in
principal losses, or 8.7% of the original pool trust balance. S&P
expects losses to reach approximately 12.5% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses S&P expects on the eventual resolution of the
seven specially serviced assets.
CREDIT CONSIDERATIONS
As of the Jan. 11, 2019, trustee remittance report, seven assets in
the pool were with the special servicer, LNR Partners LLC (LNR).
The two largest specially serviced assets are the following:
-- The Portals I REO asset ($155.0 million, 30.6%) is the largest
asset in the pool and has a total reported exposure of $176.5
million. The asset is a 475,975-sq.-ft. office property in
Washington, D.C. The loan was transferred to the special servicer
on May 17, 2016, because of imminent default and the property
became REO on Jan. 27, 2017. LNR stated that it is working to lease
up the property. The reported DSC and occupancy for the six months
ended June 30, 2018, were 0.26x and 52.0%, respectively. A $9.4
million appraisal reduction amount is in effect against this asset.
S&P expects a minimal loss (less than 25%) upon this asset's
eventual resolution.
-- The JPMorgan International Plaza I & II loan ($151.8 million,
30.0%) is the second-largest asset in the pool and has a total
reported exposure of $152.3 million. The loan is secured by two
office buildings totaling 756,851 sq. ft. in Farmers Branch, Texas.
The loan was transferred to the special servicer on Oct. 24, 2017,
because of imminent default. The loan was modified in April 2018
into a $120.0 million senior A note and a $31.8 million subordinate
note, and the loan maturity was extended to June 6, 2020. LNR has
indicated that it is monitoring this loan, which has a reported
late but less than one month delinquent payment status. The
property is currently vacant. S&P expects a moderate loss (25-59%)
upon this loan's eventual resolution.
The five remaining assets with the special servicer each have
individual balances that represent less than 5.2% of the total pool
trust balance. S&P estimated losses for the seven specially
serviced assets, arriving at a weighted-average loss severity of
34.7%.
RATINGS LOWERED
Greenwich Capital Commercial Funding Corp. Commercial mortgage
pass-through certificates series 2006-GG7
Rating
Class To From
A-J D (sf) B+ (sf)
B D (sf) B- (sf)
RATING AFFIRMED
Greenwich Capital Commercial Funding Corp. Commercial mortgage
pass-through certificates series 2006-GG7
Class Rating
A-M BB+ (sf)
GS MORTGAGE 2013-G1: DBRS Confirms BB Rating on Class DM Certs
--------------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2013-G1 issued by GS Mortgage
Securities Trust, Series 2013-G1 as follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class D at BBB (low) (sf)
-- Class DM at BB (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction, with strong cash flow growth and generally healthy
sales and occupancy trends for all three collateral properties
since issuance. The collateral consists of three fixed-rate loans
individually secured by two outlet malls and one regional mall in
Great Lakes Crossing Outlets (Auburn Hills, Michigan), Katy Mills
(Katy, Texas) and Deptford Mall (Deptford, New Jersey),
respectively. The three properties are located in established
suburban markets outside of Detroit, Houston and Philadelphia,
respectively. As of the January 2019 remittance, all loans are
reporting trailing six months ending June 2018 figures, with a
weighted-average (WA) debt service coverage ratio (DSCR) and WA
debt yield of 3.11 times (x) and 15.3%, respectively, which is in
line with the year-end (YE) 2017 WA DSCR and WA debt yield of 3.07x
and 15.1%, respectively. At YE2017, the loans reported WA cash flow
growth of 25.6% over the DBRS net cash flow figures derived at
issuance. The three loans report an aggregate outstanding principal
balance of $519.0 million as of the January 2018 remittance,
representing a collateral reduction of 8.8% from issuance due to
scheduled loan amortization on the Great Lakes Crossing Outlets and
Deptford Mall loans, as the Katy Mills loan is interest-only for
the entire term.
Given the general environment of flux and evolution for shopping
malls in the United States, the collateral properties have seen
some changes in tenancy and sales since issuance. The Deptford Mall
property lost its non-collateral Sears anchor in October 2018, but
news reports and responses received from the servicer have recently
suggested a portion of that space will be backfilled by Round1 and
Dick's Sporting Goods, with the mall's overall healthy in-line
sales trends suggesting the remaining vacant space will be
attractive for prospective tenants. The outlet malls in the
country, such as the collateral properties in Great Lakes Crossing
and Katy Mills, have not been as directly impacted by the migration
to online shopping, but operators have been required to continue
investing in the physical spaces to retain shopper traffic. In the
case of the subject outlet malls, the sponsors in Taubman and Simon
have each shown commitment in that regard, with significant capital
recently invested or planned to be invested in upgrades for both
properties.
At issuance, DBRS shadow-rated all three loans investment grade.
With this review, DBRS has confirmed that the performance of these
loans remains consistent with investment-grade loan
characteristics. Overall, the collateralized properties are well
established in their respective markets and have satisfactory
in-line sales performance, high-quality sponsorship, and
low-leverage financing.
Class X-A is an interest-only (IO) certificate that references a
single rated tranche or multiple rated tranches. The IO rating
mirrors the lowest-rated applicable reference obligation tranche
adjusted upward by one notch if senior in the waterfall.
HERTZ VEHICLE 2019-1: DBRS Gives Prov. BB Rating on Class D Notes
-----------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
medium-term notes to be issued by Hertz Vehicle Financing II LP:
-- Series 2019-1, Class A Notes at AAA (sf)
-- Series 2019-1, Class B Notes at A (sf)
-- Series 2019-1, Class C Notes at BBB (sf)
-- Series 2019-1, Class D Notes at BB (sf)
The ratings are based on a review by DBRS of the following
analytical considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- Credit enhancement in the transaction is dynamic depending on
the composition of the vehicles in the fleet and certain market
value tests.
-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the ratings address the
timely payment of interest on a monthly basis and principal by the
legal final maturity date.
-- The transaction parties' capabilities to effectively manage
rental car operations and dispose of the fleet to the extent
necessary.
-- Collateral credit quality and residual value performance.
-- The legal structure and its consistency with the DBRS "Legal
Criteria for U.S. Structured Finance" methodology, the presence of
legal opinions (to be provided) that address the treatment of the
operating lease as a true lease, the non-consolidation of the
special-purpose vehicles with Hertz Corporation and its affiliates
and that the trust has a valid first-priority security interest in
the assets.
Notes: All figures are in U.S. dollars unless otherwise noted.
JP MORGAN 2019-1: Fitch Assigns Bsf Rating on Class B-5 Certs
-------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed certificates issued by J.P. Morgan Mortgage Trust
2019-1. The certificates are supported by 1,707 conforming and
non-conforming loans with a total balance of approximately $978.12
million as of the cutoff date. 42.4% of the loans were originated
by JPMorgan Chase Bank N.A., 18.8% by Quicken Loans, Inc., 13.4% by
United Shore Financial Services, LLC and the remaining various
originators that each contributed less than 10% to the
transaction.
The following tranches are assigned:
Class A-1 AA+sf; Outlook Stable
Class A-10 AAAsf; Outlook Stable
Class A-11 AAAsf; Outlook Stable
Class A-11-X AAAsf; Outlook Stable
Class A-12 AAAsf; Outlook Stable
Class A-13 AAAsf; Outlook Stable
Class A-14 AA+sf; Outlook Stable
Class A-15 AA+sf; Outlook Stable
Class A-2 AAAsf; Outlook Stable
Class A-3 AAAsf; Outlook Stable
Class A-4 AAAsf; Outlook Stable
Class A-5 AAAsf; Outlook Stable
Class A-6 AAAsf; Outlook Stable
Class A-7 AAAsf; Outlook Stable
Class A-8 AAAsf; Outlook Stable
Class A-9 AAAsf; Outlook Stable
Class A-X-1 AA+sf; Outlook Stable
Class A-X-2 AA+sf; Outlook Stable
Class A-X-3 AAAsf; Outlook Stable
Class A-X-4 AAAsf; Outlook Stable
Class B-1 AA-sf; Outlook Stable
Class B-2 A-sf; Outlook Stable
Class B-3 BBBsf; Outlook Stable
Class B-4 BB-sf; Outlook Stable
Class B-5 Bsf; Outlook Stable
Class B-6 NRsf; Outlook Stable
KEY RATING DRIVERS
High-Quality Mortgage Pool (Positive): The $978.12 million
collateral pool consists of high-quality, 20-year and 30-year fixed
rated conforming (67%) and nonconforming (33%) loans originated by
various originators and aggregated by JPMorgan Chase. The pool has
a weighted average (WA) FICO score of 761 and an original combined
loan-to-value (CLTV) ratio of 69.4%. The collateral attributes of
the pool are very comparable to those typically seen in JPMMT
transactions securitized by conforming and nonconforming loans.
Framework Strengthened to Tier 2 (Improved): The representation and
warranty (R&W) framework improved to Tier 2 due to changes, which
include a) the removal of consideration of a borrower distress
event when determining if a R&W test failure occurred and b)
clarification of the relationship between the fraud and
underwriting reps for JPMorgan Chase originated loans. While fraud
and underwriting for JPMorgan Chase loans remain linked, in regards
to errors and omissions, fraud will still be deemed to have
occurred for misrepresentations and gross negligence. There is no
such linkage for non-JPMorgan Chase originated loans. The Tier 2
reflects better protection for investors, which lowered Fitch's
'AAAsf' R&W loss adjustment to 31 basis points (bps).
Minimal Operational Risk (Positive): Fitch considers JPMorgan Chase
an above average originator, with a long operating history of
originating and aggregating mortgage loans. The results of the 100%
third-party due diligence confirm high loan quality and no
incidence of material defects. The results greatly reduce the risk
that the JPMorgan Chase loans will have material errors and
omissions that could impede the investors' ability to put back
loans due to the linkage of the fraud and underwriting reps for
JPMorgan Chase loans. Roughly 42% was originated by JPMorgan Chase,
which lowered Fitch's 'AAAsf' loss by 20bps.
High Quality Servicer (Positive): Over 70% of the loans in the pool
are either currently serviced or will be serviced by JPMorgan Chase
(transfer to JPM Chase to occur within six months), which Fitch
rates as 'RPS1-'. Servicer quality has an impact on the performance
of the loans, and Fitch lowers its loss expectations for highly
rated servicers (rating of 1- or higher) due to their strong
servicing practices and capabilities and higher recoveries
expected. The strong servicing quality resulted in a reduction of
42 bps to Fitch's 'AAAsf' expected loss.
Geographic Concentration (Concern): Almost 46% of the pool is
concentrated in California. The largest MSA concentration is in the
Los Angeles MSA (18.4%) followed by the New York MSA (13.6%) and
San Francisco MSA (11.7%). The top three MSAs account for
approximately 43.7% of the pool. This resulted in an increase of 16
bps at the 'AAAsf' expected loss.
Channel (Positive): Approximately 63% of the loans were originated
through a retail channel. The issuer confirmed that all of the
JPMorgan Chase loans that were identified as "Correspondent" in the
tape were originated by the correspondent's retail channel. Fitch
treated all of these loans as originated through a retail channel.
Straightforward Deal Structure (Positive): The mortgage cash flow
and loss allocation are based on a senior-subordinate,
shifting-interest structure, whereby the subordinate classes
receive only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The lockout
feature helps maintain subordination for a longer period should
losses occur later in the life of the deal. The applicable credit
support percentage feature redirects subordinate principal to
classes of higher seniority if specified credit enhancement (CE)
levels are not maintained.
To mitigate tail risk, which arises as the pool seasons and fewer
loans are outstanding, a subordination floor of 0.70% of the
original balance will be maintained for the senior certificates and
a subordination floor of 0.50% of the original balance will be
maintained for the subordinate certificates.
Repurchase of Loans Affected by Natural Disasters (Positive):
JPMorgan Chase has ordered property inspections for the properties
located in the areas affected by natural disasters. JPMorgan Chase
will repurchase or drop the loan from the final pool if damages
exceed $10,000 while loans that have damage in the amount of
$1,000-$10,000 will be reviewed on an individual basis.
RATING SENSITIVITIES
Fitch's analysis incorporates a sensitivity analysis to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at the MSA level. The implied rating sensitivities are
only an indication of some of the potential outcomes and do not
consider other risk factors that the transaction may become exposed
to or may be considered in the surveillance of the transaction.
Three sets of sensitivity analyses were conducted at the state and
national levels to assess the effect of higher MVDs for the subject
pool.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper market value declines at the
national level. The analysis assumes market value declines of 10%,
20% and 30%, in addition to the model-projected 7.1%. The analysis
indicates that there is some potential rating migration with higher
MVDs, compared with the model projection.
Fitch also conducted sensitivities to determine the stresses to
MVDs that would reduce a rating by one full category, to
non-investment grade and to 'CCCsf'.
CRITERIA VARIATION
There was one variation from Fitch's "Structured Finance and
Covered Bonds Counterparty Rating Criteria". The definition of
eligible accounts in the transaction does not provide for a minimum
rating threshold for trust accounts or accounts maintained with the
corporate trust department. However, these accounts, which would
be held at a national bank, are subject to the regulations
regarding fiduciary funds per Title 12 of the U.S. Code of Federal
Regulation Section 9.10(b). Mitigating the lack of rating
threshold is the fact that funds up to $250,000 per borrower are
insured by the FDIC. In addition, the instituaion holding the
account will set aside collateral in an amount equal to or
exceeding the amount in excess of the $250,000 insured amount.
MADISON PARK XXXII: S&P Rates $30MM Class E Notes 'BB-'
-------------------------------------------------------
S&P Global Ratings assigned its ratings to Madison Park Funding
XXXII, Ltd./Madison Park Funding XXXII LLC's floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed primarily by broadly syndicated speculative-grade (rated
'BB+' and lower) 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
Madison Park Funding XXXII Ltd./Madison Park Funding XXXII LLC
Class Rating Amount (mil. $)
X NR 2.00
A-1 AAA (sf) 480.00
A-2 NR 36.00
B AA (sf) 88.00
C (deferrable) A (sf) 56.00
D (deferrable) BBB- (sf) 42.00
E (deferrable) BB- (sf) 30.00
Subordinated notes NR 80.00
NR--Not rated.
MANITOULIN USD: DBRS Rates Muskoka 2019-1 Class D Notes 'BB'
------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Muskoka Series 2019-1 Class B Guarantee Linked Notes (the Class B
Notes), the Muskoka Series 2019-1 Class C Guarantee Linked Notes
(the Class C Notes) and the Muskoka Series 2019-1 Class D Guarantee
Linked Notes (the Class D Notes; together, with the Class B Notes
and Class C Notes, the Notes) contemplated to be issued by
Manitoulin USD Ltd. (Manitoulin or the Issuer) referencing the
executed Junior Loan Portfolio Financial Guarantee (the Financial
Guarantee) to be dated on or about January 30, 2019, between
Manitoulin as Guarantor and the Bank of Montreal (rated AA with a
Stable trend by DBRS) as Beneficiary with respect to a portfolio of
primarily U.S. and Canadian senior secured and senior unsecured
loans:
-- Class B Notes at A (sf)
-- Class C Notes at BBB (low) (sf)
-- Class D Notes at BB (sf)
The provisional ratings on the Notes address the timely payment of
interest and ultimate payment of principal on or before the
Scheduled Termination Date (as defined in the Financial Guarantee
referenced above). The payment of the interest due to the Notes is
subject to the Beneficiary's ability to pay the Guarantee Fee
Amount (as defined in the Financial Guarantee referenced above).
To assess portfolio credit quality, for each corporate obligor in
the portfolio, DBRS relies on DBRS ratings and public ratings from
other rating agencies or DBRS may provide a credit estimate,
internal assessment or rating mapping of the Beneficiary's internal
rating model. Credit estimates, internal assessments and rating
mappings are not ratings; rather, they represent an abbreviated
analysis, including model-driven or statistical components of
default probability for each obligor that is used in assigning a
rating to a facility sufficient to assess portfolio credit
quality.
On the Effective Date (as defined in the Financial Guarantee
referenced above), the Issuer will utilize the proceeds of the
issue of the Notes to make a deposit into the Cash Deposit Accounts
with the Cash Deposit Bank. DBRS may review the ratings on the
Notes in the event of a downgrade of the Cash Deposit Bank below
certain thresholds, as defined in the transaction documents.
The ratings reflect the following:
(1) The draft Financial Guarantee to be dated on or about January
30, 2019.
(2) The integrity of the transaction structure.
(3) DBRS's assessment of the portfolio quality.
(4) Adequate credit enhancement to withstand projected collateral
loss rates.
MORGAN STANLEY 2015-C23: Fitch Affirms B-sf Rating on Cl. F Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Morgan Stanley Bank of
America Merrill Lynch Trust Commercial Mortgage Pass-Through
Certificates, series 2015-C23.
KEY RATING DRIVERS
Stable Loss Expectations: The affirmations reflect 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. There have been no
realized losses or specially serviced loans to date. No loans have
been designated Fitch Loans of Concern (FLOC).
Minimal Changes in Credit Enhancement: As of the January 2019
distribution date, the pool's aggregate principal balance has been
reduced by 3.3% to $1.037 billion from $1.073 billion at issuance.
Seven loans (24.5%) are full-term interest-only and 10 loans
(12.8%) remain in partial interest-only periods. Four loans (7.5%)
are fully defeased. Two loans (0.6% of the issuance pool balance)
have paid off. Loan maturities and anticipated repayment dates
(ARDs) are scheduled in 2020 (11.7%), 2024 (3.2%) and 2025
(85.1%).
ADDITIONAL CONSIDERATIONS
Pool Concentrations: The top five and 10 loans in the transaction
represent 29.4% and 46.8% of the current pool balance,
respectively. The largest property type concentration is retail
(25.5%), followed by multifamily (22.7%), lodging (16.4%) and
mixed-use (12.4%).
High Hotel Exposure: Approximately 16.4% of the pool by balance,
including three of the top 15 loans (11.1%), consists of loans
secured by hotel properties. The three hotel properties in the top
15 are located in large markets, with two located in Midtown
Manhattan (Hilton Garden Inn W. 54th Street and Fairfield Chelsea
Inn) and the other located in downtown Atlanta, GA (Georgian
Terrace). For hotel properties across the pool, Fitch applied an
additional stress to the most recently reported full year NOI to
reflect the peaked performance outlook of the sector.
Largest Loans in the Pool: The largest loan in the pool is a pari
passu A-note secured by TKG 3 Retail Portfolio (7.7%), a portfolio
of six retail centers (five anchored, one shadow anchored) totaling
1.4 million sf and spread across six tertiary markets in six
different states. The two oldest properties (built in 1966 and
1973) were most recently renovated between 2013 and 2015. The
remaining four properties were constructed between 1999 and 2006.
Large tenants include Walmart (14.4% of NRA, through February
2020), Lowe's (9.1% of NRA, through November 2027) and BJ's
Wholesale Club (8.0% of NRA, through January 2024). As of YE 2017,
the servicer-reported occupancy and NOI DSCR were 95.3% and 1.99x,
respectively, for this interest-only loan.
The second largest loan in the pool is a pari passu A-note secured
by 32 Old Slip Fee (6.4%), the leased fee interest in a parcel of
land in the Financial East District of Downtown Manhattan. The
lease has an initial term of 99 years and encompasses the entire
block bound by Old Slip, South Street, Gouverneur Lane, and Front
Street. The lease expires in April 2114 with two additional
extension options of 25 years each. The site is improved by a 1.1
million sf, 36-story office building that was built in 1987 and
subsequently renovated for $69 million in 2012 after Superstorm
Sandy. As of YTD September 2018, the servicer-reported NOI DSCR was
1.27x.
At the last rating action Fitch had designated two multifamily
properties in Midland, TX as FLOC. Both loans have experienced
significantly increased cash flow due to the recovery of the
energy/oil sector. Between September 2017 and September 2018, the
average rents at each property increased from approximately $800
per unit to $1,100 per unit. As of YTD September 2018, the
properties were 93% and 95% occupied with NOI DSCRs of 1.65x and
1.74x.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset-level event changes the transaction's overall
portfolio-level metrics.
DUE DILIGENCE USAGE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating.
Fitch has affirmed the following ratings:
-- $10.3 million class A-1 at 'AAAsf'; Outlook Stable;
-- $122.1 million class A-2 at 'AAAsf'; Outlook Stable;
-- $67.6 million class A-SB at 'AAAsf'; Outlook Stable;
-- $230.0 million class A-3 at 'AAAsf'; Outlook Stable;
-- $285.4 million class A-4 at 'AAAsf'; Outlook Stable;
-- $715.4 million class X-A* at 'AAAsf'; Outlook Stable;
-- $75.1 million class A-S at 'AAAsf'; Outlook Stable;
-- $75.1 million class X-B* at 'AAAsf'; Outlook Stable;
-- $60.3 million class B at 'AA-sf'; Outlook Stable;
-- $46.9 million class C at 'A-sf'; Outlook Stable;
-- $182.4 million class PST at 'A-sf'; Outlook Stable;
-- $56.3 million class D at 'BBB-sf'; Outlook Stable;
-- $24.1 million class E at 'BB-sf'; Outlook Stable;
-- $10.7 million class F at 'B-sf'; Outlook Stable.
* Notional amount and interest only.
The class A-S, B and C certificates may be exchanged for class PST
certificates, and class PST certificates may be exchanged for class
A-S, B and C certificates. Fitch does not rate the class G, H, X-FG
and X-H certificates.
MORGAN STANLEY: Moody's Ups Ratings on 7 Tranches From 4 RMBS Deals
-------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of seven
tranches from four Morgan Stanley subprime RMBS transactions.
Complete rating actions are as follows:
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2003-HE1
Cl. M-2, Upgraded to B3 (sf); previously on Mar 15, 2011 Downgraded
to Caa3 (sf)
Cl. M-3, Upgraded to Ca (sf); previously on Apr 10, 2012 Downgraded
to C (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-NC2
Cl. M-2, Upgraded to Ba3 (sf); previously on Apr 11, 2018 Upgraded
to B3 (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-OP1
Cl. M-2, Upgraded to Ba1 (sf); previously on Sep 17, 2013
Downgraded to Ba2 (sf)
Cl. M-3, Upgraded to Ba3 (sf); previously on Apr 29, 2015 Upgraded
to B2 (sf)
Cl. M-5, Upgraded to Caa3 (sf); previously on Apr 10, 2012
Downgraded to Ca (sf)
Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust 2002-HE1
Cl. M-1, Upgraded to Baa3 (sf); previously on Jul 11, 2016 Upgraded
to Ba1 (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to a reduction in Moody's
loss expectation on the pools; and increase in total credit
enhancement available to the bonds. The underlying pools'
performance has improved with higher than expected prepayments and
lower observed severities in certain pools. The rating actions
reflect recent performance and Moody's updated loss expectations on
the underlying pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 3.9% in December 2018 from 4.1% in
December 2017. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2019 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 2019. 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.
MSC MORTGAGE 2012-C4: DBRS Confirms B Rating on Class G Certs
-------------------------------------------------------------
DBRS, Inc. upgraded one class of Commercial Mortgage Pass-Through
Certificates, Series 2012-C4 issued by MSC Mortgage Securities
Trust, 2012-C4 as follows:
-- Class B upgraded to AAA (sf) from AA (high) (sf)
DBRS also confirmed the ratings on all remaining classes as
follows:
-- 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 C at A (high) (sf)
-- Class D at A (low) (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
-- Class X-B at B (high) (sf)
-- Class G at B (sf)
All trends are Stable.
These rating actions reflect the overall stable performance of the
transaction, which has seen a collateral reduction of 32.4% since
issuance in 2012 as of the December 2018 remittance, with seven of
the original 38 loans fully repaid and one loan liquidated with an
$8.6 million loss since issuance. There are 30 loans secured by 67
properties remaining in the pool, with a total trust balance of
$743.2 million. In addition, two loans, representing 1.5% of the
pool balance, are fully defeased. The pool reported a
weighted-average (WA) net cash flow (NCF) growth of 16.1% over the
DBRS NCF figures derived at issuance, with a WA debt service
coverage ratio (DSCR) and debt yield of 1.73 times (x) and 13.2%,
respectively, based on the most recent year-end (YE) financials.
These figures compare to the WA DBRS Term DSCR and debt yield for
the remaining loans of 1.48x and 10.2%, respectively, which were
derived at issuance. Approximately 96.1% of the non-defeased loan
balance reported YE2017 financials, and 95.6% reported partial-year
2018 financials.
As of the December 2018 remittance, there were eight loans,
representing 33.1% of the current pool balance, on the servicer's
watch list. The largest loan in the pool, Shoppes at Buckland Hills
(Prospectus ID#1; 15.6% of the pool) was placed on the servicer's
watch list in December 2018 for a low DSCR of 1.09x as of Q3 2018,
down from 1.36x at YE2017. However, the cash flow decline is
largely due to a likely temporary increase in expenses for the
collateral regional mall property, located within the Hartford,
Connecticut, metropolitan statistical area. DBRS is monitoring the
sales trends at the property, however, with the trailing 12 months
(T-12) ending December 2017 sales report on file with DBRS showing
in-line sales being down 5.2% year over year, averaging $342 per
square foot. In addition, the four largest collateral tenants,
DICK's Sporting Goods, Barnes & Noble, Dave & Buster's and H&M, all
reported drops in sales from the prior year for the T-12 period,
ranging from a decline of 0.6% to 10.5%. DBRS requested an updated
tenant sales report for the property, and the servicer's response
is pending.
The mall is owned and operated by Brookfield Property Partners
L.P., following the company's acquisition of General Growth
Properties last year. All non-collateral anchors – Sears, Macy's
and JCPenney – remain open, and no closures have been announced
to date. The property benefits from its location within a primary
retail corridor; however, that location also means retailers at the
subject are competing with a high concentration of options for
shoppers in the area. In addition, the Hartford economy has
suffered in recent years due to state tax policies that have driven
many businesses out of the area. Given the declining sales trends
and the concentration of struggling retailers in the property's
anchor mix, DBRS has placed this loan on the DBRS Hotlist and will
closely monitor the loan for developments, providing updates to the
loan commentary on the DBRS Viewpoint platform as new information
becomes available.
Another top ten loan on the watch list, GPB Portfolio 2 (Prospectus
ID#7; 7.3% of the pool), was placed on the servicer's watch list
due to deferred maintenance following a site inspection. The six
remaining loans were on the watch list due to a decline in
financial performance.
At issuance, DBRS shadow-rated the ELS Portfolio loan (Prospectus
ID#5; 7.9% of the current pool balance) investment grade. With this
review, DBRS confirms that the performance of that loan remains
consistent with investment-grade loan characteristics.
Classes X-A and X-B are interest-only (IO) certificates that
reference a single rated tranche or multiple rated tranches. The IO
rating mirrors the lowest-rated applicable reference obligation
tranche adjusted upward by one notch if senior in the waterfall.
All ratings are subject to surveillance, which could result in
ratings being upgraded, downgraded, placed under review, confirmed
or discontinued by DBRS.
Notes: All figures are in U.S. dollars unless otherwise noted.
NATIXIS COMMERCIAL 2018-TECH: DBRS Confirms B(high) on G Certs
--------------------------------------------------------------
DBRS, Inc. confirmed all ratings of the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2018-TECH
issued by Natixis Commercial Mortgage Securities Trust 2018-TECH:
-- Class A at AAA (sf)
-- Class X-CP at AA (high) (sf)
-- Class X-EXT at AA (high) (sf)
-- Class B at AA (sf)
-- Class C at A (high) (sf)
-- Class D at A (low) (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class X-F at BB (low) (sf)
-- Class G at B (high) (sf)
All trends are Stable.
The rating confirmations reflect the overall stabilized performance
of the transaction since issuance in February 2018. The subject
loan is secured by a 626,233-square-foot (sf) complex comprising
seven Class B Silicon Valley office and research and development
(R&D) buildings located in Santa Clara, California. The property
was 100.0% occupied, and tenancy is concentrated between two
tenants — NVIDIA Corporation (NVIDIA) and Huawei Technologies
Co., Ltd (Huawei). Total loan proceeds consist of the subject
$150.0 million senior mortgage note rated by DBRS in this
transaction and $45.0 million of mezzanine debt. The senior note
has a five-year initial term with two 12-month extensions.
The subject collateral is in a favorable location in Silicon Valley
and has been 100.0% occupied by the same two credit tenants since
2009. NVIDIA and Huawei continue to occupy 60.7% of the net
rentable area (NRA) and 39.3% of the NRA, respectively. Per the
September 2018 rent roll, Huawei's lease expires in 2027 and
NVIDIA's three leases expire in 2019, 2020 and 2023, respectively.
The rent roll showed the NVIDIA lease expiration for 12.7% of the
NRA as of September 2019, which is two years earlier than the term
provided at issuance. DBRS has asked the servicer about the change
in the reported lease expiry and requested information regarding
leasing renewal prospects.
DBRS noted at issuance that NVIDIA completed a new 500,000 sf
headquarters in 2017 across the street from the collateral,
increasing the risk of the tenant consolidating at another location
upon lease expiration. According to various news sources, NVIDIA's
master headquarters plan includes a three-phase 1.9 million sf
development. The 500,000 sf building was Phase 1 of the master
plan, and NVIDIA announced in May 2018 that the company will begin
construction of 750,000 sf Phase 2 in summer 2019. DBRS continues
to monitor the development plan, as NVIDIA could move operations
from the subject collateral to its new owner-occupied facility.
According to the September 2018 rent roll, NVIDIA and Huawei paid a
weighted-average base rent of $27.44 per square foot (psf). A Q3
2018 Reis report showed average asking rents of $44.99 psf and
average vacancy of 18.8% for the Santa Clara/Sunnyvale submarket
compared with the Q3 2017 Reis data of $42.03 psf and 17.4%,
respectively. The market vacancy is high due to the introduction of
904,000 sf of new office product delivered throughout the first
nine months of 2018. The subject property collects below-market
rents primarily due to the blend of office and R&D property types.
Classes X-CP, X-EXT, and X-F are interest-only (IO) certificates
that reference a single rated tranche or multiple rated tranches.
The IO rating mirrors the lowest-rated applicable reference
obligation tranche adjusted upward by one notch if senior in the
waterfall.
Notes: All figures are in U.S. dollars unless otherwise noted.
NYT 2019-NYT: Fitch Assigns BB-sf Rating on $24.46MM Class F Certs
------------------------------------------------------------------
Fitch Ratings has assigned the following rating and Rating Outlooks
to NYT 2019-NYT Mortgage Trust Commercial Mortgage Pass-Through
Certificates, Series 2019-NYT:
-- $261,250,000 class A 'AAAsf'; Outlook Stable;
-- $90,250,000a class X-CP 'BBB-sf'; Outlook Stable;
-- $90,250,000a class X-EXT 'BBB-sf'; Outlook Stable;
-- $52,250,000 class B 'AA-sf'; Outlook Stable;
-- $35,150,000 class C 'A-sf'; Outlook Stable;
-- $55,100,000 class D 'BBB-sf'; Outlook Stable;
-- $61,037,000 class E 'BB-sf'; Outlook Stable;
-- $24,463,000 class F 'BB-sf'; Outlook Stable.
Fitch does not rate the following non-offered class:
-- $25,750,000b VRR Interest.
(a) Notional amount and interest-only.
(b) Vertical credit risk retention interest.
All offered classes are privately placed and pursuant to Rule 144A.
There were no changes since Fitch published its expected ratings on
Jan. 7, 2018. The classes above reflect the final ratings and deal
structure based on information provided by the issuer as of Jan.
28, 2018.
The certificates represent the beneficial interests in four senior
promissory notes, which, together with four junior promissory notes
that are not included in the trust, evidences a two-year (with
five, one-year extension options), floating-rate, whole loan
secured by a first lien mortgage on the leasehold interest of the
borrower in five ground floor retail condominium units and 23
office condominium units spanning floors 28 through 52 of the New
York Times Building, located at 620 Eight Avenue in New York, NY.
The total building is 1.3 million sf, while the collateral portion
is 738,385 sf consisting of 709,678 sf of office, 23,044 sf of
ground floor retail and 5,663 sf of storage/other space.
KEY RATING DRIVERS
High Aggregate Leverage: The $515.0 million mortgage loan has a
Fitch debt service coverage ratio (DSCR) and loan-to-value (LTV) of
1.05x and 83.9%, respectively, and debt of $697 psf. The total debt
package includes a $120.0 million b-note and $115.0 million
mezzanine loan, resulting in a total debt Fitch DSCR and LTV of
0.72x and 122.2%, respectively.
Accessible NYC CBD Location: The subject occupies the entire block
along Eighth Avenue in between West 40th and West 41st Streets in
the Times Square neighborhood of the New York CBD. The collateral
features immediate access to public transportation, with the Port
Authority Bus Terminal located directly across the street, and the
Times Square subway station within a five-minute walk.
Historical Occupancy: The property is fully leased and has
maintained near 100% occupancy for the past three years.
Approximately 84.5% of the NRA, including four of the five largest
tenants, has been in occupancy for 10 or more years.
Institutional Sponsorship: The sponsors of the loan are owned by
affiliates of Brookfield Property Partners, a global leader in real
estate investment and management. Brookfield Property Partners is a
publicly listed (NYSE: BPY) real estate company of Brookfield Asset
Management. BPY's portfolio includes an ownership interest in
approximately 150 office properties totalling 99 million sf and 125
retail properties totaling 123 million sf.
RATING SENSITIVITIES
For this transaction, Fitch's NCF was 14.3% below the TTM ended
June 2018 NCF. Fitch evaluated the sensitivity of the ratings
assigned to the NYT 2019-NYT 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 'Asf' 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.
ONEMAIN FINANCIAL 2019-1: DBRS Finalizes BB on $57MM Cl. E Notes
----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes (the Notes) issued by OneMain Financial Issuance
Trust 2019-1 (OMFIT 2019-1 or the Issuer):
-- $430,120,000 Series 2019-1, Class A at AAA (sf)
-- $58,550,000 Series 2019-1, Class B at AA (sf)
-- $37,620,000 Series 2019-1, Class C at A (sf)
-- $47,430,000 Series 2019-1, Class D at BBB (sf)
-- $57,890,000 Series 2019-1, Class E at BB (sf)
The ratings are based on DBRS's review of the following analytical
considerations:
-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.
-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the ratings address the
payment of timely interest on a monthly basis and principal by the
legal final maturity date.
-- OneMain Financial, Inc.'s (OneMain) capabilities with regard to
originations, underwriting and servicing.
-- The credit quality of the collateral and performance of
OneMain's consumer loan portfolio. DBRS used a hybrid approach in
analyzing the OneMain portfolio that incorporates elements of
static pool analysis, employed for assets such as consumer loans,
and revolving asset analysis, employed for such assets as credit
card master trusts.
-- The legal structure and presence of legal opinions that address
the true sale of the assets to the Issuer, the non-consolidation of
the special-purpose vehicle with OneMain, that the trust has a
valid first-priority security interest in the assets and the
consistency with DBRS's "Legal Criteria for U.S. Structured
Finance."
The OMFIT 2019-1 transaction represents the twelfth securitization
of a portfolio of non-prime and subprime personal loans originated
through OneMain's branch network.
Credit enhancement in the transaction consists of
overcollateralization (OC), subordination, excess spread, and a
reserve account. The initial amount of OC is 3.45% of the aggregate
loan principal balance. The subordination in the transaction refers
to the Class B Notes, Class C Notes, Class D Notes, and Class E
Notes, which are subordinated to the Class A Notes. The reserve
account is 0.50% of the initial loan principal balance. It is
funded at inception and is non-declining. Initial Class A credit
enhancement of 34.75% includes a 0.50% reserve account, OC of 3.45%
and 30.80% subordination. Initial Class B credit enhancement of
25.80% includes a 0.50% reserve account, OC of 3.45% and 21.85%
subordination. Initial Class C credit enhancement of 20.05%
includes a 0.50% reserve account, OC of 3.45% and 16.10%
subordination. Initial Class D credit enhancement of 12.80%
includes a 0.50% reserve account, OC of 3.45% and 8.85%
subordination. Initial Class E credit enhancement of 3.95% includes
a 0.50% reserve account, OC of 3.45%. Interest on the Notes is
payable monthly at a fixed rate.
Notes: All figures are in U.S. dollars unless otherwise noted.
SHERIDAN INVESTMENT: Moody's Confirms Caa3 CFR, Outlook Negative
----------------------------------------------------------------
Moody's Investors Services confirmed each of Sheridan Investment
Partners I, LLC's, Sheridan Production Partners I-A, L.P.'s and
Sheridan Production Partners I-M, L.P.'s, Caa3 Corporate Family
Rating (CFR), Ca-PD Probability of Default Ratings (PDR) and Caa3
senior secured term loan rating. The rating outlook is negative.
This concludes the Moody's ratings review that was initiated on
November 20, 2018.
In November 2018, Moody's had placed Sheridan I's ratings under
review for upgrade following the company's announcement of a
purchase and sale agreement to divest substantially all of its
assets in the South Central Oklahoma Oil Province (SCOOP) play in
Oklahoma to a private equity portfolio company for an aggregate
purchase price of $264 million. However, the company announced the
transaction did not close and the purchase agreement was
terminated. A deposit amount of $13.2 million was released to the
company in light of the failure of transaction closing.
Debt List:
Confirmations:
Issuer: Sheridan Investment Partners I, LLC
Probability of Default Rating, Confirmed Ca-PD
Corporate Family Rating, Confirmed Caa3
Senior Secured Term Loan B, Confirmed Caa3 (LGD3)
Issuer: Sheridan Production Partners I-A, LP
Probability of Default Rating, Confirmed Ca-PD
Corporate Family Rating, Confirmed Caa3
Senior Secured Term Loan B, Confirmed Caa3 (LGD3)
Issuer: Sheridan Production Partners I-M, LP
Probability of Default Rating, Confirmed Ca-PD
Corporate Family Rating, Confirmed Caa3
Senior Secured Term Loan B, Confirmed Caa3 (LGD3)
Outlook Actions:
Issuer: Sheridan Investment Partners I, LLC
Outlook, Changed To Negative from Rating Under Review
Issuer: Sheridan Production Partners I-A, LP
Outlook, Changed To Negative from Rating Under Review
Issuer: Sheridan Production Partners I-M, LP
Outlook, Changed To Negative from Rating Under Review
RATINGS RATIONALE
Sheridan Investment Partners I, LLC (SIP), Sheridan Production
Partners I-A, L.P. (Fund I-A), Sheridan Production Partners I-B,
L.P. (Fund I-B), and Sheridan Production Partners I-M, L.P. (Fund
I-M) (collectively Sheridan I) has heightened refinancing risk
precipitated by the failure to close on the sale of its SCOOP
assets. Combined with the company's weak liquidity, the credit
profile of the company points to an untenable capital structure,
unless the company is able to reduce its debt burden by
restructuring its balance sheet or executing on any potential asset
sales. Although Sheridan I's 2019 production is substantially
hedged, the company's ability to generate only modest free cash
flow through 2019 creates uncertainty around its 2019 capital
investment and production growth, limiting its ability to address
the maturities in 2019. The company could also reduce its debt
balances with available cash at discounts to face value, which
Moody's would consider a distressed exchange and a default.
The term loans (approximately $453 million outstanding as of
October 2018) of all the funds are rated Caa3, in line with their
Caa3 CFRs. The senior secured debt of Sheridan I is comprised of
revolving credits and term loans made available to SIP, Fund I-A,
and Fund I-M. Term loan outstandings are subtracted from the
borrowing base to determine the revolving credit availability. The
Ca-PD reflects the continued risk of default in 2019 due to the
upcoming maturities.
On a combined basis, Sheridan I has weak liquidity. Proforma for
the October 2018 Term Loan repayment, the company had a cash
balance of approximately $5 million. In addition, due to the
termination of SCOOP purchase agreement the company received $13.2
million deposit. With no availability under its secured revolving
credit facility, Moody's expects the company to manage its 2019
capital spending budget within operating cash flows. Excess cash
flow and balance sheet cash will most likely be used to reduce debt
to comply with borrowing base requirements to the extent they are
lower than current debt balances. The revolving credit facility has
a minimum interest coverage ratio covenant of 2.05x at year end.
The company is unlikely to be able to meet its covenant
requirements, and more importantly the company may not have
resources to repay or refinance the May 2019 revolver maturity or
the October 2019 Term Loan maturity.
The negative outlook reflects the uncertain path to address debt
maturities and the potential for continued debt reduction at
discounts to par, a distressed exchange and a default per Moody's
definition of default.
Sheridan I's ratings will be downgraded if the company performs a
balance sheet restructuring or defaults on its upcoming
maturities.
A ratings upgrade is unlikely given the stressed balance sheet as
well as the structure of the funds, which requires a gradual
liquidation of the asset base over time. If the company is able to
reduce debt significantly either through asset sales or equity
infusion a ratings upgrade may be considered.
WELLS FARGO 2012-C7: Fitch Affirms BB Rating on $19.3MM Cl. F Certs
-------------------------------------------------------------------
Fitch Ratings has affirmed 12 classes and revised the Rating
Outlooks on two classes of Wells Fargo Bank, N.A.'s WFRBS 2012-C7
commercial mortgage pass-through certificates.
KEY RATING DRIVERS
Improved Credit Enhancement: The pool has benefited from increased
credit enhancement due to loan payoffs, scheduled amortization and
defeased collateral. As of the January 2019 distribution date, the
pool's aggregate principal balance has been reduced by 13.2% to
$958 million from $1.1 billion at issuance; realized losses to date
total 0.5% of the original pool balance. Five loans have paid off
since issuance. Approximately 13.1% of the pool is full-term,
interest only, including the third largest loan, Florence Mall
(9.4%). All of the partial-term, interest only loans (22.7%) are
now amortizing. Five loans (7.6%) are fully defeased, including the
fifth and 12th largest loans.
Stable Performance: The performance and loss expectation for the
majority of the pool has remained stable since issuance. As of the
January 2019 remittance report, there were no specially serviced or
delinquent loans. Five loans (28.4% of pool) were flagged as Fitch
Loans of Concern (FLOCs), including four loans in the top 15
(28.2%), due to declining performance, upcoming rollover concerns
and/ or potential loss of a large tenant.
Fitch Loans of Concern: The largest FLOC is the second largest
loan, Town Center at Cobb (12.6% of pool). The loan is secured by a
559,940-sf portion of a 1.3 million sf regional mall located in
Kennesaw, GA. The property is anchored by Belk, Sears, JCPenney,
Macy's and Macy's Furniture. Fitch Ratings flagged the loan as a
FLOC due to upcoming rollover concerns, including 15.9% and 6.1% in
2019 and 2020, respectively. A portion of the JCPenney space is
part of the loan collateral (5.5% of NRA) and has an upcoming lease
expiration on October 31, 2019. Per the servicer, the tenant is not
required to give notice until six months prior to its lease
expiration.
The second largest FLOC is the third largest loan, Florence Mall
(9.4% of pool), a 384,111-sf portion of a 957,443-sf regional mall
located in Florence, KY. The property is anchored by a 10-screen,
Cinemark theater (17.3% of NRA; lease expiry in June 2028) and
non-collateral tenants, including JCPenney, Macy's and Macy's Home
Furnishings. Sears, which was a former non-collateral anchor,
closed its store in November 2018. Of the collateral NRA, 17.2% and
15.0% are expected to expire in 2019 and 2020, respectively. Fitch
requested leasing updates as well as any triggered co-tenancy
clauses but has not yet received a response. The property is not
the dominant mall in the Cincinnati market.
The third FLOC is the seventh largest loan, Fashion Square (3.7%),
a 711,114-sf regional mall located in Saginaw, MI, a tertiary
market 40 miles north of Flint or 100 miles north of Detroit.
Occupancy declined in 2017 to 88.6% from 95.3% in 2016 due to
vacating tenants at or prior to lease expiration. The collateral's
largest tenant is JCPenney (31.4% of NRA; lease expiry in January
2023). Sears and Macy's are on ground leases, which have upcoming
lease expirations in 2020. A significant number of tenants have
co-tenancy clauses that would be triggered by an anchor (including
JCPenney) vacating or by two anchors vacating. Fitch requested
leasing updates on the ground leases of the non-collateral anchors
but has not yet received a response.
The fourth largest FLOC is 270 Peachtree, the 11th largest loan in
the pool (2.5%). The loan is secured by a 318,566-sf office
building located in Atlanta, GA. Occupancy declined following the
loss of the largest tenant in 2018 upon its December 2017 lease
expiration. The second largest tenant, Habitat for Humanity (19.5%
of NRA), has an upcoming lease expiration in December 2019. Per the
servicer, the borrower is currently in negotiations with the
tenant, but no further updates were available.
The smallest FLOC, Lake Road Center (0.2%), is a 9,140-sf retail
center located in Colorado Springs, CO. Occupancy declined to 71%
as of September 2018 from 100% in YE 2017 as the second largest
tenant vacated its space after the lease expiration in January
2018. The largest tenant, Mattress Firm (approximately 36% of NRA),
is expected to reduce its base rent as part of the bankruptcy
restructuring.
Additional Loss Consideration: In addition to modeling a base case
loss, Fitch applied an additional sensitivity by applying loss
severities of 25%, 25% and 100%, respectively on the Town Center at
Cobb (12.6%), Florence Mall (9.4%) and Fashion Square (3.7%) loans,
to address the potential for higher, outsized losses. This scenario
contributed to the Negative Outlooks on classes D through G.
High Retail Concentration: The pool has a high concentration of
retail loans (57.7% of the pool), including seven loans in the top
15 (50.1%). The top three loans in the pool (36.5%) are secured by
regional malls with exposure to JCPenney, Sears and Macy's;
however, none of these stores have been included in any recent
store closing announcements. Two of the loans, Northridge Fashion
Center (14.6%) and Florence Mall (9.4%), are now sponsored and
managed by Brookfield after its acquisition of General Growth
Properties. One loan, Fashion Square (3.7%), is sponsored and
managed by Simon Properties.
RATING SENSITIVITIES
The Negative Rating Outlooks on classes D, E, F and G reflect the
potential for full category downgrades due to refinance concerns on
the Town Center at Cobb, Florence Mall and Fashion Square loans as
they approach maturity and/or with further performance decline.
Rating Outlooks for classes A-1 through C remain Stable due to the
relatively stable performance of the majority of the remaining pool
and expected continued amortization. Rating upgrades may be limited
due to increasing pool concentration and adverse selection.
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'/Outlook Negative. Fitch
relies on the master servicer, Wells Fargo Bank, N.A., a division
of Wells Fargo & Company (A+/F1/Stable), which is currently the
primary advancing agent, as counterparty. Fitch provided ratings
confirmation on Jan. 24, 2018.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
Fitch has affirmed ratings and revised the Outlook as follows:
-- $48.9 million class A-1 at 'AAAsf'; Outlook Stable;
-- $418 million class A-2 at 'AAAsf'; Outlook Stable;
-- $165.3 million class A-FL at 'AAAsf'; Outlook Stable;
-- $0 class A-FX at 'AAAsf'; Outlook Stable;
-- $82.8 million class A-S at 'AAAsf'; Outlook Stable;
-- Interest-only class X-A at 'AAAsf'; Outlook Stable;
-- $58 million class B at 'AAsf'; Outlook Stable;
-- $41.4 million class C at 'Asf'; Outlook Stable;
-- $27.6 million class D at 'BBB+sf'; Outlook to Negative from
Stable;
-- $48.3 million class E at 'BBB-sf'; Outlook to Negative from
Stable;
-- $19.3 million class F at 'BBsf'; Outlook Negative;
-- $19.3 million class G at 'Bsf'; Outlook Negative.
Fitch does not rate the class H certificates, or the interest-only
class X-B. The aggregate balance of class A-FL may be adjusted as a
result of the exchange of all or a portion of the class A-FL
certificates for the non-offered class A-FX certificates.
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
TCR subscribers have free access to our on-line news archive.
Point your Web browser to http://TCRresources.bankrupt.com/and use
the e-mail address to which your TCR is delivered to login.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman,
Editors.
Copyright 2019. All rights reserved. ISSN: 1520-9474.
This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers. Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.
The TCR subscription rate is $975 for 6 months delivered via
e-mail. Additional e-mail subscriptions for members of the same
firm for the term of the initial subscription or balance thereof
are $25 each. For subscription information, contact Peter A.
Chapman at 215-945-7000.
*** End of Transmission ***