/raid1/www/Hosts/bankrupt/TCR_Public/220403.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, April 3, 2022, Vol. 26, No. 92
Headlines
BBAM US CLO I: S&P Assigns BB-(sf) Rating on $15.4MM Class D Notes
BENEFIT STREET XXII: Moody's Assigns Ba3 Rating to $16MM E-R Notes
BX MORTGAGE 2022-MVRK: Moody's Assigns B3 Rating to Cl. F Certs
BXSC COMMERCIAL 2022-WSS: S&P Assigns B- (sf) Rating on F Certs
CANTOR COMMERCIAL 2016-C4: Fitch Affirms B- Rating on 2 Tranches
CEDAR FUNDING XV: S&P Assigns BB- (sf) Rating on Class E Notes
CSMC 2022-NQM2: S&P Assigns Prelim B- (sf) Rating on Cl. B-2 Notes
DRYDEN 97: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
DRYDEN CLO 109: Moody's Assigns (P)Ba3 Rating to $20MM Cl. E Notes
ELMWOOD CLO 15: S&P Assigns BB- (sf) Rating on Class E Notes
FANNIE MAE 2022-R03: S&P Assigns BB- (sf) Rating on Cl. 1B-1 Notes
GALAXY 30: S&P Assigns BB- (sf) Rating on $16MM Class E Notes
GOLDENTREE LOAN 12: Fitch Gives BB+(EXP) Rating to Class E Debt
GOLDENTREE LOAN 12: Moody's Assigns (P)B3 Rating to $10MM F Notes
GULF STREAM 7: S&P Assigns BB- (sf) Rating on Class D Notes
JEFFERSON MILL: Moody's Ups Rating on $18.5MM E-R Notes to Ba3
KKR CLO 41: Moody's Assigns Ba3 Rating to $20MM Class E Notes
LAQ 2022-LAQ: S&P Assigns B- (sf) Rating in Class F Certificates
MFA 2022-INV1: S&P Assigns Prelim B+ (sf) Rating on Cl. B-2 Notes
MFA 2022-NQM1: S&P Assigns B (sf) Rating on Class B-2 Certs
MORGAN STANLEY 2006-4SL: Moody's Ups Rating on Cl. A-1 Bonds to B3
MTN COMMERCIAL 2022-LPFL: Moody's Assigns B3 Rating to Cl. F Certs
NEUBERGER BERMAN 48: Moody's Assigns Ba3 Rating to $24MM E Notes
OBX 2022-NQM3: S&P Assigns B (sf) Rating on Class B-2 Notes
PALMER SQUARE 2021-1: Moody's Hikes Rating on Class D Notes to Ba1
PMT LOAN 2022-INV1: Moody's Assigns B2 Rating to Cl. B-5 Certs
POST CLO 2022-1: S&P Assigns BB-(sf) Rating on $16MM Class E Notes
SPRITE 2017-1: S&P Places 'B+' Rating on Class C Notes on Watch Neg
STEELE CREEK 2022-1: Moody's Gives Ba3 Rating to $15.75MM E Notes
TOWD POINT 2022-SJ1: Fitch Gives B- Rating to 9 Tranches
UBS COMMERCIAL 2012-C1: Fitch Lowers Class E Certs to 'CC'
VERUS SECURITIZATION 2022-3: S&P Assigns 'B-' Rating on B-2 Notes
WELLS FARGO 2022-C62: Fitch Rates Class G-RR Certs 'B-'
[*] Fitch Takes Actions in 5 US CMBS Transactions
[*] Fitch Takes Ratings From 14 US Trust Preferred CDOs
[*] S&P Places Ratings on 38 Classes from 26 US Deals on Watch Pos.
[*] S&P Takes Various Actions on 42 Classes from 15 US RMBS Deals
[*] S&P Takes Various Actions on 49 Classes from 19 U.S. RMBS Deals
*********
BBAM US CLO I: S&P Assigns BB-(sf) Rating on $15.4MM Class D Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to BBAM US CLO I Ltd./BBAM
US CLO I LLC's floating-rate notes.
The note issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by RBC Global Asset Management (U.S.)
Inc., an affiliate of BlueBay Asset Management.
The ratings reflect:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
BBAM US CLO I Ltd./BBAM US CLO I LLC
Class A-1, $252.00 million: AAA (sf)
Class A-2, $46.00 million: AA (sf)
Class B (deferrable), $30.00 million: A (sf)
Class C (deferrable), $24.00 million: BBB- (sf)
Class D (deferrable), $15.40 million: BB- (sf)
Subordinated notes, $34.00 million: Not rated
BENEFIT STREET XXII: Moody's Assigns Ba3 Rating to $16MM E-R Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to two classes of
CLO refinancing notes issued by Benefit Street Partners CLO XXII,
Ltd. (the "Issuer").
Moody's rating action is as follows:
US$256,000,000 Class A-R Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)
US$16,000,000 Class E-R Secured Deferrable Floating Rate Notes due
2035, 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. At least 90%
of the portfolio must consist of first lien senior secured loans
and up to 10% of the portfolio may consist of second lien loans,
unsecured loans, and bonds.
BSP CLO Management L.L.C. (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 extended 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 issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the reinvestment
period; extensions of the stated maturity and non-call period;
changes to certain collateral quality tests; changes to the
overcollateralization test levels; changes to Libor replacement
provisions; change of Issuer's jurisdiction of incorporation;
additions to the CLO's ability to hold workout and restructured
assets; changes to the definition of "Adjusted Weighted Average
Rating Factor" and changes to the base matrix and modifiers.
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 2021.
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:
Portfolio par: $400,000,000
Diversity Score: 81
Weighted Average Rating Factor (WARF): 2929
Weighted Average Spread (WAS): 3.38%
Weighted Average Coupon (WAC): 5.00%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 8.07 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2021.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.
BX MORTGAGE 2022-MVRK: Moody's Assigns B3 Rating to Cl. F Certs
---------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to six
classes of CMBS securities, issued by BX 2022-MVRK Mortgage Trust,
Commercial Mortgage Pass-Through Certificates, Series 2022-MVRK:
Cl. A, Definitive Rating Assigned Aaa (sf)
Cl. B, Definitive Rating Assigned Aa3 (sf)
Cl. C, Definitive Rating Assigned A3 (sf)
Cl. D, Definitive Rating Assigned Baa3 (sf)
Cl. E, Definitive Rating Assigned Ba3 (sf)
Cl. F, Definitive Rating Assigned B3 (sf)
RATINGS RATIONALE
The certificates are collateralized by the borrower's fee interests
in 77 primarily industrial properties located across ten states.
Moody's ratings are based on the credit quality of the loans and
the strength of the securitization structure.
Moody's approach to rating this transaction involved the
application of Moody's Large Loan and Single Asset/Single Borrower
Commercial Mortgage-Backed Securitization Methodology. The rating
approach for securities backed by a single loan compares the credit
risk inherent in the underlying collateral with the credit
protection offered by the structure. The structure's credit
enhancement is quantified by the maximum deterioration in property
value that the securities are able to withstand under various
stress scenarios without causing an increase in the expected loss
for various rating levels. In assigning single borrower ratings,
Moody's also consider a range of qualitative issues as well as the
transaction's structural and legal aspects.
The portfolio contains approximately 7,138,755 SF of aggregate net
rentable area ("NRA") across the following six property subtypes -
light industrial (42.8% of NRA), warehouse (32.7% of NRA), bulk
warehouse (19.6% of NRA), manufacturing (3.0% of NRA), parking
(1.5% of NRA), and covered land (0.5% of NRA). The portfolio is
geographically diverse as the properties are located across 10
states and 13 markets. The top five market concentrations by NRA
are El Paso (21 properties; 23.8% of NRA), Inland Empire (2
properties; 19.6% of NRA), Minneapolis (13 properties; 15.3% of
NRA), Atlanta (17 properties; 12.5% of NRA and Charlotte (5
properties; 4.1% of NRA). The portfolio properties are primarily
located in gateway markets and generally situated within close
proximity to major transportation arteries.
Construction dates for properties in the portfolio range between
1952 and 2021, with a weighted average year built of 1991. Property
sizes for assets range between 8,192 SF and 796,841 SF, with an
average size of approximately 92,711 SF. Clear heights for
properties range between 12 feet and 36 feet, with a weighted
average maximum clear height for the portfolio of approximately
24.9 feet. As of February 7, 2022, the Portfolio was approximately
95.4% leased to over 123 individual tenants.
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 Moody's first mortgage DSCR is 1.29x and Moody's first mortgage
stressed DSCR at a 9.25% constant is 0.47x. Moody's DSCR is based
on Moody's stabilized net cash flow.
Moody's LTV ratio for the first mortgage balance is 189.6% based on
Moody's Value. Adjusted Moody's LTV ratio for the first mortgage
balance is 164.2%, compared to 164.3% issued at Moody's provisional
ratings, based on Moody's Value using a cap rate adjusted for the
current interest rate environment.
Moody's also grades properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The pool's weighted
average property quality grade is 1.25.
Notable strengths of the transaction include: the proximity to
global gateway markets, infill locations, rent upside, geographic
diversity, low percentage of flex industrial and experienced
sponsorship.
Notable concerns of the transaction include: the high Moody's LTV
ratio, tenant concentration and rollover, average property size,
floating-rate/interest-only mortgage loan profile and certain
credit negative legal features.
Moody's rating approach considers sequential pay in connection with
a collateral release as a credit neutral benchmark. Although the
loans' release premium mitigates the risk of a ratings downgrade
due to adverse selection, the pro rata payment structure limits
ratings upgrade potential as mezzanine classes are prevented from
building enhancement. The benefit received from pooling through
cross-collateralization is also reduced.
The principal methodology used in these ratings was "Large Loan and
Single Asset/Single Borrower Commercial Mortgage-Backed
Securitizations Methodology " published in November 2021.
Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from Moody's
loan level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.
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 may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
BXSC COMMERCIAL 2022-WSS: S&P Assigns B- (sf) Rating on F Certs
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to BXSC Commercial Mortgage
Trust 2022-WSS's commercial mortgage pass-through certificates.
The certificate issuance is a CMBS transaction backed by the
borrowers' fee simple interests in 111 WoodSpring Suites
extended-stay hotels across 30 U.S. states and the operating
lessees' leasehold interests in the properties.
The ratings reflect S&P Global Ratings' view of the collateral's
historical and projected performance, the sponsor's and manager's
experience, the trustee-provided liquidity, the loan's terms, and
the transaction's structure. S&P determined that the loan has a
beginning and ending loan-to-value ratio of 122.8%, based on its
value of the properties backing the transaction.
The recent rapid spread of the omicron variant highlights the
inherent uncertainties of the pandemic, as well as the importance
and benefits of vaccines. S&P said, "While the risk of new, more
severe variants displacing omicron and evading existing immunity
cannot be ruled out, our current base case assumes that existing
vaccines can continue to provide significant protection against
severe illness. Furthermore, many governments, businesses, and
households around the world are tailoring policies to limit the
adverse economic impact of recurring COVID-19 waves. Consequently,
we do not expect a repeat of the sharp global economic contraction
of second-quarter 2020. Meanwhile, we continue to assess how well
each issuer adapts to new waves in its geography or industry."
Ratings Assigned(i)
BXSC Commercial Mortgage Trust 2022-WSS
Class A, $389,100,000: AAA (sf)
Class X-CP, $476,980,000(i): BBB- (sf)
Class X-EXT, $681,400,000(i): BBB- (sf)
Class B, $109,900,000: AA- (sf)
Class C, $65,300,000: A- (sf)
Class D, $117,100,000: BBB- (sf)
Class E, $148,300,000: BB- (sf)
Class F, $136,200,000: B- (sf)
Class G, $169,100,000: NR
Class HRR, $60,000,000: NR
(i)Notional balance. The class X-CP and class X-EXT certificates
will not have certificate balances and will not be entitled to
distributions of principal. The notional amount of the class X-CP
certificates will be equal to the aggregate portion balances of the
A-2 portion, B-2 portion, C-2 portion, and D-2 portion, and the
notional amount of the class X-EXT certificates will be equal to
the aggregate certificate balances of the class A, class B, class
C, and class D certificates.
NR--Not rated.
CANTOR COMMERCIAL 2016-C4: Fitch Affirms B- Rating on 2 Tranches
----------------------------------------------------------------
Fitch Ratings has affirmed Cantor Commercial Real Estate Mortgage
Trust (CFCRE) series 2016-C4 commercial mortgage pass-through
certificates. The Rating Outlooks for four classes have been
revised to Stable from Negative.
DEBT RATING PRIOR
---- ------ -----
CFCRE 2016-C4
A-3 12531YAM0 LT AAAsf Affirmed AAAsf
A-4 12531YAN8 LT AAAsf Affirmed AAAsf
A-HR 12531YAP3 LT AAAsf Affirmed AAAsf
A-M 12531YAU2 LT AAAsf Affirmed AAAsf
A-SB 12531YAL2 LT AAAsf Affirmed AAAsf
B 12531YAV0 LT AA-sf Affirmed AA-sf
C 12531YAW8 LT A-sf Affirmed A-sf
D 12531YAE8 LT BBB-sf Affirmed BBB-sf
E 12531YAF5 LT BB-sf Affirmed BB-sf
F 12531YAG3 LT B-sf Affirmed B-sf
X-A 12531YAQ1 LT AAAsf Affirmed AAAsf
X-B 12531YAS7 LT AA-sf Affirmed AA-sf
X-E 12531YAB4 LT BB-sf Affirmed BB-sf
X-F 12531YAC2 LT B-sf Affirmed B-sf
X-HR 12531YAR9 LT AAAsf Affirmed AAAsf
KEY RATING DRIVERS
Stable Performance: Overall pool performance and loss expectations
remain stable from the prior review and since issuance. Fitch has
identified ten Fitch Loans of Concern (21% of the pool balance),
including two loans in special servicing (3.0%). Fitch's current
ratings incorporate a base case loss of 3.10%.
The Outlook revisions to Stable from Negative reflect the reduction
in FLOCs (from 41.0%) since the last rating action, as well as
continued stabilization of properties affected by the pandemic and
progress toward recovery of loans in special servicing.
Fitch Loans of Concern/Contributors to Loss: The largest Fitch Loan
of Concern is the Hyatt Regency St. Louis at The Arch (6.5%) loan,
which is secured by a 910-key, full-service hotel in St. Louis, MO.
As of TTM February 2022, occupancy, ADR and RevPAR improved
slightly to 30.6%, $154 and $47, respectively, from 19.0%, $111 and
$21 as of the same period in 2021; however, performance remains
below levels reported in 2020, prior to the pandemic as performance
is reliant on local demand generators which include Busch Stadium
and America's Center Convention Complex. TTM February 2020
occupancy, ADR and RevPAR were 66.3%, $152, and $101, respectively.
The hotel was ranked 5 of 5 in its competitive set with respect to
RevPAR with a 79.9% penetration rate as of the TTM February 2022
STR report.
Fitch's base case analysis incorporates a 10% stress to the
property's YE 2019 NOI reflecting a stressed value of $145,100 per
key. Given the loan's low leverage, no losses were applied in the
base case; however, an additional sensitivity was incorporated to
account for slow recovery into 2021 and underperformance of the
subject relative to its competitive set.
The largest contributor to loss is the Home Depot - Elk Grove
Village loan (1.5%), which is secured by a 187,145-sf retail
shopping center located in Elk Grove, IL. The center is anchored by
a Home Depot which occupies 64.1% of the NRA. Home Depot had
previously master leased the entire center through January 2020,
but did not extend the master lease and renewed only for the
occupied portion (64.1%) of the center through 2029. Occupancy for
the center declined to 80% from 90% when Aldi (10% of NRA) vacated
their previously subleased space in January 2020. Staples remains
in their space through April 2026. As of September 2021, NOI DSCR
declined to 1.29x from 1.66x at YE 2019. Fitch's analysis
incorporates an 18% loss severity reflecting a value of $87 psf.
The next largest contributor to loss is the Marketplace at Kapolei
(3.0%) loan, which is secured by a 206,155-sf retail property
located in the southwest section of Oahu, in Kapolei City, HI. The
subject is shadow anchored by Safeway and Long's Drug. Occupancy
declined to 91% in 2020 but has since recovered to 99% as of
September 2021. NOI DSCR as of September 2021 was 1.59x as compared
with 1.64x at YE 2020. The property has substantial near-term
rollover with 29% of leases expiring through the end of 2022.
Fitch's analysis reflects a 10% stress to YE 2020 NOI reflecting an
8% loss severity.
Increasing Credit Enhancement (CE): CE has increased since issuance
due to amortization and loan repayments, with 10.0% of the original
pool balance repaid. The transaction has not realized any losses to
date. Interest shortfalls are currently affecting the non-rated
class G. Nine loans (33.5%) are full-term IO and the remaining 38
loans (66.5%) are amortizing.
Alternative Loss Consideration: Fitch applied an additional
sensitivity scenario on the Hyatt Regency St. Louis at the Arch
loan to reflect hotel sector volatility and sustained
underperformance of the subject relative to its competitive set.
However, the additional sensitivity losses did not affect the
overall stabilization of pool performance and revision of Outlooks
to stable.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- Downgrades would occur with an increase in pool level losses
from underperforming or specially serviced loans. Downgrades
to the 'AA-sf' and 'AAAsf' categories are not likely due to
the position in the capital structure, but may occur should
interest shortfalls affect the classes;
-- Downgrades to the 'BBB-sf' and A-sf' category would occur
should overall pool losses increase significantly and/or one
or more large loans have an outsized loss, which would erode
CE. Downgrades to the 'B-sf' and 'BB-sf' categories would
occur should loss expectations increase and if performance of
the FLOCs fail to stabilize or additional loans default and/or
transfer to the special servicer.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Stable to improved asset performance coupled with pay down
and/or defeasance. Upgrades of the 'A-sf' and 'AA-sf'
categories would occur with significant improvement in CE
and/or defeasance and performance improvement of the Hyatt
Regency St. Louis at the Arch along with continued
stabilization of the pool; however, adverse selection,
increased concentrations and further underperformance of the
FLOCs could cause this trend to reverse.
-- Upgrades to the 'BBB-sf' category would be limited based on
sensitivity to concentrations or the potential for future
concentration. Classes would not be upgraded above 'Asf' if
there is likelihood for interest shortfalls. Upgrades to the
'B-sf' and 'BB-sf' categories are not likely until the later
years in a transaction and only if the performance of the
remaining pool is stable and there is sufficient CE to the
classes.
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.
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.
CEDAR FUNDING XV: S&P Assigns BB- (sf) Rating on Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to Cedar Funding XV CLO
Ltd./Cedar Funding XV CLO LLC's floating-rate debt.
The debt 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 debt through collateral
selection, ongoing portfolio management, and trading; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Cedar Funding XV CLO Ltd./Cedar Funding XV CLO LLC
Class A, $206.00 million: AAA (sf)
Class A loan, $50.00 million: AAA (sf)
Class B, $48.00 million: AA (sf)
Class C (deferrable), $24.00 million: A (sf)
Class D (deferrable), $24.00 million: BBB- (sf)
Class E (deferrable), $16.00 million: BB- (sf)
Subordinated notes, $41.65 million: Not rated
CSMC 2022-NQM2: S&P Assigns Prelim B- (sf) Rating on Cl. B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to CSMC
2022-NQM2 Trust's mortgage pass-through notes.
The note issuance is an RMBS transaction predominantly backed by
newly originated first-lien, fixed- and adjustable-rate residential
mortgage loans, including mortgage loans with initial interest-only
periods, to both prime and nonprime borrowers. The loans are
secured by single-family residential properties, planned-unit
developments, townhouses, condominiums, two- to four-family
residential properties, and one eight-unit multi-family property.
The pool has 892 loans, which are primarily non-qualified
mortgage/ability-to-repay-compliant (ATR-compliant) and ATR-exempt
loans.
The preliminary ratings are based on information as of March 24,
2022. 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 pool's collateral composition;
-- The transaction's credit enhancement;
-- The transaction's associated structural mechanics;
-- The transaction's representation and warranty framework;
-- The transaction's geographic concentration;
-- The mortgage aggregator, DLJ Mortgage Capital Inc., and the
originators, which include AmWest Funding Corp. and Visio Financial
Corp.; and
-- The impact that the economic stress brought on by the COVID-19
pandemic will likely have on the performance of the mortgage
borrowers in the pool and the liquidity available in the
transaction.
Preliminary Ratings Assigned
CSMC 2022-NQM2 Trust
Class A-1A, $308,337,000: AAA (sf)
Class A-1B, $44,784,000: AAA (sf)
Class A-1(i), $353,121,000: AAA (sf)
Class A-2, $14,555,000: AA+ (sf)
Class A-3, $29,334,000: A (sf)
Class M-1, $16,122,000: BBB (sf)
Class B-1, $12,315,000: BB (sf)
Class B-2, $12,764,000: B- (sf)
Class B-3, $9,628,877: Not rated
Class A-IO-S, notional(ii): Not rated
Class XS, notional(ii): Not rated
Class PT(i), $447,839,877: Not rated
Class R: Not rated
(i)Certain initial exchangeable notes are exchangeable for the
exchangeable notes, and vice versa.
(ii)The notional amount will equal the aggregate aggregate
principal balance of the mortgage loans as of the first day of the
related due period and is initially $447,839,877.
DRYDEN 97: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Dryden 97
CLO Ltd./Dryden 97 CLO LLC's floating-rate notes.
The note issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by PGIM Inc.
The preliminary ratings are based on information as of March 30,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The collateral pool's diversification;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Dryden 97 CLO Ltd./Dryden 97 CLO LLC
Class A, $320.00 million: AAA (sf)
Class B, $60.00 million: AA (sf)
Class C (deferrable), $30.00 million: A (sf)
Class D (deferrable), $30.00 million: BBB- (sf)
Class E (deferrable), $20.00 million: BB- (sf)
Subordinated notes, $50.00 million: Not rated
DRYDEN CLO 109: Moody's Assigns (P)Ba3 Rating to $20MM Cl. E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of notes to be issued and one class of loans to be incurred
by Dryden 109 CLO, Ltd. (the "Issuer" or "Dryden 109").
Moody's rating action is as follows:
US$107,000,000 Class A-1 Loans maturing 2035, Assigned (P)Aaa (sf)
US$208,000,000 Class A-1 Senior Secured Floating Rate Notes Due
2035, Assigned (P)Aaa (sf)
US$5,000,000 Class A-2 Senior Secured Floating Rate Notes Due 2035,
Assigned (P)Aaa (sf)
US$60,000,000 Class B Senior Secured Floating Rate Notes Due 2035,
Assigned (P)Aa1 (sf)
US$30,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes Due 2035, Assigned (P)A2 (sf)
US$30,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes Due 2035, Assigned (P)Baa3 (sf)
US$20,000,000 Class E Junior Secured Deferrable Floating Rate Notes
Due 2035, Assigned (P)Ba3 (sf)
The notes and loan listed are referred to herein, collectively, as
the "Rated Debt".
The Class A-1 Loans may not be exchanged or converted into notes at
any time.
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.
Dryden 109 is a managed cash flow CLO. The issued debt will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90.0% of the portfolio must consist of
senior secured loans, and up to 10.0% of the portfolio may consist
of second-lien loans or unsecured loans. Moody's expect the
portfolio to be approximately 90% ramped as of the closing date.
PGIM, Inc. (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 Debt, 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 debt 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 2021.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 90
Weighted Average Rating Factor (WARF): 2700
Weighted Average Spread (WAS): 3.40%
Weighted Average Coupon (WAC): 5.00%
Weighted Average Recovery Rate (WARR): 47%
Weighted Average Life (WAL): 8.0 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2021.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Debt is subject to uncertainty. The
performance of the Rated Debt 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 Debt.
ELMWOOD CLO 15: S&P Assigns BB- (sf) Rating on Class E Notes
------------------------------------------------------------
S&P Global Ratings assigned ratings to Elmwood CLO 15 Ltd./Elmwood
CLO 15 LLC's floating-rate notes.
The note issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Elmwood RR CLO LLC.
The ratings reflect S&P's view of:
-- The collateral pool's diversification;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Elmwood CLO 15 Ltd./Elmwood CLO 15 LLC
Class X, $2.40 million: AAA (sf)
Class A-1, $248.00 million: AAA (sf)
Class A-2, $8.00 million: AAA (sf)
Class B, $48.00 million: AA (sf)
Class C (deferrable), $24.00 million: A (sf)
Class D (deferrable), $23.00 million: BBB- (sf)
Class E (deferrable), $17.00 million: BB- (sf)
Subordinated notes, $35.20 million: Not rated
FANNIE MAE 2022-R03: S&P Assigns BB- (sf) Rating on Cl. 1B-1 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Fannie Mae Connecticut
Avenue Securities Trust 2022-R03's (CAS 2022-R03) notes.
The note issuance is an RMBS transaction in which the payments are
determined by a reference pool of residential mortgage loans, deeds
of trust, or similar security instruments encumbering mortgaged
properties acquired by Fannie Mae.
The ratings reflect S&P's view of:
-- The credit enhancement provided by the subordinated reference
tranches and the associated structural deal mechanics;
-- The real estate mortgage investment conduit (REMIC) structure,
which reduces the counterparty exposure to Fannie Mae for periodic
principal and interest payments, but also pledges the support of
Fannie Mae (as a highly rated counterparty) to cover any shortfalls
on interest payments and make up for any investment losses;
-- The issuer's aggregation experience and the alignment of
interests in the transaction's performance between the issuer and
the noteholders, which S&P believes enhances the notes' strength;
-- The enhanced credit risk management and quality control
processes Fannie Mae uses in conjunction with the underlying
representations and warranties framework; and
-- The further impact that the COVID-19 pandemic will likely have
on the U.S. economy and housing market, and the additional
structural provisions included in the transaction to address
corresponding forbearance and subsequent defaults.
Fannie Mae Connecticut Avenue Securities Trust 2022-R03
Class 1A-H(i), $42,918,240,709: NR
Class 1M-1, $484,882,000: A- (sf)
Class 1M-1H(i), $25,521,069: NR
Class 1M-2A(ii), $126,491,000: BBB+ (sf)
Class 1M-AH(i), $6,657,627: NR
Class 1M-2B(ii), $126,491,000: BBB (sf)
Class 1M-BH(i), $6,657,627: NR
Class 1M-2C(ii), $126,491,000: BBB- (sf)
Class 1M-CH(i), $6,657,627: NR
Class 1M-2(ii), $379,473,000: BBB- (sf)
Class 1B-1A(ii), $105,409,000: BB+ (sf)
Class 1B-AH(i), $5,548,189: NR
Class 1B-1B(ii), $105,409,000: BB- (sf)
Class 1B-BH(i), $5,548,189: NR
Class 1B-1(ii), $210,818,000: BB- (sf)
Class 1B-2(ii), $166,435,000: NR
Class 1B-2H(i), $55,479,378: NR
Class 1B-3H(i), $110,957,189: NR
(i)Reference tranche only and will not have corresponding notes.
Fannie Mae retains the risk of these tranches.
(ii)The class 1M-2 noteholders may exchange all or part of that
class for proportionate interests in the class 1M-2A, 1M-2B, and
1M-2C notes, and vice versa. The class 1B-1 noteholders may
exchange all or part of that class for proportionate interests in
the class 1B-1A and 1B-1B notes, and vice versa. The class 1M-2A,
1M-2B, 1M-2C, 1B-1A, 1B-1B, and 1B-2 notes may exchange all or part
of those classes for proportionate interests in the classes of RCR
notes as specified in the offering documents.
NR--Not rated.
RCR--Related combinable and recombinable notes.
RCR Exchangeable Classes(i)
Fannie Mae Connecticut Avenue Securities Trust 2022-R03
Class 1M-2, $379,473,000: BBB- (sf)
Class 1E-A1, $126,491,000: BBB+ (sf)
Class 1A-I1, $126,491,000(ii): BBB+ (sf)
Class 1E-A2, $126,491,000: BBB+ (sf)
Class 1A-I2, $126,491,000(ii): BBB+ (sf)
Class 1E-A3, $126,491,000: BBB+ (sf)
Class 1A-I3, $126,491,000(ii): BBB+ (sf)
Class 1E-A4, $126,491,000: BBB+ (sf)
Class 1A-I4, $126,491,000(ii): BBB+ (sf)
Class 1E-B1, $126,491,000: BBB (sf)
Class 1B-I1, $126,491,000(ii): BBB (sf)
Class 1E-B2, $126,491,000: BBB (sf)
Class 1B-I2, $126,491,000(ii): BBB (sf)
Class 1E-B3, $126,491,000: BBB (sf)
Class 1B-I3, $126,491,000(ii): BBB (sf)
Class 1E-B4, $126,491,000: BBB (sf)
Class 1B-I4, $126,491,000(ii): BBB (sf)
Class 1E-C1, $126,491,000: BBB- (sf)
Class 1C-I1, $126,491,000(ii): BBB- (sf)
Class 1E-C2, $126,491,000: BBB- (sf)
Class 1C-I2, $126,491,000(ii): BBB- (sf)
Class 1E-C3, $126,491,000: BBB- (sf)
Class 1C-I3, $126,491,000(ii): BBB- (sf)
Class 1E-C4, $126,491,000: BBB- (sf)
Class 1C-I4, $126,491,000(ii): BBB- (sf)
Class 1E-D1, $252,982,000: BBB (sf)
Class 1E-D2, $252,982,000: BBB (sf)
Class 1E-D3, $252,982,000: BBB (sf)
Class 1E-D4, $252,982,000: BBB (sf)
Class 1E-D5, $252,982,000: BBB (sf)
Class 1E-F1, $252,982,000: BBB- (sf)
Class 1E-F2, $252,982,000: BBB- (sf)
Class 1E-F3, $252,982,000: BBB- (sf)
Class 1E-F4, $252,982,000: BBB- (sf)
Class 1E-F5, $252,982,000: BBB- (sf)
Class 1-X1, $252,982,000(ii): BBB (sf)
Class 1-X2, $252,982,000(ii): BBB (sf)
Class 1-X3, $252,982,000(ii): BBB (sf)
Class 1-X4, $252,982,000(ii): BBB (sf)
Class 1-Y1, $252,982,000(ii): BBB- (sf)
Class 1-Y2, $252,982,000(ii): BBB- (sf)
Class 1-Y3, $252,982,000(ii): BBB- (sf)
Class 1-Y4, $252,982,000(ii): BBB- (sf)
Class 1-J1, $126,491,000: BBB- (sf)
Class 1-J2, $126,491,000: BBB- (sf)
Class 1-J3, $126,491,000: BBB- (sf)
Class 1-J4, $126,491,000: BBB- (sf)
Class 1-K1, $252,982,000: BBB- (sf)
Class 1-K2, $252,982,000: BBB- (sf)
Class 1-K3, $252,982,000: BBB- (sf)
Class 1-K4, $252,982,000: BBB- (sf)
Class 1M-2Y, $379,473,000: BBB- (sf)
Class 1M-2X, $379,473,000: BBB- (sf)
Class 1B-1, $210,818,000: BB- (sf)
Class 1B-1Y, $210,818,000: BB- (sf)
Class 1B-1X, $210,818,000: BB- (sf)
Class 1B-2Y, $166,435,000: NR
Class 1B-2X, $166,435,000: NR
(i)See the offering documents for more detail on possible
combinations.
(ii)Notional amount.
RCR--Related combinable and recombinable notes.
NR--Not rated.
GALAXY 30: S&P Assigns BB- (sf) Rating on $16MM Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to Galaxy 30 CLO
Ltd./Galaxy 30 CLO LLC's fixed- and floating-rate notes.
The note issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by PineBridge Investments LLC.
The ratings reflect S&P's view of:
-- The collateral pool's diversification;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Galaxy 30 CLO Ltd./Galaxy 30 CLO LLC
Class A, $252.00 million: AAA (sf)
Class B-1, $47.00 million: AA (sf)
Class B-2, $5.00 million: AA (sf)
Class C, $24.00 million: A (sf)
Class D, $24.00 million: BBB- (sf)
Class E, $16.00 million: BB- (sf)
Subordinated notes, $36.00 million: Not rated
GOLDENTREE LOAN 12: Fitch Gives BB+(EXP) Rating to Class E Debt
---------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
GoldenTree Loan Management US CLO 12, Ltd.
DEBT RATING
---- ------
GoldenTree Loan Management US CLO 12, Ltd.
X LT NR(EXP)sf Expected Rating
A LT AAA(EXP)sf Expected Rating
A-J LT NR(EXP)sf Expected Rating
B LT AA(EXP)sf Expected Rating
C LT A(EXP)sf Expected Rating
D LT BBB-(EXP)sf Expected Rating
E LT BB+(EXP)sf Expected Rating
F LT NR(EXP)sf Expected Rating
Subordinated LT NR(EXP)sf Expected Rating
TRANSACTION SUMMARY
GoldenTree Loan Management US CLO 12, Ltd. (the issuer) is an
arbitrage cash flow collateralized loan obligation (CLO) that will
be managed by GoldenTree Loan Management II, LP. Net proceeds from
the issuance of the secured and subordinated notes will provide
financing on a portfolio of approximately $500.0 million of
primarily first-lien senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B'/'B-', which is in line with that of
recent CLOs. Issuers rated in the 'B' rating category denote a
highly speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard U.S. CLO structural
features.
Asset Security (Positive): The indicative portfolio consists of
99.1% first-lien senior secured loans and has a weighted average
recovery assumption of 74.8%. Fitch stressed the indicative
portfolio by assuming a higher portfolio concentration of assets
with lower recovery prospects and further reduced recovery
assumptions for higher rating stresses.
Portfolio Composition (Positive): The largest three industries may
comprise up to 37.0% of the portfolio balance in aggregate while
the top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity required by industry,
obligor and geographic concentrations is in line with other recent
U.S. CLOs.
Portfolio Management (Neutral): The transaction has a 4.9-year
reinvestment period and reinvestment criteria similar to other U.S.
CLOs. Fitch's analysis was based on a stressed portfolio created by
making adjustments to the indicative portfolio to reflect
permissible concentration limits and collateral quality test
levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the class A, B, C, D and
E notes can withstand default rates of up to 61.2%, 54.6%, 49.0%,
42.0% and 37.9%, respectively, assuming portfolio recovery rates of
36.1%, 44.3%, 53.7%, 62.8% and 68.4% in Fitch's 'AAAsf', 'AAsf',
'Asf', 'BBB-' and 'BB+sf' scenarios, respectively.
RATING SENSITIVITIES
Factor that could, individually or collectively, lead to negative
rating action/downgrade:
-- Variability in key model assumptions, such as decreases in
recovery rates and increases in default rates, could result in
a downgrade. Fitch evaluated the notes' sensitivity to
potential changes in such a metric. The results under these
sensitivity scenarios are between 'BBB+sf' and 'AAAsf' for
class A notes, between 'BB+sf' and 'AA-sf' for class B notes,
between 'B+sf' and 'Asf' for class C notes, between less than
'B-sf' and 'BBB+sf' for class D notes, and between less than
'B-sf' and 'BB+sf' for class E notes.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Upgrade scenarios are not applicable to the class A notes, as
these notes are in the highest rating category of 'AAAsf'.
-- At other rating levels, variability in key model assumptions,
such as increases in recovery rates and decreases in default
rates, could result in an upgrade. Fitch evaluated the notes'
sensitivity to potential changes in such metrics; results
under these sensitivity scenarios are 'AAAsf' for class B
notes, between 'A+sf' and 'AA+sf' for class C notes, between
'Asf' and 'A+sf' for class D notes, and between 'BBB+sf' and
'A-sf' for class E 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.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other Nationally
Recognized Statistical Rating Organizations and/or European
Securities and Markets Authority registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, Fitch's assessment of the asset pool information relied
upon for the agency's rating analysis according to its applicable
rating methodologies indicates that it is adequately reliable.
GOLDENTREE LOAN 12: Moody's Assigns (P)B3 Rating to $10MM F Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to four
classes of notes to be issued by GoldenTree Loan Management US CLO
12, Ltd.(the "Issuer" or "GoldenTree Loan Management US CLO 12").
Moody's rating action is as follows:
US$4,000,000 Class X Senior Secured Floating Rate Notes due 2034,
Assigned (P)Aaa (sf)
US$307,500,000 Class A Senior Secured Floating Rate Notes due 2034,
Assigned (P)Aaa (sf)
US$17,500,000 Class A-J Senior Secured Floating Rate Notes due
2034, Assigned (P)Aaa (sf)
US$10,000,000 Class F Junior Deferrable Floating Rate Notes due
2034, Assigned (P)B3 (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.
GoldenTree Loan Management US CLO 12, Ltd. is a managed cash flow
CLO. The issued notes will be collateralized primarily by broadly
syndicated senior secured corporate loans. At least 90% of the
portfolio must consist of senior secured loans and eligible
investments, and up to 10% of the portfolio may consist of second
lien loans, unsecured loans, DIP loans, bonds or senior secured
notes, provided no more than 5% of the portfolio may consist of
bonds or senior secured notes. Moody's expect the portfolio to be
approximately 80% ramped as of the closing date.
GoldenTree Loan Management II, LP (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 four other
classes of secured notes and one class of subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2950
Weighted Average Spread (WAS): 3mS + 3.70%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 8 years
Methodology Used for the Rating Action
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2021.
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.
GULF STREAM 7: S&P Assigns BB- (sf) Rating on Class D Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to Gulf Stream Meridian 7
Ltd./Gulf Stream Meridian 7 LLC's floating-rate notes.
The note issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Meridian Credit Management LLC (doing
business as Gulf Stream Asset Management).
The ratings reflect:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Gulf Stream Meridian 7 Ltd./Gulf Stream Meridian 7 LLC
Class A-1, $305.00 million: AAA (sf)
Class A-2, $65.00 million: AA (sf)
Class B (deferrable), $40.00 million: A (sf)
Class C (deferrable), $30.00 million: BBB- (sf)
Class D (deferrable), $17.50 million: BB- (sf)
Subordinated notes, $47.20 million: Not rated
JEFFERSON MILL: Moody's Ups Rating on $18.5MM E-R Notes to Ba3
--------------------------------------------------------------
Moody's Investors Service has upgraded the rating on the following
notes issued by Jefferson Mill CLO Ltd.:
US$18,500,000 Class E-R Deferrable Mezzanine Floating Rate Notes
due 2031 (the "Class E-R Notes"), Upgraded to Ba3 (sf); previously
on August 6, 2020 Downgraded to B1 (sf)
Jefferson Mill CLO Ltd., originally issued in July 2015 refinanced
in September 2018, 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 will end in October 2023.
RATINGS RATIONALE
This rating action today is primarily a result of improvement in
the credit quality and an increase in the transaction's
over-collateralization (OC) ratios since February 2021. Based on
the trustee's February 2022 report[1], the weighted average rating
factor is currently 2772, compared to 3139 in February 2021[2].
The overcollateralization (OC) ratios of the rated notes have also
improved since February 2021. The OC ratios for the Class A/B,
Class C, Class D, Class E and Class F notes are reported at
129.52%, 121.36%, 112.95%, 107.24% and 105.12%, respectively, in
February 2022[3], versus February 2021[4] levels of 127.46%,
119.42%, 111.14%, 105.53% and 103.44% , respectively.
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, weighted average
spread, 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: $391,763,539
Defaulted par: $1,142,400
Diversity Score: 76
Weighted Average Rating Factor (WARF): 2820
Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.38%
Weighted Average Recovery Rate (WARR): 47.8%
Weighted Average Life (WAL): 5.7 years
In addition to base case analysis, Moody's considered additional
scenarios where outcomes could diverge from the base case. These
additional scenarios include, among others, near term defaults by
companies facing liquidity pressure, decrease in overall WAS and
lower recoveries on defaulted assets.
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 2021.
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.
KKR CLO 41: Moody's Assigns Ba3 Rating to $20MM Class E Notes
-------------------------------------------------------------
Moody's Investors Service has assigned ratings to three classes of
notes issued and one class of loans incurred by KKR CLO 41 Ltd.
(the "Issuer" or "KKR CLO 41").
Moody's rating action is as follows:
US$250,000,000 Class A-1 Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)
US$50,000,000 Class A-1L Loans due 2035, Assigned Aaa (sf)
US$20,000,000 Class A-2 Senior Secured Fixed Rate Notes due 2035,
Assigned Aaa (sf)
US$20,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2035, Assigned Ba3 (sf)
The notes and loans listed above are referred to herein,
collectively, as the "Rated Debt." The Class A-1L Loans may not be
exchanged or converted into notes at any time.
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.
KKR CLO 41 is a managed cash flow CLO. The issued debt will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 92.5% of the portfolio must consist of
senior secured loans, cash and eligible investments, and up to 7.5%
of the portfolio may consist of second lien loans, unsecured loans
and permitted non-loan assets. The portfolio is approximately 80%
ramped as of the closing date.
KKR Financial Advisors II, LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.
In addition to the Rated Debt, the Issuer issued three classes of
secured notes and one class of subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the debt 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 2021.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 3184
Weighted Average Spread (WAS): SOFR + 3.50%
Weighted Average Coupon (WAC): 5.75%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 8 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2021.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Debt is subject to uncertainty. The
performance of the Rated Debt 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 Debt.
LAQ 2022-LAQ: S&P Assigns B- (sf) Rating in Class F Certificates
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to LAQ 2022-LAQ Mortgage
Trust's commercial mortgage pass-through certificates.
The certificate issuance is a U.S. CMBS transaction backed by the
borrowers' fee simple and leasehold interests in 107
limited-service La Quinta flagged hotels, one limited-service
Baymont by Wyndham flagged hotel, and a pledge of cash flow from
one limited-service La Quinta flagged hotel, totaling 15,507
guestrooms across 22 U.S. states.
The ratings reflect S&P's view of the collateral's historical and
projected performance, the sponsor's and manager's experience, the
trustee-provided liquidity, the mortgage loan terms, and the
transaction's structure.
Between preliminary and final ratings, the issuer removed the class
X-CP and X-EXT notional certificates from the transaction's capital
structure.
Ratings Assigned
LAQ 2022-LAQ Mortgage Trust(i)
Class A, $304,815,000: AAA (sf)
Class B, $97,026,000: AA- (sf)
Class C, $67,459,000: A- (sf)
Class D, $99,975,000: BBB- (sf)
Class E, $150,262,000: BB- (sf)
Class F, $133,088,000: B- (sf)
Class G, $135,565,000: Not rated
Class HRR(ii), $52,010,000: 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)Non-offered eligible horizontal interest.
MFA 2022-INV1: S&P Assigns Prelim B+ (sf) Rating on Cl. B-2 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to MFA
2022-INV1 Trust's mortgage pass-through certificates series
2022-INV1.
The certificate issuance is an RMBS transaction backed by
first-lien, fixed- and adjustable-rate, fully amortizing, and
interest-only residential mortgage loans secured by single-family
residences, two- to four-family homes, condominiums, and townhomes
to both prime and nonprime borrowers. The pool consists of 1,137
business-purpose investor loans (including 275 cross-collateralized
loans backed by 1,151 properties) that are exempt from the
qualified mortgage and ability-to-repay rules.
The preliminary ratings are based on information as of March 30,
2022. 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 pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, geographic concentration, and representation and
warranty (R&W) framework;
-- The mortgage aggregator and mortgage originator; and
-- The further impact the COVID-19 pandemic will likely have on
the performance of the mortgage borrowers in the pool and the
liquidity available in the transaction.
Preliminary Ratings Assigned
MFA 2022-INV1 Trust(i)
Class A-1 $160,215,000: AAA (sf)
Class A-2 $22,316,000: AA (sf)
Class A-3 $26,445,000: A (sf)
Class M-1 $15,479,000: BBB (sf)
Class B-1 $9,030,000: BB+ (sf)
Class B-2 $10,320,000: B+ (sf)
Class B-3 $14,190,346: NR
Class A-IO-S Notional(ii): NR
Class XS Notional(ii): NR
Class R N/A: NR
(i)The collateral and structural information in this report reflect
the preliminary private placement memorandum (PPM) dated March 29,
2022. The preliminary ratings address the ultimate payment of
interest and principal and do not address payment of the cap
carryover amounts.
(ii)The notional amount equals the loans' aggregate unpaid
principal balance.
NR--Not rated.
N/A--Not applicable.
MFA 2022-NQM1: S&P Assigns B (sf) Rating on Class B-2 Certs
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to MFA 2022-NQM1 Trust's
mortgage pass-through certificates series 2022-NQM1.
The certificate issuance is an RMBS transaction backed by
first-lien fixed- and adjustable-rate, fully amortizing, and
interest-only residential mortgage loans primarily secured by
single-family residences, planned unit developments, condominiums,
condotels, two- to four-family homes, and one manufactured housing
property to both prime and nonprime borrowers. The pool has 701
loans, which are primarily nonqualified mortgage loans.
The ratings reflect S&P's view of:
-- The pool's collateral composition;
-- The transaction's credit enhancement;
-- The transaction's associated structural mechanics;
-- The transaction's representation and warranty framework;
-- The mortgage aggregator and mortgage originators;
-- The geographic concentration; and
-- The impact that the economic stress brought on by the COVID-19
pandemic will likely have on the performance of the mortgage
borrowers in the pool and liquidity available in the transaction.
Ratings Assigned
MFA 2022-NQM1 Trust(i)
Class A-1, $236,459,000: AAA (sf)
Class A-2, $21,633,000: AA (sf)
Class A-3, $23,629,000: A (sf)
Class M-1, $15,808,000: BBB (sf)
Class B-1, $12,314,000: BB (sf)
Class B-2, $9,652,000: B (sf)
Class B-3, $13,312,360: NR
Class A-IO-S, notional(ii): NR
Class XS, notional(ii): NR
Class R: NR
(i)The ratings address the ultimate payment of interest and
principal. They do not address payment of the cap carryover
amounts.
(ii)The notional amount equals the loans' aggregate unpaid
principal balance.
NR--Not rated.
MORGAN STANLEY 2006-4SL: Moody's Ups Rating on Cl. A-1 Bonds to B3
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of seven bonds
from six US residential mortgage backed transactions (RMBS), backed
by Second Lien and Resecuritized mortgages, issued by multiple
issuers.
A List of Affected Credit Ratings is available at
https://bit.ly/3Dm2lh0
Complete rating actions are as follows:
Issuer: CWABS Master Trust Revolving Home Equity Loan Asset Backed
Notes, Series 2004-B
Cl. 1-A, Upgraded to B1 (sf); previously on Jun 10, 2010 Downgraded
to Caa2 (sf)
Issuer: CWABS Revolving Home Equity Loan Trust, Series 2004-R
Cl. 1-A, Upgraded to A3 (sf); previously on May 28, 2021 Upgraded
to Baa3 (sf)
Issuer: CWABS Revolving Home Equity Loan Trust, Series 2004-S
Cl. A, Upgraded to B1 (sf); previously on Oct 31, 2019 Upgraded to
Caa1 (sf)
Issuer: Morgan Stanley Mortgage Loan Trust 2006-4SL
Cl. A-1, Upgraded to B3 (sf); previously on Jun 11, 2021 Upgraded
to Caa3 (sf)
Issuer: CWHEQ Revolving Home Equity Loan Resecuritization Trust
2006-RES
Cl. 04R-1a, Upgraded to A3 (sf); previously on May 28, 2021
Upgraded to Baa3 (sf)
Cl. 04R-1b, Upgraded to A3 (sf); previously on May 28, 2021
Upgraded to Baa3 (sf)
Issuer: HomeBanc Mortgage Trust 2005-2
Cl. B-1, Upgraded to Caa1 (sf); previously on Jun 3, 2010
Downgraded to C (sf)
RATINGS RATIONALE
The rating actions reflect the recent performance as well as
Moody's updated loss expectations on the underlying pools. The
rating upgrades are a result of an increase in credit enhancement
available to the bonds and the improving performance of the related
pools.
The rating actions on the bonds from the resecuritization
transaction CWHEQ Revolving Home Equity Loan Resecuritization Trust
2006-RES reflect the rating actions on the bonds underlying that
transaction.
Principal Methodologies
The principal methodology used in rating all deals except CWHEQ
Revolving Home Equity Loan Resecuritization Trust 2006-RES was "US
RMBS Surveillance Methodology" published in July 2020.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds 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.
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 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.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
MTN COMMERCIAL 2022-LPFL: Moody's Assigns B3 Rating to Cl. F Certs
------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to six
classes of CMBS securities, issued by MTN Commercial Mortgage Trust
2022-LPFL, Commercial Mortgage Pass-Through Certificates, Series
2022-LPFL:
Cl. A, Definitive Rating Assigned Aaa (sf)
Cl. B, Definitive Rating Assigned Aa3 (sf)
Cl. C, Definitive Rating Assigned A3 (sf)
Cl. D, Definitive Rating Assigned Baa3 (sf)
Cl. E, Definitive Rating Assigned Ba3 (sf)
Cl. F, Definitive Rating Assigned B3 (sf)
Note: Moody's previously assigned a provisional rating to Class
X-CP of (P) Aa1 (sf) and to Class X-NCP of (P) Aa1 (sf), described
in the prior press release, dated March 2, 2022. Subsequent to the
release of the provisional ratings for this transaction, the
structure was modified. Based on the current structure, Moody's has
withdrawn its provisional rating for both Class X-CP and Class
X-NCP and will not rate these certificates.
RATINGS RATIONALE
The certificates are collateralized by the borrower's fee and
leasehold interests in 82 primarily industrial properties located
across 25 states. Moody's ratings are based on the credit quality
of the loans and the strength of the securitization structure.
Moody's approach to rating this transaction involved the
application of both Moody's Large Loan and Single Asset/Single
Borrower Commercial Mortgage-Backed Securitization methodology. The
rating approach for securities backed by a single loan compares the
credit risk inherent in the underlying collateral with the credit
protection offered by the structure. The structure's credit
enhancement is quantified by the maximum deterioration in property
value that the securities are able to withstand under various
stress scenarios without causing an increase in the expected loss
for various rating levels. In assigning single borrower ratings,
Moody's also consider a range of qualitative issues as well as the
transaction's structural and legal aspects.
The portfolio offers 15,854,234 SF of aggregate area across the
following three property subtypes — warehouse/distribution (70
properties; 88.1% of NRA), manufacturing (10 properties; 10.8% of
NRA) and light manufacturing (2 properties; 1.1% of NRA). The
portfolio facilities offer superior functionality with a weighted
average year built of 2011 (average age of 11 years) based on
development dates ranging between 1985 and 2021. Property sizes
average 193,344 SF and range between 12,500 SF and 832,000 SF.
Clear heights for properties have a weighted average maximum clear
height of 29.5 feet and range between 16 feet and 40 feet.
The portfolio is geographically diverse as the 82 properties are
located across 52 markets in 25 states. The largest state
concentration is Texas, which represents 8.6% of NRA and 11.3% of
base rent. The largest market concentration is the Charlotte, NC,
which represents 5.4% of NRA and 6.8% of base rent. The Portfolio's
property-level Herfindahl score is 52.9 based on ALA.
As of February 1, 2022, the portfolio was 96.5% leased to 81
individual tenants. The largest tenant in the portfolio, FedEx,
accounts for approximately 7.4 million SF and represents 46.8% of
NRA.
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 Moody's first mortgage DSCR is 2.03x and Moody's first mortgage
stressed DSCR at a 9.25% constant is 0.62x. Moody's DSCR is based
on Moody's stabilized net cash flow.
Moody's LTV ratio for the first mortgage balance is 139.8% based on
Moody's Value. Adjusted Moody's LTV ratio for the first mortgage
balance is 121.0%, compared to 121.1% issued at Moody's provisional
ratings, based on Moody's Value using a cap rate adjusted for the
current interest rate environment.
Moody's also grades properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The pool's weighted
average property quality grade is 1.00.
Notable strengths of the transaction include: the asset quality,
strong tenancy, geographic diversity, tenant rollover profile and
experienced sponsorship.
Notable concerns of the transaction include: the high Moody's
loan-to value (MLTV) ratio, tenant concentration, locations,
floating-rate/interest-only mortgage loan profile and certain
credit negative legal features.
Moody's rating approach considers sequential pay in connection with
a collateral release as a credit neutral benchmark. Although the
loans' release premium mitigates the risk of a ratings downgrade
due to adverse selection, the pro rata payment structure limits
ratings upgrade potential as mezzanine classes are prevented from
building enhancement. The benefit received from pooling through
cross-collateralization is also reduced.
The principal methodology used in these ratings was "Large Loan and
Single Asset/Single Borrower Commercial Mortgage-Backed
Securitizations Methodology" published in November 2021.
Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from Moody's
loan level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.
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 may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
NEUBERGER BERMAN 48: Moody's Assigns Ba3 Rating to $24MM E Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to two classes of
notes issued by Neuberger Berman Loan Advisers CLO 48, Ltd. (the
"Issuer" or "Neuberger Berman 48").
Moody's rating action is as follows:
US$372,000,000 Class A-1 Senior Secured Floating Rate Notes due
2034 [1], Definitive Rating Assigned Aaa (sf)
US$24,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2036, Definitive Rating Assigned Ba3 (sf)
The notes listed 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.
Neuberger Berman 48 is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 90% of the portfolio must consist
of senior secured loans, cash, and eligible investments, and up to
10% of the portfolio may consist of second lien loans and unsecured
loans. The portfolio is approximately 95% ramped as of the closing
date.
Neuberger Berman Loan Advisers II LLC (the "Manager") will direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, 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 four classes
of secured notes and one class of subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2021.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $600,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2892
Weighted Average Spread (WAS): 3.30%
Weighted Average Coupon (WAC): 5.50%
Weighted Average Recovery Rate (WARR): 45.0%
Weighted Average Life (WAL): 8.08 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2021.
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.
OBX 2022-NQM3: S&P Assigns B (sf) Rating on Class B-2 Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to OBX 2022-NQM3 Trust's
mortgage-backed notes.
The note issuance is an RMBS transaction backed by newly originated
first-lien, fixed-rate, and adjustable-rate residential mortgage
loans to prime and nonprime borrowers, including mortgage loans
with initial interest-only periods. The loans are primarily secured
by single-family residential properties, planned-unit developments,
condominiums, townhouses, and two- to four-family residential
properties. The pool has 518 loans, which are primarily
non-qualified mortgage/ability to repay-compliant (ATR-compliant)
and ATR-exempt loans.
S&P said, "After we assigned our preliminary ratings on March 14,
2022, the priority of payments in the transaction documents was
updated such that beginning on the distribution date in April 2026
and thereafter (for as long as the class A-1A or A-1B notes are
outstanding), the interest and interest carryforward amounts
otherwise payable to the class B-3 notes will instead be
reallocated to pay cap carryover amounts due on the class A-1A and
A-1B notes. The B-3 interest amounts that were thus diverted will
not be paid back to the class B-3 notes. Our ratings address the
ultimate payment of interest (including interest carryforward
amounts) and principal to the rated bonds and do not address the
payment of any cap carryover amounts. The subordination credit
enhancement on the rated classes remained the same and the final
ratings assigned are unchanged from the preliminary ratings we
assigned for all classes."
The preliminary ratings reflect S&P's view of:
-- The pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, representation and warranty framework, and geographic
concentration;
-- The mortgage aggregator, Onslow Bay Financial LLC, and the
originators, which include AmWest Funding Corp.; and
-- The impact that the COVID-19 pandemic will likely have on the
performance of the mortgage borrowers in the pool.
Ratings Assigned(i)
OBX 2022-NQM3 Trust
Class A-1A, $185,241,750: AAA (sf)
Class A-1B, $61,747,250: AAA (sf)
Class A-1, $246,989,000: AAA (sf)
Class A-2, $15,792,000: AA (sf)
Class A-3, $18,477,000: A (sf)
Class M-1, $11,528,000: BBB (sf)
Class B-1, $8,686,000: BB (sf)
Class B-2, $6,948,000: B (sf)
Class B-3, $7,422,909: Not rated
Class A-IO-S, notional(ii): Not rated
Class XS, notional(iii): Not rated
Class R: Not rated
(i)The ratings address the ultimate payment of interest and
principal.
(ii)For the class A-IO-S notes, the notional amount equals the
loans' stated principal balance for loans serviced by Select
Portfolio Servicing Inc. and Specialized Loan Servicing LLC.
(iii)The notional amount equals the loans' stated principal
balance.
PALMER SQUARE 2021-1: Moody's Hikes Rating on Class D Notes to Ba1
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Palmer Square Loan Funding 2021-1, Ltd.:
US$48,000,000 Class A-2 Senior Secured Floating Rate Notes due 2029
(the "Class A-2 Notes"), Upgraded to Aaa (sf); previously on
February 18, 2021 Definitive Rating Assigned Aa1 (sf)
US$24,000,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2029 (the "Class B Notes"), Upgraded to Aa2 (sf); previously on
February 18, 2021 Definitive Rating Assigned A1 (sf)
US$18,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2029 (the "Class C Notes"), Upgraded to A3 (sf); previously on
February 18, 2021 Definitive Rating Assigned Baa1 (sf)
US$16,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2029 (the "Class D Notes"), Upgraded to Ba1 (sf); previously on
February 18, 2021 Definitive Rating Assigned Ba2 (sf)
Palmer Square Loan Funding 2021-1, Ltd., issued in February 2021,
is a static cashflow CLO. The notes are collateralized primarily by
a portfolio of broadly syndicated senior secured corporate loans.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since April 2021. The Class A-1
notes have been paid down by approximately 30.6% or $80.8 million
since that time. Based on the trustee's February 2022 report[1],
the OC ratios for the Class A, Class B, Class C and Class D notes
are reported at 138.08%, 125.09%, 116.85% and 110.39%,
respectively, versus April 2021 [2] levels of 127.94%, 118.80%,
112.76% and 107.88%, respectively.
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, weighted average
spread, 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: $319,207,170
Defaulted par: $0
Diversity Score: 64
Weighted Average Rating Factor (WARF): 2589
Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.28%
Weighted Average Recovery Rate (WARR): 48.3%
Weighted Average Life (WAL): 4.6 years
In addition to base case analysis, Moody's considered additional
scenarios where outcomes could diverge from the base case. These
additional scenarios includes, among others, decrease in overall
WAS and lower recoveries on defaulted assets.
Methodology Used for the Rating Action
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2021.
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.
PMT LOAN 2022-INV1: Moody's Assigns B2 Rating to Cl. B-5 Certs
--------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 61
classes of residential mortgage-backed securities (RMBS) issued by
PMT Loan Trust 2022-INV1 (PMTLT 2022-INV1). The ratings range from
Aaa (sf) to B2 (sf).
PMTLT 2022-INV1 securitization is backed by a pool of prime
conforming, investment property mortgage loans acquired by PennyMac
Corp. (PennyMac), the seller and sponsor of this transaction.
PennyMac acquired the mortgage loans in the pool through its
corresponding lending channel. All of the mortgage loans satisfy
the eligibility criteria of Federal National Mortgage Association
(Fannie Mae) or Federal Home Loan Mortgage Corporation (Freddie
Mac) (collectively, GSEs). This deal represents the first
PennyMac-sponsored 100% GSE eligible investor property transaction
in 2022. Overall, the credit quality of the mortgage loans backing
this transaction is in-line with recently issued GSE eligible
investor property transactions Moody's have rated.
PennyMac Loan Services, LLC is the servicer and responsible for
making servicing and principal and interest (P&I) advances. There
is no master servicer in this transaction. Citibank, N.A., will be
the fiscal agent and will act as the backup advancing party with
respect to advancing obligations.
As of the closing date, the sponsor or a majority-owned affiliate
of the sponsor intends to retain an eligible vertical interest or
eligible horizontal residual interest, or any combination thereof,
equal to at least 5% economic interest in the credit risk of assets
collateralizing a securities transaction.
Two third-party review (TPR) firms verified the accuracy of the
loan level information that Moody's received from the sponsor. The
firms conducted detailed credit, property valuation, data accuracy
and compliance reviews on 542 mortgage loans in the collateral
pool. 30 sampled mortgage loans were removed from the mortgage pool
by the Sponsor after the review, resulting in 512 sampled mortgage
loans being part of the final mortgage pool. The number of mortgage
loans that went through a full due diligence review meets Moody's
credit neutral threshold. However, certain weaknesses were
identified in the TPR.
Issuer: PMT Loan Trust 2022-INV1
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-5, Definitive Rating Assigned Aaa (sf)
Cl. A-6, Definitive Rating Assigned Aaa (sf)
Cl. A-7, Definitive Rating Assigned Aaa (sf)
Cl. A-8, Definitive Rating Assigned Aaa (sf)
Cl. A-9, Definitive Rating Assigned Aaa (sf)
Cl. A-10, Definitive Rating Assigned Aaa (sf)
Cl. A-11, Definitive Rating Assigned Aaa (sf)
Cl. A-12, Definitive Rating Assigned Aaa (sf)
Cl. A-13, Definitive Rating Assigned Aaa (sf)
Cl. A-14, Definitive Rating Assigned Aaa (sf)
Cl. A-15, Definitive Rating Assigned Aaa (sf)
Cl. A-16, Definitive Rating Assigned Aaa (sf)
Cl. A-17, Definitive Rating Assigned Aaa (sf)
Cl. A-18, Definitive Rating Assigned Aaa (sf)
Cl. A-19, Definitive Rating Assigned Aaa (sf)
Cl. A-20, Definitive Rating Assigned Aaa (sf)
Cl. A-21, Definitive Rating Assigned Aaa (sf)
Cl. A-22, Definitive Rating Assigned Aaa (sf)
Cl. A-23, Definitive Rating Assigned Aaa (sf)
Cl. A-24, Definitive Rating Assigned Aaa (sf)
Cl. A-25, Definitive Rating Assigned Aaa (sf)
Cl. A-26, Definitive Rating Assigned Aaa (sf)
Cl. A-27, Definitive Rating Assigned Aaa (sf)
Cl. A-28, Definitive Rating Assigned Aa1 (sf)
Cl. A-29, Definitive Rating Assigned Aa1(sf)
Cl. A-30, Definitive Rating Assigned Aa1(sf)
Cl. A-31, Definitive Rating Assigned Aaa (sf)
Cl. A-32, Definitive Rating Assigned Aaa (sf)
Cl. A-33, Definitive Rating Assigned Aaa (sf)
Cl. A-X1*, Definitive Rating Assigned Aaa (sf)
Cl. A-X2*, Definitive Rating Assigned Aaa (sf)
Cl. A-X3*, Definitive Rating Assigned Aaa (sf)
Cl. A-X6*, Definitive Rating Assigned Aaa (sf)
Cl. A-X7*, Definitive Rating Assigned Aaa (sf)
Cl. A-X8*, Definitive Rating Assigned Aaa (sf)
Cl. A-X9*, Definitive Rating Assigned Aaa (sf)
Cl. A-X11*, Definitive Rating Assigned Aaa (sf)
Cl. A-X12*, Definitive Rating Assigned Aaa (sf)
Cl. A-X14*, Definitive Rating Assigned Aaa (sf)
Cl. A-X15*, Definitive Rating Assigned Aaa (sf)
Cl. A-X18*, Definitive Rating Assigned Aaa (sf)
Cl. A-X19*, Definitive Rating Assigned Aaa (sf)
Cl. A-X21*, Definitive Rating Assigned Aaa (sf)
Cl. A-X22*, Definitive Rating Assigned Aaa (sf)
Cl. A-X24*, Definitive Rating Assigned Aaa (sf)
Cl. A-X25*, Definitive Rating Assigned Aaa (sf)
Cl. A-X26*, Definitive Rating Assigned Aaa (sf)
Cl. A-X27*, Definitive Rating Assigned Aaa (sf)
Cl. A-X30*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X31*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X32*, Definitive Rating Assigned Aaa (sf)
Cl. A-X33*, Definitive Rating Assigned Aaa (sf)
Cl. B-1, Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Definitive Rating Assigned A3 (sf)
Cl. B-3, Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Definitive Rating Assigned Ba2 (sf)
Cl. B-5, Definitive Rating Assigned B2 (sf)
*Reflects Interest Only Classes
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected loss for this pool in a baseline scenario-mean is
0.82%, in a baseline scenario-median is 0.58%, and reaches 5.43% at
a stress level consistent with Moody's Aaa ratings.
Moody's base its ratings on the certificates on the credit quality
of the mortgage loans, the structural features of the transaction,
Moody's assessments of the origination quality and servicing
arrangement, the strength of the TPR and the representations &
warranties (R&W) framework of the transaction.
Collateral Description
As of the cut-off date, the mortgage loans will consist of 1,298
conforming mortgage loans secured by first lien investment property
with an aggregate stated principal balance (UPB) of approximately
$419,590,555, with an original term to maturity between 17 and 30
years. All of the mortgage loans in the pool were run through one
of the GSE automated underwriting systems (AUS) and received an
"Approve" or "Accept" recommendation.
Overall, the pool has strong credit quality and consists of
borrowers with high FICO scores, low loan-to-value (LTV) ratios,
high income, and liquid cash reserves. The average liquid/cash
reserves is $296,026 with approximately 71.7% of the borrowers (by
UPB) having more than 60 months of liquid/cash reserves. The
weighted average (WA) FICO for the aggregate pool is 775 with a WA
LTV of 63.5% and WA CLTV of 63.6%. Approximately 36.5% of the
mortgage loans (by UPB) were originated in California and
approximately 1.7% of the mortgage loans (by UPB) have primary
mortgage insurance coverage. The pool has weighted average (WA)
seasoning of approximately three months and consists of 21 loans
(1.62% by loan count) which have been delinquent since origination,
however, are current as of cut-off date. No borrower under any
mortgage loan is currently in an active COVID-19 related
forbearance plan with the servicer.
Approximately 6.0% (by UPB) of the mortgage loans and 96 loans by
count are "Appraisal Waiver" (AW) loans, whereby the sponsor
obtained an AW for each such mortgage loan from Fannie Mae or
Freddie Mac through their respective programs. In each case,
neither Fannie Mae nor Freddie Mac required an appraisal of the
related mortgaged property as a condition of approving the related
mortgage loan for purchase by Fannie Mae or Freddie Mac, as
applicable. All of the AW loans had a secondary valuation. The
valuations for 4 loans had variances between -10% and -35%. Because
AW loans may present a greater risk as the value of the related
mortgaged properties may be less than the value ascribed to such
mortgaged properties, Moody's made an adjustment in its analysis to
account for the increased risk associated with such loans.
Aggregation and Origination Quality
PennyMac's loan program consists of retail origination,
correspondent lending, and whole loan purchases nationwide. All the
mortgage loans in the pool were acquired by PennyMac via
correspondent lending. Based on the available information related
to PennyMac's valuation and risk management practices, Moody's
considered qualitative factors during the ratings process including
Moody's review of the origination quality and servicing
arrangement, the results of the TPR, and the R&W framework. Moody's
consider PennyMac to be an adequate originator of conforming
mortgages. As a result, Moody's did not make any adjustments to
Moody's base case and Aaa stress loss assumptions based on Moody's
review of PennyMac's origination practices/underwriting,
audit/quality control and loan performance.
Servicing Arrangement
Moody's assess the overall servicing arrangement for this pool as
adequate, given the ability, scale and experience of PennyMac Loan
Services, LLC as a servicer. However, compared to other prime
transactions which typically have a master servicer, servicer
oversight for this transaction is relatively weaker. Overall,
Moody's did not apply any adjustment to Moody's expected losses for
the lack of master servicer due to the following mitigants: (i)
PennyMac Loan Services, LLC was established in 2008 and is an
experienced servicer of residential mortgage loans; PennyMac Loan
Services, LLC is an approved servicer for both Fannie Mae and
Freddie Mac; (ii) PennyMac had no instances of non-compliance for
its 2020 Regulation AB or Uniformed Single Audit Program (USAP)
independent servicer reviews; (iii) Although not directly related
to this transaction, there is still third party oversight of
PennyMac Loan Services, LLC from the GSEs, the CFPB, the accounting
firms and state regulators; (iv) The complexity of the loan product
is relatively low, reducing the complexity of servicing and
reporting; and (v) Citibank, N.A., is the securities administrator
and fiscal agent, and backup advancing party with respect to P&I
advances.
Third-Party Review
Two TPR firms verified the accuracy of the loan level information
that Moody's received from the sponsor. The firms conducted
detailed credit, property valuation, data accuracy and compliance
reviews on 542 loans. 30 sampled mortgage loans were removed from
the mortgage pool by the Sponsor on conclusion of the review,
resulting in 512 Sampled Mortgage Loans being part of the final
mortgage pool. The number of mortgage loans that went through a
full due diligence review meets Moody's credit neutral threshold.
However, the results of the TPR are weaker than those for other
confirming transactions from other programs. According to the
preliminary TPR results, 13 mortgage loans had a final credit grade
C or D, 3 mortgage loans had a final compliance grade D, and 7
mortgage loans had a final valuation grade D. While these mortgage
loans were ultimately excluded from the final mortgage pool,
Moody's nevertheless made an adjustment to Moody's losses by
extrapolating the aforementioned results to the non-sampled portion
of the pool.
Representations & Warranties
Moody's assessed the R&Ws framework based on three factors: (a) the
financial strength of the remedy provider; (b) the strength of the
R&Ws (including qualifiers and sunsets) and (c) the effectiveness
of the enforcement mechanisms. Moody's evaluated the impact of
these factors collectively on the ratings in conjunction with the
transaction's specific details and in some cases, the strengths of
some of the factors can mitigate weaknesses in others.
PennyMac (the R&W provider) makes the loan level R&Ws for the
mortgage loans. Moody's applied a qualitative adjustment in Moody's
model analysis to account for certain weaknesses in the R&W
framework. The R&W provider (unrated) may not have the financial
wherewithal to remedy defective mortgage loans in a stressed
economic environment, given that its monoline mortgage business is
highly correlated with the economy.
Transaction Structure
PMTLT 2022-INV1 has one pool with a shifting interest structure
that benefits from a subordination floor. Funds collected,
including principal, are first used to make interest payments and
then principal payments to the senior bonds, and then interest and
principal payments to each subordinate bond. As in all transactions
with shifting interest structures, the senior bonds benefit from a
cash flow waterfall that allocates all prepayments to the senior
bond for a specified period of time, and increasing amounts of
prepayments to the subordinate bonds thereafter, but only if loan
performance satisfies delinquency and loss tests.
Tail Risk & Subordination Floor
The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 1.00% of the cut-off date pool
balance, and as subordination lock-out amount of 0.90% of the
cut-off date pool balance. The floors are consistent with the
credit neutral floors for the assigned ratings according to Moody's
methodology.
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 February 2022.
POST CLO 2022-1: S&P Assigns BB-(sf) Rating on $16MM Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned ratings to Post CLO 2022-1 Ltd./Post
CLO 2022-1 LLC's floating-rate notes.
The note issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Post Advisory Group LLC.
The ratings reflect S&P's view of:
-- The collateral pool's diversification;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Post CLO 2022-1 Ltd./Post CLO 2022-1 LLC
Class A, $252.00 million: AAA (sf)
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), $16.00 million: BB- (sf)
Subordinated notes, $35.40 million: Not rated
SPRITE 2017-1: S&P Places 'B+' Rating on Class C Notes on Watch Neg
-------------------------------------------------------------------
S&P Global Ratings placed its 'BBB (sf)', 'BB (sf)', and 'B+ (sf)'
ratings on Sprite 2017-1 Ltd./Sprite 2017-1 US LLC's (Sprite
2017-1) series 2017-1 A, B, and C notes, respectively, on
CreditWatch with negative implications.
The CreditWatch placements primarily reflect the concentration of
the portfolio that consists of three aircraft on lease to Eastar
Jet, which is subject to judicial rehabilitation proceedings in
South Korea.
As of November 2021, Sprite 2017-1 was backed by lease revenues and
sales proceeds from a portfolio of 19 commercial aircraft. All 19
aircraft are expected to be acquired by Sprite 2021-1 Ltd./Sprite
2021-1 US LLC (Sprite 2021-1) and the Sprite 2017-1 notes are
expected to be redeemed. To date, Sprite 2021-1 purchased 16 of the
aircraft from Sprite 2017-1. Sprite 2021-1 is expected to acquire
the remaining three aircraft within 360 days of its Nov. 19, 2021,
closing date. The acquisition of the aircraft is subject to
resolution of Eastar Jet's judicial rehabilitation proceedings, the
timing of which remains uncertain.
As of the March 15, 2022, payment date, the outstanding note
balance on Sprite 2017-1's class A, B, and C notes was
approximately $40.2 million. As of the closing of Sprite 2021-1 in
November 2021, there was approximately $50 million on deposit in
Sprite 2021-1 accounts for the acquisition of the three aircraft.
However, until the acquisition of the aircraft from Sprite 2017-1,
this amount is reduced monthly to pay amounts due on the Sprite
2021-1 notes.
To resolve the CreditWatch placements, S&P will review the
transaction over the next 90 days.
STEELE CREEK 2022-1: Moody's Gives Ba3 Rating to $15.75MM E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Steele Creek CLO 2022-1, Ltd. (the "Issuer" or
"Steele Creek 2022-1").
Moody's rating action is as follows:
US$217,000,000 Class A-1 Senior Secured Floating Rate Notes due
2035, Definitive Rating Assigned Aaa (sf)
US$7,000,000 Class A-2 Senior Secured Floating Rate Notes due 2035,
Definitive Rating Assigned Aaa (sf)
US$42,000,000 Class B Senior Secured Floating Rate Notes due 2035,
Definitive Rating Assigned Aa2 (sf)
US$19,250,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2035, Definitive Rating Assigned A2 (sf)
US$21,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2035, Definitive Rating Assigned Baa3 (sf)
US$15,750,000 Class E Mezzanine Secured Deferrable Floating Rate
Notes due 2035, Definitive Rating Assigned Ba3 (sf)
The notes listed 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.
Steele Creek 2022-1 is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 92.5% of the portfolio must
consist of senior secured loans and eligible investments, and up to
7.5% of the portfolio may consist of second-lien loans, unsecured
loans, and permitted non-loan assets. The portfolio is
approximately 95% ramped as of the closing date.
Steele Creek Investment 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 issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2021.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $350,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2746
Weighted Average Spread (WAS): S + 3.60%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 46.8%
Weighted Average Life (WAL): 8.0 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2021.
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 2022-SJ1: Fitch Gives B- Rating to 9 Tranches
--------------------------------------------------------
Fitch Ratings has assigned ratings to Towd Point Mortgage Trust
2022-SJ1 (TPMT 2022-SJ1).
DEBT RATING PRIOR
---- ------ -----
TPMT 2022-SJ1
A1 LT AAAsf New Rating AAA(EXP)sf
A2 LT AA-sf New Rating AA-(EXP)sf
M1 LT A-sf New Rating A-(EXP)sf
M2 LT BBB-sf New Rating BBB-(EXP)sf
B1 LT BB-sf New Rating BB-(EXP)sf
B2 LT B-sf New Rating B-(EXP)sf
B3 LT NRsf New Rating NR(EXP)sf
B4 LT NRsf New Rating NR(EXP)sf
B5 LT NRsf New Rating NR(EXP)sf
A1A LT AAAsf New Rating AAA(EXP)sf
A1AX LT AAAsf New Rating AAA(EXP)sf
A1B LT AAAsf New Rating AAA(EXP)sf
A1BX LT AAAsf New Rating AAA(EXP)sf
A1C LT AAAsf New Rating AAA(EXP)sf
A1CX LT AAAsf New Rating AAA(EXP)sf
A1D LT AAAsf New Rating AAA(EXP)sf
A1DX LT AAAsf New Rating AAA(EXP)sf
A2A LT AA-sf New Rating AA-(EXP)sf
A2AX LT AA-sf New Rating AA-(EXP)sf
A2B LT AA-sf New Rating AA-(EXP)sf
A2BX LT AA-sf New Rating AA-(EXP)sf
A2C LT AA-sf New Rating AA-(EXP)sf
A2CX LT AA-sf New Rating AA-(EXP)sf
A2D LT AA-sf New Rating AA-(EXP)sf
A2DX LT AA-sf New Rating AA-(EXP)sf
A3 LT AA-sf New Rating AA-(EXP)sf
A4 LT A-sf New Rating A-(EXP)sf
A5 LT BBB-sf New Rating BBB-(EXP)sf
A6 LT NRsf New Rating NR(EXP)sf
M1A LT A-sf New Rating A-(EXP)sf
M1AX LT A-sf New Rating A-(EXP)sf
M1B LT A-sf New Rating A-(EXP)sf
M1BX LT A-sf New Rating A-(EXP)sf
M1C LT A-sf New Rating A-(EXP)sf
M1CX LT A-sf New Rating A-(EXP)sf
M1D LT A-sf New Rating A-(EXP)sf
M1DX LT A-sf New Rating A-(EXP)sf
M2A LT BBB-sf New Rating BBB-(EXP)sf
M2AX LT BBB-sf New Rating BBB-(EXP)sf
M2B LT BBB-sf New Rating BBB-(EXP)sf
M2BX LT BBB-sf New Rating BBB-(EXP)sf
M2C LT BBB-sf New Rating BBB-(EXP)sf
M2CX LT BBB-sf New Rating BBB-(EXP)sf
M2D LT BBB-sf New Rating BBB-(EXP)sf
M2DX LT BBB-sf New Rating BBB-(EXP)sf
B1A LT BB-sf New Rating BB-(EXP)sf
B1AX LT BB-sf New Rating BB-(EXP)sf
B1B LT BB-sf New Rating BB-(EXP)sf
B1BX LT BB-sf New Rating BB-(EXP)sf
B1C LT BB-sf New Rating BB-(EXP)sf
B1CX LT BB-sf New Rating BB-(EXP)sf
B1D LT BB-sf New Rating BB-(EXP)sf
B1DX LT BB-sf New Rating BB-(EXP)sf
B2A LT B-sf New Rating B-(EXP)sf
B2AX LT B-sf New Rating B-(EXP)sf
B2B LT B-sf New Rating B-(EXP)sf
B2BX LT B-sf New Rating B-(EXP)sf
B2C LT B-sf New Rating B-(EXP)sf
B2CX LT B-sf New Rating B-(EXP)sf
B2D LT B-sf New Rating B-(EXP)sf
B2DX LT B-sf New Rating B-(EXP)sf
B3A LT NRsf New Rating NR(EXP)sf
B3AX LT NRsf New Rating NR(EXP)sf
B3B LT NRsf New Rating NR(EXP)sf
B3BX LT NRsf New Rating NR(EXP)sf
B3C LT NRsf New Rating NR(EXP)sf
B3CX LT NRsf New Rating NR(EXP)sf
XA LT NRsf New Rating NR(EXP)sf
XS1 LT NRsf New Rating NR(EXP)sf
XS2 LT NRsf New Rating NR(EXP)sf
X LT NRsf New Rating NR(EXP)sf
R LT NRsf New Rating NR(EXP)sf
TRANSACTION SUMMARY
Fitch has assigned ratings to the residential mortgage-backed notes
backed by seasoned and re-performing first-lien and closed-end
junior-lien, residential mortgage loans to be issued by Towd Point
Mortgage Trust 2022-SJ1 (TPMT 2022-SJ1), as indicated.
The notes are supported by one collateral group that consists of
14,929 seasoned performing (SPLs) and re-performing (RPLs), with a
total balance of approximately $548.24 million, including $6.5
million, or 1.2%, of the aggregate pool balance in
non-interest-bearing deferred principal amounts, as of the
statistical calculation date. Approximately 95.2% of the pool by
unpaid principal balance (UPB) are junior-lien loans, and the
remaining 4.8% are first-lien loans.
Distributions of principal and interest (P&I) and loss allocations
are based on a traditional senior-subordinate, sequential
structure. The sequential-pay structure locks out principal to the
subordinated notes until the most senior notes outstanding are paid
in full. The servicers will not advance delinquent monthly payments
of P&I.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 10.5% above a long-term sustainable level (versus
10.6% on a national level). Underlying fundamentals are not keeping
pace with the growth in prices, which is a result of a
supply/demand imbalance driven by low inventory, low mortgage rates
and new buyers entering the market. These trends have led to
significant home price increases over the past year, with home
prices rising 19.7% yoy nationally as of September 2021.
RPL Credit Quality with Closed-End Junior Liens (Negative): The
collateral pool consists of peak-vintage SPL and RPLs seasoned
approximately 180 months in aggregate, as calculated by Fitch.
Approximately 4.8% of the pool by UPB are first liens and the
remaining 95.2% are junior liens. As of the statistical calculation
date, the pool was 97.9% current and 2.1% delinquent (DQ). 78.7% of
the loans have had a clean pay history for the last two years
(under the Mortgage Bankers Association [MBA] method), after
adjusting for Fitch's treatment of coronavirus-related forbearance
and deferral loans. Additionally, 32% of loans have been modified.
The borrowers have a moderate credit profile (716 FICO) and low
leverage (60% sLTV).
100% Loss Severity Assumed on Junior Liens (Negative): Fitch
assumed no recovery and 100% loss severity (LS) on junior lien
loans based on the historical behavior of junior lien loans in
economic stress scenarios and a transactional feature that applies
the balance of a defaulted loan as a realized loss to the trust at
150 days' DQ using the Office of Thrift Supervision (OTS)
methodology, excluding forbearance mortgage loans. Fitch assumes
junior lien loans default at a rate comparable with first lien
loans; after controlling for credit attributes, no additional
default penalty was applied.
Realized Loss and Write-down Feature (Positive): Junior lien loans
that are DQ for 150 days or more under the OTS method will be
considered a realized loss (excluding forbearance mortgage loans)
and, therefore, will cause the most subordinated class to be
written down. Despite the 100% LS assumed for each defaulted junior
lien loan, Fitch views the write-down feature positively, as cash
flows will not be needed to pay timely interest to the 'AAAsf' and
'AA-sf' notes during loan resolution by the servicers. In addition,
subsequent recoveries realized after the write-down at 150 days DQ
(excluding forbearance mortgage loans) will be passed on to
bondholders as principal.
No Servicer P&I Advancing (Mixed): The servicers will not advance
DQ monthly payments of P&I, which reduces liquidity to the trust.
P&I advances made on behalf of loans that become DQ and eventually
liquidate reduce liquidation proceeds to the trust. Due to the lack
of P&I advancing, the loan-level LS is less for this transaction
than for those where the servicer is obligated to advance P&I.
Structural provisions and cash flow priorities, together with
increased subordination, provide for timely payments of interest to
the 'AAAsf' and 'AA-sf' rated classes.
Sequential-Pay Structure (Positive): The transaction's cash flow is
based on a sequential-pay structure, whereby the subordinate
classes do not receive principal until the senior classes are
repaid in full. Losses are allocated in reverse-sequential order.
Furthermore, the provision to re-allocate principal to pay interest
on the 'AAAsf' and 'AA-sf' rated notes prior to other principal
distributions is highly supportive of timely interest payments to
those classes in the absence of servicer advancing. Similar to the
prior Fitch-rated TPMT 2021-SJ2 and TPMT 2021-SJ1 transactions,
excess cash flow will not be used to turbo down the senior
classes.
RATING SENSITIVITIES
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 41.7% at 'AAAsf'. 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.
Factor that could, individually or collectively, lead to positive
rating action/upgrade:
-- This defined positive rating sensitivity analysis demonstrates
how the ratings would react to positive home price growth of
10% with no assumed overvaluation. 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'.
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, Clayton and Westcor. The third-party due diligence
described in Form 15E focused on regulatory compliance, pay
history, servicing comments, the presence of key documents in the
loan file and data integrity. In addition, AMC and Westcor were
retained to perform an updated title and tax search, as well as a
review to confirm that the mortgages were recorded in the relevant
local jurisdiction and the related assignment chains. A regulatory
compliance and data integrity review was completed on 24.5% of the
pool by loan count.
The regulatory compliance review indicated that 395 reviewed loans,
or approximately 10.8% of the total pool, received a final grade of
'C' or 'D'. For 217 of these loans, this was due to missing loan
documentation that prevented testing for predatory lending
compliance. The inability to test for predatory lending may expose
the trust to potential assignee liability, which creates added risk
for bond investors. Typically, Fitch makes LS adjustments to
account for this. However, all loans that received a grade of 'C'
or 'D' are junior liens and are already receiving 100% LS;
therefore, no adjustments were made.
Reasons for the remaining 178 'C' and 'D' grades include missing
final HUD1s that are not subject to predatory lending, missing
state disclosures and other compliance-related documents. Fitch
believes these issues do not add material risk to bondholders, as
the statute of limitations has expired. No adjustment to loss
expectations were made for any of the 395 loans that received
either a 'C' or 'D' grade. The diligence results indicated similar
operational risk as in prior TPMT transactions, as well as other
Fitch-reviewed RPL transactions.
ESG CONSIDERATIONS
TPMT 2022-SJ1 has an ESG Relevance Score of '4' for Transaction
Parties and Operational Risk, due to elevated operational risk,
which resulted in an increase in expected losses. While the
originator, aggregator and servicing parties did not have an impact
on the expected losses, the Tier 2 R&W framework with an unrated
counterparty and the transaction due diligence resulted in an
increase in the expected losses. This has a negative impact on the
credit profile and is relevant to the ratings in conjunction with
other factors.
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.
UBS COMMERCIAL 2012-C1: Fitch Lowers Class E Certs to 'CC'
----------------------------------------------------------
Fitch Ratings has downgraded two classes and affirmed three classes
of UBS Commercial Trust 2012-C1 (UBS 2012-C1) commercial mortgage
pass-through certificates.
DEBT RATING PRIOR
---- ------ -----
UBS 2012-C1
B 90269GAF8 LT AAAsf Affirmed AAAsf
C 90269GAL5 LT AAsf Affirmed AAsf
D 90269GAN1 LT BBsf Downgrade BBB-sf
E 90269GAQ4 LT CCsf Downgrade CCCsf
F 90269GAS0 LT Csf Affirmed Csf
KEY RATING DRIVERS
Increased Loss Expectations/Concentrated Pool: The downgrades to
classes D and E reflect increased loss expectations and greater
certainty of loss on the two largest specially serviced loans, as
well as the pool's increased concentration and adverse selection.
Only 11 loans, including two cross collateralized and cross
defaulted portfolio loans, remain in the pool. Three loans (43.1%
of the pool) are currently in special servicing. All performing
loan are scheduled to mature in the next 45 days.
Due to the concentrated nature of the pool, Fitch performed a
look-through analysis that grouped the remaining loans based on the
likelihood of repayment and recovery prospects. The affirmations of
the senior classes reflect the significant credit enhancement to
the classes and expectation of full repayment of several of the
performing loans, which are lowly leveraged loans secured by
properties with stable performance.
Fitch's analysis assumes the defaulted Poughkeepsie Galleria loan
(31.2% of the pool) will be the last remaining loan in the pool.
Classes E and below are reliant on recoveries from this loan for
payoff.
Fitch Loans of Concern: The largest remaining loan in the pool is
the specially serviced Poughkeepsie Galleria loan, which
transferred to special servicing in April 2020 due to imminent
default related to pandemic impacts. The loan is now 90+ days
delinquent, and the special servicer is reportedly moving forward
with foreclosure while negotiations with the borrower remain
ongoing. The loan is sponsored by the Pyramid Companies.
The loan is secured by a 691,325-sf portion of a two-level 1.2
million sf enclosed regional mall located in Poughkeepsie, NY,
which is approximately 70 miles north of New York City. The center
is anchored by non-collateral Macy's and Target. Two collateral
anchors are now dark; both Sears (ground lease) and JC Penney (26%
of NRA) closed permanently in 2020. The loss of the two anchors
will likely lead to co-tenancy issues at the property.
The property, which was built in 1987, has served as the anchor of
a large retail corridor along Route 9. It has good access and
visibility from Route 9, I-87 and I-84. The property is also near
four higher education institutions.
Per the December 2021 rent roll, the collateral was approximately
57% occupied. Large tenants include Dick's Sporting Goods, DSW, H&M
(8,968 sf of 21,101 total sf included in the collateral) and Regal
Cinemas. YE 2021 in line sales were reported at approximately $360
psf compared to $384 psf for TTM August 2019.
The YE 2021 NOI DSCR was 0.88x compared to YE 2020 at 0.48x during
the pandemic when much of the mall was closed or operating at
limited capacity. Performance was trending downward prior to the
pandemic with the YE 2019 NOI DSCR at 0.94x and YE 2018 NOI DSCR of
1.11x.
Fitch's expected loss on the loan of 73% reflects an implied cap
rate of approximately 23% on YE 2021 NOI.
The next largest specially serviced loan is the Westminster Square
loan (6.5% of the pool), which was secured by an office property
located in downtown Providence, RI. Per the special servicer, the
real property was sold subsequent to the March 2022 monthly trustee
report for a substantial loss of over 75% of the loan balance. It's
uncertain if principal proceeds will be available to pay down the
notes. Further, the servicer has indicated that it will continue to
pursue the loan guarantors for any shortfalls.
The largest performing loan is the Hartford 21 loan (27.4% of the
pool), which is secured by a leasehold interest in a 36-floor
tower, which consists of a 262-unit multifamily building,
106,530-sf of office space and a 57,139-sf retail component. The
property, which was constructed in 2006, is considered one of the
top upscale apartment complexes in Hartford, CT.
As of December 2021, the multifamily portion of the property, which
is by far the largest revenue generator at the property, was 97.3%
occupied, an increase over the prior year occupancy of 80.2%. The
office portion remained 46.3% occupied by St. Joseph College
through 2022 with the retail portion at 48.2% leased; the largest
retail tenant TD Bank (24.9% of retail NRA) recently extended
through 2027.
The YE 2021 NOI DSCR of 0.81x does not reflect the improved
occupancy noted in the December 2021 rent roll. The loan is
currently cash managed. Per recent servicer reporting, there are
combined reserve balances in excess of $5 million related to the
property.
The loan matures April 2022; however, an update on the payoff
status of the loan has not been provided by the servicer. Fitch
will continue to monitor the loan.
Increased Credit Enhancement: As of the March 2022 distribution
date, the pool's aggregate principal balance had been paid down by
82% to $240.1 million from $1.3 billion at issuance. Over the last
year, 45 loans ($747.2 million) paid off with no losses. Realized
losses to date remain at $4.9 million.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- The 'AAAsf' rated class is not expected to be downgraded due
to the substantial CE to the class and expectation of near-
term payoff. The 'AAsf' rated class is also not expected to be
downgraded, but the Negative Rating Outlook reflects the
possibility for interest shortfalls should the Hartford 21
and/or Gladstone portfolio loans have difficulty refinancing,
and the workouts of the existing specially serviced loans
prolonged.
-- The 'BBsf' rated class could be further downgraded should
additional loans fail to repay at upcoming maturities and
should loan performance deteriorate. The distressed classes
could be further downgraded should losses occur or become more
certain.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Upgrades are unlikely due to the near-term maturities of the
loan, adverse selection concerns and high loss expectations on
the Poughkeepsie Galleria and Westminster Square loans, but
could occur if performance improves substantially and ultimate
recoveries on the loans are better than expected.
-- Deutsche Bank is the trustee for the transaction and also
serves as the backup advancing agent. Fitch's Issuer Default
Rating for Deutsche Bank is currently 'BBB+'/'F2'/Positive.
Fitch relies on the master servicer, Wells Fargo & Company
(A+/F1/Negative), which is currently the primary advancing
agent, as a direct counterparty. Fitch provided ratings
confirmation on Dec. 12, 2018.
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.
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.
VERUS SECURITIZATION 2022-3: S&P Assigns 'B-' Rating on B-2 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Verus Securitization
Trust 2022-3's mortgage-backed notes.
The note issuance is an RMBS securitization backed by primarily
first-lien, fixed-rate, and adjustable-rate residential mortgage
loans, including mortgage loans with initial interest-only periods
and/or balloon terms. The loans are secured by single-family
residences, planned-unit developments, two- to four-family
residential properties, condominiums, mixed-use properties, and
5-10-unit multifamily residences to both prime and non-prime
borrowers. The pool has 1,252 loans backed by 1,336 properties,
which are primarily non-qualified mortgage/ability-to-repay (ATR)
compliant and ATR-exempt loans. Of the 1,252 loans, 21 are
cross-collateralized loans backed by 105 properties.
S&P said, "Since we assigned the preliminary ratings and published
our presale report on March 16, 2022, the sponsor (VMC Asset Pooler
LLC) decreased the size of the A-1, M-1, and B-1 notes and
increased the size of the class A-2, B-2, and B-3 notes, resulting
in an increase in the subordination credit enhancement of the A-1,
M-1, B-1, and B-2 notes. The re-sizing did not affect our ratings,
which remain the same as the preliminary ratings."
The ratings reflect S&P's view of:
-- The pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, representations and warranties framework, and geographic
concentration;
-- The mortgage aggregator, Invictus Capital Partners; and
-- The impact the COVID-19 pandemic will likely have on the
performance of the mortgage borrowers in the pool.
Ratings Assigned
Verus Securitization Trust 2022-3
Class A-1, $465,843,000: AAA (sf)
Class A-2, $47,851,000: AA (sf)
Class A-3, $76,351,000: A (sf)
Class M-1, $42,925,000: BBB- (sf)
Class B-1, $20,407,000: BB (sf)
Class B-2, $27,796,000: B- (sf)
Class B-3, $22,518,396: Not rated
Class A-IO-S, $703,691,396(i): Not rated
Class XS, $703,691,396(i): Not rated
Class DA, $132,702: Not rated
Class R, N/A: Not rated
(i)The notional amount equals the aggregate stated principal
balance of loans in the pool as of the cut-off date.
WELLS FARGO 2022-C62: Fitch Rates Class G-RR Certs 'B-'
-------------------------------------------------------
Fitch Ratings has issued a presale report on Wells Fargo Commercial
Mortgage Trust 2022-C62, commercial mortgage pass-through
certificates, Series 2022-C62. Fitch expects to rate the
transaction and assign Rating Outlooks as follows:
WFCM 2022-C62
-- $6,056,000 Class A-1 'AAAsf'; Outlook Stable;
-- $38,861,000 Class A-2 'AAAsf'; Outlook Stable;
-- $11,189,000 Class A-SB 'AAAsf'; Outlook Stable;
-- $77,500,000ab Class A-3 'AAAsf'; Outlook Stable;
-- $0b Class A-3-1 'AAAsf'; Outlook Stable;
-- $0bc Class A-3-X1 'AAAsf'; Outlook Stable;
-- $0b Class A-3-2 'AAAsf'; Outlook Stable;
-- $0bc Class A-3-X2 'AAAsf'; Outlook Stable;
-- $238,724,000ab Class A-4 'AAAsf'; Outlook Stable;
-- $0b Class A-4-1 'AAAsf'; Outlook Stable;
-- $0bc Class A-4-X1 'AAAsf'; Outlook Stable;
-- $0b Class A-4-2 'AAAsf'; Outlook Stable;
-- $0bc Class A-4-X2 'AAAsf'; Outlook Stable;
-- $372,330,000c Class X-A 'AAAsf'; Outlook Stable;
-- $95,078,000c Class X-B 'A-sf'; Outlook Stable;
-- $46,542,000 Class A-S 'AAAsf'; Outlook Stable;
-- $0b Class A-S-1 'AAAsf'; Outlook Stable;
-- $0bc Class A-S-X1 'AAAsf'; Outlook Stable;
-- $0b Class A-S-2 'AAAsf'; Outlook Stable;
-- $0bc Class A-S-X2 'AAAsf'; Outlook Stable;
-- $24,600,000 Class B 'AA-sf'; Outlook Stable;
-- $0b Class B-1 'AA-sf'; Outlook Stable;
-- $0bc Class B-X1 'AA-sf'; Outlook Stable;
-- $0b Class B-2 'AA-sf'; Outlook Stable;
-- $0bc Class B-X2 'AA-sf'; Outlook Stable;
-- $23,936,000 Class C 'A-sf'; Outlook Stable;
-- $0b Class C-1 'A-sf'; Outlook Stable;
-- $0bc Class C-X1 'A-sf'; Outlook Stable;
-- $0b Class C-2 'A-sf'; Outlook Stable;
-- $0bc Class C-X2 'A-sf'; Outlook Stable;
-- $24,600,000cd Class X-D 'BBB-sf'; Outlook Stable;
-- $15,292,000d Class D 'BBBsf'; Outlook Stable;
-- $9,308,000d Class E 'BBB-sf'; Outlook Stable;
-- $15,292,000d Class F 'BB-sf'; Outlook Stable;
-- $15,292,000cd Class X-F 'BB-sf'; Outlook Stable;
-- $5,319,000de Class G-RR 'B-sf'; Outlook Stable.
The following class are not expected to be rated by Fitch:
-- $19,282,216de H-RR 'NRsf'.
(a) The initial certificate balances of class A-3 and A-4 are not
yet known but expected to be $316,224,000 in aggregate, subject to
a 5% variance. The certificate balances will be determined based on
the final pricing of those classes of certificates. The expected
class A-3 balance range is $0 -$155,000,000, and the expected class
A-4 balance range is $161,224,000 - $316,224,000. Balances of
classes A-3 and A-4 shown above reflect the midpoint of each range.
In the event that class A-4 certificates are issued with an initial
certificate balance of $316,224,000, class A-3 certificates will
not be issued.
(b) Exchangeable Certificates. The class A-3, A-4, A-S, B and C
certificates are exchangeable certificates. Each class of
exchangeable certificates may be exchanged for the corresponding
classes of exchangeable certificates and vice versa. The dollar
denomination of each of the received classes of certificates must
be equal to the dollar denomination of each of the corresponding
classes of exchangeable certificates. Class A-3 may be surrendered
(or received) for the received (or surrendered) classes A-3-1 and
A-3-X1. Class A-3 may be surrendered (or received) for the received
(or surrendered) classes A-3-2 and A-3-X2. Class A-4 may be
surrendered (or received) for the received (or surrendered) classes
A-4-1 and A-4-X1. Class A-4 may be surrendered (or received) for
the received (or surrendered) classes A-4-2 and A-4-X2. Class A-S
may be surrendered (or received) for the received (or surrendered)
classes A-S-1 and A-S-X1. Class A-S may be surrendered (or
received) for the received (or surrendered) classes A-S-2 and
A-S-X2. Class B may be surrendered (or received) for the received
(or surrendered) classes B-1 and B-X1. Class B may be surrendered
(or received) for the received (or surrendered) classes B-2 and
B-X2. Class C may be surrendered (or received) for the received (or
surrendered) classes C-1 and C-X1. Class C may be surrendered (or
received) for the received (or surrendered) classes C-2 and C-X2.
(c) Notional amount and interest only.
(d) Privately placed and pursuant to Rule 144A.
(e) Horizontal risk retention.
The expected ratings are based on information provided by the
issuer as of March 25, 2021.
TRANSACTION SUMMARY
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 46 loans secured by 82
commercial properties having an aggregate principal balance of
$531,901,217 as of the cut-off date. The loans were contributed to
the trust by LMF Commercial, LLC, Argentic Real Estate Finance LLC,
BSPRT CMBS Finance, LLC, UBS AG, New York Branch and Wells Fargo
Bank, National Association. The master servicer is expected to be
Wells Fargo Bank, National Association and the special servicer is
expected to be Argentic Services Company LP.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 8.4% of the properties by
balance, cash flow analyses of 87.2% of the pool, and asset summary
reviews on 100% of the pool.
KEY RATING DRIVERS
Leverage Exceeds that of Recent Transactions: This transaction's
leverage is higher than that of other multiborrower transactions
recently rated by Fitch. The pool's Fitch debt service coverage
ratio (DSCR) of 1.26x is lower than the 2021 and 2020 averages of
1.38x and 1.32x, respectively. Additionally, the pool's Fitch loan
to value (LTV) ratio of 105.4% is higher than the 2021 and 2020
averages of 103.3% and 99.6%, respectively.
Investment-Grade Credit Opinion Loans: One loan, ILPT Logistics
Portfolio, representing 2.8% of the pool, is the only loan in the
pool that received an investment-grade credit opinion. ILPT
Logistics Portfolio received a standalone credit rating of
'BBB-sf'.
Above-Average Pool Diversification: The pool's 10 largest loans
comprise 48.6% of the pool's cutoff balance, which is a lower
concentration than the 2021 and 2020 averages of 51.2% and 56.8%,
respectively. The Loan Concentration Index (LCI) of 365 is lower
than the 2021 and 2020 averages of 381 and 440, respectively. The
Sponsor Concentration Index (SCI) of 377 is also lower than the
2021 and 2020 averages of 407 and 474, respectively, and indicates
there is little sponsor concentration.
Below-Average Amortization: The pool is scheduled to amortize by
3.5% of the initial pool balance prior to maturity, which is below
the 2021 and 2020 averages of 4.8% and 5.3%, respectively.
Thirty-four loans (76.8%) are full interest-only loans, which is
above the 2021 and 2020 averages of 70.5% and 67.7%, respectively.
Three loans (9.7%) are partial interest-only loans, which is below
the 2021 and 2020 averages of 16.8% and 20.0%, respectively.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Declining cash flow decreases property value and capacity to meet
its debt service obligations. The table below indicates the model
implied rating sensitivity to changes to the same one variable,
Fitch NCF:
-- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-
sf' / 'BB-sf'/ 'B-sf';
-- 10% NCF Decline: 'A+sf' / 'BBB+sf' / 'BBB-sf' / 'BB+sf' /'BB-
sf' / 'CCCsf'/ 'CCCsf';
-- 20% NCF Decline: 'BBB+sf' / 'BBB-sf' / 'BBsf' / 'B-sf' /
'CCCsf' / 'CCCsf'/ 'CCCsf';
-- 30% NCF Decline: 'BBB-sf' / 'BB-sf' / 'CCCsf' / 'CCCsf' /
'CCCsf' / 'CCCsf'/ 'CCCsf'.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Improvement in cash flow increases property value and capacity to
meet its debt service obligations.
The table below indicates the model implied rating sensitivity to
changes in one variable, Fitch NCF:
-- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-
sf' / 'BB-sf'/ 'B-sf';
-- 20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'A+sf' / 'A-
sf' / 'BBBsf'/ 'BBB-sf'.
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.
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.
[*] Fitch Takes Actions in 5 US CMBS Transactions
-------------------------------------------------
Fitch Ratings has taken various actions in five U.S. commercial
mortgage-backed securities (CMBS) transactions, four of the
transactions consist of only distressed bonds.
DEBT RATING PRIOR
---- ------ -----
Credit Suisse Commercial Mortgage Trust 2007-C5
A-1-AJ 22546BBW9 LT Dsf Affirmed Dsf
A-1-AJ 22546BBW9 LT WDsf Withdrawn Dsf
A-J 22546BAJ9 LT Dsf Affirmed Dsf
A-J 22546BAJ9 LT WDsf Withdrawn Dsf
A-M 22546BAH3 LT Dsf Affirmed Dsf
A-M 22546BAH3 LT WDsf Withdrawn Dsf
B 22546BAK6 LT Dsf Affirmed Dsf
B 22546BAK6 LT WDsf Withdrawn Dsf
C 22546BAM2 LT Dsf Affirmed Dsf
C 22546BAM2 LT WDsf Withdrawn Dsf
D 22546BAP5 LT Dsf Affirmed Dsf
D 22546BAP5 LT WDsf Withdrawn Dsf
E 22546BAR1 LT Dsf Affirmed Dsf
E 22546BAR1 LT WDsf Withdrawn Dsf
F 22546BAT7 LT Dsf Affirmed Dsf
F 22546BAT7 LT WDsf Withdrawn Dsf
G 22546BAV2 LT Dsf Affirmed Dsf
G 22546BAV2 LT WDsf Withdrawn Dsf
H 22546BAX8 LT Dsf Affirmed Dsf
H 22546BAX8 LT WDsf Withdrawn Dsf
J 22546BAZ3 LT Dsf Affirmed Dsf
J 22546BAZ3 LT WDsf Withdrawn Dsf
K 22546BBB5 LT Dsf Affirmed Dsf
K 22546BBB5 LT WDsf Withdrawn Dsf
L 22546BBD1 LT Dsf Affirmed Dsf
L 22546BBD1 LT WDsf Withdrawn Dsf
M 22546BBF6 LT Dsf Affirmed Dsf
M 22546BBF6 LT WDsf Withdrawn Dsf
N 22546BBH2 LT Dsf Affirmed Dsf
N 22546BBH2 LT WDsf Withdrawn Dsf
Morgan Stanley Capital I Trust 1998-WF2
M 61745MHK2 LT Dsf Affirmed Dsf
M 61745MHK2 LT WDsf Withdrawn Dsf
Morgan Stanley Capital I Trust 2007-TOP27
AW34 61754JAZ1 LT AAAsf Affirmed AAAsf
D 61754JAM0 LT Dsf Affirmed Dsf
E 61754JAN8 LT Dsf Affirmed Dsf
F 61754JAP3 LT Dsf Affirmed Dsf
G 61754JAQ1 LT Dsf Affirmed Dsf
H 61754JAR9 LT Dsf Affirmed Dsf
J 61754JAS7 LT Dsf Affirmed Dsf
K 61754JAT5 LT Dsf Affirmed Dsf
L 61754JAU2 LT Dsf Affirmed Dsf
M 61754JAV0 LT Dsf Affirmed Dsf
N 61754JAW8 LT Dsf Affirmed Dsf
O 61754JAX6 LT Dsf Affirmed Dsf
TIAA Seasoned Commercial Mortgage Trust 2007-C4
N 87246AAT5 LT Dsf Affirmed Dsf
N 87246AAT5 LT WDsf Withdrawn Dsf
P 87246AAU2 LT Dsf Affirmed Dsf
P 87246AAU2 LT WDsf Withdrawn Dsf
Q 87246AAV0 LT Dsf Affirmed Dsf
Q 87246AAV0 LT WDsf Withdrawn Dsf
S 87246AAW8 LT Dsf Affirmed Dsf
S 87246AAW8 LT WDsf Withdrawn Dsf
J.P. Morgan Chase Mortgage Securities Trust 2008-C2
A-J 46632MCL2 LT Dsf Affirmed Dsf
A-M 46632MCJ7 LT Dsf Downgrade Csf
B 46632MAG5 LT Dsf Affirmed Dsf
C 46632MAJ9 LT Dsf Affirmed Dsf
D 46632MAL4 LT Dsf Affirmed Dsf
E 46632MAN0 LT Dsf Affirmed Dsf
F 46632MAQ3 LT Dsf Affirmed Dsf
G 46632MAS9 LT Dsf Affirmed Dsf
H 46632MAU4 LT Dsf Affirmed Dsf
J 46632MAW0 LT Dsf Affirmed Dsf
K 46632MAY6 LT Dsf Affirmed Dsf
L 46632MBA7 LT Dsf Affirmed Dsf
M 46632MBC3 LT Dsf Affirmed Dsf
N 46632MBE9 LT Dsf Affirmed Dsf
P 46632MBG4 LT Dsf Affirmed Dsf
Q 46632MBJ8 LT Dsf Affirmed Dsf
T 46632MBL3 LT Dsf Affirmed Dsf
Fitch has affirmed and subsequently withdrawn all 15 ratings in
Credit Suisse Commercial Mortgage Trust Series 2007-C5, all four
ratings in TIAA Seasoned Commercial Mortgage Trust 2007-C4 and the
one remaining rating in Morgan Stanley Capital I Trust 1998-WF2 as
there is no remaining collateral and the trust balances have been
reduced to zero. These transactions are no longer considered by
Fitch to be relevant to the agency's coverage.
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.
KEY RATING DRIVERS
Fitch has downgraded one class of J.P. Morgan Chase Mortgage
Securities Trust 2008-C2 to 'Dsf' as the class took its first
dollar loss. Per the March remittance report, class A-M received $0
in principal paydown and $1.7 million in losses. The class was
previously rated 'Csf', indicating default was inevitable. Fitch
has also affirmed 16 classes of J.P. Morgan Chase Mortgage
Securities Trust 2008-C2 at 'Dsf' as a result of previously
incurred losses.
Fitch has affirmed 15 classes of Credit Suisse Commercial Mortgage
Trust Series 2007-C5, four classes of TIAA Seasoned Commercial
Mortgage Trust 2007-C4 and one class of Morgan Stanley Capital I
Trust 1998-WF2 at 'Dsf' as there is no remaining collateral and the
trust balances have been reduced to zero. Additionally, Fitch has
affirmed 11 classes of Morgan Stanley Capital I Trust 2007-TOP27 at
'Dsf' as a result of previously incurred losses.
Fitch has affirmed class AW34 in Morgan Stanley Capital I Trust
2007-TOP27 at 'AAAsf'. The class references the 330 West 34th
Street non-pooled component. Performance has remained stable since
issuance. The loan is collateralized by a 46,412-sf parcel of land,
which is ground-leased to Vornado Realty Trust (BBB/Stable) on a
triple-net basis until 2149. The parcel is improved with an
18-story, 636,915-sf office property located in Manhattan, NY. The
class has been rated 'AAAsf' since issuance and is expected to pay
in full at the underlying loan's upcoming maturity in July 2022.
ESG - Transaction & Collateral Structure: J.P. Morgan Chase
Commercial Mortgage Securities Trust series 2008-C2 has experienced
modified payments from the Westin Portfolio, which was determined
by the bankruptcy court and causes losses to the trust.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- Fitch does not expect any further negative rating changes to
the 'Dsf'-rated classes as these bonds have incurred principal
losses.
-- Class AW34 of Morgan Stanley Capital I Trust 2007-TOP27 is not
expected to be downgraded due to the leverage metrics.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- While the bonds that have defaulted are not expected to
recover any material amount of lost principal in the future,
there is a limited possibility this may happen. In this
unlikely scenario, Fitch would further review the affected
classes.
-- Class AW34 of Morgan Stanley Capital Trust 2007-TOP27 is
already rated 'AAAsf' and is not subject to upgrades.
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.
ESG CONSIDERATIONS
J.P. Morgan Chase Mortgage Securities Trust 2008-C2 has an ESG
Relevance Score of '5' for Transaction & Collateral Structure due
to the modified payment of the Westin Portfolio, which was
determined by the bankruptcy court and resulted in losses to the
trust, which has a negative impact on the credit profile, and is
highly relevant to the rating, resulting in an implicitly lower
rating due to expected losses that will impact all remaining
classes.
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.
[*] Fitch Takes Ratings From 14 US Trust Preferred CDOs
-------------------------------------------------------
Fitch Ratings has affirmed the ratings on 84 classes, upgraded 32
classes and assigned Rating Outlooks to eight classes from 14
collateralized debt obligations (CDOs). Fitch has also removed 25
notes from Under Criteria Observation (UCO) and has withdrawn 97
classes from 12 CDOs.
DEBT RATING PRIOR
---- ------ -----
Trapeza CDO XIII, Ltd./Inc.
A-1 894135AA0 LT AAsf Affirmed AAsf
A-1 894135AA0 LT WDsf Withdrawn AAsf
A-2A 894135AC6 LT A+sf Affirmed A+sf
A-2A 894135AC6 LT WDsf Withdrawn A+sf
A-2B 894135AY8 LT A+sf Affirmed A+sf
A-2B 894135AY8 LT WDsf Withdrawn A+sf
A-3 894135AE2 LT A+sf Affirmed A+sf
A-3 894135AE2 LT WDsf Withdrawn A+sf
B 894135AG7 LT BBB+sf Affirmed BBB+sf
B 894135AG7 LT WDsf Withdrawn BBB+sf
C-1 894135AJ1 LT BB+sf Affirmed BB+sf
C-1 894135AJ1 LT WDsf Withdrawn BB+sf
C-2 894135AL6 LT BB+sf Affirmed BB+sf
C-2 894135AL6 LT WDsf Withdrawn BB+sf
D 894135AN2 LT CCsf Affirmed CCsf
D 894135AN2 LT WDsf Withdrawn CCsf
E 894135AS1 LT Csf Affirmed Csf
E 894135AS1 LT WDsf Withdrawn Csf
F 894135AW2 LT Csf Affirmed Csf
F 894135AW2 LT WDsf Withdrawn Csf
G 894138AC0 LT Csf Affirmed Csf
G 894138AC0 LT WDsf Withdrawn Csf
Trapeza CDO X, Ltd/Inc.
A-1 89413CAA5 LT AAsf Affirmed AAsf
A-1 89413CAA5 LT WDsf Withdrawn AAsf
A-2 89413CAC1 LT Asf Affirmed Asf
A-2 89413CAC1 LT WDsf Withdrawn Asf
B 89413CAE7 LT BBB-sf Affirmed BBB-sf
B 89413CAE7 LT WDsf Withdrawn BBB-sf
C-1 89413CAG2 LT Csf Affirmed Csf
C-1 89413CAG2 LT WDsf Withdrawn Csf
C-2 89413CAN7 LT Csf Affirmed Csf
C-2 89413CAN7 LT WDsf Withdrawn Csf
D-1 89413CAJ6 LT Csf Affirmed Csf
D-1 89413CAJ6 LT WDsf Withdrawn Csf
D-2 89413CAL1 LT Csf Affirmed Csf
D-2 89413CAL1 LT WDsf Withdrawn Csf
Subordinated Notes 89413DAA3 LT Csf Affirmed Csf
Subordinated Notes 89413DAA3 LT WDsf Withdrawn Csf
Trapeza CDO XII, LTD./INC.
A-1 89413GAA6 LT AAsf Affirmed AAsf
A-1 89413GAA6 LT WDsf Withdrawn AAsf
A-2 89413GAC2 LT A+sf Affirmed A+sf
A-2 89413GAC2 LT WDsf Withdrawn A+sf
A-3 89413GAE8 LT A+sf Affirmed A+sf
A-3 89413GAE8 LT WDsf Withdrawn A+sf
B 89413GAG3 LT BBBsf Affirmed BBBsf
B 89413GAG3 LT WDsf Withdrawn BBBsf
C-1 89413GAJ7 LT Bsf Affirmed Bsf
C-1 89413GAJ7 LT WDsf Withdrawn Bsf
C-2 89413GAL2 LT Bsf Affirmed Bsf
C-2 89413GAL2 LT WDsf Withdrawn Bsf
D-1 89413GAN8 LT Csf Affirmed Csf
D-1 89413GAN8 LT WDsf Withdrawn Csf
D-2 89413GAQ1 LT Csf Affirmed Csf
D-2 89413GAQ1 LT WDsf Withdrawn Csf
E-1 89413GAS7 LT Csf Affirmed Csf
E-1 89413GAS7 LT WDsf Withdrawn Csf
E-2 89413GAU2 LT Csf Affirmed Csf
E-2 89413GAU2 LT WDsf Withdrawn Csf
F 89413EAA1 LT Csf Affirmed Csf
F 89413EAA1 LT WDsf Withdrawn Csf
ALESCO Preferred Funding VIII, Ltd./Inc.
A-1A First Priority Floating 01449CAA8 LT AAsf Affirmed AAsf
A-1A First Priority Floating 01449CAA8 LT WDsf Withdrawn AAsf
A-1B First Priority Floating 01449CAB6 LT AAsf Affirmed AAsf
A-1B First Priority Floating 01449CAB6 LT WDsf Withdrawn AAsf
A-2 Second Priority Floating 01449CAG5 LT A+sf Upgrade BBBsf
A-2 Second Priority Floating 01449CAG5 LT WDsf Withdrawn A+sf
B-1 Defer. Third Priority 01449CAH3 LT BBB-sf Upgrade BBsf
B-1 Defer. Third Priority 01449CAH3 LT WDsf Withdrawn BBB-sf
B-2 Defer. Third Priority 01449CAJ9 LT BBB-sf Upgrade BBsf
B-2 Defer. Third Priority 01449CAJ9 LT WDsf Withdrawn BBB-sf
C-1 Defer. Fourth Priority 01449CAK6 LT Csf Affirmed Csf
C-1 Defer. Fourth Priority 01449CAK6 LT WDsf Withdrawn Csf
C-2 Defer. Fourth Priority 01449CAL4 LT Csf Affirmed Csf
C-2 Defer. Fourth Priority 01449CAL4 LT WDsf Withdrawn Csf
C-3 Defer. Fourth Priority 01449CAM2 LT Csf Affirmed Csf
C-3 Defer. Fourth Priority 01449CAM2 LT WDsf Withdrawn Csf
D-1 Defer. Fifth Priority 01449CAN0 LT Csf Affirmed Csf
D-1 Defer. Fifth Priority 01449CAN0 LT WDsf Withdrawn Csf
D-2 Defer. Fifth Priority 01449CAP5 LT Csf Affirmed Csf
D-2 Defer. Fifth Priority 01449CAP5 LT WDsf Withdrawn Csf
E Defer. Sixth Priority 01449CAQ3 LT Csf Affirmed Csf
E Defer. Sixth Priority 01449CAQ3 LT WDsf Withdrawn Csf
ALESCO Preferred Funding IX, Ltd./Inc.
A1 First Priority Delay 01449TAA1 LT AAAsf Upgrade Asf
A1 First Priority Delay 01449TAA1 LT WDsf Withdrawn AAAsf
A2A Second Priority 01449TAB9 LT AAsf Upgrade BBBsf
A2A Second Priority 01449TAB9 LT WDsf Withdrawn AAsf
A2B Second Priority 01449TAC7 LT AAsf Upgrade BBBsf
A2B Second Priority 01449TAC7 LT WDsf Withdrawn AAsf
B1 Defer. Third Party 01449TAD5 LT Asf Upgrade BBsf
B1 Defer. Third Party 01449TAD5 LT WDsf Withdrawn Asf
B2 Defer.Third Priority 01449TAE3 LT Asf Upgrade BBsf
B2 Defer.Third Priority 01449TAE3 LT WDsf Withdrawn Asf
C1 Defer. 4th Priority 01449TAF0 LT CCsf Affirmed CCsf
C1 Defer. 4th Priority 01449TAF0 LT WDsf Withdrawn CCsf
C2 Defer. 4th Priority 01449TAG8 LT CCsf Affirmed CCsf
C2 Defer. 4th Priority 01449TAG8 LT WDsf Withdrawn CCsf
C3 Defer. 4th Priority 01449TAH6 LT CCsf Affirmed CCsf
C3 Defer. 4th Priority 01449TAH6 LT WDsf Withdrawn CCsf
C4 Defer. 4th Priority 01449TAJ2 LT CCsf Affirmed CCsf
C4 Defer. 4th Priority 01449TAJ2 LT WDsf Withdrawn CCsf
D1 Defer. 5th Priority 01449TAK9 LT Csf Affirmed Csf
D1 Defer. 5th Priority 01449TAK9 LT WDsf Withdrawn Csf
D2 Defer. 5th Priority 01449TAL7 LT Csf Affirmed Csf
D2 Defer. 5th Priority 01449TAL7 LT WDsf Withdrawn Csf
Trapeza CDO XI, Ltd./Inc.
A-1 89412KAA8 LT AAsf Affirmed AAsf
A-1 89412KAA8 LT WDsf Withdrawn AAsf
A-2 89412KAC4 LT A+sf Affirmed A+sf
A-2 89412KAC4 LT WDsf Withdrawn A+sf
A-3 89412KAE0 LT BBB+sf Affirmed BBB+sf
A-3 89412KAE0 LT WDsf Withdrawn BBB+sf
B 89412KAG5 LT BBsf Affirmed BBsf
B 89412KAG5 LT WDsf Withdrawn BBsf
C 89412KAJ9 LT CCsf Affirmed CCsf
C 89412KAJ9 LT WDsf Withdrawn CCsf
D-1 89412KAN0 LT Csf Affirmed Csf
D-1 89412KAN0 LT WDsf Withdrawn Csf
D-2 89412KAQ3 LT Csf Affirmed Csf
D-2 89412KAQ3 LT WDsf Withdrawn Csf
E-1 89412KAS9 LT Csf Affirmed Csf
E-1 89412KAS9 LT WDsf Withdrawn Csf
E-2 89412KAU4 LT Csf Affirmed Csf
E-2 89412KAU4 LT WDsf Withdrawn Csf
F 89412JAA1 LT Csf Affirmed Csf
F 89412JAA1 LT WDsf Withdrawn Csf
Tropic CDO II Ltd./Corp.
Class A-1L 89707UAA0 LT AA+sf Affirmed AA+sf
Class A-1L 89707UAA0 LT WDsf Withdrawn AA+sf
Class A-2L 89707UAB8 LT Asf Affirmed Asf
Class A-2L 89707UAB8 LT WDsf Withdrawn Asf
Class A-3L 89707UAC6 LT BBsf Affirmed BBsf
Class A-3L 89707UAC6 LT WDsf Withdrawn BBsf
Class A-4 89707UAL6 LT Csf Affirmed Csf
Class A-4 89707UAL6 LT WDsf Withdrawn Csf
Class A-4L 89707UAD4 LT Csf Affirmed Csf
Class A-4L 89707UAD4 LT WDsf Withdrawn Csf
Class B-1L 89707UAF9 LT Csf Affirmed Csf
Class B-1L 89707UAF9 LT WDsf Withdrawn Csf
ALESCO Preferred Funding VI, Ltd./Inc.
Class A-1 Floating Rate Notes 01448XAA3 LT AA-sf Upgrade Asf
Class A-2 Floating Rate Notes 01448XAB1 LT A+sf Upgrade Asf
Class A-3 Fixed/Floating Note 01448XAG0 LT A+sf Upgrade Asf
Class B-1 Deferrable Notes 01448XAC9 LT BBB+sf Upgrade BBBsf
Class B-2 Deferrable Notes 01448XAH8 LT BBB+sf Upgrade BBBsf
Class C-1 Deferrable Notes 01448XAD7 LT Csf Affirmed Csf
Class C-2 Deferrable Notes 01448XAE5 LT Csf Affirmed Csf
Class C-3 Deferrable Notes 01448XAJ4 LT Csf Affirmed Csf
Class C-4 Deferrable Notes 01448XAL9 LT Csf Affirmed Csf
Class D-1 Deferrable Notes 01448XAF2 LT Csf Affirmed Csf
Class D-2 Deferrable Notes 01448XAK1 LT Csf Affirmed Csf
Preferred Term Securities XXII, Ltd./Inc.
A-1 Senior Notes 74042MAA4 LT AAsf Affirmed AAsf
A-1 Senior Notes 74042MAA4 LT WDsf Withdrawn AAsf
A-2 Senior Notes 74042MAC0 LT AA-sf Upgrade Asf
A-2 Senior Notes 74042MAC0 LT WDsf Withdrawn AA-sf
B-1 Mezzanine Notes 74042MAE6 LT A-sf Upgrade BBBsf
B-1 Mezzanine Notes 74042MAE6 LT WDsf Withdrawn A-sf
B-2 Mezzanine Notes 74042MAG1 LT A-sf Upgrade BBBsf
B-2 Mezzanine Notes 74042MAG1 LT WDsf Withdrawn A-sf
B-3 Mezzanine Notes 74042MAQ9 LT A-sf Upgrade BBBsf
B-3 Mezzanine Notes 74042MAQ9 LT WDsf Withdrawn A-sf
C-1 Mezzanine Notes 74042MAJ5 LT B+sf Upgrade Bsf
C-1 Mezzanine Notes 74042MAJ5 LT WDsf Withdrawn B+sf
C-2 Mezzanine Notes 74042MAL0 LT B+sf Upgrade Bsf
C-2 Mezzanine Notes 74042MAL0 LT WDsf Withdrawn B+sf
D Mezzanine Notes 74042MAN6 LT Csf Affirmed Csf
D Mezzanine Notes 74042MAN6 LT WDsf Withdrawn Csf
ALESCO Preferred Funding XV, Ltd./Inc.
A-1 01450BAA6 LT AA-sf Upgrade Asf
A-1 01450BAA6 LT WDsf Withdrawn AA-sf
A-2 01450BAB4 LT A-sf Upgrade BBBsf
A-2 01450BAB4 LT WDsf Withdrawn A-sf
B-1 01450BAC2 LT BBsf Upgrade CCCsf
B-1 01450BAC2 LT WDsf Withdrawn BBsf
B-2 01450BAG3 LT BBsf Upgrade CCCsf
B-2 01450BAG3 LT WDsf Withdrawn BBsf
C-1 01450BAD0 LT Csf Affirmed Csf
C-1 01450BAD0 LT WDsf Withdrawn Csf
C-2 01450BAE8 LT Csf Affirmed Csf
C-2 01450BAE8 LT WDsf Withdrawn Csf
D 01450BAF5 LT Csf Affirmed Csf
D 01450BAF5 LT WDsf Withdrawn Csf
Preferred Term Securities XIX, Ltd./Inc.
A-1 74042HAA5 LT AAsf Affirmed AAsf
A-1 74042HAA5 LT WDsf Withdrawn AAsf
A-2 74042HAB3 LT A+sf Upgrade BBBsf
A-2 74042HAB3 LT WDsf Withdrawn A+sf
B 74042HAC1 LT BBBsf Upgrade BBsf
B 74042HAC1 LT WDsf Withdrawn BBBsf
C 74042HAE7 LT B+sf Upgrade CCCsf
C 74042HAE7 LT WDsf Withdrawn B+sf
D 74042HAG2 LT CCsf Affirmed CCsf
D 74042HAG2 LT WDsf Withdrawn CCsf
Tropic CDO V Ltd.
A-1L1 89708BAA1 LT AAAsf Upgrade AAsf
A-1L2 89708BAB9 LT AA-sf Upgrade Asf
A-1LB 89708BAC7 LT BBB-sf Upgrade BBsf
A-2L 89708BAD5 LT B+sf Upgrade Bsf
A-3F 89708BAF0 LT Csf Affirmed Csf
A-3L 89708BAE3 LT Csf Affirmed Csf
B-1L 89708BAG8 LT Csf Affirmed Csf
B-2L 89708CAA9 LT Csf Affirmed Csf
ALESCO Preferred Funding XVI, Ltd./Inc.
Class A 01450GAA5 LT A-sf Upgrade BBsf
Class A 01450GAA5 LT WDsf Withdrawn A-sf
Class B 01450GAB3 LT BBBsf Upgrade Bsf
Class B 01450GAB3 LT WDsf Withdrawn BBBsf
Class C 01450GAC1 LT Csf Affirmed Csf
Class C 01450GAC1 LT WDsf Withdrawn Csf
Class D 01450GAE7 LT Csf Affirmed Csf
Class D 01450GAE7 LT WDsf Withdrawn Csf
Trapeza CDO III, LLC
B 89412MAE6 LT AAsf Affirmed AAsf
B 89412MAE6 LT WDsf Withdrawn AAsf
C-1 89412MAG1 LT CCCsf Affirmed CCCsf
C-1 89412MAG1 LT WDsf Withdrawn CCCsf
C-2 89412MAJ5 LT CCCsf Affirmed CCCsf
C-2 89412MAJ5 LT WDsf Withdrawn CCCsf
D 89412MAL0 LT Csf Affirmed Csf
D 89412MAL0 LT WDsf Withdrawn Csf
E 89412MAN6 LT Csf Affirmed Csf
E 89412MAN6 LT WDsf Withdrawn Csf
TRANSACTION SUMMARY
The CDOs are collateralized primarily by trust preferred securities
(TruPS) issued by banks and insurance companies.
Fitch is withdrawing the ratings of notes issued by 12 CDOs for
commercial reasons, as referenced in the report "Fitch Plans to
Withdraw Ratings of 35 TruPS CDOs and 4 REIT TruPS CDOs," published
on Feb. 10, 2022.
KEY RATING DRIVERS
Out of 14 transactions, eight CDOs experienced moderate
deleveraging from collateral redemptions and/or excess spread,
which led to the senior classes of notes receiving paydowns ranging
from 2% to 41% of their last review note balances. This
deleveraging in conjunction with the impact of Fitch's recently
updated U.S. Trust Preferred CDOs Surveillance Rating Criteria
(TruPS CDO Criteria) and CLOs and Corporate CDOs Rating Criteria
led to the upgrades.
For the eight transactions last reviewed in 2021, the credit
quality of the collateral portfolios, as measured by a combination
of Fitch's bank scores and public ratings, improved. Of the six
CDOs that were previously reviewed in 2022, one transaction's
credit quality improved, while the other five exhibiting negative
credit migration, due to the change in bank scores between 3Q21 and
4Q21. Since last review there were two new cures across two CDOs,
both issuers had deferred interest for five years. One structured
finance issue deferred, one bank issuer in one CDO and one
insurance issuer in two CDOs cured and re-deferred again, and one
insurance issuer defaulted during this review period.
The Stable Outlooks on 60 tranches in this review reflect Fitch's
expectation that the classes have sufficient levels of credit
protection to withstand potential deterioration in the credit
quality of the portfolios in stress scenarios commensurate with
such classes' rating.
The rating for class A-1 in Alesco Preferred Funding VI, Ltd./Inc.
is two notches lower than its model-implied rating (MIR). The
transaction document does not have requirements for the hedge
counterparty that conform to Fitch's "Structured Finance and
Covered Bonds Counterparty Rating Criteria" (Counterparty
Criteria). As a result, the rating of the most senior class is
capped at the same rating category as that of the interest rate
swap counterparty. The swap does not expire until December 2033.
Fitch considered the rating of the issuer account bank in the
ratings for the senior classes of notes in Alesco Preferred Funding
VIII, Ltd./Inc., Preferred Term Securities XIX, Ltd./Inc.,
Preferred Term Securities XXII, Ltd./Inc., Trapeza CDO III,
Ltd./Inc., Trapeza X, Trapeza CDO XI, Ltd./Inc., Trapeza XII, and
Trapeza XIII, due to the transaction documents not conforming to
Fitch's Counterparty Criteria. These transactions are allowed to
hold cash, and their transaction account bank (TAB) does not
collateralize cash. Therefore, these classes of notes are capped at
the same rating as that of their TAB.
The ratings for the class B notes in Trapeza CDO X, Ltd./Inc.
(Trapeza X), the class C-1 and C-2 notes in Trapeza CDO XII,
Ltd./Inc. (Trapeza XII), and the class B, C-1 and C-2 notes in
Trapeza CDO XIII, Ltd./Inc. (Trapeza XIII) are one notch higher
than their MIR, which were driven by the outcome of the sector-wide
migration sensitivity analysis.
The rating for the class A-2L notes in Tropic CDO II Ltd./Corp.
(Tropic II) is one rating category lower than its MIR, and the
rating for the class A-3L notes is two rating categories lower than
its MIR. In deviating from MIR for both classes, Fitch considered
the outcome of the additional sensitivity scenario that was
applied, as referenced in the TruPS CDO Criteria, due to the
presence of the swap, to evaluate sensitivity of interest payments
to non-deferrable classes (A-1L, A-2L, and A-3L) to potential
prepayments from largest issuers.
RATING SENSITIVITIES
Factor that could, individually or collectively, lead to negative
rating action/downgrade:
-- Downgrades to the rated notes may occur if a significant share
of the portfolio issuers default and/or experience negative
credit migration, which would cause a deterioration in rating
default rates.
Factor that could, individually or collectively, lead to positive
rating action/upgrade:
-- Future upgrades to the rated notes may occur if a transaction
experiences improvement in credit enhancement through
deleveraging from collateral redemptions and/or interest
proceeds being used for principal repayment.
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.
CRITERIA VARIATION
For Tropic II, the class A-3L notes' two rating category deviation
from its MIR does not conform to the TruPS CDO Criteria which only
allows for a deviation up to one rating category from the MIR in
certain situations.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
securities and markets authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information or information on the risk-presenting entities.
Overall, Fitch's assessment of the information relied upon for the
agency's rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
[*] S&P Places Ratings on 38 Classes from 26 US Deals on Watch Pos.
-------------------------------------------------------------------
S&P Global Ratings placed its ratings on 38 classes from 26 U.S.
CLO transactions on CreditWatch with positive implications.
S&P said, "Nearly all the CLOs in the CreditWatch placements had
one or more tranches downgraded during the pandemic in 2020. During
those actions, our analysis considered a number of factors under
our criteria, including the tranches' cash flow results and the
CLOs' exposure to 'CCC'/'CCC-' rated collateral. Since then, the
overall market and sentiment have improved significantly with the
strong economic rebound, and a significant number of corporate loan
issuers have seen their ratings raised out of the 'CCC' range. As a
result, we began taking rating actions on such previously
downgraded tranches in fall 2021, and the actions are similar in
terms of our analysis and approach.
"We note that the reduction in CLO portfolio exposure to 'CCC'
assets has been particularly prominent for CLOs still within their
reinvestment period. As a result, many overcollateralization (O/C)
ratios for these CLOs increased, and many tranches' cash flow
results improved. These made some of the previously downgraded
tranches potential candidates for an upgrade, in our view. However,
at the same time, we compared the tranches' current pure O/C ratios
to the overall market average for such rating categories and also
considered the CLOs' exposures to 'CCC' assets. Although 'CCC'
exposures might have declined, our actions took into account
whether the current exposures remained at elevated levels.
"Some of the CLOs in today's CreditWatch placements are CLOs in
their amortization phase that continue to experience paydowns to
senior notes. While paydowns to senior notes are generally a
positive for the tranche credit enhancement, portfolio
concentration can increase the credit risk of the mezzanine and
junior CLO notes. This was a limiting factor for our analysis of
which ratings to place on CreditWatch positive for some amortizing
transactions.
"Our rating actions today also include some ratings in the 'CCC'
category for which we rely primarily on our 'CCC' criteria and
guidance.
"We intend to resolve these CreditWatch placements within 90 days,
following cash flow analysis and committee review for ratings on
the affected transactions. We will continue to monitor the
transactions we rate and take rating actions, including CreditWatch
placements, as we deem appropriate."
S&P Global Ratings acknowledges a high degree of uncertainty about
the extent, outcome, and consequences of the military conflict
between Russia and Ukraine. Irrespective of the duration of
military hostilities, sanctions and related political risks are
likely to remain in place for some time. Potential effects could
include dislocated commodities markets--notably for oil and
gas--supply chain disruptions, inflationary pressures, weaker
growth, and capital market volatility. As the situation evolves, we
will update our assumptions and estimates accordingly.
Ratings List
RATING
ISSUER
CLASS CUSIP TO FROM
Wind River 2013-1 CLO Ltd.
C-R 87244DAP9 BBB- (sf)/Watch Pos BBB- (sf)
OZLM Funding IV Ltd.
C-R 67108FAU0 BBB- (sf)/Watch Pos BBB- (sf)
Fortress Credit BSL III Ltd.
E-R 34960HAE9 BB- (sf)/Watch Pos BB- (sf)
Fortress Credit BSL V Ltd.
E 34961NAA3 BB- (sf)/Watch Pos BB- (sf)
Carlyle Global Market Strategies CLO 2014-4-R Ltd.
C 14316CAL7 BB+ (sf)/Watch Pos BB+ (sf)
BlueMountain CLO 2013-2 Ltd.
E-R 09626XAG7 B+ (sf)/Watch Pos B+ (sf)
BlueMountain CLO 2013-2 Ltd.
F-R 09626XAJ1 CCC+ (sf)/Watch Pos CCC+ (sf)
Greywolf CLO V Ltd.
D-R 39808TAE8 B+ (sf)/Watch Pos B+ (sf)
BlueMountain CLO 2015-4 Ltd.
E-R 095766AG6 B+ (sf)/Watch Pos B+ (sf)
BlueMountain CLO 2015-4 Ltd.
F-R 095766AJ0 CCC+ (sf)/Watch Pos CCC+ (sf)
OHA Loan Funding 2016-1 Ltd.
E-R 67110VAE7 B+ (sf)/Watch Pos B+ (sf)
Carlyle Global Market Strategies CLO 2014-3-R Ltd.
D 14315MAA0 B+ (sf)/Watch Pos B+ (sf)
Madison Park Funding XLIII Ltd.
E 04965HAA5 B+ (sf)/Watch Pos B+ (sf)
BlueMountain CLO 2018-2 Ltd.
E 09629WAA9 B+ (sf)/Watch Pos B+ (sf)
BlueMountain CLO 2018-2 Ltd.
F 09629WAC5 CCC+ (sf)/Watch Pos CCC+ (sf)
Carlyle Global Market Strategies CLO 2014-5 Ltd.
E-RR 14311BBG4 B (sf)/Watch Pos B (sf)
Madison Park Funding XXIX Ltd.
E 55820EAA9 B+ (sf)/Watch Pos B+ (sf)
BlueMountain CLO 2015-3 Ltd.
E-R 09628MAJ3 CCC+ (sf)/Watch Pos CCC+ (sf)
Carlyle Global Market Strategies CLO 2014-2-R Ltd.
E 14314NAC5 CCC+ (sf)/Watch Pos CCC+ (sf)
BlueMountain CLO 2018-1 Ltd.
E 09629UAA3 B+ (sf)/Watch Pos B+ (sf)
BlueMountain CLO 2018-1 Ltd.
F 09629UAC9 CCC+ (sf)/Watch Pos CCC+ (sf)
NewStar Arlington Senior Loan Program LLC
E-R 65251PBG7 B+ (sf)/Watch Pos B+ (sf)
Garrison Funding 2018-2 Ltd.
B-R 36655LAF2 BBB+ (sf)/Watch Pos BBB+ (sf)
Longfellow Place CLO Ltd.
C-R3 54303PBC8 A+ (sf)/Watch Pos A+ (sf)
Longfellow Place CLO Ltd.
D-RR 54303PAW5 BB+ (sf)/Watch Pos BB+ (sf)
Longfellow Place CLO Ltd.
E-RR 54303NAF7 CCC+ (sf)/Watch Pos CCC+ (sf)
Dryden 30 Senior Loan Fund
D-R 26249BAW1 BB+ (sf)/Watch Pos BB+ (sf)
Dryden 30 Senior Loan Fund
E-R 26249BAY7 B (sf)/Watch Pos B (sf)
Dryden 30 Senior Loan Fund
F-R 26249BBA8 CCC+ (sf)/Watch Pos CCC+ (sf)
Benefit Street Partners CLO III Ltd.
C-R 08180EAW4 BB+ (sf)/Watch Pos BB+ (sf)
Trinitas CLO V Ltd.
B-RR 89641AAW5 AA (sf)/Watch Pos AA (sf)
Trinitas CLO V Ltd.
C-RR 89641AAY1 A (sf)/Watch Pos A (sf)
Trinitas CLO V Ltd.
D-R 89641AAU9 BBB- (sf)/Watch Pos BBB- (sf)
Marathon CLO IX Ltd.
B 56577PAG4 A- (sf)/Watch Pos A- (sf)
Marathon CLO IX Ltd.
C 56577PAJ8 BB+ (sf)/Watch Pos BB+ (sf)
NXT Capital CLO 2017-2 LLC
E-R 62953JAS4 B+ (sf)/Watch Pos B+ (sf)
Benefit Street Partners CLO II Ltd.
C-R 08179XAU9 BB+ (sf)/Watch Pos BB+ (sf)
Benefit Street Partners CLO II Ltd.
D-R 08180CAG3 B- (sf)/Watch Pos B- (sf)
[*] S&P Takes Various Actions on 42 Classes from 15 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 42 ratings from 15 U.S.
RMBS transactions issued between 1997 and 2007. The review yielded
16 upgrades, two downgrades, 23 affirmations, and one
discontinuance.
A list of Affected Ratings can be viewed at:
https://bit.ly/35a4GPp
Analytical Considerations
S&P said, "We incorporate various considerations into our decisions
to raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by our projected cash flows. These considerations
are based on transaction-specific performance and/or structural
characteristics, 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,
-- Increase or decrease in available credit support,
-- Available subordination and/or overcollateralization,
-- Expected duration,
-- Historical and/or outstanding missed interest payments/interest
shortfalls,
-- Credit-related reductions in interest, and/or
-- Payment priority.
Rating Actions
S&P said, "The rating changes reflect our opinion regarding the
associated transaction-specific collateral performance and/or
structural characteristics, and/or reflect the application of
specific criteria applicable to these classes. See the ratings list
for the specific rationales associated with each of the classes
with rating transitions.
"The ratings affirmations reflect our opinion that our projected
credit support, collateral performance, and credit-related
reductions in interest on these classes has remained relatively
consistent with our prior projections."
[*] S&P Takes Various Actions on 49 Classes from 19 U.S. RMBS Deals
-------------------------------------------------------------------
S&P Global Ratings completed its review of 49 ratings from 19 U.S.
RMBS transactions issued between 1999 and 2007. The review yielded
21 upgrades, three downgrades, 24 affirmations, and one
withdrawal.
A list of Affected Ratings can be viewed at:
https://bit.ly/3wEhDMT
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 and/or structural
characteristics and their potential effects on certain classes.
Some of these considerations may include:
-- Collateral performance or delinquency trends,
-- Increase or decrease in available credit support,
-- Expected duration,
-- Historical and/or outstanding missed interest payments or
interest shortfalls,
-- Small loan count, and
-- Payment priority.
Rating Actions
S&P said, "The rating changes reflect our view regarding the
associated transaction-specific collateral performance, structural
characteristics, and/or 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 rating 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.
"We withdrew our rating on one class due to the small number of
loans remaining within the related group or 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."
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
TCR subscribers have free access to our on-line news archive.
Point your Web browser to http://TCRresources.bankrupt.com/and use
the e-mail address to which your TCR is delivered to login.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA.
Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante,
Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon,
Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and
Peter A. Chapman, Editors.
Copyright 2022. All rights reserved. ISSN: 1520-9474.
This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers. Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.
The TCR subscription rate is $975 for 6 months delivered via
e-mail. Additional e-mail subscriptions for members of the same
firm for the term of the initial subscription or balance thereof
are $25 each. For subscription information, contact Peter A.
Chapman at 215-945-7000.
*** End of Transmission ***