/raid1/www/Hosts/bankrupt/TCR_Public/210314.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, March 14, 2021, Vol. 25, No. 72
Headlines
ALEN 2021-ACEN: S&P Assigns Prelim B- (sf) Rating on Class F Certs
ANTARES CLO 2017-1: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
BANC OF AMERICA 2007-4: Fitch Affirms D Rating on 9 Tranches
BATTALION CLO X: S&P Assigns Prelim BB- (sf) Rating on D-R2 Notes
BENCHMARK 2018-B3: Fitch Affirms B- Rating on H-RR Certs
BENEFIT STREET II: S&P Affirms B- (sf) Rating on Class D-R Notes
BENEFIT STREET X: S&P Assigns BB- (sf) Rating on Class D-R Notes
BLUEMOUNTAIN CLO XXVIII: S&P Assigns BB- (sf) Rating on E Notes
CARLYLE US 2017-3: S&P Affirms B+ (sf) Rating on Class D Notes
CARVANA AUTO 2021-P1: S&P Assigns Prelim BB(sf) Rating on N Notes
CASCADE MH 2021-MH1: Fitch Assigns B- Rating on B-2 Notes
CIFC FUNDING 2021-I: S&P Assigns BB- (sf) Rating on Class E Notes
CIM TRUST 2021-J1: Fitch Assigns Final 'B' Rating on B-5 Certs
CIM TRUST 2021-JI: Moody's Assigns B1 Rating on Class B-5 Certs
COMM 2014-CCRE17: Fitch Lowers Ratings on 2 Debt Classes to 'CCC'
CONN'S RECEIVABLES 2019-A: Fitch Affirms B Rating on Class C Notes
FREDDIE MAC 2021-DNA2: S&P Assigns BB- (sf) Rating on B-1B Notes
GOLDENTREE LOAN 9: S&P Assigns B- (sf) Rating on Class F Notes
HALCYON LOAN 2013-2: Moody's Cuts Rating on Class D Notes to B1
LCM XXIV: Moody's Hikes $24MM Class E Notes Rating to Ba3
MORGAN STANLEY 2006-IQ12: Fitch Affirms D Rating on 13 Tranches
MORGAN STANLEY 2012-C6: Moody's Cuts Class H Debt to Caa3
MORGAN STANLEY 2014-C15: Fitch Affirms BB- Rating on Cl. F Debt
NEUBERGER BERMAN 30: S&P Assigns BB- (sf) Rating on Class E-R Notes
NEUBERGER BERMAN 32: S&P Rates Class E-R Notes BB- (sf)
NEW RESIDENTIAL 2021-NQM1R: Fitch Gives Final B Rating on B-2 Debt
OFSI BSL VIII: S&P Affirms B+ (sf) Rating on Class E Notes
OHA CREDIT VII: S&P Assigns 'BB- (sf)' Rating on Class E-R3 Notes
PALMER SQUARE 2021-1: Moody's Gives (P)B3 Rating on Class E Notes
SIERRA TIMESHARE 2021-1: Fitch to Give 'BB(EXP)' on Class D Notes
SIERRA TIMESHARE 2021-1: S&P Assigns Prelim 'BB' Rating on D Notes
SIXTH STREET XVII: S&P Assigns BB- (sf) Rating on Class E Notes
TCI-FLATIRON 2018-1: Moody's Gives Ba3 Rating on Class E-R Notes
TOWD POINT 2020-MH1: Fitch Affirms B Rating on 5 Debt Classes
TRIMARAN CAVU 2021-1: S&P Assigns BB- (sf) Rating on Class E Notes
WELLFLEET CLO 2021-1: S&P Assigns Prelim BB- (sf) Rating E Notes
WELLS FARGO 2021-1: S&P Affirms 'B (sf)' Rating on B-5 Certs
WESTLAKE AUTOMOBILE 2021-1: S&P Assigns Prelim B Rating on F Notes
[*] Moody's Lowers Ratings on $788MM U.S. CMBS Issued 2019-2020
[*] Moody's Ups 27 Tranches Issued by 13 Auto Loan Securitizations
[*] S&P Completes Review on 45 Classes From 17 US RMBS Deals
[*] S&P Lowers Ratings on Four Classes From Three U.S. CMBS Deals
[*] S&P Takes Various Actions on 38 Classes From 8 US RMBS Deals
*********
ALEN 2021-ACEN: S&P Assigns Prelim B- (sf) Rating on Class F Certs
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S&P Global Ratings assigned its preliminary ratings to ALEN
2021-ACEN Mortgage Trust's commercial mortgage pass-through
certificates series 2021-ACEN.
The certificate issuance is a CMBS transaction backed by the
borrower's fee interest in One Allen Center and Three Allen Center,
two Houston-based class A office towers totaling 2,159,589 sq. ft.,
an adjacent six-story parking garage and the Downtown Club at the
Met, a 154,743 sq. ft. health club located on the top level of the
garage.
The preliminary ratings are based on information as of March 9,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P Global Ratings' view of the
collateral's historic and projected performance, the sponsor's and
manager's experience, the trustee-provided liquidity, the loan
terms, and the transaction structure. S&P determined that the
mortgage loan has a beginning and ending loan-to-value ratio of
104.3%, based on S&P Global Ratings' value.
S&P Global Ratings believes there remains high, albeit moderating,
uncertainty about the evolution of the coronavirus pandemic and its
economic effects. Vaccine production is ramping up and rollouts are
gathering pace around the world. Widespread immunization, which
will help pave the way for a return to more normal levels of social
and economic activity, looks to be achievable by most developed
economies by the end of the third quarter. However, some emerging
markets may only be able to achieve widespread immunization by
year-end or later. S&P said, "We use these assumptions about
vaccine timing in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, we will
update our assumptions and estimates accordingly."
Preliminary Ratings Assigned(i)
ALEN 2021-ACEN Mortgage Trust
Class A, $202,800,000: AAA (sf)
Class B, $45,100,000: AA- (sf)
Class C, $33,800,000: A- (sf)
Class D, $41,500,000: BBB- (sf)
Class E, $56,300,000: BB- (sf)
Class F, $48,000,000: B- (sf)
Class G, $19,000,000: Not rated
Class HRR(ii), $23,500,000: Not rated
(i)The issuer will issue the certificates to qualified
institutional buyers in line with Rule 144A of the Securities Act
of 1933.
(ii)Eligible Horizontal residual interest.
ANTARES CLO 2017-1: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
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S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-R, and E-R replacement notes from Antares CLO
2017-1 Ltd./Antares CLO 2017-1 LLC, a CLO originally issued in May
2017 that is managed by Antares Capital Advisers LLC. The
replacement notes will be issued via a proposed supplemental
indenture.
The preliminary ratings reflect S&P's opinion that the credit
support available is commensurate with the associated rating
levels. The replacement class A-R, B-R, C-R, and D-R notes are
expected to be issued at a lower spread than the original notes.
The replacement class E-R notes are expected to be issued at a
higher spread than the original notes.
The preliminary ratings are based on information as of March 5,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the March 18, 2021, refinancing date, the proceeds from the
issuance of the replacement notes are expected to redeem the
original notes. S&P said, "At that time, we anticipate withdrawing
the ratings on the original notes and assigning ratings to the
replacement notes. However, if the refinancing doesn't occur, we
may affirm the ratings on the original notes and withdraw our
preliminary ratings on the replacement notes."
The replacement notes are being issued via a proposed supplemental
indenture. According to the proposed supplemental indenture:
-- The stated maturity, reinvestment period, and non-call period
will be extended approximately six, four, and four years,
respectively.
-- Of the underlying collateral obligations, 99.52% have credit
ratings assigned by S&P Global Ratings.
-- Of the underlying collateral obligations, 28.23% have recovery
ratings assigned by S&P Global Ratings.
Preliminary Ratings Assigned
Antares CLO 2017-1 Ltd./Antares CLO 2017-1 LLC
Class A-R, $1,323.40 million: AAA (sf)
Class B-R, $264.70 million: AA (sf)
Class C-R (deferrable), $168.00 million: A (sf)
Class D-R (deferrable), $135.80 million: BBB- (sf)
Class E-R (deferrable), $145.00 million: BB- (sf)
Subordinated notes, $255.41 million: Not rated
BANC OF AMERICA 2007-4: Fitch Affirms D Rating on 9 Tranches
------------------------------------------------------------
Fitch Ratings upgrades one class and affirms nine classes of Banc
of America Commercial Mortgage Trust (BACM) commercial mortgage
pass-through certificates series 2007-4.
DEBT RATING PRIOR
---- ------ -----
Banc of America Commercial Mortgage Trust 2007-4
G 059513AW1 LT BBsf Upgrade Bsf
H 059513AY7 LT Dsf Affirmed Dsf
J 059513BA8 LT Dsf Affirmed Dsf
K 059513BC4 LT Dsf Affirmed Dsf
L 059513BE0 LT Dsf Affirmed Dsf
M 059513BG5 LT Dsf Affirmed Dsf
N 059513BJ9 LT Dsf Affirmed Dsf
O 059513BL4 LT Dsf Affirmed Dsf
P 059513BN0 LT Dsf Affirmed Dsf
Q 059513BQ3 LT Dsf Affirmed Dsf
KEY RATING DRIVERS
Stable Loss Expectations: The upgrade is due to increasing credit
enhancement and stable to improved performance of the largest loan.
The loan was previously a Fitch Loan of Concern due to the single
tenant's lease expiring near the loan's maturity in 2022.
The largest loan, FedEx Portland (62% of the pool), is secured by a
warehouse/distribution in Portland, Oregon, consisting of two
single-story buildings having 113,666 sf, constructed in 2007. The
loan is a balloon loan and has an expected maturity date in April
2022. The single-tenant lease ends in June 2022; however, FedEx
Freight Inc. has exercised its first renewal option to extend the
lease for a period of five years commencing on July 1, 2022 through
June 2027. The balloon balance equates to $136 per square foot.
The other remaining non-defeased loan, Walgreen's Center (36.0% of
the pool), is secured by a 30,333-sf retail center that was built
in 2007 and located in Brentwood, CA. The largest tenant,
Walgreen's occupies 14,735 sf or 49% of GLA, has a lease that
expires on July 2032. The loan is a balloon loan and is expected to
mature in September 2022.
Concentrated Pool/ Coronavirus Exposure: The pool is highly
concentrated with only three of 143 loans remaining, inclusive of
one fully defeased loan (2% of the pool).
Due to the concentrated nature of the pool, Fitch performed a
sensitivity analysis according to the perceived likelihood of
repayment including additional stresses to the loans. The ratings
reflect this sensitivity analysis.
Increased Credit Enhancement; Upcoming Maturities: Of the remaining
three loans, the defeased loan (2.0% of the pool) matures in April
2022 and the two balloon loans (98% of the pool) mature in April
and September 2022. Since the previous rating action, the pool's
balance has decreased by approximately $1.2 million, from $26.8
million to $25.6 and the transaction has paid down 98.9% since
issuance. Interest shortfalls are currently affecting classes H
through N and S.
RATING SENSITIVITIES
The Rating Outlook on class G remains Stable due to high credit
enhancement and continued deleveraging of the pool.
Factor that could, individually or collectively, lead to positive
rating action/upgrade:
-- Further upgrades to class G are unlikely due to the
concentrated nature of the pool and high leverage of the
largest loan.
Factor that could, individually or collectively, lead to negative
rating action/downgrade:
-- Downgrades are not likely, class G could withstand a 50% loss
to both performing loans.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
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.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
BATTALION CLO X: S&P Assigns Prelim BB- (sf) Rating on D-R2 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R2, A-2-R2, B-R2, C-R2, and D-R2 replacement notes from
Battalion CLO X Ltd./Battalion CLO X LLC, a collateralized loan
obligation (CLO) originally issued in December 2016 that is managed
by Brigade Capital Management LP. The floating-rate replacement
notes will be issued via a proposed supplemental indenture. On the
March 10, 2021, refinancing date, the proceeds from the issuance of
the replacement notes are expected to redeem the original notes.
The note issuance is a CLO securitization backed by primarily
broadly syndicated speculative-grade (rated 'BB+' or lower) senior
secured term loans that are governed by collateral quality tests.
The preliminary ratings are based on information as of March 8,
2021. 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 diversification of the collateral pool, which consists
primarily of broadly syndicated speculative-grade (rated 'BB+' or
lower) senior secured term loans that are governed by collateral
quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Battalion CLO X Ltd./Battalion CLO X LLC
Class A-1-R2, $256.41 million: AAA (sf)
Class A-2-R2, $52.91 million: AA (sf)
Class B-R2 (deferrable), $24.42 million: A (sf)
Class C-R2 (deferrable), $24.42 million: BBB (sf)
Class D-R2 (deferrable), $14.25 million: BB- (sf)
Subordinated notes, $36.10 million: not rated
BENCHMARK 2018-B3: Fitch Affirms B- Rating on H-RR Certs
--------------------------------------------------------
Fitch Ratings has affirmed 17 classes of Benchmark 2018-B3 Mortgage
Trust commercial mortgage pass-through certificates.
DEBT RATING PRIOR
---- ------ -----
BENCHMARK 2018-B3
A-1 08161BAU7 LT AAAsf Affirmed AAAsf
A-2 08161BAV5 LT AAAsf Affirmed AAAsf
A-3 08161BAW3 LT AAAsf Affirmed AAAsf
A-4 08161BAX1 LT AAAsf Affirmed AAAsf
A-5 08161BAY9 LT AAAsf Affirmed AAAsf
A-AB 08161BAZ6 LT AAAsf Affirmed AAAsf
A-S 08161BBA0 LT AAAsf Affirmed AAAsf
B 08161BBB8 LT AA-sf Affirmed AA-sf
C 08161BBC6 LT A-sf Affirmed A-sf
D 08161BAA1 LT BBB-sf Affirmed BBB-sf
E-RR 08161BAC7 LT BBB-sf Affirmed BBB-sf
F-RR 08161BAE3 LT BB+sf Affirmed BB+sf
G-RR 08161BAG8 LT BB-sf Affirmed BB-sf
H-RR 08161BAJ2 LT B-sf Affirmed B-sf
X-A 08161BBD4 LT AAAsf Affirmed AAAsf
X-B 08161BBE2 LT AA-sf Affirmed AA-sf
X-D 08161BAN3 LT BBB-sf Affirmed BBB-sf
Classes X-A, X-B, and X-D are interest only.
KEY RATING DRIVERS
Increased Loss Expectations: While the majority of the pool
continues to exhibit overall stable performance, overall loss
expectations on the pool have increased primarily due to the
increasing number of Fitch Loans of Concern (FLOCs). Fitch's
current ratings incorporate a base case loss of 5.2%. The Negative
Outlooks on classes E-RR through H-RR reflect losses that could
reach 7.2% when factoring in additional stresses related to the
coronavirus pandemic.
Fitch has designated ten loans (28.1% of pool) as Fitch Loans of
Concern (FLOCs), including two specially serviced loans (3%).
Largest Contributors to Loss: The largest contributor to loss is
the Residence Inn Pasadena loan (4.2% of the pool), which is
secured by a 144-key extended stay hotel located in Pasadena, CA,
less than a mile from the Rose Bowl. The property was constructed
in 2016 and caters to leisure and business travelers. Property
performance at this FLOC has been affected by the ongoing pandemic;
according to the servicer, a cash trap was triggered in mid-2020
due to a decline in cash flow. Per the September 2020 TTM STR
report, occupancy, ADR, and RevPAR were 68.7%, $180, and $123,
respectively, compared to 88.8%, $209 and $185 at issuance (YE
2017). Further, TTM Sept 2020 RevPAR was down 27.8% yoy. Fitch
applied a 26% haircut to YE 2019 cash flow in its analysis to
account for the impact of the coronavirus pandemic on property cash
flow.
The second largest contributor to loss is the Rochester Hotel
Portfolio loan (3.7%), which is secured by a portfolio of four full
service, select service and extended stay hotels located in
Rochester, MN. The four hotels, totaling 1,222 keys, all have
direct access to the Mayo Clinic via a series of underground
pedestrian walkways and are the only hotels connected to the
clinic. The loan exited its interest only period in December 2020.
Portfolio performance of this FLOC has been affected by the ongoing
pandemic. As of TTM June 2020, the servicer reported portfolio NOI
DSCR had declined to 1.74x from 2.12x at YE 2019 and 2.47x at YE
2018. Further, per TTM August 2020 STR reports, the average
portfolio RevPAR was $54 compared to $89 at issuance (TTM October
2017). Fitch applied a 26% haircut to YE 2019 cash flow in its
analysis to account for the impact of the coronavirus pandemic on
portfolio performance.
The next largest contributor to loss is the 599 Broadway loan
(3.2%), which is secured by a 42,000-sf mixed-use property located
in the SoHo submarket of New York City. The collateral consists of
a four-story retail and office condominium within a larger 12-story
building. As of the August 2020 rent roll, the property remained
100% NNN master leased to Jeff Sutton through February 2057 at a
below market rent. The property is sub-leased at closer to market
rents to American Eagle Outfitters (first, second and below ground
levels) and Wella Corporation (third floor), a German hair care
company. The interest only loan has exhibited relatively stable
performance since issuance with a servicer reported YE 2019 NOI
DSCR of 1.71x compared with 1.75x at YE 2018. Due to concerns over
the possible impact of the ongoing coronavirus pandemic on the
property, Fitch applied a 20% NOI haircut to the YE 2019 cash flow
in its analysis.
Minimal Change in Credit Enhancement: As of the February 2021
distribution date, the pool's aggregate principal balance paid down
by 1.3% to $1.08 billion from $1.09 billion at issuance. The
transaction is expected to pay down by only 7.6%, based on
scheduled loan maturity balances. 14 loans (46.5% of pool) are
full-term interest-only while eight loans (12.8%) remain in their
partial interest-only periods. Only one loan is defeased (0.4%).
The majority of the pool matures in 2028 (71.7%); however, 4% of
the pool matures in 2022 with 10.6% in 2023, 5.6% in 2024, 0.7% in
2025, and 7.4% in 2027.
Coronavirus Impact: Significant economic impact to certain hotels,
retail, and multifamily properties, is expected due to the pandemic
and the lack of clarity at this time on the potential length of the
impact. Loans secured by hotels comprise an above average 19.9% of
the pool while retail and multifamily are at 23.3% (including
mixed-use with substantial retail component) and 7.2% of the pool,
respectively. Fitch applied additional coronavirus-related stresses
to five retail loans (11.2%), all seven hotel loans, and one
multifamily loan that is secured by a student housing property
(1%); these additional stresses contributed to the Negative Rating
Outlooks on classes E-RR through H-RR.
ADDITIONAL CONSIDERATIONS
High Hotel Exposure: Loans secured by hotel properties represent
19.9% of the pool, including four of the top 10 loans. The largest
property type concentration is office at 36.1%.
Pari Passu Loans: Fourteen loans (49.9% of the pool), including 10
loans in the top 15, have pari passu loan pieces contributed to
other transactions.
RATING SENSITIVITIES
The Negative Outlook on classes E-RR through H-RR reflect the
potential for downgrade due to concerns surrounding the ultimate
impact of the coronavirus pandemic and possible losses from the
FLOCs.
Factors that could, individually or collectively, lead to a
positive rating action/upgrade:
-- Sensitivity factors that could lead to upgrades would include
stable to improved asset performance, particularly on the
FLOCs, coupled with additional paydown and/or defeasance.
Upgrades to classes B and C may occur with significant
improvement in CE and/or defeasance and with the stabilization
of performance on the FLOCs and/or the properties affected by
the coronavirus pandemic; however, adverse selection and
increased concentrations could cause this trend to reverse.
-- Upgrades to classes D and E-RR would also consider these
factors, but would be limited based on sensitivity to
concentrations or the potential for future concentration.
Classes would not be upgraded above 'Asf' if interest
shortfalls are likely. Upgrades to classes F-RR through H-RR
are not likely until the later years in the transaction and
only if the performance of the remaining pool is stable and/or
properties vulnerable to the coronavirus return to pre
pandemic levels, and there is sufficient CE.
Factors that could, individually or collectively, lead to a
negative rating action/downgrade:
-- Sensitivity factors that could lead to downgrades include an
increase in pool-level losses from underperforming or
specially serviced loans/assets. Downgrades to classes A-1
through B are not likely due to the position in the capital
structure, but may occur should interest shortfalls affect
these classes or with a significant deterioration in pool
performance.
-- Downgrades to classes C through E-RR are possible
should expected losses for the pool increase significantly.
Downgrades to classes F -RR through H-RR would occur if
performance of the FLOCs, or loans susceptible to the
coronavirus pandemic, do not stabilize and/or additional loans
default and/or transfer to special servicing.
In addition to its baseline scenario related to the coronavirus,
Fitch also envisions a downside scenario where the health crisis is
prolonged beyond 2021; should this scenario play out, Fitch expects
additional negative rating actions, including downgrades and/or
additional Negative Outlook revisions.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
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.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
BENEFIT STREET II: S&P Affirms B- (sf) Rating on Class D-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class X-R2, A-1-R2,
A-2-R2, and B-R2 replacement notes from Benefit Street Partners CLO
II Ltd., a CLO originally issued in 2013 and subsequently reset in
2017 that is managed by Benefit Street Partners LLC. S&P withdrew
its ratings on the original class X, A-1-R, A-2-R, and B-R notes
following payment in full on the March 8, 2021, refinancing date.
At the same time, S&P affirmed its ratings on the original class
C-R and D-R notes which were not a part of the refinancing.
S&P said, "On the March 8, 2021, refinancing date, the proceeds
from the class X-R2, A-1-R2, A-2-R2, and B-R2 replacement note
issuances were used to redeem the original class X, A-1-R, A-2-R,
and B-R notes as outlined in the transaction document provisions.
Therefore, we withdrew our ratings on the original notes in line
with their full redemption, and we are assigning ratings to the
replacement notes."
The replacement notes are being issued via a supplemental
indenture, which outlines the terms of the replacement notes.
REPLACEMENT AND ORIGINAL NOTE ISSUANCES
Replacement Notes
Class Amount (mil. $) Interest rate (%)
X-R2 0.625 Benchmark + 0.65
A-1-R2 307.336 Benchmark + 0.87
A-2-R2 61.900 Benchmark + 1.45
B-R2 40.000 Benchmark + 1.90
Original Notes
Class Amount (mil. $) Interest rate (%)
X 0.625 LIBOR + 1.70
A-1-R 307.336 LIBOR + 1.25
A-2-R 61.900 LIBOR + 1.75
B-R 40.000 LIBOR + 2.55
The assigned and affirmed ratings reflect our opinion that the
credit support available is commensurate with the associated rating
levels.
On a standalone basis, the results of the cash flow analysis
indicated a lower rating on the class D-R notes (which are not
refinancing) than the rating action reflects. S&P said, "However,
we affirmed the rating at B- (sf) on class D-R notes after
considering the margin of failure, the relatively stable O/C ratio
since the transaction's last rating action, and that the
transaction will soon enter its amortization phase. Based on the
latter, we expect the credit support available to all rated classes
to increase as principal is collected and paydowns to the senior
notes occur. Additionally, the rating committee believed that the
payment of principal or interest when due is not dependent upon
favorable business, financial, or economic conditions thus this
class does not fit our definition of 'CCC' risk in accordance with
our guidance criteria."
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches. In our view, the results of
the cash flow analysis, and other qualitative factors as
applicable, demonstrated that all of the rated outstanding classes
have adequate credit enhancement available at the rating levels
associated with these rating actions."
S&P Global Ratings believes there remains high, albeit moderating,
uncertainty about the evolution of the coronavirus pandemic and its
economic effects. Vaccine production is ramping up and rollouts are
gathering pace around the world. Widespread immunization, which
will help pave the way for a return to more normal levels of social
and economic activity, looks to be achievable by most developed
economies by the end of the third quarter. However, some emerging
markets may only be able to achieve widespread immunization by
year-end or later. S&P said, "We use these assumptions about
vaccine timing in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, we will
update our assumptions and estimates accordingly."
S&P said, "We will continue to review whether, in our view, the
ratings assigned to the notes remain consistent with the credit
enhancement available to support them, and we will take further
rating actions as we deem necessary."
RATINGS ASSIGNED
Benefit Street Partners CLO II Ltd.
Replacement class Rating Amount (mil. $)
X-R2 AAA (sf) 0.625
A-1-R2 AAA (sf) 307.336
A-2-R2 AA (sf) 61.900
B-R2 A (sf) 40.000
RATINGS AFFIRMED
Benefit Street Partners CLO II Ltd.
Class Rating
C-R BB+ (sf)
D-R B- (sf)
RATINGS WITHDRAWN
Benefit Street Partners CLO II Ltd.
Rating
Original class To From
X NR AAA (sf)
A-1-R NR AAA (sf)
A-2-R NR AA (sf)
B-R NR A (sf)
NR--Not rated.
BENEFIT STREET X: S&P Assigns BB- (sf) Rating on Class D-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-RR,
A-2A-RR, A-2B-RR, B-RR, C-RR, and D-RR replacement notes and new
class X floating-rate notes from Benefit Street Partners CLO X
Ltd./Benefit Street Partners CLO X LLC, a CLO originally issued in
August 2019 that is managed by Benefit Street Partners LLC. The
replacement notes were issued via a supplemental indenture.
The ratings reflect S&P's opinion that the credit support available
is commensurate with the associated rating levels. The replacement
class B-RR notes were issued at a lower spread than the original
notes, while the replacement class A-1-RR, A-2A-RR, and D-RR notes
were issued at a higher spread than the original notes.
On March 4, 2021, refinancing date, the proceeds from the issuance
of the replacement notes were used to redeem the original notes.
SS&P withdrew the ratings on the original notes and assigned
ratings to the replacement notes.
Based on provisions in the supplemental indenture:
-- The stated maturity and reinvestment period was extended by
five years.
-- There is a two-year non-call period.
-- Of the underlying collateral obligations, 100.00% have credit
ratings assigned by S&P Global Ratings.
-- Of the underlying collateral obligations, 95.68% have recovery
ratings assigned by S&P Global Ratings.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and it will take further rating actions
as we deem necessary.
Ratings Assigned
Benefit Street Partners CLO X Ltd./Benefit Street Partners CLO X
LLC
Class X, $5.00 million: AAA (sf)
Class A-1-RR, $305.00 million: AAA (sf)
Class A-2A-RR, $55.00 million: AA (sf)
Class A-2B-RR, $20.00 million: AA (sf)
Class B-RR (deferrable), $30.00 million: A (sf)
Class C-RR (deferrable), $30.00 million: BBB- (sf)
Class D-RR (deferrable), $16.25 million: BB- (sf)
Subordinated notes, $61.90 million: Not rated
Ratings Withdrawn
Benefit Street Partners CLO X Ltd./Benefit Street Partners CLO X
LLC
Class A-1-R: to not rated from AAA (sf)
Class A-2A-R: to not rated from AA (sf)
Class A-2B-R: to not rated from AA (sf)
Class B-R: to not rated from A (sf)
Class C-R: to not rated from BBB- (sf)
Class D-R: to not rated from BB- (sf)
BLUEMOUNTAIN CLO XXVIII: S&P Assigns BB- (sf) Rating on E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to BlueMountain CLO XXVIII
Ltd./BlueMountain CLO XXVIII LLC's floating-rate notes.
The note issuance is a CLO 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 diversification of the collateral pool;
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;
-- The experience of the collateral management team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
BlueMountain CLO XXVIII Ltd./BlueMountain CLO XXVIII LLC
Class A, $244.0 million: AAA (sf)
Class B, $60.0 million: AA (sf)
Class C (deferrable), $24.0 million: A (sf)
Class D (deferrable), $24.0 million: BBB- (sf)
Class E (deferrable), $13.0 million: BB- (sf)
Subordinated notes, $41.0 million: Not rated
CARLYLE US 2017-3: S&P Affirms B+ (sf) Rating on Class D Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1aR, A-2bR,
A-2R, and BR replacement notes from Carlyle US CLO 2017-3
Ltd./Carlyle US CLO 2017-3 LLC, a CLO originally issued in 2017
that is managed by Carlyle CLO Management LLC. S&P withdrew its
ratings on the class A-1a, A-2, and B notes following payment in
full on the March 9, 2021, refinancing date. At the same time, S&P
affirmed its ratings on the class C and D notes. S&P is not taking
any action on the combination note at this time.
On the March 9, 2021, refinancing date, the proceeds from the class
A-1aR, A-1bR, A-2R, and BR replacement note issuances were used to
redeem the class A-1a, A-1b, A-2, and B notes, as outlined in the
transaction document provisions. S&P said, "Therefore, we withdrew
our ratings on the original notes in line with their full
redemption (we did not rate the original class A-1b notes) and
assigned our ratings to the replacement notes. We also affirmed our
rating on the class C and D notes, which were unaffected by the
amendment. The replacement notes are being issued via a
supplemental indenture."
The transaction also has a combination note that is made up of $8
million class B notes (that are getting refinanced) and $2 million
of equity. The outstanding balance of this combination note before
this refinance is $7.96 million. S&P said, "We are not taking any
action on this note because we expect its balance to go to zero
following the refinance and/or paydown of the class B notes, and
that we will withdraw our rating on these notes once we receive
confirmation of this."
S&P said, "In line with our criteria, our cash flow scenarios
applied forward-looking assumptions on the expected timing and
pattern of defaults, and recoveries upon default, under various
interest rate and macroeconomic scenarios. In addition, our
analysis considered the transaction's ability to pay timely
interest or ultimate principal, or qualitative factors, to each of
the rated tranches.
"The assigned ratings reflect our view that the credit support
available is commensurate with the associated rating levels.
"We will continue to review whether, in our view, the ratings on
the notes remain consistent with the credit enhancement available
to support them, and we will take rating actions as we deem
necessary."
Ratings Assigned
Carlyle US CLO 2017-3 Ltd./ Carlyle US CLO 2017-3 LLC
Replacement class A-1aR, $357.28 million: AAA (sf)
Replacement class A-1bR, $33.00 million: AAA (sf)
Replacement class A-2R, $63.00 million: AA (sf)
Replacement class BR, $37.00 million: A (sf)
Ratings Withdrawn
Carlyle US CLO 2017-3 Ltd./ Carlyle US CLO 2017-3 LLC
Class A-1a: to NR from 'AAA (sf)'
Class A-2: to NR from 'AA (sf)'
Class B: to NR from 'A (sf)'
Ratings Affirmed
Carlyle US CLO 2017-3 Ltd./ Carlyle US CLO 2017-3 LLC
Class C: BBB- (sf)
Class D: B+ (sf)
Other Notes
Carlyle US CLO 2017-3 Ltd./ Carlyle US CLO 2017-3 LLC
Combination note: A-p (sf)
NR--Not rated.
CARVANA AUTO 2021-P1: S&P Assigns Prelim BB(sf) Rating on N Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Carvana Auto
Receivables Trust 2021-P1's asset-backed notes series 2021-P1.
The note issuance is an ABS securitization backed by prime auto
loan receivables.
The preliminary ratings are based on information as of March 5,
2021. 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 following:
-- The availability of approximately 17.2%, 14.4%, 11.3%, 8.9%,
and 7.0% credit support for the class A, B, C, D, and N notes,
respectively, based on stressed break-even cash flow scenarios
(including excess spread). These credit support levels provide
approximately 4.78x, 4.00x, 3.14x, 2.48x, and 1.93x coverage of our
expected net loss range of 3.35%-3.85% for the class A, B, C, D,
and N notes, respectively.
-- 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.
-- The expectation that under a moderate ('BBB') stress scenario
(2.00x S&P's expected loss level), all else being equal, S&P's
ratings will be within the credit stability limits specified by
section A.4 of the Appendix contained in S&P Global Rating
Definitions.
-- The collateral characteristics of the prime pool being
securitized, including a weighted average nonzero FICO score of
approximately 707 and a minimum nonzero FICO score of at least
590.
-- The loss performance of Carvana LLC's origination static pools
and managed portfolio, its deal-level collateral characteristics,
and comparison with its prime auto finance company peers.
-- The transaction's credit enhancement in the form of
subordinated notes; a nonamortizing reserve account;
overcollateralization, which builds to a target level of 1.10% of
the initial receivables balance; and excess spread.
-- The transaction's sequential-pay structure, which builds credit
enhancement (on a percentage-of-receivables basis) as the pool
amortizes.
-- The transaction's payment and legal structures.
S&P Global Ratings believes there remains high, albeit moderating,
uncertainty about the evolution of the coronavirus pandemic and its
economic effects. Vaccine production is ramping up and rollouts are
gathering pace around the world. Widespread immunization, which
will help pave the way for a return to more normal levels of social
and economic activity, looks to be achievable by most developed
economies by the end of the third quarter. However, some emerging
markets may only be able to achieve widespread immunization by
year-end or later. S&P said, "We use these assumptions about
vaccine timing in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, we will
update our assumptions and estimates accordingly."
Preliminary Ratings Assigned
Carvana Auto Receivables Trust 2021-P1
Class A-1, $50.00 million: A-1+ (sf)
Class A-2, $130.00 million: AAA (sf)
Class A-3, $130.00 million: AAA (sf)
Class A-4, $68.00 million: AAA (sf)
Class B, $14.00 million: AA (sf)
Class C, $16.00 million: A (sf)
Class D, $7.00 million: BBB (sf)
Class N(i), 17.00 million: BB (sf)
(i)The class N notes will be paid to the extent funds are available
after the overcollateralization target is achieved. Additionally,
the class N notes will not provide any enhancement to the senior
classes.
CASCADE MH 2021-MH1: Fitch Assigns B- Rating on B-2 Notes
---------------------------------------------------------
Fitch Ratings assigns ratings to the notes issued by Cascade MH
Asset Trust 2021-MH1 (CMHAT 2021-MH1).
DEBT RATING PRIOR
---- ------ -----
Cascade MH Asset Trust 2021-MH1
A-1 LT AAAsf New Rating AAA(EXP)sf
A-2 LT AA-sf New Rating AA-(EXP)sf
M-1 LT A-sf New Rating A-(EXP)sf
M-2 LT BBB-sf New Rating BBB-(EXP)sf
B-1 LT BB-sf New Rating BB-(EXP)sf
B-2 LT B-sf New Rating B-(EXP)sf
B-3 LT NRsf New Rating NR(EXP)sf
TRANSACTION SUMMARY
Fitch Ratings assigns ratings to the notes issued by Cascade MH
Asset Trust 2021-MH1 (CMHAT 2021-MH1). This is Cascade's second
transaction (and first rated transaction) backed by loans secured
by manufactured homes (MH). While this is the third post-crisis MH
transaction rated by Fitch, this is the first rated post-crisis MH
deal consisting of new-origination MH loans. The collateral pool is
backed by 1,889 MH contracts, all of which were current using the
U.S. Department of the Treasury's Office of Thrift Supervision
(OTS) methodology as of the cutoff date. The pool totals $162.8
million.
Distributions of P&I and loss allocations are based on a
traditional senior-subordinate, sequential-pay structure. The
sequential-pay structure locks out principal to the subordinated
notes until the most senior notes outstanding are paid in full. The
servicer will not be advancing delinquent monthly payments of P&I.
KEY RATING DRIVERS
Manufactured Housing Collateral (Negative): The transaction is
backed by 100% new origination MH loans, which are seasoned
approximately 12 months. A total of 72% of the pool is comprised of
loans backed by chattel properties (secured with the structure
only) and the remaining 28% is comprised of land/home MH. MH loans
typically experience higher default rates and lower recoveries than
site-built residential homes. Fitch applied a loan-level loss model
developed specifically for MH loans based on the historical
observations of more than 1 million MH loans originated between
1993 and 2002, with performance tracked through 2018.
Credit Attributes (Mixed): All of the loans in the pool are fixed
rate, and the borrowers in the pool have a weighted average (WAVG)
model FICO of 637. A total of 72% of the MH units are double or
multi-wide, and 98% of the MH units were built within the last four
years. All of the loans are currently current based on the OTS
methodology, and 3.1% of the loans have experienced a delinquency
in the past 24 months.
Geographic Concentration (Negative): Approximately 49% of the pool
is concentrated in Texas. The largest metropolitan statistical area
(MSA) concentration is in the San Antonio, TX MSA (7%), followed by
the Houston, TX MSA (5%) and the Dallas, TX MSA (4%). The top three
MSAs account for 16% of the pool. As a result, there was a 1.09x
probability of default (PD) penalty for geographic concentration.
Sequential Pay Structure (Positive): The transaction's cash flow is
based on a sequential-pay structure. The subordinate classes do not
receive principal until the senior classes are repaid in full.
Losses are allocated in reverse-sequential order. Furthermore, the
provision to reallocate principal to pay interest on the 'AAAsf'
and 'AAsf' rated notes prior to other principal distributions is
highly supportive of timely interest payments to that class in the
absence of servicer advancing. In addition, excess spread will be
used to pay down principal on the notes on each payment date on
which a cumulative-loss trigger event is in effect.
No Servicer P&I Advancing (Positive): The servicer will not be
advancing delinquent monthly payments of P&I. Because P&I advances
made on behalf of loans that become delinquent and eventually
liquidate reduce liquidation proceeds to the trust, the loan-level
loss severities (LS) are less for this transaction than for those
where the servicer is obligated to advance P&I.
Low Operational Risk (Neutral): Operational risk is controlled for
this transaction, and 100% of the collateral consists of MH loans
originated by Southwest Stage funding, LLC dba Cascade Financial
Services (Cascade). Fitch conducted a review of Cascade's
origination platform and found it to have sufficient risk controls;
Cascade is assessed by Fitch as an 'Average' originator by Fitch.
Cascade is also the named servicer for this transaction and holds a
servicer rating of 'RPS3-/Stable' specifically for MH loans. The
issuer is also expected to retain at least 5% of the issued
securities helps to ensure an alignment of interest between issuer
and investor.
Due Diligence Review Results (Neutral): Third-party due diligence
review was performed on a random sample of approximately 34% of the
initial transaction pool, by loan count. The review was conducted
by Digital Risk, LLC (Digital Risk) and Regulatory Solutions, LLC
(Regulatory Solutions), as part of Cascade's internal post-closing
quality control process. Digital Risk reviewed the land home loans
while Regulatory Solutions reviewed the chattel loans. Fitch has
conducted operational reviews for both firms; Digital Risk is
assessed by Fitch as an 'Acceptable - Tier 2' TPR firm and
Regulatory Solutions is assessed as an 'Acceptable - Tier 3' firm.
The results indicate moderate operational risk with approximately
7.8% of reviewed loans receiving a final grade of 'C' or 'D',
primarily due to credit exceptions. However, Fitch did not apply
loan level adjustments based on these results as the majority of
these loans are seasoned past 24 months in which case a credit
review is not applicable. Fitch believes that initial underwriting
guidelines do not play as large of a role in determining future
ability and willingness to repay as the delinquency status and pay
history of the respective borrowers. Loans with material exceptions
had strong pay history to date with minimal delinquencies. See the
due diligence section for additional details.
Representation and Warranty Framework (Negative): Fitch considers
the representation, warranty and enforcement (RW&E) mechanism
construct for this transaction to be generally consistent with a
Tier 2 framework due to the minor loan level rep variances, limited
life of the rep provider and low due diligence percentage performed
on the pool. The seller, as rep provider, will only be obligated to
repurchase a loan due to breaches up to the 36th payment date. A
reserve fund will be available to cover amounts due to noteholders
for loans identified as having material rep breaches if the seller
is unable to cover the amount and after the rep provider sunset.
The RW&E framework for this transaction is more typically seen in
RMBS backed by seasoned collateral - rep provider sunset,
availability of a breach reserve account as well as performance
triggers used to cause a breach review. Fitch considered the
framework sufficient for this transaction given the collateral
profile, loss expectations as well as the substantial amount of
excess spread available even after applying haircut. Fitch
increased its base case loss expectations by roughly 160bp to
account for both the limitations of the RW&E framework as well as
the noninvestment-grade counterparty risk of the provider.
Significant Excess Spread (Positive): The structure has a notable
amount of excess spread due to the difference in coupon on the
collateral and the coupon on the bonds. Because of the significant
amount of excess spread, the deal CE is lower than Fitch's expected
losses. Excess cash flow will be used to pay down principal on the
notes on each payment date on which a cumulative loss trigger event
is in effect, and in the absence of cumulative-loss trigger event,
excess cash flow will be used to pay the notes up to current and
prior period losses.
Furthermore, Fitch applied a conservative WAC deterioration stress
to all loans which increases by rating stress. This stress is meant
to address the possibility that loans could be modified into lower
coupons and therefore result in less excess spread available. Fitch
assumed a linear interpolation WAC deterioration, which starts at
0.00% on day one and increases to a set rate that varies by rating
category, until period 120 (i.e. 120 months).
Deferred Amounts (Negative): Noninterest-bearing principal
forbearance amounts totaling $55,397 (0.03%) of the unpaid
principal balance (UPB) are outstanding on 207 loans. A total of
199 of these loans had deferrals related to the coronavirus
pandemic - all borrowers that were on a coronavirus-related
deferral plan are now current. Fitch did not penalize these loans
for having deferred payments, as all borrowers resumed making
payments and are currently cash-flowing.
Deferred balances were included as a junior lien amount, and
therefore accounted for in the CLTV calculation, since the balances
will be due at loan maturity. The average deferred balance is
approximately $270. The inclusion resulted in a higher PD and LS
than if there were no deferrals.
Aggregate Servicing Fee (Neutral): Fitch views the servicing fee of
100bp as sufficient to service MH loans, and the structure was
tested assuming this fee. Additionally, should a replacement
servicer be needed, the transaction documents allow the indenture
trustee to negotiate a fee with a successor servicer which may
exceed the original stated servicing fee.
RATING SENSITIVITIES
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to better than expected performance or to
additional losses. 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
that may be considered in the surveillance of the transaction.
Factor that could, individually or collectively, lead to positive
rating action/upgrade:
-- The defined stress sensitivity analysis demonstrates that
better than expected performance could lead to rating
upgrades.
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- The defined stress sensitivity analysis demonstrates how the
ratings would react to additional losses. As shown in the
presale report, the analysis indicates some potential of
rating migration with an increase in loss.
-- The defined rating sensitivities determine the increase in
loss that would reduce a rating by one full category, to
noninvestment grade and to 'CCCsf'. The percentage points
shown in the presale report reflect the additional loss that
would have to occur to affect ratings for each defined
sensitivity for this transaction.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Digital Risk and Regulatory Solutions. The review was
bifurcated between land home and chattel loans; Digital Risk
reviewed all land home loans, while Regulatory Solutions reviewed
all chattel loans.
Land home MH loans received a full new origination review scope
that consisted of credit, compliance, property valuation (where
applicable) and data integrity.
Chattel loans received a credit, compliance and data integrity
check but did not receive a valuation review. Chattel properties
are valued solely on the housing unit, which excludes the land they
reside upon. Therefore, appraisals are not performed on chattel
units, which results in a valuation review not being applicable.
Fitch considered this information in its analysis and it did not
have an effect on Fitch's analysis or conclusions.
CIFC FUNDING 2021-I: S&P Assigns BB- (sf) Rating on Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to CIFC Funding 2021-I
Ltd./CIFC Funding 2021-I LLC's floating-rate notes.
The note issuance is a CLO 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 diversification of the collateral pool;
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
CIFC Funding 2021-I Ltd./CIFC Funding 2021-I LLC
Class A-1L, $175.00 million: AAA (sf)
Class A-1, $131.25 million: AAA (sf)
Class B, $73.75 million: AA (sf)
Class C (deferrable), $30.00 million: A (sf)
Class D (deferrable), $30.00 million: BBB- (sf)
Class E (deferrable), $18.75 million: BB- (sf)
Subordinated notes, $47.48 million: Not rated
CIM TRUST 2021-J1: Fitch Assigns Final 'B' Rating on B-5 Certs
--------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed certificates issued by CIM Trust 2021-J1 (CIM
2021-J1).
DEBT RATING PRIOR
---- ------ -----
CIM Trust 2021-J1
A-1 LT AAAsf New Rating AAA(EXP)sf
A-2 LT AAAsf New Rating AAA(EXP)sf
A-3 LT AAAsf New Rating AAA(EXP)sf
A-4 LT AAAsf New Rating AAA(EXP)sf
A-5 LT AAAsf New Rating AAA(EXP)sf
A-6 LT AAAsf New Rating AAA(EXP)sf
A-7 LT AAAsf New Rating AAA(EXP)sf
A-8 LT AAAsf New Rating AAA(EXP)sf
A-9 LT AAAsf New Rating AAA(EXP)sf
A-10 LT AAAsf New Rating AAA(EXP)sf
A-11 LT AAAsf New Rating AAA(EXP)sf
A-12 LT AAAsf New Rating AAA(EXP)sf
A-13 LT AAAsf New Rating AAA(EXP)sf
A-14 LT AAAsf New Rating AAA(EXP)sf
A-15 LT AAAsf New Rating AAA(EXP)sf
A-16 LT AAAsf New Rating AAA(EXP)sf
A-17 LT AAAsf New Rating AAA(EXP)sf
A-18 LT AAAsf New Rating AAA(EXP)sf
A-19 LT AAAsf New Rating AAA(EXP)sf
A-20 LT AAAsf New Rating AAA(EXP)sf
A-21 LT AAAsf New Rating AAA(EXP)sf
A-22 LT AAAsf New Rating AAA(EXP)sf
A-23 LT AAAsf New Rating AAA(EXP)sf
A-24 LT AAAsf New Rating AAA(EXP)sf
A-IO1 LT AAAsf New Rating AAA(EXP)sf
A-IO2 LT AAAsf New Rating AAA(EXP)sf
A-IO3 LT AAAsf New Rating AAA(EXP)sf
A-IO4 LT AAAsf New Rating AAA(EXP)sf
A-IO5 LT AAAsf New Rating AAA(EXP)sf
A-IO6 LT AAAsf New Rating AAA(EXP)sf
A-IO7 LT AAAsf New Rating AAA(EXP)sf
A-IO8 LT AAAsf New Rating AAA(EXP)sf
A-IO9 LT AAAsf New Rating AAA(EXP)sf
A-IO10 LT AAAsf New Rating AAA(EXP)sf
A-IO11 LT AAAsf New Rating AAA(EXP)sf
A-IO12 LT AAAsf New Rating AAA(EXP)sf
A-IO13 LT AAAsf New Rating AAA(EXP)sf
A-IO14 LT AAAsf New Rating AAA(EXP)sf
A-IO15 LT AAAsf New Rating AAA(EXP)sf
A-IO16 LT AAAsf New Rating AAA(EXP)sf
A-IO17 LT AAAsf New Rating AAA(EXP)sf
A-IO18 LT AAAsf New Rating AAA(EXP)sf
A-IO19 LT AAAsf New Rating AAA(EXP)sf
A-IO20 LT AAAsf New Rating AAA(EXP)sf
A-IO21 LT AAAsf New Rating AAA(EXP)sf
A-IO22 LT AAAsf New Rating AAA(EXP)sf
A-IO23 LT AAAsf New Rating AAA(EXP)sf
A-IO24 LT AAAsf New Rating AAA(EXP)sf
A-IO25 LT AAAsf New Rating AAA(EXP)sf
B-1 LT AAsf New Rating AA(EXP)sf
B-IO1 LT AAsf New Rating AA(EXP)sf
B-1A LT AAsf New Rating AA(EXP)sf
B-2 LT Asf New Rating A(EXP)sf
B-IO2 LT Asf New Rating A(EXP)sf
B-2A LT Asf New Rating A(EXP)sf
B-3 LT BBBsf New Rating BBB(EXP)sf
B-4 LT BBsf New Rating BB(EXP)sf
B-5 LT Bsf New Rating B(EXP)sf
B-6 LT NRsf New Rating NR(EXP)sf
A-IO-S LT NRsf New Rating NR(EXP)sf
TRANSACTION SUMMARY
The certificates are supported by 425 fixed-rate mortgages (FRMs)
with a total balance of approximately $404.78 million as of the
cutoff date. The loans were originated by various mortgage
originators, and the seller, Fifth Avenue Trust, acquired the loans
from Bank of America, National Association (BANA). Distributions of
principal and interest (P&I) and loss allocations are based on a
traditional senior-subordinate, shifting-interest structure.
KEY RATING DRIVERS
High-Quality Mortgage Pool (Positive): The pool consists of very
high-quality 30-year fixed-rate fully amortizing safe harbor
qualified mortgage (SHQM) loans to borrowers with strong credit
profiles, relatively low leverage and large liquid reserves. Per
Fitch's calculation methodology, the loans are seasoned an average
of four months. The pool has a weighted average (WA) original FICO
score of 778, which is indicative of very high credit-quality
borrowers. Approximately 87% of the loans have a borrower with a
FICO score above 750. In addition, the original WA combined loan to
value ratio (CLTV) of 62% represents substantial borrower equity in
the property and reduced default risk.
Geographic Concentration (Negative): Approximately 48% of the pool
is concentrated in California. The largest MSA concentration is in
the San Francisco, CA MSA (20%), followed by the Los Angeles, CA
MSA (17%) and the Chicago, IL MSA (9%). The top three MSAs account
for 46% of the pool. As a result, there was a 1.04x PD penalty for
geographic concentration.
Shifting Interest Structure (Mixed): 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.
Full Servicer Advancing (Mixed): The servicer will provide full
advancing for the life of the transaction (the servicer is also
expected to advance delinquent P&I on loans that enter a
coronavirus forbearance plan). Although full P&I advancing will
provide liquidity to the certificates, it will also increase the
loan-level loss severity (LS) since the servicer looks to recoup
P&I advances from liquidation proceeds, which results in less
recoveries. Wells Fargo, as master servicer, will advance if the
servicer fails to do so.
Subordination Floor (Positive): A CE or senior subordination floor
of 1.20% has been considered in order to mitigate potential
tail-end risk and loss exposure for senior tranches as pool size
declines and performance volatility increases, due to adverse loan
selection and small loan count concentration. Also, a junior
subordination floor of 0.85% will be maintained to mitigate tail
risk, which arises as the pool seasons and fewer loans are
outstanding. Additionally, the stepdown tests do not allow
principal prepayments to subordinate bondholders in the first five
years following deal closing.
Extraordinary Expense Treatment (Neutral): The trust provides for
expenses, including indemnification amounts and costs of
arbitration, to be paid by the net weighted average coupon (WAC) of
the loans, which does not affect the contractual interest due on
the certificates. Furthermore, the expenses to be paid from the
trust are capped at $300,000 per annum, which can be carried over
each year, subject to the cap until paid in full.
Payment Forbearance (Neutral): As of Feb. 1, 2021, none of the
borrowers in the pool are on an active coronavirus forbearance
plan. Any borrowers which previously entered into a
coronavirus-related forbearance plan have since been reinstated
(Fitch did not penalize these loans). In the event that after
closing a borrower enters into or requests an active
coronavirus-related forbearance plan, such loan will remain in the
pool, and the Servicer will be required to make advances in respect
of delinquent interest and principal (as well as servicing
advances) on such mortgage loan during the forbearance period (to
the extent such advances are deemed recoverable), and the mortgage
loan will be considered delinquent for all purposes under the
transaction documents.
If the borrower does not resume making payments, the loan will
likely become modified and the advancing party will be reimbursed
from principal collections on the overall pool. This will likely
result in writedowns to the most subordinate class, which will be
written back up as subsequent recoveries are realized. Since there
will be no borrowers on a coronavirus forbearance plan as of the
closing date and forbearance requests have significantly declined,
Fitch did not increase its loss expectation to address the
potential for writedowns due to reimbursement of servicer
advances.
Third-Party Due Diligence Results (Positive): Third-party due
diligence was performed on 100% of the pool by Clayton Services,
Opus CMC and Consolidated Analytics, which are respectively
assessed as Acceptable - Tier 1, Acceptable - Tier 2 and Acceptable
- Tier 3 by Fitch. The due diligence results identified no material
exceptions as 100% of loans were graded "A" or "B". Credit
exceptions were deemed immaterial and supported by compensating
factors, and compliance exceptions were primarily related to the
TRID rule and cured with subsequent documentation. Fitch applied a
credit for loans that received due diligence, which ultimately
reduced the 'AAAsf' loss expectation by 15bps.
Representation and Warranty Framework Adjustment (Negative): The
loan-level representation and warranty (R&W) framework is
consistent with a Tier 1 framework, as it contains the full list of
representations that are outstanding for the life of the mortgage
loans. Despite a strong framework, repurchase obligations are
designated to a separate fund that does not hold an
investment-grade rating. The fund may have issues fulfilling
repurchases in times of economic stress, particularly if the fund
must repurchase on behalf of the underlying originators. Fitch
increased its loss expectations by 12bps at the 'AAAsf' rating
category to account for the non-investment-grade counterparty risk
of the R&W provider.
Low Operational Risk (Negative): Operational risk is well
controlled for in this transaction. Chimera actively purchases
prime jumbo loans and is assessed as an 'Average' aggregator by
Fitch. Loans were primarily originated by Guaranteed Rate, Inc.,
which Fitch has reviewed and assessed as an 'Average' originator.
Shellpoint Mortgage Servicing is the named servicer for the
transaction and is responsible for primary and special servicing
functions. Fitch views Shellpoint as a sound servicer of prime
loans. The company is rated 'RPS2'/Stable. Wells Fargo Bank, N.A.
(RMS1-/Negative) will act as Master Servicer. Overall, Fitch
increased its expected losses at the 'AAAsf rating stress slightly,
by 7bps, to reflect the absence of originator assessments covering
a portion of the transaction coupled with the 'Average' aggregator
assessment.
RATING SENSITIVITIES
Fitch 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
that may be considered in the surveillance of the transaction.
Sensitivity analyses was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool as well as
lower MVDs, illustrated by a gain in home prices.
Factor that could, individually or collectively, lead to negative
rating action/downgrade:
-- This defined negative rating sensitivity analysis demonstrates
how the ratings would react to steeper MVDs at the national
level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
addition to the model-projected 38.8% at 'AAA'. The analysis
indicates that there is some potential rating migration with
higher MVDs for all rated classes, compared with the model
projection. Specifically, a 10% additional decline in home
prices would lower all rated classes by one full category.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- This defined positive rating sensitivity analysis demonstrates
how the ratings would react to negative MVDs at the national
level, or in other words positive home price growth with no
assumed overvaluation. The analysis assumes positive home
price growth of 10%. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is
potential positive rating migration for all of the rated
classes. Specifically, a 10% gain in home prices would result
in a full category upgrade for the rated class excluding those
being assigned ratings of 'AAAsf'.
-- This section provides insight into the model-implied
sensitivities the transaction faces when one assumption is
modified, while holding others equal. The modeling process
uses the modification of these variables to reflect asset
performance in up- and down environments. The results should
only be considered as one potential outcome, as the
transaction is exposed to multiple dynamic risk factors. It
should not be used as an indicator of possible future
performance.
Fitch has added a Coronavirus Sensitivity Analysis that that
includes a prolonged health crisis resulting in depressed consumer
demand and a protracted period of below-trend economic activity
that delays any meaningful recovery to beyond 2021. Under this
severe scenario, Fitch expects the ratings to be affected by
changes in its sustainable home price model due to updates to the
model's underlying economic data inputs. Any long-term impact
arising from coronavirus disruptions on these economic inputs will
likely affect both investment- and speculative-grade ratings.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Consolidated Analytics, Clayton Services and Opus . The
third-party due diligence described in Form 15E focused on credit,
compliance, data integrity and property valuation . Fitch
considered this information in its analysis.
100% of the pool received a final grade of "A" or "B", which
confirms no incidence of material exceptions. Approximately 39% of
the loan pool (by loan count) was assigned a final grade "B", which
is in line with other prime jumbo RMBS reviewed by Fitch. Loans
graded "B" were primarily due to credit exceptions.
Approximately 30% of the pool received credit exceptions that were
considered immaterial as they were supported with significant
compensating factors identified by both the seller and Chimera
during the acquisition process. Additionally, approximately 14% of
the pool was graded "B" for immaterial compliance exceptions
primarily to the TILA-RESPA Integrated Disclosure (TRID) rule that
were corrected by the seller with subsequent and/or post-closing
documentation. Fitch did not apply any loss adjustments.
Fitch applied a credit for loans that received due diligence, which
ultimately reduced the AAAsf loss expectation by 15bps.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
CIM TRUST 2021-JI: Moody's Assigns B1 Rating on Class B-5 Certs
---------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 58
classes of residential mortgage-backed securities (RMBS) issued by
CIM Trust 2021-J1 (CIM 2021-J1). The ratings range from Aaa (sf) to
B1 (sf).
CIM 2021-J1 is a securitization of prime residential mortgages. It
is backed by a pool of 30-year fixed rate, non-conforming
mortgages. This transaction represents the first prime jumbo
issuance by Chimera Investment Corporation (the sponsor) in 2021.
The transaction includes 425 fixed rate, first lien-mortgages with
an unpaid principal balance of $404,775,979. The pool consists of
100% non -conforming mortgage loans. The mortgage loans for this
transaction have been acquired by the affiliate of the sponsor,
Fifth Avenue Trust (the Seller) from Bank of America, National
Association (BANA). BANA acquired the mortgage loans through its
whole loan purchase program from various originators.
Approximately, 87.5% of the loans in the pool are underwritten to
Chimera Investment Corporation's (Chimera) guidelines.
All the loans are designated as qualified mortgages (QM) either
under the QM/Non-HPML or TQM/Non-HPML. Shellpoint Mortgage
Servicing (SMS) will service the loans and Wells Fargo Bank, N.A.
(Aa2, long term debt) will be the master servicer. SMS will be
responsible for advancing principal and interest and servicing
advances, with the master servicer backing up SMS' advancing
obligations if SMS cannot fulfill them.
Three third-party review (TPR) firms verified the accuracy of the
loan level information that Moody's received from the Sponsor.
These firms conducted detailed credit, property valuation, data
accuracy and compliance reviews on 100% of the mortgage loans in
the collateral pool. The TPR results indicate that there are no
material compliance, credit, or data issues and no appraisal
defects.
Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model. Moody's also compared the
collateral pool to other prime jumbo securitizations. In addition,
Moody's adjusted its expected losses based on qualitative
attributes, including the financial strength of the representation
and warranties (R&W) provider and TPR results.
CIM 2021-J1 has a shifting interest structure with a five-year
lockout period that benefits from a senior subordination floor and
a subordinate floor. Moody's coded the cash flow to each of the
certificate classes using Moody's proprietary cash flow tool. In
Moody's analysis of tail risk, Moody's considered the increased
risk from borrowers with more than one mortgage in the pool.
The complete rating actions are as follows:
Issuer: CIM Trust 2021-J1
Cl. A-1, Assigned Aaa (sf)
Cl. A-2, Assigned Aaa (sf)
Cl. A-3, Assigned Aaa (sf)
Cl. A-4, Assigned Aaa (sf)
Cl. A-5, Assigned Aaa (sf)
Cl. A-6, Assigned Aaa (sf)
Cl. A-7, Assigned Aaa (sf)
Cl. A-8, Assigned Aaa (sf)
Cl. A-9, Assigned Aaa (sf)
Cl. A-10, Assigned Aaa (sf)
Cl. A-11, Assigned Aaa (sf)
Cl. A-12, Assigned Aaa (sf)
Cl. A-13, Assigned Aaa (sf)
Cl. A-14, Assigned Aaa (sf)
Cl. A-15, Assigned Aaa (sf)
Cl. A-16, Assigned Aaa (sf)
Cl. A-17, Assigned Aaa (sf)
Cl. A-18, Assigned Aaa (sf)
Cl. A-19, Assigned Aaa (sf)
Cl. A-20, Assigned Aaa (sf)
Cl. A-21, Assigned Aaa (sf)
Cl. A-22, Assigned Aaa (sf)
Cl. A-23, Assigned Aaa (sf)
Cl. A-24, Assigned Aaa (sf)
Cl. A-IO1*, Assigned Aaa (sf)
Cl. A-IO2*, Assigned Aaa (sf)
Cl. A-IO3*, Assigned Aaa (sf)
Cl. A-IO4*, Assigned Aaa (sf)
Cl. A-IO5*, Assigned Aaa (sf)
Cl. A-IO6*, Assigned Aaa (sf)
Cl. A-IO7*, Assigned Aaa (sf)
Cl. A-IO8*, Assigned Aaa (sf)
Cl. A-IO9*, Assigned Aaa (sf)
Cl. A-IO10*, Assigned Aaa (sf)
Cl. A-IO11*, Assigned Aaa (sf)
Cl. A-IO12*, Assigned Aaa (sf)
Cl. A-IO13*, Assigned Aaa (sf)
Cl. A-IO14*, Assigned Aaa (sf)
Cl. A-IO15*, Assigned Aaa (sf)
Cl. A-IO16*, Assigned Aaa (sf)
Cl. A-IO17*, Assigned Aaa (sf)
Cl. A-IO18*, Assigned Aaa (sf)
Cl. A-IO19*, Assigned Aaa (sf)
Cl. A-IO20*, Assigned Aaa (sf)
Cl. A-IO21*, Assigned Aaa (sf)
Cl. A-IO22*, Assigned Aaa (sf)
Cl. A-IO23*, Assigned Aaa (sf)
Cl. A-IO24*, Assigned Aaa (sf)
Cl. A-IO25*, Assigned Aaa (sf)
Cl. B-1, Assigned Aa3 (sf)
Cl. B-IO1*, Assigned Aa3 (sf)
Cl. B-1A, Assigned Aa3 (sf)
Cl. B-2, Assigned A2 (sf)
Cl. B-IO2*, Assigned A2 (sf)
Cl. B-2A, Assigned A2 (sf)
Cl. B-3, Assigned Baa2 (sf)
Cl. B-4, Assigned Ba1 (sf)
Cl. B-5, Assigned B1 (sf)
*Reflects Interest-Only Classes
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected loss for this pool in a baseline scenario is 0.23%
at the mean and 0.11% at the median and reaches 2.56% at a stress
level consistent with Moody's Aaa ratings.
The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Moody's analysis has considered the effect on the performance of
residential mortgage loans from the current weak US economic
activity and a gradual recovery for the coming months. Although an
economic recovery is underway, it is tenuous and its continuation
will be closely tied to containment of the virus. As a result, the
degree of uncertainty around Moody's forecasts is unusually high.
Moody's increased its model-derived median expected losses by 15%
(10.4% for the mean) and its Aaa losses by 5% to reflect the likely
performance deterioration resulting from the slowdown in US
economic activity due to the coronavirus outbreak.
Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.
Moody's base its ratings on the certificates on the credit quality
of the mortgage loans, the structural features of the transaction,
its assessments of the origination quality and servicing
arrangement, the strength of the third-party due diligence and the
R&W framework of the transaction.
Collateral Description
Moody's assessed the collateral pool as of the cut-off date of
February 1, 2021. CIM 2021-J1 is a securitization of 425 mortgage
loans with an aggregate principal balance of $404,775,979. This
transaction consists of fixed-rate fully amortizing loans, which
will not expose the borrowers to any interest rate shock for the
life of the loan or to refinance risk. All the mortgage loans are
secured by first liens on single-family residential properties,
condominiums, townhouses and planned unit developments. The loans
have a weighted average seasoning of approximately 1.6 months.
Overall, the credit quality of the mortgage loans backing this
transaction is better than recently issued prime jumbo
transactions. The WA FICO of the aggregate pool is 783 (786 CIM
Trust 2020-J2 and 772 in CIM Trust 2020-J1) with a WA LTV of 62.2%
(63.7% in CIM Trust 2020-J2 and 66.6% in CIM Trust 2020-J1) and WA
CLTV of 62.4% (63.8% in CIM 2020-J2 and 66.9% in CIM Trust
2020-J1). Approximately 13.5% (by loan balance) of the pool has an
LTV ratio greater than 75% compared to 21.3% in CIM Trust 2020-J2
and to 29.9% in CIM Trust 2020-J1.
Exterior-only appraisals: In response to the COVID-19 national
emergency, many originators/aggregators have temporarily
transitioned to allowing exterior-only appraisals, instead of a
full interior and exterior inspection of the subject property, on
many mortgage transactions. There are 5 loans in the pool, 1.4% by
unpaid principal balance, that do not have a full appraisal that
includes an exterior and an interior inspection of the property.
Instead, these loans have an exterior-only appraisal. Moody's did
not make any adjustments to its losses for such loans primarily
because of strong credit characteristics such as high FICO score,
low LTV and DTI ratios, and significant liquid cash reserves. In
addition, none of these borrowers have any prior history of
delinquency.
Loans with delinquency and forbearance history: Although there are
no loans in the pool that are currently delinquent, there are 3
loans in the pool that have some history of delinquency. Of these 3
delinquent loans, 1 delinquency was COVID-19 related and under a
forbearance plan. The remaining 2 loans were delinquent because of
servicing transfers. Moody's increased Moody's model-derived median
expected losses by 15% (10.4% for the mean) and our Aaa losses by
5% to reflect the likely performance deterioration resulting from
of the slowdown in US economic activity due to the coronavirus
outbreak. Moody's regard the coronavirus outbreak as a social risk
under its ESG framework, given the substantial implications for
public health and safety.
Origination Quality
There are 11 originators in the transaction, some of which may have
limited history of securitizing prime jumbo mortgages. The largest
originators in the pool with more than 10% by balance are
Guaranteed Rate Inc. and Guaranteed Rate Affinity, LLC
(collectively 48.1%), PrimeLending (13.4%) and Wintrust Mortgage
(10.7%). Approximately 87.5% of the mortgage loans by stated
principal balance as of the cut-off date were acquired by BANA from
those mortgage loan originators or sellers through its jumbo whole
loan purchase program. For the rest of the pool, approximately
12.5% of the mortgage loans (by stated principal balance as of the
cut-off date) were acquired by BANA and originated pursuant to the
guidelines of either loanDepot.com, LLC (loanDepot) or Quicken
Loans LLC (Quicken).
Moody's increased its base case and Aaa loss expectations for all
loans underwritten to Chimera's underwriting guidelines, as Moody's
consider such mortgage loans to have been acquired to slightly less
conservative prime jumbo underwriting standards. Additionally,
within those loans acquired by BANA and originated pursuant of
either loanDepot or Quicken guidelines, Moody's increased its loss
assumption for mortgage loans originated by Quicken to account for
the limited performance data of Quicken Loans' prime jumbo
originations. While the performance of such loans was strong and
comparable to that of other originators such as JPMorgan Chase and
Wells Fargo, to date the volume of Quicken Loans' prime jumbo
originations is much lower.
Third Party Review
Three third-party review (TPR) firms, Clayton Services LLC,
Consolidated Analytics, Inc, and Opus Capital Markets Consultants,
LLC, verified the accuracy of the loan level information that the
sponsor gave us. These firms conducted detailed credit, property
valuation, data accuracy and compliance reviews on 100% of the
mortgage loans in the collateral pool. The TPR results indicate
that the majority of reviewed loans were in compliance with
respective originators' underwriting guidelines, no material
compliance or data issues, and no appraisal defects.
For property valuation, of the 425 loans reviewed, the TPR firms
identified all loans as either A or B level grades. All the loans
in the pool have CDAs. There were 8 loans the appraisal of which
was not supported by the desk review (variance between the
appraisal value and the desk review was greater than -10%). A field
review was subsequently ordered, and this valuation came out in
line with the appraisal. Therefore, Moody's did not make any
additional adjustments to our base case and Aaa loss expectations
for TPR.
Reps & Warranties (R&W)
All loans were aggregated by BANA through its whole loan
aggregation program. Each originator will provide comprehensive
loan level reps and warranties for their respective loans. BANA
will assign each originator's R&W to the seller, who will in turn
assign to the depositor, which will assign to the trust. To
mitigate the potential concerns regarding the originators' ability
to meet their respective R&W obligations, the R&W provider will
backstop the R&Ws for all originators' loans. The R&W provider's
obligation to backstop third party R&Ws will terminate five years
after the closing date, subject to certain performance conditions.
The R&W provider will also provide gap reps. Moody's considered the
R&W framework in Moody's analysis and found it to be adequate.
Moody's therefore did not make any adjustments to its losses based
on the strength of the R&W framework.
The R&W framework is adequate in part because the results of the
independent TPRs revealed a high level of compliance with
underwriting guidelines and regulations, as well as overall
adequate appraisal quality. These results give confidence that the
loans do not systemically breach the R&Ws the originators have made
and that the originators are unlikely to face material repurchase
requests in the future. The loan-level R&Ws are strong and, in
general, either meet or exceed the baseline set of credit-neutral
R&Ws Moody's identified for US RMBS. Among other considerations,
the R&Ws address property valuation, underwriting, fraud, data
accuracy, regulatory compliance, the presence of title and hazard
insurance, the absence of material property damage, and the
enforceability of mortgage.
In a continued effort to focus breach reviews on loans that are
more likely to contain origination defects that led to or
contributed to the delinquency of the loan, an additional carve out
has been included in recent transactions Moody's have rated from
other issuers relating to the delinquency review trigger.
Similarly, in this transaction, exceptions exist for certain
excluded disaster mortgage loans that trip the delinquency trigger.
These excluded disaster loans include COVID-19 forbearance loans.
Tail Risk and Subordination Floor
The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to increased performance
volatility, known as tail risk. The transaction provides for a
senior subordination floor of 1.20% of the closing pool balance,
which mitigates tail risk by protecting the senior bonds from
eroding credit enhancement over time. Additionally, there is a
subordination lock-out amount which is 0.85% of the cut-off pool
balance.
Other Considerations
In CIM 2021-J1, the controlling holder has the option to hire at
its own expense the independent reviewer upon the occurrence of a
review event. If there is no controlling holder (no single entity
holds a majority of the Class Principal Amount of the most
subordinate class of certificates outstanding), the trustee shall,
upon receipt of a direction of the certificate holders of more than
25% of the aggregate voting interest of all certificates and upon
receipt of the deposit, appoint an independent reviewer at a cost
to the trust. However, if the controlling holder does not hire the
independent reviewer, the holders of more than 50% of the aggregate
voting interests of all outstanding certificates may direct (at
their expense) the trustee to appoint an independent reviewer. In
this transaction, the controlling holder can be the depositor or a
seller (or an affiliate of these parties). If the controlling
holder is affiliated with the depositor, seller or Sponsor, then
the controlling holder may not be motivated to discover and enforce
R&W breaches for which its affiliate is responsible.
The servicer will not commence foreclosure proceedings on a
mortgage loan unless the servicer has notified the controlling
holder at least five business days in advance of the foreclosure
and the controlling holder has not objected to such action. If the
controlling holder objects, the servicer has to obtain three
appraisals from the appraisal firms as listed in the pooling and
servicing agreement. The cost of the appraisals is borne by the
controlling holder. The controlling holder will be required to
purchase such mortgage loan at a price equal to the highest of the
three appraisals plus accrued and unpaid interest on such mortgage
loan as of the purchase date. If the servicer cannot obtain three
appraisals there are alternate methods for determining the purchase
price. If the controlling holder fails to purchase the mortgage
loan within the time frame, the controlling holder forfeits any
foreclosure rights thereafter. Moody's consider this credit neutral
because a) the appraiser is chosen by the servicer from the
approved list of appraisers, b) the fair value of the property is
decided by the servicer, based on third party appraisals, and c)
the controlling holder will pay the fair price and accrued
interest.
Servicing Arrangement / COVID-19 Impacted Borrowers
In the event a borrower enters into or requests a COVID-19 related
forbearance plan after February 1, 2021, such mortgage loan will
remain in the mortgage pool and the servicer will be required to
make advances in respect of delinquent interest and principal (as
well as servicing advances) on such mortgage loan during the
forbearance period (to the extent such advances are deemed
recoverable). Forbearances are being offered in accordance with
applicable state and federal regulatory guidelines and the
homeowner's individual circumstances. At the end of the forbearance
period, as with any other modification, to the extent the related
borrower is not able to make a lump sum payment of the forborne
amount, the servicer may, subject to the servicing matrix, offer
the borrower a repayment plan, enter into a modification with the
borrower (including a modification to defer the forborne amounts)
or utilize any other loss mitigation option permitted under the
pooling and servicing agreement.
As with any other modification, it is anticipated that the servicer
will reimburse itself at the end of the forbearance period for any
advances made by it with respect to such mortgage loan, whether
that be from any lump sum payments made by the related borrower,
from any increased payments received with respect to any repayment
plan entered into by the borrower, or, if modified and capitalized
in connection therewith, at the time of such modification as a
reimbursement of such capitalized advances from principal
collections on all of the mortgage loans. The servicer also has the
right to reimburse itself for any advance from all collections on
the mortgage loans at any time it deems such advance to be
non-recoverable. With respect to a mortgage loan that was the
subject of a servicing modification, the amount of principal of the
mortgage loan, if any, that has been deferred and that does not
accrue interest will be treated as a realized loss and to the
extent any such amount is later recovered, will result in the
allocation of a subsequent recovery.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
Methodology
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in April 2020.
COMM 2014-CCRE17: Fitch Lowers Ratings on 2 Debt Classes to 'CCC'
-----------------------------------------------------------------
Fitch Ratings had downgraded three and affirmed 10 classes of COMM
2014-CCRE17 Mortgage Trust.
DEBT RATING PRIOR
---- ------ -----
COMM 2014-CCRE17
A-4 12631DBA0 LT AAAsf Affirmed AAAsf
A-5 12631DBB8 LT AAAsf Affirmed AAAsf
A-M 12631DBD4 LT AAAsf Affirmed AAAsf
A-SB 12631DAZ6 LT AAAsf Affirmed AAAsf
B 12631DBE2 LT AA-sf Affirmed AA-sf
C 12631DBG7 LT A-sf Affirmed A-sf
D 12631DAG8 LT BBB-sf Affirmed BBB-sf
E 12631DAJ2 LT B-sf Downgrade BBsf
F 12631DAL7 LT CCCsf Downgrade B-sf
PEZ 12631DBF9 LT A-sf Affirmed A-sf
X-A 12631DBC6 LT AAAsf Affirmed AAAsf
X-B 12631DAA1 LT A-sf Affirmed A-sf
X-C 12631DAC7 LT CCCsf Downgrade B-sf
KEY RATING DRIVERS
Increased Loss Expectations: The downgrade of classes E, F and X-C
reflects increased loss expectations for the pool since Fitch's
prior rating action driven primarily by the third largest loan,
Cottonwood Mall (9.8% of pool). Fitch has designated 13 loans
(32.8%) as Fitch Loans of Concern (FLOC), including four specially
serviced loans (8.3%), three (7.3%) of which are new
coronavirus-related transfers since June 2020.
Fitch's current ratings incorporate a base case loss of 10.10%. The
Negative Outlooks on classes B, C, PEZ, D, E and X-B reflect losses
that could reach 12.30% when factoring additional
coronavirus-related stresses and a potential outsized loss on the
Cottonwood Mall loan.
The largest contributor to overall loss expectations and the
largest increase in loss since the prior rating action is the
Cottonwood Mall loan (9.8%), which is secured by a super-regional
mall located in Albuquerque, NM. Fitch's base case loss on this
loan has increased to 55% from approximately 30% at the prior
rating action. Fitch's loss is based on a 20% cap rate and 20%
total haircut to the YE 2019 NOI, reflecting regional mall
performance concerns, superior market competition, low in-line
tenant sales and significant near-term lease rollover concerns.
The loan was previously transferred to special servicing in June
2020 for imminent default as the sponsor, Washington Prime Group
(WPG), had stated that they would be unable to continue funding
debt service and operating expenses. However, the loan was returned
to the master servicer in September 2020, without any modification
or coronavirus relief granted. WPG is reportedly filing for
bankruptcy protection.
Non-collateral anchors include Dillard's, JCPenney and Conn's Home
Plus, as well as a vacant box formerly occupied by Sears that
closed in fall 2018 and is currently being marketed for sale or
lease. The former non-collateral Macy's anchor box, which closed in
June 2017, was purchased by the sponsor and redeveloped into three
spaces for Mor Furniture for Less (opened October 2019), HomeLife
Furniture (December 2018) and Hobby Lobby (November 2018). The
largest collateral tenant is Regal Cinema (17.4% of collateral NRA
leased through December 2026).
Collateral occupancy improved to 91.8% as of September 2020 from
88.6% in September 2019 and 84.1% in December 2018. The recent
increase in occupancy was from the execution of eight new leases
(5% of collateral NRA) with smaller tenants starting between
September 2019 and September 2020; however, all these new leases
are short-term and expire by December 2021. Upcoming lease rollover
includes 27.1% of the collateral NRA in 2021, 14.2% in 2022 and
13.8% in 2023. Additionally, 5.4% of the collateral NRA represents
tenants with leases that expired in 2020.
For TTM August 2020, in-line sales for tenants occupying less than
10,000 sf were $223 psf, down from $309 psf for TTM November 2019
and $296 psf for TTM August 2018. Regal Cinemas reported estimated
sales of $404,157 per screen as of TTM August 2020, compared with
actual sales of $376,769 per screen as of TTM November 2019 and
$405,296 per screen as of TTM August 2018. Sales reported for the
TTM August 2020 period included estimated figures for many tenants,
as the mall was closed from mid-March through early June 2020 due
to the coronavirus pandemic.
The next largest increase in loss since the prior rating action is
the specially serviced Crowne Plaza Houston River Oaks loan (2.5%),
which is secured by a 354-key hotel property in Houston, TX. The
loan transferred to special servicing in July 2020 for payment
default after the borrower had requested coronavirus relief. Prior
to the pandemic, the loan was already designated a FLOC, as the
hotel has experienced significant cash flow declines since issuance
from lower occupancy and ADR due to softness in the overall Houston
hotel market and the contraction of the oil and gas industry.
Updated 2020 performance information has not been provided. The
hotel reported TTM December 2019 occupancy, ADR and RevPAR of
63.8%, $86 and $55, respectively, compared with 79.2%, $81 and $64
as of YE 2018 and 86.7%, $83 and $72 at YE 2017. According to the
servicer, negotiations are currently ongoing for a potential
discounted payoff or loan modification, and the borrower has
indicated they may close down operations unless performance
improves.
The next-largest increase in loss since the prior rating action is
the Northeast Ohio Multifamily Portfolio loan (2.9%), which is
secured by a portfolio of three multifamily properties in the
Cleveland and Akron, OH markets. The portfolio has experienced
declining cash flow since issuance due to rental and occupancy
rates at the underlying properties falling significantly below
their submarket averages. Portfolio occupancy was 84% as of
September 2020, compared with 78.1% in September 2019 and 81.3% in
October 2018. However, it remains below the 91% reported in April
2014 around the time of issuance. NOI DSCR remains low at 1.16x as
of TTM September 2020.
Overall occupancy has fluctuated since issuance, and operating
expenses have risen in recent years due to renovations and
additional staff hires aimed at increasing occupancy. Occupancy had
initially declined in 2014 due to significant flood damage at one
of the properties, Village at Wyoga Lake. Once the damaged units
came back online, the borrower experienced difficulties in
re-leasing the vacant units and undertook an aggressive campaign to
rebrand the property in mid-2015. Occupancy at the property has
since remained in the high-70% to mid-80% range, which is below the
Akron Metro average of approximately 97%-98% since 2017 as reported
by REIS.
Increased Credit Enhancement: As of the February 2021 remittance
reporting, the pool's aggregate principal balance has paid down to
$949 million from $1.2 billion at issuance; realized losses to date
have been de minimis (0.1% of original pool balance). Defeasance
increased to 12.1% of the pool (11 loans; $115 million) as of
February 2021 from 7.8% (eight loans; $75.2 million) at the last
rating action. Interest shortfalls of approximately $428,000 are
currently affecting the non-rated class H.
Three loans (30%) are full-term, interest-only and the remaining 46
loans (70%) are amortizing. Scheduled maturities include one loan
(North Medical Center; 1.3%) in April 2021, four loans (2.8%) in
2023 and the remaining 44 loans (95.9%) mature in 2024.
Alternative Loss Considerations: Fitch's analysis included an
additional sensitivity scenario that applied a potential outsized
loss of 75% on the current balance of the Cottonwood Mall loan to
reflect refinance concerns due to the declining occupancy and sales
metrics, superior market competition and weak sponsorship, while
factoring the expected paydown of the defeased loans and additional
coronavirus-related stresses; this sensitivity scenario contributed
to the Negative Rating Outlooks on classes B, C, PEZ, D, E and
X-B.
Additional Stresses Applied due to Coronavirus Exposure: Loans
secured by retail, hotel and multifamily properties represent 34.3%
(nine loans), 13.3% (four loans) and 14.3% (nine loans) of the
pool, respectively. The retail loans have a weighted average (WA)
NOI DSCR of 1.71x and can withstand an average 41.6% decline to NOI
before DSCR falls below 1.00x. The hotel loans have a WA NOI DSCR
of 2.07x and can withstand an average 51.8% decline to NOI before
DSCR falls below 1.00x. The multifamily loans have a WA NOI DSCR of
1.74x and can withstand a 42.6% decline to NOI before DSCR falls
below 1.00x.
Fitch's analysis applied additional coronavirus-related stresses on
three retail loans (12.6%), one hotel loan (Hyatt Place Austin
Downtown; 5.6%) and one multifamily loan (Northeast Ohio
Multifamily Portfolio; 2.9%) to account for potential cash flow
disruptions due to the coronavirus pandemic. These additional
stresses contributed to the Negative Rating Outlooks on classes B,
C, PEZ, D, E and X-B.
ESG Considerations: COMM 2014-CCRE17 has an ESG Relevance Score of
'4' for Exposure to Social Impacts due to an underperforming
regional mall, Cottonwood Mall, as a result of changing consumer
preferences to shopping, which has a negative impact on the credit
profile and is highly relevant to the rating, resulting in the
downgrade of classes E, F and X-C and Negative Rating Outlooks on
classes B, C, PEZ, D, E and X-B.
RATING SENSITIVITIES
The Negative Rating Outlooks on classes B, C, PEZ, D, E and X-B
reflect the additional sensitivity scenario applied to the
Cottonwood Mall loan, as well as concerns surrounding the ultimate
impact of the pandemic and the performance concerns associated with
the FLOCs. The Stable Rating Outlooks on classes A-SB, A-4, A-5,
A-M and X-A reflect the increasing credit enhancement and expected
continued amortization.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Sensitivity factors that could lead to upgrades would include
stable to improved asset performance, particularly on the
FLOCs, coupled with additional paydown and/or defeasance.
Upgrades to classes B, C, PEZ and X-B would only occur with
significant improvement in credit enhancement and/or
defeasance and with the stabilization of performance on the
FLOCs, particularly the Cottonwood Mall loan, and/or the
properties affected by the coronavirus pandemic. Classes would
not be upgraded above 'Asf' if there is a likelihood of
interest shortfalls.
-- An upgrade to class D is not likely until the later years in
the transaction, and only if the performance of the remaining
pool is stable and/or properties vulnerable to the pandemic
return to pre-pandemic levels, and there is sufficient credit
enhancement to the class. Classes E and F are unlikely to be
upgraded absent significant performance improvement on the
FLOCs, particularly on the Cottonwood Mall loan, and higher
recoveries than expected on the specially serviced loans.
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- Sensitivity factors that lead to downgrades include an
increase in pool-level losses from underperforming or
specially serviced loans/assets. Downgrades to classes A-SB
through A-5, A-M and X-A are not likely due to the position in
the capital structure, but may occur should interest
shortfalls affect these classes.
-- Downgrades to classes B, C, PEZ and X-B are possible should
expected losses for the pool increase significantly, all loans
susceptible to the coronavirus pandemic suffer losses and the
Cottonwood Mall loan experiences an outsized loss. Downgrades
to classes D and E would occur should loss expectations
increase due to a continued performance decline of the FLOCs,
loans susceptible to the pandemic not stabilize, additional
loans transfer to special servicing, specially serviced loans
dispose at higher losses than expected and/or the Cottonwood
Mall loan experiences an outsized loss. Further downgrades to
class F would occur as losses are realized and/or become more
certain.
-- In addition to its baseline scenario, Fitch also envisions a
downside scenario where the health crisis is prolonged beyond
2021. Should this scenario play out, classes with Negative
Rating Outlooks may be downgraded one or more categories.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
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.
ESG CONSIDERATIONS
COMM 2014-CCRE17: Exposure to Social Impacts: 4 Unless otherwise
disclosed in this section, the highest level of ESG credit
relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
CONN'S RECEIVABLES 2019-A: Fitch Affirms B Rating on Class C Notes
------------------------------------------------------------------
Fitch Ratings has removed the Rating Watch Negative and affirmed
all notes of Conn's Receivables Funding 2019-A and Conn's
Receivables Funding 2019-B. For the Conn's 2019-A notes and the
Conn's 2019-B class A and B notes, the affirmations reflect
increased credit enhancement (CE) to the degree that future
negative asset performance viewed as consistent with Fitch's
baseline coronavirus scenario is not expected to affect timely
interest or ultimate principal repayment under Fitch's stressed
assumptions at current ratings. For Conn's 2019-B class C, the
Negative Outlook reflects the lower level of CE, leaving the class
more susceptible to future performance degradation.
DEBT RATING PRIOR
---- ------ -----
Conn's Receivables Funding 2019-A
A 20827DAA8 LT BBBsf Affirmed BBBsf
B 20827DAB6 LT BBsf Affirmed BBsf
C 20827DAC4 LT Bsf Affirmed Bsf
Conn's Receivables Funding 2019-B
A 20824LAA3 LT BBBsf Affirmed BBBsf
B 20824LAB1 LT BBsf Affirmed BBsf
C 20824LAC9 LT Bsf Affirmed Bsf
TRANSACTION SUMMARY
In the months leading up to the pandemic, delinquencies had risen
in all rated portfolios above expected levels. Delinquencies since
the initial Rating Watch Negative review in April 2020 declined
through servicing efforts and short-term pandemic stimulus. More
recently delinquencies have increased in line with historical
trends and performance of past transactions. The increase in
delinquencies in early 2020, however, caused defaults to trend
higher than expected at closing, and Fitch sets the lifetime base
case default assumptions at 30.00% and 32.00% for Conn's 2019-A and
Conn's 2019-B, respectively.
For the 2019-A notes and the 2019-B class A and class B notes, the
notes are Affirmed and have a Stable Rating Outlook. Despite the
lifetime base case loss expectations remaining higher than the
lifetime base cases assigned at closing, government supplemental
unemployment benefits and stimulus payments have prevented
deterioration in the collateral performance to the levels that
would affect ratings. In addition, credit enhancement has continued
to build for these notes since they were originally placed on
Rating Watch Negative and they now pass Fitch's cash flow stresses
at the requisite rating levels.
For the 2019-B class C notes, the notes are Affirmed and have a
Negative Rating Outlook due to the fact that since the total
overcollateralization of series 2019-B never reached the 23% level
allowing pro-rata distributions of principal between all classes,
the class C has not built credit enhancement to the same degree as
other notes and is not passing Fitch's 'Bsf' rating category cash
flow stresses. This leaves the 2019-B class C notes more exposed
should performance degrade beyond expectations.
KEY RATING DRIVERS
Coronavirus Impact: Fitch made assumptions about the spread of
coronavirus and the economic impact of the related containment
measures. As a base-case scenario, Fitch assumes that the global
recession that took hold in 1H20 and subsequent activity bounce in
2H20 is followed by a slower recovery trajectory in early 2021 with
GDP remaining below its 4Q19 level for 18 months-30 months. Under
this scenario, Fitch reviewed recessionary and recent Conn's
managed and securitization performance information in determining
the base case loss assumption.
Subprime Collateral Quality: The Conn's receivables pools each had
a weighted average (WA) FICO of just over 600 at closing, with
approximately 10% of the loans having scores below 550 or no score
at closing. For Conn's 2019-A, Fitch maintains the 30.00% lifetime
base case default assumption as revised during the April 2020
Rating Watch Negative committee. For Conn's 2019-B, Fitch revises
the lifetime base case default assumption to 32.00% from the 30.00%
lifetime base case default assumption revised during the April 2020
Rating Watch Negative committee. This higher lifetime base case
default assumption accounts for defaults that have been trending
higher than the 30.00% assumption set in April 2020, primarily due
to the impact of a discrete servicing disruption and following
increased delinquencies experienced in early 2020. Accounting for
defaults already recognized in each trust, the remaining defaults
as a percentage of the current pool balances equal 29.77% and
32.64% for Conn's 2019-A and Conn's 2019-B, respectively. Fitch
applied a 2.2x stress at the 'BBBsf' level, reflecting the high
absolute value of the historical defaults, the variability of
default performance in recent years and high geographical
concentration.
Rating Cap at 'BBBsf': The rating cap reflects the subprime credit
risk profile of the customer base, higher loan defaults in recent
years, the high concentration of receivables from Texas, recent
disruption in servicing contributing to increased defaults in
recent securitized vintages and servicing collection risk (albeit
reduced in recent years) due to a portion of customers making
in-store payments.
Payment Structure — Sufficient CE: For all notes except for
Conn's 2019-B class C, credit enhancement has built to a degree
sufficient to cover Fitch's stressed cash flow assumptions at the
requisite rating level. For Conn's 2019-B class C, the tighter
credit enhancement due to the trust not reaching the 23% total
overcollateralization level leaves Conn's 2019-B class C
susceptible to future performance degradation.
Adequate Servicing Capabilities: Conn Appliances, Inc. has a long
track record as an originator, underwriter and servicer. The credit
risk profile of the entity is mitigated by the backup servicing
provided by Systems & Services Technologies, Inc. (SST), which has
committed to a servicing transition period of 30 days. Fitch
considers all parties to be adequate servicers for this pool at the
expected rating levels, based on prior experience and
capabilities.
RATING SENSITIVITIES
Factor that could, individually or collectively, lead to positive
rating action/upgrade:
-- Stable to improved asset performance driven by stable
delinquencies and defaults would lead to increasing CE levels
and consideration for potential upgrades for notes currently
rated below the 'BBBsf' cap. Fitch conducted a sensitivity
analyses by decreasing the base case default rate for each
trust by 10%, 25% and 50%, resulting in the below model
implied ratings:
Conn's 2019-A:
-- Default decrease 10%: class A 'BBBsf'; class B 'BBBsf'; class
C 'BBsf';
-- Default decrease 25%: class A 'BBBsf'; class B 'BBBsf'; class
C 'BBB-sf';
-- Default decrease 50%: class A 'BBBsf'; class B 'BBBsf'; class
C 'BBBsf'.
Conn's 2019-B:
-- D efault decrease 10%: class A 'BBBsf'; class B 'BBBsf'; class
C 'B-sf';
-- Default decrease 25%: class A 'BBBsf'; class B 'BBBsf'; class
C 'BB-sf';
-- Default decrease 50%: class A 'BBBsf'; class B 'BBBsf'; class
C 'BBB-sf'.
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- Unanticipated increases in the frequency of defaults or
chargeoffs could produce loss levels higher than the base
case, and would likely result in declines of CE and remaining
net loss coverage levels available to the notes. Decreased CE
may make certain ratings on the notes susceptible to potential
negative rating actions, depending on the extent of the
decline in coverage.
-- Fitch conducts sensitivity analysis by stressing a
transaction's initial base case default assumption by an
additional 10% and 25%, and examining the rating implications.
These increases of the base case default rate are intended to
provide an indication of the rating sensitivity of the notes
to unexpected deterioration of performance. A more prolonged
disruption from the pandemic is accounted for in the downside
stress of a 50% increase in the base case default rate.
Conn's 2019-A:
-- Default increase 10%: class A 'BBBsf'; class B 'BBsf'; class C
'Bsf';
-- Default increase 25%: class A 'BBBsf'; class B 'BBsf'; class C
'Bsf';
-- Default increase 50%: class A 'BB+sf'; class B 'BB-sf'; class
C 'CCCsf';
-- Recoveries decrease to 0%: class A 'BBBsf'; class B 'BBsf';
class C 'Bsf'.
Conn's 2019-B:
-- Default increase 10%: class A 'BBBsf'; class B 'BBsf'; class C
below 'CCCsf';
-- Default increase 25%: class A 'BBBsf'; class B 'BBsf'; class C
below 'CCCsf';
-- Default increase 50%: class A 'BBBsf'; class B 'B+sf'; class C
below 'CCCsf';
-- Recoveries decrease to 0%: class A 'BBBsf'; class B 'BBsf';
class C 'CCCsf'.
During the sensitivity analysis, Fitch examines the magnitude of
the multiplier compression by projecting the expected cash flows
and loss coverage levels over the life of investments under higher
than the initial base case default assumptions. Fitch models cash
flows with the revised default estimates while holding constant all
other modeling assumptions.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
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.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
FREDDIE MAC 2021-DNA2: S&P Assigns BB- (sf) Rating on B-1B Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Freddie Mac STACR REMIC
Trust 2021-DNA2's notes.
The note issuance is an RMBS transaction backed by 100% conforming
residential mortgage loans.
The ratings reflect:
-- The credit enhancement provided by the subordinated reference
tranches, as well as the associated structural deal mechanics;
-- A REMIC structure that reduces the counterparty exposure to
Freddie Mac for periodic principal and interest payments, but, at
the same time, pledges the support of Freddie Mac (a highly rated
counterparty) to cover shortfalls, if any, on 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 S&P's view, enhances the notes' strength;
-- The enhanced credit risk management and quality control
processes Freddie Mac uses in conjunction with the underlying
representations and warranties framework; and
-- The impact that COVID-19 is likely to have on the U.S. economy
and the U.S. housing market and the additional structural
provisions included to address corresponding forbearance and
subsequent defaults.
S&P Global Ratings believes there remains high, albeit moderating,
uncertainty about the evolution of the coronavirus pandemic and its
economic effects. Vaccine production is ramping up and rollouts are
gathering pace around the world. Widespread immunization, which
will help pave the way for a return to more normal levels of social
and economic activity, looks to be achievable by most developed
economies by the end of the third quarter. However, some emerging
markets may only be able to achieve widespread immunization by
year-end or later. S&P said, "We use these assumptions about
vaccine timing in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, we will
update our assumptions and estimates accordingly."
Ratings Assigned
Freddie Mac STACR REMIC Trust 2021-DNA2
A-H(i), $54,294,365,349: NR
M-1, $264,000,000: BBB+ (sf)
M-1H(i), $14,432,642: NR
M-2, $396,000,000: BBB- (sf)
M-2A, $198,000,000: BBB+ (sf)
M-2AH(i), $10,824,482: NR
M-2B, $198,000,000: BBB- (sf)
M-2BH(i), $10,824,482: NR
M-2R, $396,000,000: BBB- (sf)
M-2S, $396,000,000: BBB- (sf)
M-2T, $396,000,000: BBB- (sf)
M-2U, $396,000,000: BBB- (sf)
M-2I, $396,000,000: BBB- (sf)
M-2AR, $198,000,000: BBB+ (sf)
M-2AS, $198,000,000: BBB+ (sf)
M-2AT, $198,000,000: BBB+ (sf)
M-2AU, $198,000,000: BBB+ (sf)
M-2AI, $198,000,000: BBB+ (sf)
M-2BR, $198,000,000: BBB- (sf)
M-2BS, $198,000,000: BBB- (sf)
M-2BT, $198,000,000: BBB- (sf)
M-2BU, $198,000,000: BBB- (sf)
M-2BI, $198,000,000: BBB- (sf)
M-2RB, $198,000,000: BBB- (sf)
M-2SB, $198,000,000: BBB- (sf)
M-2TB, $198,000,000: BBB- (sf)
M-2UB, $198,000,000: BBB- (sf)
B-1, $264,000,000: BB- (sf)
B-1A, $132,000,000: BB+ (sf)
B-1AR, $132,000,000: BB+ (sf)
B-1AI, $132,000,000: BB+ (sf)
B-1AH(i), $7,216,321: NR
B-1B, $132,000,000: BB- (sf)
B-1BH(i), $7,216,321: NR
B-2, $264,000,000: NR
B-2A, $132,000,000: NR
B-2AR, $132,000,000: NR
B-2AI, $132,000,000: NR
B-2AH(i), $7,216,321: NR
B-2B, $132,000,000: NR
B-2BH(i), $7,216,321: NR
B-3H(i), $139,216,321: NR
(i)Reference tranche only and will not have corresponding notes.
Freddie Mac retains the risk of each of these tranches.
NR--Not rated.
GOLDENTREE LOAN 9: S&P Assigns B- (sf) Rating on Class F Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to GoldenTree Loan
Management US CLO 9 Ltd./GoldenTree Loan Management US CLO 9 LLC's
floating-rate notes.
The note issuance is a CLO securitization 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 S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
GoldenTree Loan Management US CLO 9 Ltd.
Class X, $4.20 million: AAA (sf)
Class A, $455.00 million: AAA (sf)
Class B, $84.00 million: AA (sf)
Class C (deferrable), $45.50 million: A (sf)
Class D (deferrable), $40.60 million: BBB- (sf)
Class E (deferrable), $21.35 million: BB- (sf)
Class F (deferrable), $6.30 million: B- (sf)
Subordinated notes, $40.89 million: Not rated
HALCYON LOAN 2013-2: Moody's Cuts Rating on Class D Notes to B1
---------------------------------------------------------------
Moody's Investors Service downgrades the rating on the following
notes issued by Halcyon Loan Advisors Funding 2013-2 Ltd.:
US$26,750,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2025 (the "Class D Notes"), Downgraded to B1 (sf);
previously on August 21, 2020 Downgraded to Ba2 (sf)
Halcyon Loan Advisors Funding 2013-2 Ltd., originally issued in
July 2013 is a managed cashflow CLO. The notes are collateralized
primarily by a portfolio of broadly syndicated senior secured
corporate loans. The transaction's reinvestment period ended in
August 2017.
RATINGS RATIONALE
The downgrade rating action on the Class D notes reflects the
specific risks to the junior notes posed by par loss and credit
deterioration observed in the underlying CLO portfolio. Based on
the trustee's January 2021 report[1], the OC ratio for the Class D
notes is reported at 96.64% versus July 2020 level of 100.87%.
Furthermore, the trustee-reported weighted average rating factor
(WARF) has been deteriorating and the current level is 4432
compared to 4194 in July 2020.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Performing par and principal proceeds balance: $65,587,421
Defaulted par: $16,404,033
Diversity Score: 18
Weighted Average Rating Factor (WARF): 3495
Weighted Average Spread (WAS) (before accounting for LIBOR floors):
4.14%
Weighted Average Recovery Rate (WARR): 44.34%
Weighted Average Life (WAL): 2.38 years
Par haircut in OC tests and interest diversion test: 10.28%
In consideration of the current high uncertainties around the
global economy, and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from Moody's base case. Some of the
additional scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; sensitivity analysis on
deteriorating credit quality due to a large exposure to loans with
negative outlook, and a lower recovery rate assumption on defaulted
assets to reflect declining loan recovery rate expectations.
The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Moody's analysis has considered the effect on the performance of
corporate assets from the current weak U.S. economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around Moody's forecasts is unusually high.
Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.
Methodology Used for the Rating Action
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2020.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.
LCM XXIV: Moody's Hikes $24MM Class E Notes Rating to Ba3
---------------------------------------------------------
Moody's Investors Service has assigned ratings to three classes of
CLO refinancing notes issued by LCM XXIV LTD. (the "Issuer").
Moody's rating action is as follows:
US$387,000,000 Class A-R Senior Floating Rate Notes Due 2030 (the
"Class A-R Notes"), Assigned Aaa (sf)
US$63,000,000 Class B-R Senior Floating Rate Notes Due 2030 (the
"Class B-R Notes"), Assigned Aa1 (sf)
US$45,000,000 Class C-R Deferrable Mezzanine Floating Rate Notes
Due 2030 (the "Class C-R Notes"), Assigned A2 (sf)
Additionally, Moody's has taken rating actions on the following
outstanding notes originally issued by the Issuer on March 23, 2017
(the "Original Closing Date"):
US$33,000,000 Class D Deferrable Mezzanine Floating Rate Notes Due
2030 (the "Class D Notes"), Upgraded to Baa3 (sf); previously on
September 15, 2020 Downgraded to Ba1 (sf)
US$24,000,000 Class E Deferrable Mezzanine Floating Rate Notes Due
2030 (the "Class E Notes"), Upgraded to Ba3 (sf); previously on
September 15, 2020 Downgraded to B1 (sf)
The Class D Notes and the Class E Notes are referred to herein,
collectively, as the "Upgraded Notes."
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks particularly those associated with the
CLO's portfolio and structure.
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.
LCM Asset Management LLC (the "Manager") will continue to direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's remaining one and a
half year reinvestment period.
On the Original Closing Date, the Issuer issued the Upgraded Notes
and one class of subordinated notes, which will remain
outstanding.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: the inclusion of alternative
benchmark replacement provisions, extension of the non-call period
for the refinancing notes, and changes to the definition of
"Adjusted Weighted Average Rating Factor".
Moody's rating actions on the Upgraded Notes are primarily a result
of the refinancing, which increases excess spread available as
credit enhancement to the rated notes.
The upgrade actions taken on the Upgraded Notes are also a result
of applying Moody's revised CLO assumptions described in "Moody's
Global Approach to Rating Collateralized Loan Obligations"
published in December 2020. The primary changes to the modeling
assumptions include the analytical treatment of corporate obligors
whose ratings are on review downgrade or assigned a negative
outlook. Specifically, Moody's now adjust the obligor's Moody's
Default Probability Rating down by one notch if the obligor's
rating is on review for possible downgrade and Moody's make no
adjustments if the obligor's rating has a negative outlook. Based
on these updates, Moody's calculated WARF on the portfolio is now
2687 compared to the WARF of 2905 as reported on trustee's January
2021 report [1].
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Performing par and principal proceeds balance: $579,821,128
Defaulted par: $3,458,975
Diversity Score: 90
Weighted Average Rating Factor (WARF): 2770
Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.20%
Weighted Average Recovery Rate (WARR): 48.24%
Weighted Average Life (WAL): 5.38 years
Par haircut in OC tests and interest diversion test: 0%
Moody's notes that it also considered the information in the
February 2021 trustee report[2] which became available immediately
prior to the release of this announcement.
The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Moody's analysis has considered the effect on the performance of
corporate assets from the current weak U.S. economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around Moody's forecasts is unusually high.
Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2020.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.
MORGAN STANLEY 2006-IQ12: Fitch Affirms D Rating on 13 Tranches
---------------------------------------------------------------
Fitch Ratings has taken various actions on already distressed bonds
in four U.S. CMBS transactions.
DEBT RATING PRIOR
---- ------ -----
Morgan Stanley Capital I Trust 2006-IQ12
A-J 61750WAZ6 LT Dsf Affirmed Dsf
A-J 61750WAZ6 LT WDsf Withdrawn Dsf
B 61750WBA0 LT Dsf Affirmed Dsf
B 61750WBA0 LT WDsf Withdrawn Dsf
C 61750WBB8 LT Dsf Affirmed Dsf
C 61750WBB8 LT WDsf Withdrawn Dsf
D 61750WBC6 LT Dsf Affirmed Dsf
D 61750WBC6 LT WDsf Withdrawn Dsf
E 61750WBD4 LT Dsf Affirmed Dsf
E 61750WBD4 LT WDsf Withdrawn Dsf
F 61750WBE2 LT Dsf Affirmed Dsf
F 61750WBE2 LT WDsf Withdrawn Dsf
G 61750WAD5 LT Dsf Affirmed Dsf
G 61750WAD5 LT WDsf Withdrawn Dsf
H 61750WAE3 LT Dsf Affirmed Dsf
H 61750WAE3 LT WDsf Withdrawn Dsf
J 61750WAF0 LT Dsf Affirmed Dsf
J 61750WAF0 LT WDsf Withdrawn Dsf
K 61750WAG8 LT Dsf Affirmed Dsf
K 61750WAG8 LT WDsf Withdrawn Dsf
L 61750WAH6 LT Dsf Affirmed Dsf
L 61750WAH6 LT WDsf Withdrawn Dsf
M 61750WAJ2 LT Dsf Affirmed Dsf
M 61750WAJ2 LT WDsf Withdrawn Dsf
N 61750WAK9 LT Dsf Affirmed Dsf
N 61750WAK9 LT WDsf Withdrawn Dsf
Credit Suisse First Boston Mortgage Securities Corp. 2004-C3
E 22541SWQ7 LT Dsf Affirmed Dsf
F 22541SWR5 LT Dsf Affirmed Dsf
G 22541SWS3 LT Dsf Affirmed Dsf
H 22541SWT1 LT Dsf Affirmed Dsf
J 22541SWU8 LT Dsf Affirmed Dsf
K 22541SWV6 LT Dsf Affirmed Dsf
L 22541SWW4 LT Dsf Affirmed Dsf
M 22541SWX2 LT Dsf Affirmed Dsf
O 22541SWZ7 LT Dsf Affirmed Dsf
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR16
E 07388YAY8 LT Dsf Downgrade Csf
ML-CFC Commercial Mortgage Trust 2006-3
D 60687VAL9 LT Dsf Affirmed Dsf
E 60687VAM7 LT Dsf Affirmed Dsf
F 60687VAN5 LT Dsf Affirmed Dsf
G 60687VAP0 LT Dsf Affirmed Dsf
H 60687VAQ8 LT Dsf Affirmed Dsf
J 60687VAR6 LT Dsf Affirmed Dsf
K 60687VAS4 LT Dsf Affirmed Dsf
L 60687VAT2 LT Dsf Affirmed Dsf
M 60687VAU9 LT Dsf Affirmed Dsf
N 60687VAV7 LT Dsf Affirmed Dsf
P 60687VAW5 LT Dsf Affirmed Dsf
Thirteen classes of Morgan Stanley Capital I Trust 2006-IQ12 are
being affirmed at 'Dsf' as a result of previously incurred losses.
The ratings on these bonds have been subsequently withdrawn. The
'Dsf' rated classes are the only remaining in the deal. As a
result, the transaction is no longer considered relevant to Fitch's
coverage.
KEY RATING DRIVERS
Along with the above withdrawals, nine bonds of Credit Suisse First
Boston Mortgage Securities Corp. 2004-C3 and 11 bonds of ML-CFC
Commercial Mortgage Trust 2006-3 are being affirmed at 'Dsf', as
all of these classes have previously incurred losses.
Additionally, Fitch has downgraded one class of Bear Stearns
Commercial Mortgage Securities Trust 2007-PWR16 to 'Dsf' as the
class realized its first dollar loss during the February 2021
payment period. The class was previously rated 'Csf,' which
indicated default was inevitable.
RATING SENSITIVITIES
Factor that could, individually or collectively, lead to positive
rating action/upgrade:
-- Classes that have incurred their first principal losses will
be downgraded to 'Dsf.' Classes rated 'Dsf' cannot be
downgraded further.
Factor that could, individually or collectively, lead to negative
rating action/downgrade:
-- Classes rated 'Dsf' have realized principal losses, thus
upgrades are not possible.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
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.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
AUTOMATIC WITHDRAWAL OF THE LAST DEFAULT RATING
Default ratings ('Dsf') assigned to the last rated class of a
transaction will be automatically withdrawn within 11 months from
the date of this rating action. A separate RAC will not be issued
at that time.
MORGAN STANLEY 2012-C6: Moody's Cuts Class H Debt to Caa3
---------------------------------------------------------
Moody's Investors Service has affirmed the ratings on seven classes
and downgraded the ratings on six classes in Morgan Stanley Bank of
America Merrill Lynch Trust 2012-C6, Commercial Mortgage
Pass-Through Certificates, Series 2012-C6 as follows:
Cl. A-4, Affirmed Aaa (sf); previously on Jun 25, 2020 Affirmed Aaa
(sf)
Cl. A-S, Affirmed Aaa (sf); previously on Jun 25, 2020 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa1 (sf); previously on Jun 25, 2020 Affirmed Aa1
(sf)
Cl. C, Affirmed A1 (sf); previously on Jun 25, 2020 Affirmed A1
(sf)
Cl. D, Downgraded to Baa2 (sf); previously on Jun 25, 2020 Affirmed
Baa1 (sf)
Cl. E, Downgraded to Ba3 (sf); previously on Jun 25, 2020 Confirmed
at Baa3 (sf)
Cl. F, Downgraded to B2 (sf); previously on Jun 25, 2020 Confirmed
at Ba2 (sf)
Cl. G, Downgraded to Caa1 (sf); previously on Jun 25, 2020
Downgraded to B1 (sf)
Cl. H, Downgraded to Caa3 (sf); previously on Jun 25, 2020
Downgraded to B3 (sf)
Cl. X-A*, Affirmed Aaa (sf); previously on Jun 25, 2020 Affirmed
Aaa (sf)
Cl. X-B*, Affirmed Aa3 (sf); previously on Jun 25, 2020 Affirmed
Aa3 (sf)
Cl. X-C*, Downgraded to Caa2 (sf); previously on Jun 25, 2020
Downgraded to B3 (sf)
Cl. PST**, Affirmed Aa2 (sf); previously on Jun 25, 2020 Affirmed
Aa2 (sf)
* Reflects interest-only classes
** Reflects exchangeable classes
RATINGS RATIONALE
The ratings on the four P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on the five P&I classes were downgraded due to higher
anticipated losses and a decline in pool performance as a result of
the exposure to specially serviced and troubled loans primarily
secured by retail properties. The largest specially serviced loan
is the Greenwood Mall (8.9% of the pool), which is more than 90
days delinquent and the Borrower indicated they are not willing to
inject additional funds into the loan. Furthermore, three loans
(for a combined 16% of the pooled balance) are secured by regional
malls, including Cumberland Mall (6.1% of the pool) and Westgate
Mall (1.0%), which have both been identified as troubled loans
because they have experienced declines in NOI prior to 2020 and may
face increased refinance risk at their upcoming maturity dates in
2022. Two of the other special serviced loans are secured by single
tenant street retail locations in New York City (2.7% of the pool)
and San Francisco (1.5% of the pool) in which the respective tenant
has declared bankruptcy and/or is not currently paying rent.
The ratings on the two IO classes, Cl. X-A and Cl. X-B, were
affirmed based on the credit quality of the referenced classes.
The rating on one IO Class, Cl. X-C, was downgraded due to a
decline in the credit quality of its referenced classes. Cl. X-C
references six P&I classes including Cl. J, which is not rated by
Moody's.
The rating on the exchangeable class, Cl. PST, was affirmed due to
the credit quality of its referenced exchangeable classes.
The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Moody's analysis has considered the effect on the performance of
commercial real estate from the current weak US economic activity
and a gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around Moody's forecasts is unusually high. Stress
on commercial real estate properties will be most directly stemming
from declines in hotel occupancies (particularly related to
conference or other group attendance) and declines in foot traffic
and sales for non-essential items at retail properties.
Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.
Moody's rating action reflects a base expected loss of 11.6% of the
current pooled balance, compared to 4.6% at Moody's last review.
Moody's base expected loss plus realized losses is now 6.9% of the
original pooled balance, compared to 2.7% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in rating all classes except exchangeable
class and interest-only classes were "Approach to Rating US and
Canadian Conduit/Fusion CMBS" published in September 2020.
DEAL PERFORMANCE
As of the February 18, 2021 distribution date, the transaction's
aggregate certificate balance has decreased by 41% to $664 million
from $1.12 billion at securitization. The certificates are
collateralized by 44 mortgage loans ranging in size from less than
1% to 19% of the pool, with the top ten loans (excluding
defeasance) constituting 56% of the pool. Six loans, constituting
16% of the pool, have defeased and are secured by US government
securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 12, the same as at Moody's last review.
As of the February 2021 remittance report, loans representing 83%
were current or within their grace period on their debt service
payments, 1% were between 30 -- 59 days delinquent, 3% were between
60 -- 89 days delinquent, and 13% were 90+ days delinquent.
Sixteen loans, constituting 27% of the pool, are on the master
servicer's watchlist, of which one loan, representing 6% of the
pool, indicate the borrower has received loan modifications in
relation to coronavirus impact on the property. The watchlist
includes loans that meet certain portfolio review guidelines
established as part of the CRE Finance Council (CREFC) monthly
reporting package. As part of Moody's ongoing monitoring of a
transaction, the agency reviews the watchlist to assess which loans
have material issues that could affect performance.
The pool has not experienced any realized losses and four loans,
constituting 16% of the pool, are currently in special servicing.
The specially serviced loans have all transferred to special
servicing since March 2020.
The largest specially serviced loan is the Greenwood Mall Loan
($59.1 million -- 8.9% of the pool), which is secured by an
approximately 575,000 square foot (SF) component of an 851,500 SF
super-regional mall located in Bowling Green, Kentucky. The mall,
owned by Brookfield Properties, is anchored by a Dillard's, Belk,
J.C. Penney, and a 10-screen Regal Cinema. Dillard's and Belk are
not part of the collateral. Belk recently declared Chapter 11
bankruptcy but has not announced any store closure plans. In
addition, several of the anchor and major collateral tenants have
declared bankruptcy since 2019 or have recently announced plans to
reduce store counts. Sears (15% of net rentable area (NRA)) was
previously a collateral anchor, however, they vacated in early 2019
and the space remains vacant. As of September 2020, the in-line
occupancy was approximately 80%, compared to 94% in 2017. In
addition, the total mall occupancy has experienced a similar
decline, decreasing to 84% in September 2020 from 97% in 2018. The
property's net operating income (NOI) had generally increased from
securitization through 2017, however, the NOI has subsequently
declined annually. Due primarily to lower revenues, the property's
2019 NOI declined 9% from 2018, 13% from 2017, and was 5% lower
than in 2013. Property performance has continued to decline in 2020
as a result of the pandemic and the loan had a June 2020 NOI DSCR
of 2.19X compared to 2.45X for year-end 2019. The loan transferred
to special servicing in October 2020 due to imminent default and
the sponsor recently stated it is not willing to inject additional
funds but would continue to manage the property. An appraisal was
recently completed which valued the property below the loan balance
and resulted in a 31% appraisal reduction (based on the current
loan balance). The special servicer indicated a lockbox is being
implemented and they are dual tracking workout proposals with
potential foreclosure. The loan has amortized 6% since
securitization and has a maturity date in July 2022.
The second largest specially serviced loan is the 300 West Adams
Loan ($21.8 million -- 3.3% of the pool), which is secured by a
leasehold interest in a 253,000 SF, 12-story, landmarked office
building located in downtown Chicago. The property is located in
the West Loop and across the street from the Willis Tower (formerly
the Sears Tower). The property is subject to a 99-year ground lease
which commenced in September 2012. The ground lease payment started
at $1.1 million per year, with 3% increases year-over-year until
2042 when it's capped at $2.5 million. As of September 2020, the
property was 77% occupied, compared to 78% in 2019 and 97% in 2018.
The property also faces near term rollover risk with tenants
representing 16% of the NRA having lease expiration through 2021.
The property's 2019 NOI declined 21% from 2018 as a result of lower
rental revenues and increased expenses. The loan transferred to
special servicing in January 2021 for delinquent payments and the
sponsor has requested a waiver of the prepayment premium in order
to pay off the loan. The loan is last paid through its November
2020 payment date and has amortized 13% since securitization. Due
to the historical performance and loan leverage the loan is
included in the conduit statistics with a Moody's LTV of 99%.
The third largest specially serviced loan is the 470 Broadway Loan
($17.7 million -- 2.7% of the pool), which is secured by a 6,600
SF, 2-story, single tenant retail building in the SoHo neighborhood
of New York City. The property was 100% leased to Aldo until the
tenant declared Chapter 15 bankruptcy in May 2020. Subsequently,
the lease was rejected at this location and the property remains
vacant. The loan transferred to special servicing in May 2020 and
the special servicer is dual tracking foreclosure with workout
alternatives. An updated appraisal was completed in August 2020
which valued the property below the loan balance and the master
servicer has recognized a $8.8 million appraisal reduction on this
loan. The loan is last paid through its April 2020 payment date and
has amortized 13% since securitization.
The remaining specially serviced loan is the 152 Geary Street Loan
($9.8 million -- 1.5% of the pool), which is secured by an 8,100
SF, 3-story, single tenant retail building in San Francisco,
California. The loan transferred to special servicing in June 2020
as the single tenant is not currently paying rent. The loan is last
paid through its March 2020 payment date and the special servicer
indicated they are dual tracking the foreclosure process while
continuing to attempt to contact the borrower regarding a possible
workout. A recent appraisal was received at a value above the loan
balance and no appraisal reduction has been recognized on this
loan.
Moody's has also assumed a high default probability for three
poorly performing loans, constituting 8% of the pool. The largest
troubled loan is the Cumberland Mall Loan which is discussed
further below. The second largest troubled loan is the Westgate
Mall ($6.7 million -- 1.0% of the pool), which is secured by a
240,000 SF regional mall located in Brainerd, Minnesota. The
troubled loan has already experienced a significant decline in 2019
NOI from securitization primarily due to the departure of the
former Herberger's space (83,000 SF). Although occupancy has
increased due to two lease signings, the loan is on the watchlist
and is last paid through its December 2020 payment date. The loan's
actual DSCR has been below 1.00X since 2019.
The remaining troubled loan represents less than 1% of the pool.
The 300 West Adams loan was included in the conduit statistics and
Moody's has estimated an aggregate loss of $47.5 million (a 34.5%
expected loss on average) from the remaining specially serviced and
troubled loans.
The credit risk of loans is determined primarily by two factors: 1)
Moody's assessment of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessment of the
severity of loss upon a default, which is largely driven by each
loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV.
As described in the CMBS methodology used to rate this transaction,
Moody's make various adjustments to the MLTV. Moody's adjust the
MLTV for each loan using a value that reflects capitalization (cap)
rates that are between Moody's sustainable cap rates and market cap
rates. Moody's also use an adjusted loan balance that reflects each
loan's amortization profile. The MLTV reported in this publication
reflects the MLTV before the adjustments described in the
methodology.
Moody's received full year 2019 operating results for 99% of the
pool, and full or partial year 2020 operating results for 79% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 98%, compared to 99% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 21% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.4%.
Moody's actual and stressed conduit DSCRs are 1.52X and 1.11X,
respectively, compared to 1.54X and 1.12X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three performing loans represent 30% of the pool balance.
The largest loan is the 1880 Broadway/15 Central Park West Retail
Loan ($125.0 million -- 18.8% of the pool), which is secured by an
84,000 SF, four-level (two levels below grade), multi-tenant retail
condominium located on the Upper West Side of Manhattan. The
property has 232 feet of frontage along the east side of Broadway.
The property has been 100% leased to four tenants since
securitization. The largest tenants include Best Buy (54% of NRA;
lease expiration in January 2023) and Williams Sonoma (30% of NRA;
lease expiration in June 2029). The loan is current through its
February 2021 payment date and has an actual NOI DSCR of 1.89X in
2020. The loan matures in September 2022 and faces significant
rollover risk with three leases, representing nearly 70% of the
NRA, expiring within 16 months of the loan maturity. The loan is
interest only for its entire term and Moody's LTV and stressed DSCR
are 115% and 0.76X, respectively, compared to 109% and 0.79X at the
last review.
The second largest loan is the Cumberland Mall Loan ($40.6 million
-- 6.1% of the pool), which is secured by an approximately 671,000
SF component of a 943,000 SF regional mall located in Vineland, New
Jersey. The property is anchored by Boscov's, BJ's Wholesale, Home
Depot, Dick's Sporting Goods, and a Regal Cinemas. One collateral
anchor space, formerly occupied by Burlington (12% NRA), has
recently closed ahead of its February 2021 lease expiration.
Boscov's and BJ's Wholesale are not part of the collateral and Home
Depot operates on a ground lease. As of October 2020, the in-line
space was 82% leased and the total collateral was 74% leased
(excluding the temporary tenant of Spirit Halloween and including
the subsequent Burlington vacancy). In-line occupancy has decreased
year-over-year from 96% in 2018 to 93% in 2019 to 82% in October
2020. Comparable tenant in-line sales (less than 10,000 SF) were
$389 PSF in 2020, compared to $397 PSF in 2019. The loan
transferred to special servicing in May 2020 as a result of the
borrower's request for relief due to the pandemic. The special
servicer approved relief through the consent of the use of reserves
to pay debt service payments from June 2020 through August 2020.
The property's 2019 NOI declined 7% year-over-year as a result of
lower rental revenues and the property performance had been further
negatively impacted as a result of the pandemic. The loan had an
actual NOI DSCR of 1.53X in September 2020, compared to 1.93X for
year-end 2019. The loan has amortized 22% since securitization and
is current as of the February 2021 remittance date, however, due to
the recent declines in performance and heightened maturity risk in
August 2022, Moody's considers this a troubled loan.
The third largest loan is the 236-240 West 37th Street Loan ($35.2
million -- 5.3% of the pool), which is secured by a 145,000 SF,
11-story, Class B, office building located in the Garment District
area of New York City built in 1904 and renovated in 2011. As of
September 2020, the property was 73% leased (including the
subsequent ADP vacancy) and the second largest tenant, Roivant
Sciences (11% NRA; lease expiration March 2021), is not expected to
resign. Property performance generally improved through 2019,
however, due to the recent lease rollover and occupancy, revenue is
expected to decline in 2020 and 2021. Moody's LTV and stressed DSCR
are 106% and 0.97X, respectively, compared to 99% and 0.95X at the
last review.
MORGAN STANLEY 2014-C15: Fitch Affirms BB- Rating on Cl. F Debt
---------------------------------------------------------------
Fitch Ratings has affirmed 12 classes of Morgan Stanley Bank of
America Merrill Lynch Trust 2014-C15.
DEBT RATING PRIOR
---- ------ -----
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15
A-3 61763KAZ7 LT AAAsf Affirmed AAAsf
A-4 61763KBA1 LT AAAsf Affirmed AAAsf
A-S 61763KBC7 LT AAAsf Affirmed AAAsf
A-SB 61763KAY0 LT AAAsf Affirmed AAAsf
B 61763KBD5 LT AAsf Affirmed AAsf
C 61763KBF0 LT Asf Affirmed Asf
D 61763KAE4 LT BBB-sf Affirmed BBB-sf
E 61763KAG9 LT BB+sf Affirmed BB+sf
F 61763KAJ3 LT BB-sf Affirmed BB-sf
PST 61763KBE3 LT Asf Affirmed Asf
X-A 61763KBB9 LT AAAsf Affirmed AAAsf
X-B 61763KAA2 LT AAsf Affirmed AAsf
KEY RATING DRIVERS
Increased Loss Expectations: Loss expectations have increased due
to an increase in the number of Fitch Loans of Concern (FLOCs),
some of which have been affected by the slowdown in economic
activity related to the coronavirus pandemic. Fitch's ratings
assume a base case loss of 5.0%. The Negative Outlooks reflect
additional sensitivities, which reflect losses could reach 10.4%.
These additional sensitivities include additional stresses applied
to loans expected to be impacted by the coronavirus pandemic as
well as a 40% loss assumption on the Arundel Mills & Marketplace
loan (17.5%) given concerns with the pandemic on longer-term
performance.
Seven loans (49.5% of pool), including one loan (.4%) in special
servicing, were designated Fitch Loans of Concern (FLOCs). As of
the February 2021 distribution period there were 10 loans (30.9%)
on the servicer's watchlist for low DSCR, dated financial
reporting, partial-year drop in performance, rolling tenants and
requesting COVID-19 relief.
Darby Row & The Belfry Apartments (.4%) is a student housing
property, located in South Bend, IN about a mile away from the
University of Notre Dame's campus. This loan transferred to special
servicing in September 2020 for payment default. The loan has been
a FLOC since 2019 for underperformance due to new supply closer to
campus; Notre Dame is implementing strategies and policies to
encourage students to live closer to campus. The special servicer
is dual-tracking foreclosure/modification workout strategies.
Alternative Loss Scenario: In its analysis, Fitch applied a 40%
loss assumption on the Arundel Mills & Marketplace, to reflect the
decrease in commerce and tourism amid the coronavirus pandemic and
potential for a more prolonged impact on retail performance. The
additional loss on Arundel Mills & Marketplace assumes an implied
cap rate of 22% on YE 2019 NOI. The Negative Rating Outlooks
reflect this sensitivity scenario as well as ongoing concerns with
the ultimate impact of the pandemic on long-term performance of
other loans in the transaction.
Fitch Loans of Concern:
Arundel Mills & Marketplace (17.5%) is secured by a super-regional
mall, and an adjacent one-story, anchored shopping center located
in Hanover, MD. As of September 2020, occupancy was 94.3%, down
from 98.7% at YE 2019. Bed, Bath and Beyond permanently closed its
store at the Mills property in Fall 2020. Major anchor tenants at
the Arundel Mills property include Bass Pro Shops Outdoor (9.9% of
NRA, lease expires Oct. 3, 2026), Cinemark Theatres (8.3%, Dec. 31,
2025), Burlington (6.3%, Jan. 1, 2026), Best Buy (3.6%, Jan. 1,
2022) and T.J. Maxx (2.6%, Jan. 1, 2026). Anchor tenants at the
Marketplace property include Aldi (32.6%, Nov. 30, 2033), Michael's
(23.5%, March 31 2023), Staples (20.1%, Jan. 1, 2021), PetSmart
(18.7%, Jan. 1, 2023) and Mattress Warehouse (5.1%, March 31,
2023). Fitch has not received updated tenant sales since 2017.
November 2017 comparable in-line sales for tenants occupying less
than 10,000 sf were $472 psf, compared to $486 psf in 2016. Fitch's
loss expectation of approximately 23% is based on an 18% cap rate
and a 20% haircut to 2019 NOI, reflecting the regional mall
component of the collateral, coronavirus performance concerns,
near-term lease rollover, lack of updated sales information and
volatility associated with the casino revenue.
AmericasMart (13.9%) is secured by a wholesale trade market located
in Atlanta, GA. The property consists of four interconnected
buildings totaling approximately 4.6 million rentable sf. According
to the its website, AmericasMart is open and the next show is
scheduled for March 2021. Historically, approximately 20%-25% of
property revenue has been generated through these trade shows. Per
the September 2020 rent roll, occupancy for non-trade show space
was approximately 79% compared to 91% at YE 2019. Fitch applied a
30% haircut to the YE 2019 cash flow to account for expected lost
revenue from canceled trade shows and the decline in showroom
tenancy.
La Concha Hotel and Tower (8.9%) comprises two full-service hotels
in San Juan, Puerto Rico in the Condado resort area. As of June
2020, subject TTM NOI DSCR was .77x compared to 1.88x at YE 2019
and underwritten NOI DSCR at issuance of 2.34x. According to the
subject's STR report, December 2020 TTM occupancy was 33.1%
compared to December 2019 TTM occupancy of 83.6%. This decline in
occupancy has resulted in RevPar falling to $76.30 (TTM December
2020) from $209.52 (TTM December 2019). The casino income is
structured as a lease with a percentage rent clause equal to 5% of
gross income. Fitch expects increased volatility with
casino-related income. The borrower has been provided relief in the
form of a PPP loan for approximately $2.6 million.
Marriott Philadelphia Downtown (7.3%) is a 1,408-key, full-service
hotel in downtown Philadelphia, PA. Subject YE 2020 NOI was a net
operating loss of approximately $13.3 million compared to YE 2019
NOI of $42.2 million and underwritten NOI of $30.0 million. As of
the January 2021 payment date, the loan remains current. The
subject's primary demand driver is the Philadelphia Convention
Center (PCC). PCC is the country's 14th largest, containing more
than 1 million sf of sellable space, 528,000 sf of contiguous
exhibit hall space and a total of 79 meeting rooms. According to
the PCC's website the center is open with COVID-19 safety measures
in-place, and events are taking place.
The remaining three FLOCs individually account for less than 1.00%
of the total pool balance and collectively account for 1.9% of the
total pool balance.
Exposure to Coronavirus: There are four loans secured by hotel
properties (25.9% of pool) with a weighted average NOI DSCR of
2.76x. Thirteen retail loans (31.6%) with a weighted average NOI
DSCR of 2.47x. Three multifamily loans (6.4%) with a weighted
average NOI DSCR of 1.67x. Fitch's analysis applied additional
stresses to four hotel loans and six retail loans as well as the
trade market property, AmericasMart (13.9%), given the significant
declines in property-level cash flow expected as a result of
pandemic-based restrictions.
Improved Credit Enhancement: As of the February 2021 payment date,
the pool's aggregate principal balance has paid down by 21.2% to
$851.0 million from $1.080 billion at issuance. Five loans
comprising 8.3% of the pool have been fully defeased. Since Fitch's
prior rating action in 2020, two loans prepaid for approximately
$34.9 million in principal paydown. No loans mature until 2023. Of
the remaining pool balance, three loans comprising 20.9% of the
pool are classified as full interest-only through the term of the
loan.
RATING SENSITIVITIES
The Stable Outlooks on classes A-1 through A-S reflect the overall
stable performance of the majority of the pool and expected
continued amortization. The Negative Outlooks on classes B, C, D,
E, F, X-B and the exchangeable class reflect the potential for
downgrade due to concerns surrounding the ultimate impact of the
coronavirus pandemic and the performance concerns associated with
the FLOCs, which include the specially serviced loan and Arundel
Mills & Marketplace.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Sensitivity factors that could lead to upgrades would include
stable to improved asset performance, coupled with additional
paydown and/or defeasance. Upgrades to the 'Asf' and 'AAsf'
rated classes are not expected but would likely occur with
significant improvement in CE and/or defeasance and/or the
stabilization to the properties impacted from the coronavirus
pandemic.
-- Upgrade of the 'BBB-sf' class is considered unlikely and would
be limited based on the sensitivity to concentrations or the
potential for future concentrations. Classes would not be
upgraded above 'Asf' if there is a likelihood of interest
shortfalls. An upgrade to the 'BB+sf' and 'BB-sf' rated
classes is not likely unless the performance of the remaining
pool stabilizes and the senior classes pay off.
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- Sensitivity factors that lead to downgrades include an
increase in pool-level losses from underperforming or
specially serviced loans/assets. Downgrades to classes A-1
through A-S and the interest-only classes X-A are not likely
due to the position in the capital structure, but may occur
should interest shortfalls occur.
-- Downgrades to classes B, C, D and X-B are possible should
performance of the FLOCs continue to decline; should loans
susceptible to the coronavirus pandemic not stabilize; and/or
should further loans transfer to special servicing.
-- Classes E and F could be downgraded should the specially
serviced loan not return to the master servicer and/or as
there is more certainty of loss expectations from other FLOCs.
The Rating Outlooks on these classes may be revised back to
Stable if performance of the FLOCs improves and/or properties
vulnerable to the coronavirus stabilize once the pandemic is
over.
In addition to its baseline scenario, Fitch also envisions a
downside scenario where the health crisis is prolonged beyond 2021;
should this scenario play out, classes with Negative Outlooks will
be downgraded one or more categories.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
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.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
NEUBERGER BERMAN 30: S&P Assigns BB- (sf) Rating on Class E-R Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, A-L
loans, A-L notes, B-R, B-L loans, B-L notes, C-R, D-R, and E-R
notes from Neuberger Berman Loan Advisers CLO 30 Ltd., a CLO
originally issued in January 2019 that is managed by Neuberger
Berman Loan Advisers LLC. S&P withdrew its ratings on the original
class A-1, B-1, B-2, C, D, and E notes following payment in full on
the March 5, 2021, refinancing date.
On the March 5, 2021, refinancing date, the proceeds from the class
A-R, A-L loans, A-L notes, B-R, B-L loans, B-L notes, C-R, D-R, and
E-R notes replacement issuance were used to redeem the original
class A-1, A-2, B-1, B-2, C, D, and E notes as outlined in the
transaction document provisions. Therefore, S&P withdrew its
ratings on the original notes in line with their full redemption,
and we are assigning ratings to the replacement notes. The assigned
ratings reflect its opinion that the credit support available is
commensurate with the associated rating levels.
The replacement notes and loans are being issued via a supplemental
indenture, which, in addition to outlining the terms of the
replacement notes and loans, also reflect the changes described
below.
STRUCTURE CHANGES
-- Subordination levels across the 'AAA' rated notes have
changed.
-- The spreads across all classes of notes have decreased.
-- Class A-L loans and B-L loans were issued, which are governed
by credit agreements, and replaced the class A-2 and B-2 notes.
-- Class B-L loans were issued at a floating-rate spread and
replaced the class B-2 notes, which were paid a fixed coupon.
The transaction now contains two new classes, class A-L notes and
class B-L notes, that on the refinancing date will have a zero
balance. The class A-L loans and B-L loans can be converted into
A-L notes and B-L notes, respectively. The aggregate outstanding
amount of the A-L loans and A-L notes, together, cannot exceed the
current balance of the A-L loans. The aggregate outstanding amount
of the B-L loans and B-L notes, together, cannot exceed the current
balance of the B-L loans. In addition, the spreads of the
respective note and loan portions must be identical.
DOCUMENT CHANGES
-- Two new classes, class A-L loans and class B-L loans, were
issued, which are governed by credit agreements and are convertible
to notes.
-- There is a provision in the indenture that allows interim
payments of principal proceeds with the requirement that any
payment made must follow the note payment sequence.
-- The transaction allows for the purchase bonds up to 5% of the
collateral principal amount.
The transaction permits the purchase of loss mitigation obligations
with certain requirements as follows:
-- If principal proceeds are used, coverage tests must be
satisfied and either the principal balance of all collateral
obligations (excluding defaulted obligations) plus the S&P Global
Ratings' collateral value of defaulted obligations plus eligible
investments must be greater than or equal to the reinvestment
target par balance, or as an alternative to the latter, if
principal proceeds are used below target par, the obligations
acquired must in addition be no more junior and issued by the same
or affiliated obligor.
-- If interest proceeds are used, there must be sufficient
interest proceeds present to pay all interest on the rated notes.
QUANTITATIVE ANALYSIS
The results shown in table 1 indicate that the rated notes have
sufficient credit enhancement to withstand our projected default
levels.
Table 1
Credit Enhancement
Class Subordination (%) BDR(%) SDR (%) BDR cushion (%)
A-R 38.80 68.24 60.75 7.49
A-L loans 38.80 68.24 60.75 7.49
A-L notes 38.80 68.24 60.75 7.49
B-R 24.77 60.73 53.34 7.39
B-L loans 24.77 60.73 53.34 7.39
B-L notes 24.77 60.73 53.34 7.39
C-R (def) 18.34 52.74 47.45 5.29
D-R (def) 12.89 44.54 38.45 6.09
E-R (def) 8.93 35.17 31.57 3.59
BDR--Break-even default rate.
SDR--Scenario default rate.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take further rating actions
as we deem necessary."
RATINGS ASSIGNED
Neuberger Berman Loan Advisers CLO 30 Ltd.
Replacement class Rating Amount (mil $)
A-R AAA (sf) 59.150
A-L loans AAA (sf) 250.00
A-L notes(i) AAA (sf) 0.000
B-R AA (sf) 35.850
B-L loans AA (sf) 35.000
B-L notes(i) AA (sf) 0.000
C-R (deferrable) A (sf) 32.500
D-R (deferrable) BBB- (sf) 27.500
E-R (deferrable) BB- (sf) 20.000
Subordinated notes NR 45.130
(i)The A-L notes and class B-L notes will have a zero balance on
the refinancing date. The class A-L loans and B-L loans can be
converted into A-L notes and B-L notes, respectively. The aggregate
outstanding amount of the A-L loans and A-L notes, together, cannot
exceed the current balance of the A-L loans. The aggregate
outstanding amount of the B-L loans and B-L notes, together, cannot
exceed the current balance of the B-L loans. In addition, the
spreads of the respective note and loan portions must be identical.
RATINGS WITHDRAWN
Neuberger Berman Loan Advisers CLO 30 Ltd.
Rating
Original class To From
A-1 NR AAA (sf)
A-2 NR NR
B-1 NR AA (sf)
B-2 NR AA (sf)
C (deferrable) NR A (sf)
D (deferrable) NR BBB- (sf)
E (deferrable) NR BB- (sf)
NR--Not rated.
NEUBERGER BERMAN 32: S&P Rates Class E-R Notes BB- (sf)
--------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
D-R, and E-R replacement notes from Neuberger Berman Loan Advisers
CLO 32 Ltd., a CLO originally issued in March 2019 that is managed
by Neuberger Berman Loan Advisers LLC. S&P withdrew its ratings on
the original class A, B, C, D, and E notes following payment in
full on the March 5, 2021, refinancing date.
On the March 5, 2021, refinancing date, the proceeds from the class
A-R, B-R, C-R, D-R, and E-R replacement note issuances were used to
redeem the original class A, B, C, D, and E notes as outlined in
the transaction document provisions. Therefore, S&P withdrew its
ratings on the original notes in line with their full redemption,
and S&P is assigning ratings to the replacement notes.
The assigned ratings reflect S&P's opinion that the credit support
available is commensurate with the associated rating levels. The
replacement notes are being issued via a supplemental indenture,
which, in addition to outlining the terms of the replacement notes,
also reflect the changes.
STRUCTURE CHANGES
-- Subordination levels across all rated notes have changed.
-- The spreads across all classes of notes have decreased.
DOCUMENT CHANGES
-- There is a provision in the indenture that allows interim
payments of principal proceeds with the requirement that any
payment made must follow the note payment sequence.
-- The transaction allows the purchase of bonds up to 5% of the
collateral principal amount.
The transaction permits the purchase of loss mitigation obligations
with the following requirements:
-- If principal proceeds are used, coverage tests must be
satisfied and either the principal balance of all collateral
obligations (excluding defaulted obligations) plus the S&P Global
Ratings' collateral value of defaulted obligations plus eligible
investments must be greater than or equal to the reinvestment
target par balance, or as an alternative to the latter, if
principal proceeds are used below target par, the obligations
acquired must in addition be no more junior and issued by the same
or affiliated obligor.
-- If interest proceeds are used, there must be sufficient
interest proceeds present to pay all interest on the rated notes.
QUANTITATIVE ANALYSIS
The results shown in table 1 indicate that the rated notes have
sufficient credit enhancement to withstand S&P's projected default
levels.
Table 1
Credit Enhancement
Class Subordination(%) BDR(%) SDR(%) BDR cushion (%)
A-R 38.59 68.13 59.94 8.19
B-R 24.72 60.56 52.57 7.99
C-R (def) 18.28 52.58 46.71 5.87
D-R (def) 12.84 44.86 37.85 7.01
E-R (def) 8.87 35.53 31.06 4.47
BDR--Break-even default rate.
SDR--Scenario default rate.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take further rating actions
as we deem necessary."
RATINGS ASSIGNED
Neuberger Berman Loan Advisers CLO 32 Ltd.
Replacement class Rating Amount (mil $)
A-R AAA (sf) 372.000
B-R AA (sf) 84.000
C-R (deferrable) A (sf) 39.000
D-R (deferrable) BBB- (sf) 33.000
E-R (deferrable) BB- (sf) 24.000
Subordinated notes NR 53.755
RATINGS WITHDRAWN
Neuberger Berman Loan Advisers CLO 32 Ltd.
Rating
Original class To From
A NR AAA (sf)
B NR AA (sf)
C (deferrable) NR A (sf)
D (deferrable) NR BBB- (sf)
E (deferrable) NR BB- (sf)
NR--Not rated.
NEW RESIDENTIAL 2021-NQM1R: Fitch Gives Final B Rating on B-2 Debt
------------------------------------------------------------------
Fitch Ratings has assigned final ratings to New Residential
Mortgage Loan Trust 2021-NQM1R (NRMLT 2021-NQM1R).
DEBT RATING PRIOR
---- ------ -----
NRMLT 2021-NQM1R
A-1 LT AAAsf New Rating AAA(EXP)sf
A-2 LT AAsf New Rating AA(EXP)sf
A-3 LT Asf New Rating A(EXP)sf
M-1 LT BBBsf New Rating BBB(EXP)sf
B-1 LT BBsf New Rating BB(EXP)sf
B-2 LT Bsf New Rating B(EXP)sf
B-3 LT NRsf New Rating NR(EXP)sf
A-IO-S LT NRsf New Rating NR(EXP)sf
XS-1 LT NRsf New Rating NR(EXP)sf
XS-2 LT NRsf New Rating NR(EXP)sf
TRANSACTION SUMMARY
The notes are supported by 528 loans from two NRMLT collapsed
transactions that have a balance of $262.7 million as of the Feb.
1, 2020 cutoff date. This will be the ninth Fitch-rated
nonqualified mortgages (NQMs) transaction consisting of loans
solely originated by NewRez LLC (NewRez), which was formerly known
as New Penn Financial, LLC. The loans in this pool are from two
called deals, previously rated by Fitch, NRMLT 2018-NQM1 and NRMLT
2019-NQM1.
The notes are secured mainly by NQMs as defined by the
Ability-to-Repay (ATR) Rule. Approximately 75% of the loans in the
pool are designated as NQM, with 0.6% QM loans, and the remaining
24.4% are investor properties and thus not subject to the ATR
Rule.
There is LIBOR exposure in this transaction. The collateral
consists of 48% adjustable-rate loans, which reference one-year
LIBOR. The certificates are fixed rate and capped at the net
weighted average coupon (WAC).
KEY RATING DRIVERS
NonPrime Credit Quality (Mixed): The collateral consists of 528
loans, totaling $263 million, and seasoned approximately 31 months
in aggregate according to Fitch (29 months per the collateral
strats). The borrowers have an adequate credit profile similar to
other NQM transactions (732 FICO and 33% DTI as determined by
Fitch) and moderate leverage [72% supervisory loan-to-value
(sLTV)]. The pool consists of 72.8% of loans where the borrower
maintains a primary residence, while 27.2% is an investor property
or second home. Additionally, 19% of the loans were originated
through a retail channel. Additionally, 0.6% are designated as QM
loan, while 0% are HPQM, 75% are NonQM and the remainder are not
subject to QM as they are investor loans. All of the loans were
originated by NewRez LLC and have been serviced since origination
by Shellpoint Mortgage Servicing.
Geographic Concentration (Negative): Approximately 38.9% of the
pool is concentrated in California. The largest MSA concentration
is in the Los Angeles-Long Beach-Santa Ana, CA (21.7%), followed by
the New York-Northern New Jersey-Long Island, NY-NJ-PA (18.3%) and
the Miami-Fort Lauderdale-Miami Beach, FL (9.4%). The top three
MSAs account for 49.4% of the pool. As a result, there was a 1.06x
probability of default (PD)penalty for geographic concentration.
Loan Documentation (Negative): Approximately 77.6% of the pool was
underwritten to less than full documentation as determined by
Fitch. Approximately 72% was underwritten to a 12 or 24 month bank
statement program for verifying income, which is not consistent
with Appendix Q standards and Fitch's view of a full documentation
program. A key distinction between this pool and legacy Alt-A loans
is that these loans adhere to underwriting and documentation
standards required under the CFPB's ATR Rule, which reduces the
risk of borrower default arising from lack of affordability,
misrepresentation or other operational quality risks due to rigor
of the Rule's mandates with respect to the underwriting and
documentation of the borrower's ability to repay. Additionally,
0.36% are an Asset Depletion product (1 loan), and 5.34% are a debt
service coverage ratio product.
Fitch considered 22.4% of the pool as fully documented based on the
loans underwritten to 12-24 months of W2s and/or tax returns.
High Investor Property Concentrations (Negative): Approximately 25%
of the pool comprises investment property loans, including 5%
underwritten to a cash flow ratio rather than the borrower's
debt-to-income ratio. Investor property loans exhibit higher PDs
and higher loss severities (LS) than owner-occupied homes. The
borrowers of the investor properties in the pool have strong credit
profiles, with a WA FICO of 741 and an original LTV of 66% (loans
underwritten to the cash flow ratio have a WA FICO of 718 and an
original LTV of 65%). Fitch increased the PD by approximately 2.0x
for the cash flow ratio loans (relative to a traditional income
documentation investor loan) to account for the increased risk.
Limited Advancing (Mixed): The servicers will be advancing
delinquent monthly payments of P&I for180 days. Advances of
delinquent P&I required, but not paid, by Shellpoint will be paid
by Nationstar, and if Nationstar is unable to advance, advances
will be made by U.S. Bank, National Association, the transaction's
paying agent.
The limited advancing feature resulted in lower expected losses
than a full advancing structure, as there is less money returned to
the servicer in the event of liquidation.
The servicer will advance the principal, interest, tax and
insurance payments not made by the mortgagor notwithstanding the
fact that such amounts are not due from the mortgagor during the
forbearance period.
Modified Sequential Payment Structure (Neutral): The structure
distributes collected principal pro rata among the class A notes
while shutting out the subordinate bonds from principal until all
three classes are reduced to zero. To the extent that either a
cumulative loss trigger event or a delinquency trigger event occurs
in a given period, principal will be distributed sequentially to
the class A-1, A-2 and A-3 bonds until they are reduced to zero.
Payment Forbearance (Mixed): As of the cut-off date, there are four
loans on active coronavirus-related forbearance plans. Three of
these loans entered into a forbearance plan in December 2020 (two
month forbearance plan ending in February 2021) and one loan
entered into a forbearance plan on November 2020 (five-month FB
plan ending in April 2021).
A total of 116 loans had previously entered into a
coronavirus-related forbearance plan with Shellpoint and are
currently no longer on a forbearance plan. The majority of these
borrowers (79 loans) had their missed payments deferred. The
remaining (37 loans) were either always current or repaid in full
any missed payments.
Shellpoint is offering borrowers up to an initial three-month
payment forbearance plan (some borrowers have been offered a
two-month payment forbearance plan). At the end of each month
during the initial forbearance period, the amount advanced by the
servicer with respect to a COVID Mortgage Loan (to the extent not
paid by the mortgagor) will be deferred as a non-interest bearing
deferred amount, with such deferred amount not due until the
maturity date, payoff of the related mortgage loan or the sale of
the related mortgaged property.
The servicer will continue to advance during the initial
forbearance period. Recoveries of advances will be taken from
general principal collections received in respect of all of the
Mortgage Loans. The principal portion of any such deferred amount
for a COVID Mortgage Loan will be treated as a realized loss and
allocated to the offered notes. While this may increase realized
losses, the 410 bps of excess spread as of the closing date should
be available to absorb these amounts and reduce the potential for
writedowns.
Prior to the end of the applicable initial forbearance period for
each COVID Mortgage Loan, the servicer will attempt to contact each
related mortgagor to identify whether such mortgagor is still
experiencing an ongoing hardship as a direct or indirect result of
the coronavirus outbreak. To the extent that a mortgagor is granted
additional payment relief by the servicer following the initial
three month forbearance period, the servicer will advance the
principal, interest, tax and insurance payments not made by the
mortgagor. This is notwithstanding the fact that such amounts are
not due from the mortgagor during the forbearance period, but such
advanced amounts will be reimbursed to the servicer only as
described under "Servicing of the Mortgage Loans-Advances" in the
private placement memorandum and such amounts will not be deferred
as non-interest bearing deferred amounts or treated as realized
losses.
Operational Risk (Positive): Operational risk is well controlled
for in this transaction. NewRez, a wholly owned subsidiary of NRZ,
contributed 100% of the loans in the securitization pool. NewRez
employs robust sourcing and underwriting processes and is assessed
by Fitch as an 'Average' originator. Fitch believes NRZ has solid
RMBS experience despite its limited non-QM issuance and is an
'Acceptable' aggregator. Primary and master servicing functions
will be performed by Shellpoint Mortgage Servicing (Shellpoint) and
Nationstar Mortgage LLC (Nationstar), rated 'RPS2' and 'RMS2+',
respectively. The sponsor's retention of at least 5% of each class
of bonds helps ensure an alignment of interest between the issuer
and investors.
Representation and Warranty Framework (Negative): The seller will
be providing loan-level representations (reps) and warranties (R&W)
to the loans in the trust. The R&W framework for this transaction
is classified as a Tier 2 due to the lack of an automatic review
for loans other than those with ATR realized losses. While the
seller is not rated by Fitch, its parent, NRZ, has an internal
credit opinion from Fitch. Through an agreement, NRZ ensures that
the seller will meet its obligations and remain financially viable.
Fitch increased its loss expectations 75bps at the 'AAAsf' rating
category to account for the limitations of the Tier 2 framework and
the counterparty risk.
Third-Party Due Diligence (Positive): Third-party due diligence was
performed on 100% of loans in the transaction by AMC Diligence,
LLC, an 'Acceptable - Tier 1' TPR. The results of the review
confirm strong origination practices with no material exceptions.
Exceptions on loans with 'B' grades either had strong mitigating
factors or were mostly accounted for in Fitch's loan loss model.
Fitch applied a credit for the high percentage of loan level due
diligence which reduced the 'AAAsf' loss expectation by 37bps.
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. Two
sets of sensitivity analyses were conducted at the state and
national levels to assess the effect of higher MVDs for the subject
pool.
Factor that could, individually or collectively, lead to a negative
rating action/downgrade:
-- This defined negative stress sensitivity analysis demonstrates
how the ratings would react to steeper MVDs at the national
level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in
addition to the model-projected 38.5% at 'AAAsf'. The analysis
indicates that there is some potential rating migration with
higher MVDs, compared with the model projection.
Factors that could, individually or collectively, lead to a
positive rating action/upgrade:
-- This defined positive rating sensitivity analysis demonstrates
how the ratings would react to negative MVDs at the national
level, or positive home price growth with no assumed
overvaluation. The analysis assumes positive home price growth
of 10.0%. Excluding the senior classes which are already
'AAAsf', the analysis indicates there is potential positive
rating migration for all of the rated classes.
-- This section provides insight into the model-implied
sensitivities the transaction faces when one assumption is
modified, while holding others equal. The modeling process
uses the modification of these variables to reflect asset
performance in up- and down environments. The results should
only be considered as one potential outcome, as the
transaction is exposed to multiple dynamic risk factors. It
should not be used as an indicator of possible future
performance.
Fitch has also added a coronavirus sensitivity analysis that
contemplates a more severe and prolonged economic stress caused by
a reemergence of infections in the major economies, before a slow
recovery begins in 2Q21. Under this severe scenario, Fitch expects
the ratings to be impacted by changes in its sustainable home price
model due to updates to the model's underlying economic data
inputs. Any long-term impact arising from coronavirus disruptions
on these economic inputs will likely affect both investment and
speculative grade ratings.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC. The third-party due diligence described in Form
15E focused on three areas: a compliance review, a credit review,
and a valuation review, and was conducted on 100% of the loans in
the pool. Fitch considered this information in its analysis and
believes the overall results of the review generally reflected
strong underwriting controls. Fitch received certifications
indicating that the loan-level due diligence was conducted in
accordance with its published standards for reviewing loans and in
accordance with the independence standards outlined in its
criteria.
Fitch considered all the above information in its analysis and, as
a result, Fitch did not make any adjustments to its analysis.
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review
performed on 100% of the pool. The third-party due diligence was
generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC
was engaged to perform the review. Loans reviewed under this
engagement were given compliance, credit and valuation grades, and
assigned initial grades for each subcategory. Minimal exceptions
and waivers were noted in the due diligence reports. Refer to the
Third-Party Due Diligence section for more detail.
Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. Fitch received
loan-level information based on the American Securitization Forum's
(ASF) data layout format, and the data are considered to be
comprehensive. The ASF data tape layout was established with input
from various industry participants, including rating agencies,
issuers, originators, investors and others to produce an industry
standard for the pool-level data in support of the U.S. RMBS
securitization market. The data contained in the ASF layout data
tape were reviewed by the due diligence companies, and no material
discrepancies were noted.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
OFSI BSL VIII: S&P Affirms B+ (sf) Rating on Class E Notes
----------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
and D-R replacement notes from OFSI BSL VIII Ltd., a CLO originally
issued in 2017 that is managed by OFS CLO Management LLC. S&P
withdrew its ratings on the original class A, B, C, and D notes
following payment in full on the March 4, 2021, refinancing date.
At the same time, S&P affirmed its ratings on the class E notes.
On the March 4, 2021 refinancing date, the proceeds from the class
A-R, B-R, C-R, and D-R replacement note issuances were used to
redeem the original class A, B, C and D notes as outlined in the
transaction document provisions. S&P said, "Therefore, we withdrew
our ratings on the original notes in line with their full
redemption, and we are assigning ratings to the replacement notes.
The replacement notes are being issued via a supplemental
indenture, which outlines the terms of the replacement notes."
REPLACEMENT AND ORIGINAL NOTE ISSUANCES
Replacement Notes
Class Amount (mil. $) Interest rate (%)
A-R 252.00 Benchmark + 1.00
B-R 56.00 Benchmark + 1.50
C-R 20.00 Benchmark + 2.00
D-R 20.00 Benchmark + 3.80
Original Notes
Class Amount (mil. $) Interest rate (%)
A 252.00 Benchmark + 1.32
B 56.00 Benchmark + 1.80
C 20.00 Benchmark + 2.40
D 20.00 Benchmark + 3.97
S&P said, "In line with our criteria, our cash flow scenarios
applied forward-looking assumptions on the expected timing and
pattern of defaults, and recoveries upon default, under various
interest rate and macroeconomic scenarios. In addition, our
analysis considered the transaction's ability to pay timely
interest or ultimate principal, or both, to each of the rated
tranches.
"The assigned and affirmed ratings reflect our opinion that the
credit support available is commensurate with the associated rating
levels."
S&P Global Ratings believes there remains high, albeit moderating,
uncertainty about the evolution of the coronavirus pandemic and its
economic effects. Vaccine production is ramping up and rollouts are
gathering pace around the world. Widespread immunization, which
will help pave the way for a return to more normal levels of social
and economic activity, looks to be achievable by most developed
economies by the end of the third quarter. However, some emerging
markets may only be able to achieve widespread immunization by
year-end or later. S&P said, "We use these assumptions about
vaccine timing in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, we will
update our assumptions and estimates accordingly."
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and S&P will take rating actions as it
deems necessary.
RATINGS ASSIGNED
OFSI BSL VIII Ltd.
Replacement class Rating Amount (mil $)
A-R AAA (sf) 252.00
B-R AA (sf) 56.00
C-R A (sf) 20.00
D-R BBB (sf) 20.00
RATINGS AFFIRMED
OFSI BSL VIII Ltd.
Class Rating
E B+ (sf)
RATINGS WITHDRAWN
OFSI BSL VIII Ltd.
Rating
Original class To From
A NR AAA (sf)
B NR AA (sf)
C NR A (sf)
D NR BBB (sf)
NR--Not rated.
OHA CREDIT VII: S&P Assigns 'BB- (sf)' Rating on Class E-R3 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R3 notes,
A-L loans, A-L notes, B-R3 notes, B-L loans, B-L notes, C-R3 notes,
D-1-R3 notes, D-2-R3 notes, and E-R3 replacement notes from OHA
Credit Partners VII Ltd./OHA Credit Partners VII LLC, a CLO
previously refinanced September 2020 that is managed by Oak Hill
Advisors L.P. S&P withdrew our ratings on the class A-R, B-1-R,
B-2-R2, C-R, D-R, and E-R notes following payment in full on the
March 5, 2021, refinancing date.
On the March 5, 2021 refinancing date, the proceeds from the class
A-R3 notes, A-L loans, A-L notes, B-R3 notes, B-L loans, B-L notes,
C-R3 notes, D-1-R3 notes, D-2-R3 notes, and E-R3 replacement note
issuances were used to redeem the class A-R, B-1-R, B-2-R2, C-R,
D-R, and E-R notes as outlined in the transaction document
provisions. S&P said, "Therefore, we withdrew our ratings on the
original notes in line with their full redemption, and we are
assigning ratings to the replacement notes."
The replacement notes are being issued via a supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, will also:
-- The replacement class A-R3, A-L, B-R3, B-L, C-R3, D-1-R3,
D-2-R3, and E-R3 are expected to be issued at a lower spread than
the original notes;
-- The reinvestment period will be extended to February 2026, the
non-call period will be extended to February 2023, and the stated
maturity will be extended to February 2034;
-- 100.00% of the underlying collateral obligations have credit
ratings assigned by S&P Global Ratings; and
-- 93.87% of the underlying collateral obligations have recovery
ratings assigned by S&P Global Ratings.
The deal is now allowed to purchase workout obligations with the
following requirements:
-- If principal proceeds are used, the principal balance of all
collateral obligations (excluding defaulted obligations) plus the
S&P Global Ratings' collateral value of defaulted obligations plus
eligible investments must be greater than or equal to the
reinvestment target par balance, and each overcollateralization
ratio test must satisfied.
-- If interest proceeds are used, there must be sufficient
interest proceeds present to pay all interest on the rated notes.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"The assigned ratings reflect our opinion that the credit support
available is commensurate with the associated rating levels.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take rating actions as we
deem necessary."
Ratings Assigned
OHA Credit Partners VII Ltd./OHA Credit Partners VII LLC
Replacement class A-R3 notes, $129.00 million: 'AAA (sf)'
Replacement class A-L loans(i), $305.00 million: 'AAA (sf)'
Replacement class A-L notes(i), $0.00 million: 'AAA (sf)'
Replacement class B-R3 notes, $28.00 million: 'AA (sf)'
Replacement class B-L loans(ii), $70.00 million: 'AA (sf)'
Replacement class B-L notes(ii), $0.00 million: 'AA (sf)'
Replacement class C-R3 notes, $42.00 million: 'A (sf)'
Replacement class D-1-R3 notes(iii), $35.00 million: 'BBB- (sf)'
Replacement class D-2-R3 notes(iii), $10.50 million: 'BBB- (sf)'
Replacement class E-R3 notes, $22.75 million: 'BB- (sf)'
Subordinated notes, $90.70 million: NR
(i)The class A-L loans may be converted to A-L notes, and the A-L
loans will be reduced by such amount
(ii)The class B-L loans may be converted to B-L notes, and the B-L
loans will be reduced by such amount.
(iii)Classes D-1-R3 and D-2-R3 are paid sequentially in the
priority of payments.
NR--Not rated.
PALMER SQUARE 2021-1: Moody's Gives (P)B3 Rating on Class E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of notes to be issued by Palmer Square CLO 2021-1, Ltd.
(the "Issuer" or "Palmer Square 2021-1").
Moody's rating action is as follows:
US$299,250,000 Class A-1 Senior Secured Floating Rate Notes due
2034 (the "Class A-1 Notes"), Assigned (P)Aaa (sf)
US$62,937,500 Class A-2 Senior Secured Floating Rate Notes due 2034
(the "Class A-2 Notes"), Assigned (P)Aa2 (sf)
US$23,275,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2034 (the "Class B Notes"), Assigned (P)A2 (sf)
US$31,112,500 Class C Senior Secured Deferrable Floating Rate Notes
due 2034 (the "Class C Notes"), Assigned (P)Baa3 (sf)
US$20,425,000 Class D Secured Deferrable Floating Rate Notes due
2034 (the "Class D Notes"), Assigned (P)Ba3 (sf)
US$7,125,000 Class E Secured Deferrable Floating Rate Notes due
2034 (the "Class E Notes"), Assigned (P)B3 (sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the
Class C Notes, the Class D Notes, and the Class E Notes are
referred to herein, collectively, as the "Rated Notes."
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.
Palmer Square 2021-1 is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 90.0% of the portfolio must
consist of first lien senior secured loans, cash, and eligible
investments, and up to 10.0% of the portfolio may consist of second
lien loans and senior unsecured loans. Moody's expect the portfolio
to be approximately 90% ramped as of the closing date.
Palmer Square Capital Management LLC (the "Manager") will direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.
In addition to the Rated Notes, the Issuer will issue subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2020.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $475,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2800
Weighted Average Spread (WAS): 3.30%
Weighted Average Coupon (WAC): 6.0%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 9 years
The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Moody's analysis has considered the effect on the performance of
corporate assets from the current weak U.S. economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around Moody's forecasts is unusually high. Moody's
regards the coronavirus outbreak as a social risk under its ESG
framework, given the substantial implications for public health and
safety.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2020.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
SIERRA TIMESHARE 2021-1: Fitch to Give 'BB(EXP)' on Class D Notes
------------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Outlooks to notes
issued by Sierra Timeshare 2021-1 Receivables Funding LLC (2021-1).
The social and market disruption caused by the coronavirus pandemic
and related containment measures have negatively affected the U.S.
economy. To account for the potential impact, Fitch incorporated
conservative assumptions in deriving the base case cumulative gross
default (CGD) proxy. The analysis focused on peak extrapolations of
2007-2009 and 2017-2018 vintages as a starting point. The
sensitivity of the ratings to scenarios more severe than currently
expected is provided in the Rating Sensitivities section.
DEBT RATING
---- ------
Sierra Timeshare 2021-1 Receivables Funding LLC
A LT AAA(EXP)sf Expected Rating
B LT A(EXP)sf Expected Rating
C LT BBB(EXP)sf Expected Rating
D LT BB(EXP)sf Expected Rating
KEY RATING DRIVERS
Borrower Risk - Strong Collateral Quality: Approximately 67.9% of
Sierra 2021-1 consists of Wyndham Vacation Resorts, Inc. (WVRI)
originated loans; the remaining loans were originated by Wyndham
Resort Development Corporation (WRDC). Fitch has determined that,
on a like-for-like FICO basis, WRDC's receivables perform better
than WVRI's. The weighted average (WA) original FICO score of the
pool is 730. Overall, the 2021-1 pool shows a marginal increase in
WRDC loans and moderate shift upward in the FICO-band
concentrations for the WVRI platform relative to the 2020-2
transaction.
Forward-Looking Approach on CGD Proxy - Weakening CGD Performance:
Similar to other timeshare originators, Travel + Leisure Co.'s (T+L
[formerly Wyndham Destinations, Inc.]) delinquency and default
performance exhibited notable increases in the 2007-2008 vintages,
stabilizing in 2009 and thereafter. However, more recent vintages
from 2014-2018 have experienced increasing gross defaults versus
vintages back to 2009, partially driven by increased paid product
exits (PPEs). Fitch's CGD proxy for this pool is 22.40% (lower than
22.50% in 2020-2). Given the current economic environment and
increasing gross default trends, Fitch applied a conservative
approach to the CGD proxy.
Coronavirus Pressure Continues: Fitch has made assumptions about
the spread of the coronavirus and the economic impact of the
related containment measures. As a base case scenario, Fitch
assumes that the global recession that took hold in 1H20 and
subsequent activity bounce in 3Q20 are followed by a slower
recovery trajectory from 4Q20 onward with GDP remaining below its
4Q19 level for 18-30 months. To account for this scenario, Fitch's
base case proxy focused on prior recessionary vintages of 2007-2009
as well as more recent weaker performing vintages of 2017-2018 to
arrive at a 22.40% base case proxy. The CGD proxy accounts for the
weaker performance and potential negative impacts from the severe
downturn in the tourism and travel industries during the pandemic
that are highly correlated with the timeshare sector.
As a downside (sensitivity) scenario provided in the Expected
Rating Sensitivity section, Fitch considers a more severe and
prolonged period of stress with recovery to pre-crisis GDP levels
delayed until 2023 in the U.S. Under the downside case, Fitch also
completed a rating sensitivity by doubling the initial base case
loss proxy (please refer to Expected Rating Sensitivity section).
Under this scenario, the notes could be downgraded by up to three
categories.
Structural Analysis - Deal-Over-Deal Lower CE Structure: Initial
hard credit enhancement (CE) for the class A, B, C and D notes is
70.20%, 40.70%, 17.00% and 4.50%, respectively. CE is lower for the
class A through D notes from 75.50%, 45.25%, 22.75%, and 12.50%
respectively, in 2020-2, but remains above pre-pandemic
transactions for the class A through C notes. Hard CE comprises
overcollateralization, a reserve account and subordination. Soft CE
is also provided by excess spread and is expected to be 11.6% per
year. Loss coverage for all notes is able to support default
multiples of 3.50x, 2.50x, 1.75x and 1.25x for 'AAAsf', 'Asf',
'BBBsf' and 'BBsf', respectively. The decline in CE is primarily
attributed to a slightly stronger collateral pool than 2020-2, as
evidenced by the decline in the base case default proxy.
Originator/Seller/Servicer Operational Review - Quality of
Origination/Servicing: T+L has demonstrated sufficient abilities as
an originator and servicer of timeshare loans. This is evidenced by
the historical delinquency and loss performance of securitized
trusts and of the managed portfolio.
Legal Structure Integrity: The legal structure of the transaction
should provide that a bankruptcy of T+L and Wyndham Consumer
Finance, Inc. (WCF) would not impair the timeliness of payments on
the securities.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Stable to improved asset performance driven by stable
delinquencies and defaults would lead to increasing CE levels
and consideration for potential upgrades. If CGD is 20% less
than the projected proxy, the expected ratings would be
maintained for class A notes at stronger rating multiples. For
the class B, C and D notes, the multiples would increase
resulting for potential upgrade of one rating category, one
notch, and one rating category, respectively.
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- Unanticipated increases in the frequency of defaults could
produce CGD levels higher than the base case and would likely
result in declines of CE and remaining default coverage levels
available to the notes. Additionally, unanticipated increases
in prepayment activity could also result in a decline in
coverage. Decreased default coverage may make certain note
ratings susceptible to potential negative rating actions,
depending on the extent of the decline in coverage.
-- Hence, Fitch conducts sensitivity analysis by stressing both a
transaction's initial base case CGD and prepayment assumptions
and examining the rating implications on all classes of issued
notes. The CGD sensitivity stresses the CGD proxy to the level
necessary to reduce each rating by one full category, to non
investment grade (BBsf) and to 'CCCsf' based on the break-even
loss coverage provided by the CE structure. The prepayment
sensitivity includes 1.5x and 2.0x increases to the prepayment
assumptions representing moderate and severe stresses,
respectively. These analyses are intended to provide an
indication of the rating sensitivity of notes to unexpected
deterioration of a trust's performance.
-- Additionally, Fitch conducts increases of 1.5x and 2.0x to the
CGD proxy, which represents moderate and severe stresses,
respectively. These analyses are intended to provide an
indication of the rating sensitivity of notes to unexpected
deterioration of a trust's performance. A more prolonged
disruption from the pandemic is accounted for in the severe
downside stress of 2.0x and could result in downgrades of one
to three rating categories.
-- Due to the coronavirus pandemic, the U.S. and the broader
global economy remain under stress, with surging unemployment
and pressure on businesses stemming from government social
distancing guidelines. Unemployment pressure on the consumer
base may result in increases in delinquencies.
-- For sensitivity purposes, Fitch also assumed a 2.0x increase
in delinquency stress. The results indicated no adverse rating
impact to the notes.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with third-party due diligence information from
Deloitte & Touche LLP. The third-party due diligence focused on a
comparison and re-computation of certain characteristics with
respect to 150 sample loans. Fitch considered this information in
its analysis, and the findings did not have an impact on the
agency's analysis or conclusions.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
SIERRA TIMESHARE 2021-1: S&P Assigns Prelim 'BB' Rating on D Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Sierra
Timeshare 2021-1 Receivables Funding LLC's timeshare loan-backed,
fixed-rate notes.
The note issuance is an ABS transaction backed by a vacation
ownership interval (timeshare) loans.
The preliminary ratings are based on the information as of March 3,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
S&P said, "Given that we are in a recessionary period since the
pandemic started in 2020 and to reflect the uncertain and weakened
U.S. economic and sector outlook, we increased our base-case
default assumption by 1.25x to stress defaults from 'B' to 'BB'
rating scenarios. In addition to our base rating stress, to reflect
additional liquidity stress from deferrals and potential increase
in delinquencies, we also considered incremental liquidity and
sensitivity stress in all rating categories.
"The preliminary ratings reflect our opinion of the credit
enhancement available in the form of subordination,
overcollateralization, a reserve account, and available excess
spread. The preliminary ratings also reflect our view of Wyndham
Consumer Finance Inc.'s (WCF) servicing ability and experience in
the timeshare market."
S&P Global Ratings believes there remains high, albeit moderating,
uncertainty about the evolution of the coronavirus pandemic and its
economic effects. Vaccine production is ramping up and rollouts are
gathering pace around the world. Widespread immunization, which
will help pave the way for a return to more normal levels of social
and economic activity, looks to be achievable by most developed
economies by the end of the third quarter. However, some emerging
markets may only be able to achieve widespread immunization by
year-end or later. S&P said, "We use these assumptions about
vaccine timing in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, we will
update our assumptions and estimates accordingly."
Preliminary Ratings Assigned
Sierra Timeshare 2021-1 Receivables Funding LLC
Class A, $98.878 million: AAA (sf)
Class B, $90.306 million: A (sf)
Class C, $72.551 million: BBB (sf)
Class D, $38.265 million: BB (sf)
SIXTH STREET XVII: S&P Assigns BB- (sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to Sixth Street CLO XVII
Ltd./Sixth Street CLO XVII LLC's floating-rate notes.
The note issuance is a CLO 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 diversification of the collateral pool;
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Sixth Street CLO XVII Ltd./Sixth Street CLO XVII LLC
Class A, $263.500 million: AAA (sf)
Class B, $59.500 million: AA (sf)
Class C (deferrable), $23.375 million: A (sf)
Class D (deferrable), $25.500 million: BBB- (sf)
Class E (deferrable), $14.875 million: BB- (sf)
Subordinated notes, $43.000 million: Not rated
TCI-FLATIRON 2018-1: Moody's Gives Ba3 Rating on Class E-R Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
CLO refinancing notes issued by TCI-Flatiron CLO 2018-1 Ltd. (the
"Issuer").
Moody's rating action is as follows:
US$75,000,000 Class AN-R Senior Secured Floating Rate Notes Due
2032 (the "Class AN-R Notes"), Assigned Aaa (sf)
US$52,500,000 Class B-R Senior Secured Floating Rate Notes Due 2032
(the "Class B-R Notes"), Assigned Aa2 (sf)
US$24,500,000 Class C-R Senior Secured Deferrable Floating Rate
Notes Due 2032 (the "Class C-R Notes"), Assigned A2 (sf)
US$31,750,000 Class D-R Senior Secured Deferrable Floating Rate
Notes Due 2032 (the "Class D-R Notes"), Assigned Baa3 (sf)
US$31,250,000 Class E-R Senior Secured Deferrable Floating Rate
Notes Due 2032 (the "Class E-R Notes"), Assigned Ba3 (sf)
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks particularly those associated with the
CLO's portfolio and structure.
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.
TCI Capital Management LLC (the "Manager") will continue to direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's remaining
reinvestment period.
The Issuer previously issued Class A Senior Secured Loans and
subordinated notes, which will remain outstanding.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: repricing of the Class A Senior
Secured Loans; additions to the CLO's ability to hold workout and
restructured assets; changes to the definition of "Adjusted
Weighted Average Moody's Rating Factor"; extension of the non-call
period; and the removal of Volcker restrictions.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Performing par and principal proceeds balance: $498,552,896
Defaulted par: $1,264,880
Diversity Score: 82
Weighted Average Rating Factor (WARF): 3023
Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.30%
Weighted Average Recovery Rate (WARR): 48.25%
Weighted Average Life (WAL): 7.25 years
In consideration of the current high uncertainties around the
global economy, and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from Moody's base case. Some of the
additional scenarios that Moody's considered in its analysis of the
transaction include, among others: an additional cashflow analysis
assuming a lower WAS to test the sensitivity to LIBOR floors;
sensitivity analysis on deteriorating credit quality due to a large
exposure to loans with negative outlook, and a lower recovery rate
assumption on defaulted assets to reflect declining loan recovery
rate expectations.
The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Moody's analysis has considered the effect on the performance of
corporate assets from the current weak U.S. economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around Moody's forecasts is unusually high.
Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2020.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.
TOWD POINT 2020-MH1: Fitch Affirms B Rating on 5 Debt Classes
-------------------------------------------------------------
Fitch Ratings has affirmed 62 classes from the TPMT 2019-MH1 and
TPMT 2020-MH1 RMBS transactions.
Rating Action Summary:
-- 62 classes affirmed;
-- 46 classes have a Positive Outlook; 16 classes have a Stable
Outlook; and no classes have a Negative Outlook.
DEBT RATING PRIOR
---- ------ -----
TPMT 2020-MH1
A1 89178YAA2 LT AAAsf Affirmed AAAsf
A1A 89178YAH7 LT AAAsf Affirmed AAAsf
A1AX 89178YAJ3 LT AAAsf Affirmed AAAsf
A2 89178YAB0 LT AAsf Affirmed AAsf
A2A 89178YAK0 LT AAsf Affirmed AAsf
A2AX 89178YAL8 LT AAsf Affirmed AAsf
A2B 89178YAM6 LT AAsf Affirmed AAsf
A2BX 89178YAN4 LT AAsf Affirmed AAsf
A3 89178YAP9 LT AAsf Affirmed AAsf
A4 89178YAQ7 LT Asf Affirmed Asf
A5 89178YAR5 LT BBBsf Affirmed BBBsf
B1 89178YAE4 LT BBsf Affirmed BBsf
B1A 89178YAY0 LT BBsf Affirmed BBsf
B1AX 89178YAZ7 LT BBsf Affirmed BBsf
B1B 89178YBA1 LT BBsf Affirmed BBsf
B1BX 89178YBB9 LT BBsf Affirmed BBsf
B2 89178YAF1 LT Bsf Affirmed Bsf
B2A 89178YBC7 LT Bsf Affirmed Bsf
B2AX 89178YBD5 LT Bsf Affirmed Bsf
B2B 89178YBE3 LT Bsf Affirmed Bsf
B2BX 89178YBF0 LT Bsf Affirmed Bsf
M1 89178YAC8 LT Asf Affirmed Asf
M1A 89178YAS3 LT Asf Affirmed Asf
M1AX 89178YAT1 LT Asf Affirmed Asf
M1B 89178YAU8 LT Asf Affirmed Asf
M1BX 89178YAV6 LT Asf Affirmed Asf
M2 89178YAD6 LT BBBsf Affirmed BBBsf
M2A 89178YBX1 LT BBBsf Affirmed BBBsf
M2AX 89178YBY9 LT BBBsf Affirmed BBBsf
M2B 89178YAW4 LT BBBsf Affirmed BBBsf
M2BX 89178YAX2 LT BBBsf Affirmed BBBsf
TPMT 2019-MH1
A1 89177WAA7 LT AAAsf Affirmed AAAsf
A1A 89177WAT6 LT AAAsf Affirmed AAAsf
A1AX 89177WAU3 LT AAAsf Affirmed AAAsf
A2 89177WAB5 LT AAsf Affirmed AAsf
A2A 89177WAV1 LT AAsf Affirmed AAsf
A2AX 89177WAX7 LT AAsf Affirmed AAsf
A2B 89177WAW9 LT AAsf Affirmed AAsf
A2BX 89177WAY5 LT AAsf Affirmed AAsf
A3 89177WAK5 LT AAsf Affirmed AAsf
A4 89177WAL3 LT Asf Affirmed Asf
A5 89177WAM1 LT BBBsf Affirmed BBBsf
B1 89177WAE9 LT BBsf Affirmed BBsf
B1A 89177WBH1 LT BBsf Affirmed BBsf
B1AX 89177WBK4 LT BBsf Affirmed BBsf
B1B 89177WBJ7 LT BBsf Affirmed BBsf
B1BX 89177WBL2 LT BBsf Affirmed BBsf
B2 89177WAF6 LT Bsf Affirmed Bsf
B2A 89177WBM0 LT Bsf Affirmed Bsf
B2AX 89177WBP3 LT Bsf Affirmed Bsf
B2B 89177WBN8 LT Bsf Affirmed Bsf
B2BX 89177WBQ1 LT Bsf Affirmed Bsf
M1 89177WAC3 LT Asf Affirmed Asf
M1A 89177WAZ2 LT Asf Affirmed Asf
M1AX 89177WBB4 LT Asf Affirmed Asf
M1B 89177WBA6 LT Asf Affirmed Asf
M1BX 89177WBC2 LT Asf Affirmed Asf
M2 89177WAD1 LT BBBsf Affirmed BBBsf
M2A 89177WBD0 LT BBBsf Affirmed BBBsf
M2AX 89177WBF5 LT BBBsf Affirmed BBBsf
M2B 89177WBE8 LT BBBsf Affirmed BBBsf
M2BX 89177WBG3 LT BBBsf Affirmed BBBsf
KEY RATING DRIVERS
Stable Collateral Performance: The collateral performance for both
deals has remained relatively stable. While both transactions were
initially rated when all loans were deemed current, since the
initial rating assignment, the deals have shown migration in their
delinquencies. The migration to 30, 60, and 90 days current has
been minimal for both transactions.
Pool Losses: Since the transactions were first rated, the projected
losses for TPMT 2019-MH1 is down 310bps to 37.6% in the 'AAAsf'
stress scenario. While the projected losses for TPMT 2020-MH1 are
26.9% in the AAAsf stress scenario, which is up 85bps since the
transaction was first rated. The higher loss projections for TPMT
2020-MH1 is driven by higher delinquencies.
Rating Cap Analysis: The rating cap analysis was not applicable for
the two deals under surveillance review.
Manufactured Housing Loans: The two transactions are backed by 100%
seasoned MH loans. MH loans typically experience higher default
rates and lower recoveries than site-built residential homes. Fitch
applied a loan-level loss model developed specifically for MH loans
based on the historical observations of more than 1 million MH
loans originated from 1993-2002, with performance tracked through
2018.
RATING SENSITIVITIES
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to additional losses. 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 that may be considered in the
surveillance of the transactions.
The defined stress sensitivity analysis demonstrates how the
ratings would react to additional losses. The defined rating
sensitivities determine the increase in loss that would reduce a
rating by one full category to non-investment grade and to
'CCCsf'.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
No third-party due diligence was provided or reviewed in relation
to this rating action.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
TRIMARAN CAVU 2021-1: S&P Assigns BB- (sf) Rating on Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Trimaran CAVU 2021-1
Ltd./Trimaran CAVU 2021-1 LLC's floating-rate notes.
The note issuance is a CLO 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 diversification of the collateral pool;
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Trimaran CAVU 2021-1 Ltd./Trimaran CAVU 2021-1 LLC
Class A, $289.750 million: AAA (sf)
Class B, $71.250 million: AA (sf)
Class C (deferrable), $28.500 million: A (sf)
Class D (deferrable), $26.000 million: BBB- (sf)
Class E (deferrable), $17.875 million: BB- (sf)
Subordinated notes, $51.200 million: Not rated
WELLFLEET CLO 2021-1: S&P Assigns Prelim BB- (sf) Rating E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Wellfleet
CLO 2021-1 Ltd./Wellfleet CLO 2021-1 LLC's floating-rate notes.
The note issuance is a CLO securitization backed by primarily
broadly syndicated speculative-grade (rated 'BB+' or lower) senior
secured term loans that are governed by collateral quality tests.
The preliminary ratings are based on information as of March 9,
2021. 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 diversification of the collateral pool;
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Wellfleet CLO 2021-1 Ltd./Wellfleet CLO 2021-1 LLC
Class A-1, $240.00 million: AAA (sf)
Class A-2, $12.00 million: not rated
Class B, $52.00 million: AA (sf)
Class C (deferrable), $24.00 million: A (sf)
Class D (deferrable), $24.00 million: BBB- (sf)
Class E (deferrable), $14.00 million: BB- (sf)
Subordinated notes, $40.54 million: not rated
WELLS FARGO 2021-1: S&P Affirms 'B (sf)' Rating on B-5 Certs
------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Wells Fargo
Mortgage-Backed Securities 2021-1 Trust's mortgage pass-through
certificates.
The certificate issuance is an RMBS transaction backed by
residential mortgage loans.
The preliminary ratings are based on information as of March 8,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The high-quality collateral in the pool;
-- The available credit enhancement;
-- The transaction's associated structural mechanics;
-- The representation and warranty framework;
-- The geographic concentration;
-- The experienced originator;
-- The 100% due diligence results consistent with represented loan
characteristics; and
-- The impact that the economic stress brought on by the COVID-19
pandemic is likely to have on the performance of the mortgage
borrowers in the pool and available liquidity in the transaction.
Preliminary Ratings Assigned
Wells Fargo Mortgage-Backed Securities 2021-1 Trust
Class A-1, $343,440,000: AAA (sf)
Class A-2, $343,440,000: AAA (sf)
Class A-3, $257,580,000: AAA (sf)
Class A-4, $257,580,000: AAA (sf)
Class A-5, $85,860,000: AAA (sf)
Class A-6, $85,860,000: AAA (sf)
Class A-7, $206,064,000: AAA (sf)
Class A-8, $206,064,000: AAA (sf)
Class A-9, $137,376,000: AAA (sf)
Class A-10, $137,376,000: AAA (sf)
Class A-11, $51,516,000: AAA (sf)
Class A-12, $51,516,000: AAA (sf)
Class A-13, $55,809,000: AAA (sf)
Class A-14, $55,809,000: AAA (sf)
Class A-15, $30,051,000: AAA (sf)
Class A-16, $30,051,000: AAA (sf)
Class A-17, $40,435,000: AAA (sf)
Class A-18, $40,435,000: AAA (sf)
Class A-19, $383,875,000: AAA (sf)
Class A-20, $383,875,000: AAA (sf)
Class A-IO1, $383,875,000(i): AAA (sf)
Class A-IO2, $343,440,000(i): AAA (sf)
Class A-IO3, $257,580,000(i): AAA (sf)
Class A-IO4, $85,860,000(i): AAA (sf)
Class A-IO5, $206,064,000(i): AAA (sf)
Class A-IO6, $137,376,000(i): AAA (sf)
Class A-IO7, $51,516,000(i): AAA (sf)
Class A-IO8, $55,809,000(i): AAA (sf)
Class A-IO9, $30,051,000(i): AAA (sf)
Class A-IO10, $40,435,000(i): AAA (sf)
Class A-IO11, $383,875,000(i): AAA (sf)
Class B-1, $6,667,000: AA (sf)
Class B-2, $5,051,000: A (sf)
Class B-3, $4,041,000: BBB (sf)
Class B-4, $1,818,000: BB- (sf)
Class B-5, $1,011,000: B (sf)
Class B-6, $1,616,502: Not rated
Class R: Not rated
(i)Notional balance.
WESTLAKE AUTOMOBILE 2021-1: S&P Assigns Prelim B Rating on F Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Westlake
Automobile Receivables Trust 2021-1's automobile receivables-backed
notes series 2021-1.
The note issuance is an ABS securitization backed by subprime auto
loan receivables.
The preliminary ratings are based on information as of March 3,
2021. 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 availability of approximately 46.89%, 40.31%, 31.67%,
25.07%, 21.88%, and 17.87% credit support for the class A-1 and
A-2-A/A-2-B (collectively, class A), B, C, D, E, and F notes,
respectively, based on stressed cash flow scenarios (including
excess spread). These provide approximately 3.35x, 2.85x, 2.20x,
1.70x, 1.47x, and 1.10x, respectively, of our 13.50%-14.00%
expected cumulative net loss range.
-- The transaction's ability to make timely interest and principal
payments under stressed cash flow modeling scenarios appropriate
for the assigned preliminary ratings.
-- The expectation that under a moderate ('BBB') stress scenario
(1.70x S&P's expected loss level), all else being equal, its
ratings will be within the credit stability limits specified by
section A.4 of the Appendix contained in "S&P Global Ratings
Definitions," published Jan. 5, 2021. The collateral
characteristics of the securitized pool of subprime automobile
loans.
-- The originator/servicer's long history in the
subprime/specialty auto finance business.
-- S&P's analysis of approximately 15 years (2006-2020) of static
pool data on the company's lending programs.
-- The transaction's payment, credit enhancement, and legal
structures.
Ratings Assigned
Westlake Automobile Receivables Trust 2021-1
Class A-1, $156.00 million: A-1+ (sf)
Class A-2-A/A-2-B, $516.70 million: AAA (sf)
Class B, $99.50 million: AA (sf)
Class C, $128.24 million: A (sf)
Class D, $96.19 million: BBB (sf)
Class E, $40.35 million: BB (sf)
Class F, $63.02 million: B (sf)
[*] Moody's Lowers Ratings on $788MM U.S. CMBS Issued 2019-2020
---------------------------------------------------------------
Moody's Investors Service has downgraded 11 principal and interest
tranches from six US single asset single borrower commercial
mortgage backed securities deals secured by regional mall
properties. Moody's increased property grades and corresponding cap
rates across the universe of SASB transactions secured by regional
malls to reflect our expectations of increased risk of default,
cash flow volatility and value deterioration and the tranches
downgraded as part of this action are those most vulnerable to
changes in credit quality of certain regional mall loans.
The complete rating action is as follows:
Issuer: GS Mortgage Securities Corporation Trust 2012-BWTR
Cl. D, Downgraded to Baa1 (sf); previously on Apr 5, 2019 Affirmed
A3 (sf)
Issuer: Morgan Stanley Capital I Trust 2019-MEAD
Cl. D, Downgraded to Baa3 (sf); previously on Nov 27, 2019
Definitive Rating Assigned Baa2 (sf)
Cl. E, Downgraded to Ba3 (sf); previously on Nov 27, 2019
Definitive Rating Assigned Ba2 (sf)
Issuer: Wells Fargo Commercial Mortgage Trust 2013-BTC
Cl. E, Downgraded to Ba1 (sf); previously on Nov 8, 2018 Affirmed
Baa3 (sf)
Issuer: Wells Fargo Commercial Mortgage Trust 2017-SMP
Cl. D, Downgraded to Ba1 (sf); previously on Feb 20, 2019 Affirmed
Baa3 (sf)
Cl. E, Downgraded to B2 (sf); previously on Feb 20, 2019 Affirmed
Ba3 (sf)
Issuer: BB-UBS Trust 2012-SHOW
Cl. E, Downgraded to Baa3 (sf); previously on Jun 20, 2019 Affirmed
Baa1 (sf)
Issuer: Palisades Center Trust 2016-PLSD
Cl. A, Downgraded to A3 (sf); previously on Jul 9, 2020 Downgraded
to A1 (sf)
Cl. B, Downgraded to Ba3 (sf); previously on Jul 9, 2020 Downgraded
to Ba1 (sf)
Cl. C, Downgraded to B3 (sf); previously on Jul 9, 2020 Downgraded
to B1 (sf)
Cl. D, Downgraded to Caa3 (sf); previously on Jul 9, 2020
Downgraded to Caa1 (sf)
A List of Affected Credit Ratings is available at
https://bit.ly/3vavhEm
RATINGS RATIONALE
The rating downgrades are prompted by Moody's increased property
grades and corresponding cap rates across the universe of single
asset single borrower (SASB) transactions secured by regional malls
that Moody's rated prior to the beginning of the pandemic in March
2020 to reflect our expectations of increased risk of default and
value deterioration among loans backed by regional mall properties.
The non-essential retail sector, particularly malls, have been
greatly affected by the coronavirus outbreak as a result of
temporary store closures, health and safety concerns and reduced
traffic on both landlords and retail tenants. Furthermore,
restaurant and entertainment operators, sectors that accounted for
substantial leasing in recent years, are experiencing significant
financial distress with some struggling mall retailers filing for
bankruptcy and/or continuing to announce reductions in physical
store counts. As a result, Moody's expect US mall vacancy rates to
increase and put pressure on lease economics as retailers seek more
favorable terms (pricing and other lease terms) for current,
renewal and new leases. Deterioration in tenant credit, reduction
in store counts and potential replacement tenants, and stress in
the experiential segment will challenge regional mall properties.
The magnitude of the increase in Moody's capitalization rates
across these transactions range between 50 bps and 175 bps
depending on the characteristics of the loan including historical
performance, net cash flow (NCF) resiliency through the COVID
pandemic, demand drivers and location, or dominant position in the
submarket. The capitalization rates of SASB mall transaction rated
since the pandemic were unchanged as they already reflected the
structural shift that has occurred in the retail environment.
The increased cap rates resulted in higher Moody's loan to value
("LTV") (due to the lower Moody's value) and on a standalone basis
would impact the loan proceeds at each rating level in comparison
to benchmark LTV levels. However, in the credit rating actions
Moody's considered qualitative and quantitative factors in relation
to the to the senior-sequential structure and trophy/dominant
nature of the regional mall assets within these SASB transactions.
As a result, along with the model-based loan proceeds at each
rating level Moody's analyzed multiple scenarios to reflect how
various levels of stress in property values could impact loan
proceeds at each rating level.
The quantitative and qualitative factors included that many of
these securities benefit from credit support in the form of either
(a) subordinate tranches, (b) subordinate debt (i.e. B or Mezzanine
Notes), or (c) significant equity cushion (i.e. low LTV). The
collateral for these SASB loans typically consists of trophy assets
located in major metropolitan areas and/or irreplaceable locations
with significant barriers to entry. These assets are often owned by
well-capitalized sponsors and are recognized as flagship assets.
Furthermore, the majority of these SASB mall transactions remain
current on their debt service payment and continue to perform.
In assessing the protection of loan proceeds at each rating levels
we performed a stressed value recovery analysis which evaluated
multiple scenarios comparing i) Moody's value at securitization,
ii) Moody's current value, ii) stressed levels of decline in market
values from securitization, iii) various implied market values
using each property's 2019 NCF and most recently reported 2020 NCF,
and vi) other market data.
The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Moody's analysis has considered the potential impact on commercial
real estate performance from the current weak U.S. economic
activity and a gradual recovery for the coming months. Although an
economic recovery is underway, it is tenuous and its continuation
will be closely tied to virus containment. As a result, the degree
of uncertainty around Moody's forecasts is unusually high. Moody's
regard the coronavirus outbreak as a social risk under its ESG
framework, given the substantial implications for public health and
safety.
Moody's also regard e-commerce competition as a social risk under
its ESG framework. The rise of e-commerce implies the growing use
of big data and customer data, which can give rise to privacy and
legal issues. However, changes in customer behavior, notably the
shift to online, are challenges for incumbent retailers, whose
market shares are eroding and whose margins are under pressure
because of high fixed costs.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Given the downgrade, an upgrade on the impacted classes is unlikely
in the foreseeable future until there is a significant increase in
performance, loan paydowns or amortization and/or an increase in
defeasance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the loan, transfer to specially
servicing or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in September 2020.
DEAL PERFORMANCE
Palisades Center Trust 2016-PLSD, Commercial Mortgage Pass-Through
Certificates, Series 2016-PLSD
The ratings on Cl. A, Cl. B, Cl. C and Cl. D in Palisades Center
Trust 2016-PLSD, Commercial Mortgage Pass-Through Certificates,
Series 2016-PLSD were downgraded due to an increase in Moody's LTV
as a result of the increase in Moody's cap rate, continued decline
in performance since securitization primarily due to lower rental
revenue and store closures, and further stress on the Palisades
Center Mall property due to the coronavirus outbreak. Moody's LTV
for the first mortgage (including the $30 million pari passu debt
securitized in JPMDB 2016-C2) ratio is 140%, compared to 122% at
last review and reflects an increase in Moody's cap rate from 8.75%
to 10.00%. The loan was transferred to special servicing in April
2020 as a result of the temporary closure of the center related to
the coronavirus outbreak. A standstill agreement was subsequently
executed in June 2020 that included extension of the loan maturity
to October 2021, a moratorium of debt service payments and waiver
of certain obligations. According to the servicer, the borrower has
submitted a proposal for a longer-term modification request which
would extend the maturity to October 2022 and the request is under
discussion. The property's net operating income (NOI) has continued
to decline since 2016 due to the lower rental revenues and
performance was significant negatively impacted in 2020 as a result
of the pandemic. Moody's trust stressed debt service coverage ratio
(DSCR) is 0.77X, same as the last review. The loan status is 60
days delinquent as of the February payment date and there are
outstanding advances totaling approximately $4.3 million on the
loan.
Wells Fargo Commercial Mortgage Trust 2017-SMP, Commercial Mortgage
Pass-Through Certificates, Series 2017-SMP
The ratings on Cl. D and Cl. E were downgraded due to an increase
in Moody's LTV as a result of the increase in Moody's cap rate,
decline in performance since securitization, and further stress on
the Santa Monica Place property due to the coronavirus outbreak.
While the rating action recognizes the credit drift of property's
performance, our analysis incorporated other qualitative factors
such as the irreplaceable nature and significant barriers to entry
of its location. The property's actual NOI has declined since 2018
as a result of lower rental revenue and is performing below
expectations at securitization. Moody's LTV for the first mortgage
ratio is 115%, compared to 95% at last review and reflects an
increase in Moody's cap rate from 7.50% to 8.25%. Moody's trust
stressed debt service coverage ratio (DSCR) is 0.77X compared to
0.86X at the last review. The loan remains current with no
outstanding advances as the February payment date.
Morgan Stanley Capital I Trust 2019-MEAD, Commercial Mortgage
Pass-Through Certificates, Series 2019-MEAD
The ratings on Cl. D and Cl. E were downgraded due to an increase
in Moody's LTV as a result of the increase in Moody's cap rate,
decline in performance since securitization, and further stress on
the property due to the coronavirus outbreak. The Park Meadows Mall
is anchored by four traditional department stores and has
significant competition from six other super-regional malls and
lifestyle centers in the submarket. However, the property benefits
from an affluent trade area and proximity to the employment center
of Denver Tech Center. The property's actual NOI declined year over
year in 2019 as a result of higher operating expenses and the
property's NOI was further impacted by the pandemic in 2020.
Moody's LTV for the first mortgage ratio is 97%, compared to 91% at
securitization and reflects an increase in Moody's cap rate from
7.50% to 8.00%. Moody's trust stressed debt service coverage ratio
(DSCR) is 0.89X the same as at securitization. The loan remains
current with no outstanding advances as the February payment date.
GS Mortgage Securities Corporation Trust 2012-BWTR, Commercial
Pass-Through Certificates Series 2012-BWTR
The rating on Cl. D was downgraded due to an increase in Moody's
LTV as a result of the increase in Moody's cap rate and heighted
cash flow uncertainty on the Bridgewater Commons property due to
the coronavirus outbreak. Furthermore, this property did not
demonstrate any increase in historical NOI since securitization
whereas similar quality properties have typically demonstrated
positive trends in performance over the same timeframe. However,
the property has benefited from consistently high occupancy rates
and its ability to draw from a densely populated area with affluent
consumers. Moody's LTV for the first mortgage ratio is 77%,
compared to 70% at securitization and reflects an increase in
Moody's cap rate from 7.50% to 8.25%. Moody's trust stressed debt
service coverage ratio (DSCR) is 1.16X the same as at
securitization. The loan remains current with no outstanding
advances as the February payment date.
Wells Fargo Commercial Mortgage Trust 2013-BTC, Commercial Mortgage
Pass-Through Certificates Series 2013-BTC
The rating on Cl. E was downgraded due to an increase in Moody's
LTV as a result of the increase in Moody's cap rate and heightened
cash flow uncertainty on the Bergen Town Center property due to the
coronavirus. Moody's loan to value (LTV) for the first mortgage
ratio is 98%, compared to 92% at securitization and reflects an
increase in Moody's cap rate from 7.75% to 8.25%. Moody's trust
stressed debt service coverage ratio (DSCR) is 0.91X the same as at
securitization. The loan remains current with no outstanding
advances as the February payment date. Moody's does not rate the
most junior class, Cl F.
BB-UBS Trust 2012-SHOW, Commercial Mortgage Pass-Through
Certificates, Series 2012-SHOW
The rating on Cl. E was downgraded due to an increase in Moody's
LTV as a result of the increase in Moody's cap rate and further
stress on the Fashion Show Mall property due to the coronavirus. A
large portion of the property's demand is from the tourists and
visitors to Las Vegas hotels and casinos and therefore extended
periods of reduced tourism could reduce the operating performance
of the property. Moody's loan LTV for the first mortgage ratio is
85%, compared to 75% at securitization and reflects an increase in
Moody's cap rate from 7.25% to 8.25%. Moody's trust stressed debt
service coverage ratio (DSCR) is 1.04X the same as at
securitization. The loan remains current with no outstanding
advances as the February payment date.
[*] Moody's Ups 27 Tranches Issued by 13 Auto Loan Securitizations
------------------------------------------------------------------
Moody's Investors Service has upgraded 27 classes of bonds issued
by 13 auto loan securitizations. The bonds are backed by pools of
retail automobile loan contracts originated and serviced by
multiple parties.
The complete rating actions are as follows:
Issuer: AmeriCredit Automobile Receivables Trust 2017-3
Class D Notes, Upgraded to Aaa (sf); previously on Feb 12, 2020
Upgraded to Aa1 (sf)
Issuer: AmeriCredit Automobile Receivables Trust 2018-3
Class D Notes, Upgraded to Aa1 (sf); previously on Dec 17, 2020
Upgraded to Aa3 (sf)
Issuer: AmeriCredit Automobile Receivables Trust 2020-1
Class D Notes, Upgraded to A2 (sf); previously on Mar 11, 2020
Definitive Rating Assigned Baa1 (sf)
Issuer: Carvana Auto Receivables Trust 2019-1
Class D Asset-Backed Notes, Upgraded to Aa2 (sf); previously on Dec
17, 2020 Upgraded to A1 (sf)
Class E Asset-Backed Notes, Upgraded to Ba3 (sf); previously on Mar
28, 2019 Definitive Rating Assigned B2 (sf)
Issuer: Carvana Auto Receivables Trust 2019-2
Class D Notes, Upgraded to Aa3 (sf); previously on Dec 17, 2020
Upgraded to A2 (sf)
Class E Notes, Upgraded to Ba3 (sf); previously on Jun 27, 2019
Definitive Rating Assigned B2 (sf)
Issuer: Carvana Auto Receivables Trust 2019-3
Class D Notes, Upgraded to A1 (sf); previously on Dec 17, 2020
Upgraded to Baa1 (sf)
Class E Notes, Upgraded to B1 (sf); previously on Sep 27, 2019
Definitive Rating Assigned B2 (sf)
Issuer: Carvana Auto Receivables Trust 2019-4
Class C Notes, Upgraded to Aa1 (sf); previously on Dec 17, 2020
Upgraded to Aa2 (sf)
Class D Notes, Upgraded to A3 (sf); previously on Dec 17, 2020
Upgraded to Baa2 (sf)
Issuer: Carvana Auto Receivables Trust 2020-NP1
Class B Notes, Upgraded to Aa1 (sf); previously on Dec 17, 2020
Upgraded to Aa2 (sf)
Class C Notes, Upgraded to Aa2 (sf); previously on Dec 17, 2020
Upgraded to A1 (sf)
Class D Notes, Upgraded to A3 (sf); previously on Mar 30, 2020
Definitive Rating Assigned Baa2 (sf)
Issuer: CPS Auto Receivables Trust 2020-A
Class B Notes, Upgraded to Aaa (sf); previously on Jan 15, 2020
Definitive Rating Assigned Aa1 (sf)
Class C Notes, Upgraded to Aa1 (sf); previously on Dec 17, 2020
Upgraded to A2 (sf)
Class D Notes, Upgraded to Baa2 (sf); previously on Jan 15, 2020
Definitive Rating Assigned Baa3 (sf)
Issuer: Foursight Capital Automobile Receivables Trust 2018-1
Class E Notes, Upgraded to Aa1 (sf); previously on Dec 17, 2020
Upgraded to Aa2 (sf)
Issuer: Foursight Capital Automobile Receivables Trust 2018-2
Class D Notes, Upgraded to Aaa (sf); previously on Dec 17, 2020
Upgraded to Aa1 (sf)
Class E Notes, Upgraded to Aa3 (sf); previously on Dec 17, 2020
Upgraded to A2 (sf)
Issuer: Foursight Capital Automobile Receivables Trust 2019-1
Class C Notes, Upgraded to Aaa (sf); previously on Dec 17, 2020
Upgraded to Aa1 (sf)
Class D Notes, Upgraded to Aa2 (sf); previously on Dec 17, 2020
Upgraded to A1 (sf)
Class E Notes, Upgraded to Baa1 (sf); previously on Dec 17, 2020
Upgraded to Baa3 (sf)
Issuer: Foursight Capital Automobile Receivables Trust 2020-1
Class B Notes, Upgraded to Aaa (sf); previously on Dec 17, 2020
Upgraded to Aa1 (sf)
Class C Notes, Upgraded to Aa1 (sf); previously on Feb 6, 2020
Definitive Rating Assigned A1 (sf)
Class D Notes, Upgraded to A1 (sf); previously on Sep 11, 2020
Confirmed at Baa1 (sf)
Class E Notes, Upgraded to Baa3 (sf); previously on Sep 11, 2020
Confirmed at Ba1 (sf)
RATINGS RATIONALE
The upgrades are primarily driven by the buildup of credit
enhancement due to structural features including a sequential pay
structure, non-declining reserve account and
overcollateralization.
Moody's lifetime cumulative net loss expectations range between
9.9% and 10.5% for AmeriCredit transactions, between 9.2% and 10.5%
for Foursight transactions, between 11.2% and 11.6% for Carvana
2019 vintage transactions, and are at 21% for CPS 2020-A
transaction and Carvana 2020-NP1 transaction. The loss expectations
reflect an increase of approximately 20% due to potential
performance deterioration resulting from a slowdown in US economic
activity due to the COVID-19 outbreak. Non-prime auto loans are
more susceptible to the current economic slowdown due to the
relatively weak credit quality of the underlying obligors.
The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Moody's analysis has considered the effect on the performance of
consumer assets from the current weak U.S. economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around Moody's forecasts is unusually high.
Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
December 2020.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are greater than necessary to
protect investors against current expectations of loss could lead
to an upgrade of the ratings. Losses could decline from Moody's
original expectations as a result of a lower number of obligor
defaults or greater recoveries from the value of the vehicles
securing the obligors promise of payment. The US job market and the
market for used vehicles are also primary drivers of the
transaction's performance. Other reasons for better-than-expected
performance include changes in servicing practices to maximize
collections on the loans or refinancing opportunities that result
in a prepayment of the loan.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could lead to a
downgrade of the ratings. Losses could increase from Moody's
original expectations as a result of a higher number of obligor
defaults or a deterioration in the value of the vehicles securing
the obligors promise of payment. The US job market and the market
for used vehicles are also primary drivers of the transaction's
performance. Other reasons for worse-than-expected performance
include poor servicing, error on the part of transaction parties,
lack of transactional governance and fraud.
[*] S&P Completes Review on 45 Classes From 17 US RMBS Deals
------------------------------------------------------------
S&P Global Ratings completed its review of 45 classes from 17 U.S.
RMBS transactions, including 11 U.S. RMBS re-securitized real
estate mortgage investment conduits (re-REMIC) transactions, issued
between 2003 and 2010. The review yielded two upgrades, five
downgrades, 37 affirmations, and one discontinuance.
All of the classes within this review were placed on CreditWatch
with negative or positive implications on Dec. 8, 2020, following
the update to S&P's guidance article regarding how it analyzes the
impact of reductions in interest payments to security holders due
to loan rate modifications and other credit-related events. The
rating actions resolve the CreditWatch placements.
The updates to how S&P applies their analytical judgment to
determine and assess the impact of interest reduction amounts,
include:
-- A monthly calculation has been introduced that considers (a)the
portion of the pool reported as modified; (b)our assumption as to
what percentage of the modified portion has experienced an interest
rate adjustment; and (c)an assumed amount of interest rate
reduction;
-- A calculation that captures expected cumulative interest
reduction amount (CIRA) for the remaining life of the security from
existing modifications has been updated;
-- S&P clarified that the projected interest reduction amount is
not applicable for pre-2009 transactions given significant
seasoning;
-- The maximum potential rating thresholds was updated; and
-- More clarity regarding other considerations that may be used
and applied in the analysis has been provided.
Analytical Considerations
S&P Global Ratings believes there remains high, albeit moderating,
uncertainty about the evolution of the coronavirus pandemic and its
economic effects. Vaccine production is ramping up and rollouts are
gathering pace around the world. Widespread immunization, which
will help pave the way for a return to more normal levels of social
and economic activity, looks to be achievable by most developed
economies by the end of the third quarter. However, some emerging
markets may only be able to achieve widespread immunization by
year-end or later. S&P said, "We use these assumptions about
vaccine timing in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, we will
update our assumptions and estimates accordingly."
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations may include:
-- Reduced interest payments due to loan modifications;
-- Factors related to the COVID-19 pandemic;
-- Underlying collateral performance or delinquency trends;
-- Available subordination and/or overcollateralization; and
-- Historical missed interest payments.
Rating Actions
The rating changes reflect our updated opinion regarding the impact
of reduced interest payments due to loan modifications and other
credit-related events.
The affirmations of ratings reflect S&P's opinion that the
credit-related reductions in interest on these classes has remained
relatively consistent with S&P's prior projections.
A list of Affected Ratings can be viewed at:
https://bit.ly/2NVS2ev
[*] S&P Lowers Ratings on Four Classes From Three U.S. CMBS Deals
-----------------------------------------------------------------
S&P Global Ratings lowered its ratings on four classes of
commercial mortgage pass-through certificates from three U.S. CMBS
transactions.
S&P lowered its ratings to 'D (sf)' due to accumulated interest
shortfalls that we expect to remain outstanding for the foreseeable
future.
The recurring interest shortfalls for the certificates are
primarily due to one or more of the following factors:
-- Appraisal subordinate entitlement reduction (ASER) amounts in
effect for specially serviced assets;
-- The lack of servicer advancing for loans or assets where the
servicer has made nonrecoverable advance declarations;
-- Interest rate modifications or deferrals, or both, related to
corrected mortgage loans;
-- The recovery of prior servicing advances; and
-- Special servicing fees.
S&P's analysis primarily considered the ASER amounts based on
appraisal reduction amounts (ARAs) calculated using recent Member
of the Appraisal Institute (MAI) appraisals. S&P also considered
servicer-nonrecoverable advance declarations and special servicing
fees that are likely, in its view, to cause recurring interest
shortfalls.
The servicer implements ARAs and resulting ASER amounts according
to each transaction's terms. Typically, these terms call for an ARA
equal to 25% of the loan's stated principal balance to be
implemented when it is 60 days past due and an appraisal or other
valuation is not available within a specified time frame. S&P
primarily considered ASER amounts based on ARAs calculated from MAI
appraisals when deciding which classes from the affected
transactions to downgrade to 'D (sf)'. This is because ARAs based
on a principal balance haircut are highly subject to change, or
even reversal, once the special servicer obtains the MAI
appraisals.
Servicer-nonrecoverable advance declarations can prompt shortfalls
due to a lack of debt-service advancing, the recovery of previously
made advances after an asset was deemed nonrecoverable, or the
failure to advance trust expenses when nonrecoverable declarations
have been determined. Trust expenses may include but are not
limited to property operating expenses, property taxes, insurance
payments, and legal expenses.
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17
(Special Servicer: LNR Partners LLC)
S&P said, "We lowered our ratings to 'D(sf)' on the class C
commercial mortgage pass-through certificates from Bear Stearns
Commercial Mortgage Securities Trust 2007-PWR17 to reflect
accumulated interest shortfalls outstanding for 11 consecutive
months. We believe that the interest shortfalls will continue and
that accumulated interest shortfalls will remain outstanding until
the resolution of all the real estate-owned assets ($50.9 million,
75.8%) in the trust."
According to the Feb. 12, 2021, trustee remittance report, the
current monthly interest shortfalls totaled $265,557 and resulted
from:
-- Interest not advanced due to nonrecoverable determinations
totaling $ 254,580; and
-- Special servicing fees totaling $10,978.
The current reported interest shortfalls have affected all classes
subordinate to and including class C.
LB-UBS Commercial Mortgage Trust 2006-C1 (Special Servicer: LNR
Partners LLC)
S&P said, "We lowered our rating to 'D (sf)' on the class B
commercial mortgage pass-through certificates from LB-UBS
Commercial Mortgage Trust 2006-C1 to reflect accumulated interest
shortfalls that we expect to be outstanding for the foreseeable
future. The class B certificates currently have accumulated
interest shortfalls outstanding for four consecutive months. We
believe that the interest shortfalls will continue and that
accumulated interest shortfalls will remain outstanding until the
resolution of the sole specially serviced asset, Triangle Town
Center."
According to the Feb. 18, 2021, trustee remittance report, the
current monthly interest shortfalls from the collateral totaled
$355,627 and resulted from interest not advanced due to
nonrecoverable determination on the specially serviced asset.
The current reported interest shortfalls have affected all classes
subordinate to and including class B.
Banc of America Merrill Lynch Commercial Mortgage Inc. Series
2005-1 (Special Servicer: Greystone Servicing Company LLC)
S&P said, "We lowered our ratings to 'D (sf)' on the class B and C
commercial mortgage pass-through certificates series 2005-1 from
Banc of America Merrill Lynch Commercial Mortgage Inc. to reflect
accumulated interest shortfalls that we expect to be outstanding
for the foreseeable future and to reflect that the classes will
potentially experience principal loss upon the ultimate resolution
of the sole specially serviced asset, The Mall at Stonecrest." The
class B and C certificates currently have accumulated interest
shortfalls outstanding for 10 consecutive months.
According to the Feb. 10, 2021, trustee remittance report, the
current monthly interest shortfalls from the collateral totaled $
433,340 and resulted from interest not advanced due to
nonrecoverable determination on the specially serviced asset.
The current reported interest shortfalls have affected all classes
subordinate to and including class B.
Ratings Lowered
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17
Class C: to D (sf) from B+ (sf)
LB-UBS Commercial Mortgage Trust 2006-C1
Class B: to D (sf) from CCC (sf)
Banc of America Merrill Lynch Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2005-1
Class B: to D (sf) from B- (sf)
Class C: to D (sf) from CCC- (sf)
[*] S&P Takes Various Actions on 38 Classes From 8 US RMBS Deals
----------------------------------------------------------------
S&P Global Ratings completed its review of 38 ratings from eight
U.S. RMBS transactions issued between 2002 and 2006. The review
yielded five upgrades, five downgrades, 23 affirmations, four
withdrawals, and one discontinuance. At the same time, S&P removed
five ratings from CreditWatch, where they were placed on negative
implications on Dec. 8, 2020.
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations may include:
-- Factors related to the COVID-19 pandemic,
-- Collateral performance or delinquency trends,
-- Available subordination and/or overcollateralization,
-- Expected short duration,
-- Small loan count,
-- Historical interest shortfalls or missed interest payments,
and
-- Reduced interest payments due to loan modifications.
S&P Global Ratings believes there remains high, albeit moderating,
uncertainty about the evolution of the coronavirus pandemic and its
economic effects. Vaccine production is ramping up and rollouts are
gathering pace around the world. Widespread immunization, which
will help pave the way for a return to more normal levels of social
and economic activity, looks to be achievable by most developed
economies by the end of the third quarter. However, some emerging
markets may only be able to achieve widespread immunization by
year-end or later. S&P said, "We use these assumptions about
vaccine timing in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, we will
update our assumptions and estimates accordingly."
Rating Actions
The rating actions reflect our view of the associated
transaction-specific collateral performance and structural
characteristics, and the application of specific criteria
applicable to these classes. See the ratings list below for the
specific rationales associated with each of the classes with rating
transitions.
The affirmations reflect our view that our projected credit
support, collateral performance, and credit-related reductions in
interest on these classes have remained relatively consistent with
our prior projections.
S&P reviewed five classes that were placed on CreditWatch negative
on Dec. 8, 2020, following an update to their guidance article
regarding how they analyze the impact of reductions in interest
payments to security holders due to loan rate modifications and
other credit-related events. The updates include:
-- The introduction of a monthly calculation that considers the
portion of the pool reported as modified, our assumption as to what
percentage of the modified portion has experienced an interest rate
adjustment, and an assumed amount of interest rate reduction;
-- A calculation that captures the expected cumulative interest
reduction amount (CIRA) for the remaining life of the security from
existing modifications has been updated;
-- Clarification that the projected interest reduction amount is
not applicable for pre-2009 transactions given significant
seasoning;
-- An update of the maximum potential rating thresholds; and
-- More clarity regarding other considerations that may be used
and applied in the analysis.
S&P said, "We withdrew our ratings on classes 1-A-1, 1-A-2, and
V-A-1 from Washington Mutual MSC Mortgage Pass-Through Certificates
Series 2003-MS2 Trust due to the small number of loans remaining in
the related structure. Once a pool has declined to a de minimis
amount, we believe there is a high degree of credit instability
that is incompatible with any rating level. We also withdrew our
rating on class V-X due to the application of our interest-only
criteria and discontinued our rating on class V-P, which is a
principal-only class that was paid in full during the January 2021
remittance period."
A list of Affected Ratings can be viewed at:
https://bit.ly/2PDbywI
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
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however, be complete or accurate. The Monday Bond Pricing table
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