/raid1/www/Hosts/bankrupt/TCR_Public/221030.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, October 30, 2022, Vol. 26, No. 302
Headlines
AGL CLO 22: Fitch Assigns 'BB-sf' Rating on Class E Notes
AMERICAN 2022-1: S&P Places 'BB+/'BB-' Notes Rating on Watch Neg.
BANK 2018-BNK15: Fitch Alters Outlook on G & X-G Certs to Stable
BANK OF AMERICA 2017-BNK3: Fitch Affirms B- Rating on Class F Debt
BENCHMARK 2018-B1: Fitch Lowers Rating on 2 Tranches to 'B-sf'
BENCHMARK 2022-B37: Fitch Assigns 'B-(EXP)sf' Rating on H-RR Certs
CAPITAL ONE: Fitch Affirms 'BBsf' Rating on Series 2002-1D Notes
CARVAL CLO VIII-C: S&P Assigns BB- (sf) Rating on Class E Notes
CITIGROUP 2022-RP5: Fitch Assigns 'B(EXP)sf Rating on Cl. B-2 Notes
COMM 2015-LC19: Fitch Alters Outlook on Class E Certs to Stable
COMMERCIAL MORTGAGE 2000-CMLB1: Moody's Lowers X Certs to Caa1
CREDIT SUISSE 2008-C1: Fitch Affirms Dsf Rating on 13 Tranches
DANBY PARK: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
DEUTSCHE ALT-B 2006-AB1: Moody's Lowers Cl. A-X-1 Bond Rating to C
DT AUTO 2022-3: S&P Assigns Prelim BB (sf) Rating on Class E Notes
EMPOWER CLO 2022-1: Fitch Assigns 'BB-sf' Rating on Class E Notes
EXETER AUTOMOBILE 2022-5: Fitch Gives 'BBsf' Rating on Cl. E Notes
FLAGSHIP CREDIT 2022-4: S&P Assigns Prelim 'BB-' Rating on E Notes
GCAT 2022-NQM5: S&P Assigns B(sf) Rating on Class B-2 Certificates
GOLUB CAPITAL 64B: Fitch Assigns 'BB-sf' Rating on Class E Notes
LCM 39: Fitch Assigns 'BB-sf' Rating on Class E Notes
LCM 39: Moody's Assigns 'B3' Rating to $1MM Class F Notes
METRONET INFRASTRUCTURE 2022-1: Fitch Gives BB-(EXP) on Cl. C Notes
MVM LLC 2022-2: Fitch Assigns 'BB(EXP)sf' Rating on Class D Notes
MVW LLC 2022-2: Moody's Assigns (P)Ba2 Rating to Class D Notes
NYT 2019-NYT: Fitch Affirms 'BB-sf' Rating on 2 Tranches
OBX TRUST 2022-INV5: Moody's Assigns (P)B3 Rating to Cl. B-5 Debt
OCEANVIEW MORTGAGE 2022-1: Moody's Gives B3 Rating to Cl. B-5 Debt
OCTAGON 60: Fitch Assigns 'BB-sf' Rating on Class E Notes
PRESTIGE AUTO 2022-1: S&P Assigns BB- (sf) Rating on Class F Notes
RAD CLO 17: Fitch Assigns 'BB-sf' Rating on Class E Debt
SIERRA TIMESHARE 2022-3: Fitch Gives 'BB-sf' Rating on Cl. D Notes
SIERRA TIMESHARE 2022-3: S&P Assigns BB-(sf) Rating on Cl. D Notes
SLM STUDENT 2008-7: Fitch Lowers Rating on 2 Tranches to CCsf
START II: Fitch Affirms Bsf Rating on C Notes, Outlook Stable
TRIMARAN CAVU 2022-1: S&P Assigns BB- (sf) Rating on Class E Notes
UBS-BARCLAYS 2012-C2: Fitch Lowers Rating on Two Classes to 'BBsf'
UPSTART STRUCTURED 2022-4A: Moody's Assigns Ba3 Rating to C Notes
WELLS FARGO 2016-C37: Fitch Alters Outlook on 2 Tranches to Stable
WELLS FARGO 2017-C42: Fitch Affirms CCC Rating on 2 Tranches
WMRK COMMERCIAL 2022-WMRK: S&P Assigns Prelim B- Rating on F Certs
[*] S&P Takes Various Actions on 52 Classes from 43 U.S. RMBS Deals
[*] S&P Takes Various Actions on 69 Classes from 19 U.S. RMBS Deals
*********
AGL CLO 22: Fitch Assigns 'BB-sf' Rating on Class E Notes
---------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to AGL
CLO 22 Ltd.
Entity/Debt Rating
----------- ------
AGL CLO 22 LTD.
A LT NRsf New Rating
A-L LT NRsf New Rating
B-1 LT AAsf New Rating
B-2 LT AAsf New Rating
C LT Asf New Rating
D LT BBB-sf New Rating
E LT BB-sf New Rating
Subordinated LT NRsf New Rating
TRANSACTION SUMMARY
AGL CLO 22 Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by AGL
CLO Credit Management LLC. Net proceeds from the issuance of the
secured and subordinated debt will provide financing on a portfolio
of approximately $400.0 million of primarily first lien senior
secured loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 24.1 versus a maximum covenant, in accordance with the
initial matrix point of 26.4. 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
99.7% first-lien senior secured loans and has a weighted average
recovery assumption of 73.98% versus a minimum covenant of, in
accordance with the initial matrix point of 73.0%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 39.0% 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 5.0-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 at the initial matrix
point, the class B-1 and B-2 (collectively class B notes), C, D and
E notes can withstand default rates of up to 52.9% 47.9%, 39.2% and
32.7%, respectively, assuming portfolio recovery rates of 46.8%,
56.0%, 65.1%, and 71.5%, in Fitch's 'AAsf', 'Asf', 'BBB-sf' and
'BB-sf' scenarios, respectively. The performance of all classes of
rated notes at the other permitted matrix points is in line with
other recent CLOs.
RATING SENSITIVITIES
Factors 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
'BB+sf' and 'AA+sf' for class B, between 'B-sf' and 'A+sf' for
class C, between less than 'B-sf' and 'BBB-sf' for class D, and
between less than 'B-sf' and 'B+sf' for class E.
Factors that could, individually or collectively, lead to positive
rating action/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 'AAsf' for class C notes, 'A+sf'
for class D notes, and 'BBB+sf' for class E notes.
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 its rating analysis, according to its applicable rating
methodologies, indicates that it is adequately reliable.
AMERICAN 2022-1: S&P Places 'BB+/'BB-' Notes Rating on Watch Neg.
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S&P Global Ratings placed its 'BB+ (sf)' and 'BB- (sf)' ratings on
the class E and F notes, respectively, of American Credit
Acceptance Receivables Trust 2022-1 and 'BB- (sf)' and 'B (sf)'
ratings on the class E and F, respectively, of American Credit
Acceptance Receivables Trust 2022-2 on CreditWatch with negative
implication.
The CreditWatch placements reflect each transaction's collateral
performance to date and our expectations regarding each
transaction's future collateral performance, structure, and credit
enhancement. Additionally, S&P incorporated its most recent
macroeconomic outlook that incorporates a baseline forecast for
U.S. GDP and unemployment.
Each transaction's performance is trending worse than S&P's
original cumulative net loss (CNL) expectations. Cumulative gross
losses are significantly higher, which, coupled with lower
cumulative recoveries, are resulting in elevated CNLs.
Additionally, delinquencies and extensions are relatively high for
these transactions even at this early stage of their lifecycles.
Due to the higher net losses, excess spread after covering net
losses is not sufficient to build overcollateralization, and the
transactions' overcollateralization amounts are declining rather
than building towards their required targets. Generally, ACAR's
transactions are at their target overcollateralization by month
eight and these series are experiencing elevated losses relative to
recent series.
Table 1
ACAR 2022-1 Collateral Performance (%)
Pool 60+ day
Mo.(i) factor CGL CRR CNL delinq. Ext.
Feb-22 98.11 0.00 0.00 0.00 1.65 0.06
Mar-22 96.59 0.08 55.78 0.04 4.09 0.08
Apr-22 94.21 0.74 36.69 0.47 7.35 0.16
May-22 90.90 2.36 28.39 1.69 9.79 0.34
Jun-22 87.11 4.52 25.52 3.37 12.12 0.55
Jly-22 83.03 7.05 26.84 5.16 13.33 1.86
Aug-22 78.53 9.97 25.58 7.12 12.32 5.44
Sep-22 74.66 12.46 29.52 8.78 10.25 5.19
Mo.(i)--as of the monthly collection period.
Delinq.—Delinquencies.
CGL—Cumulative gross loss.
CRR--Cumulative recovery rate.
CNL--Cumulative net loss.
Ext.--Extensions.
Table 2
ACAR 2022-2 Collateral Performance (%)
Pool 60+ day
Mo.(i) factor CGL CRR CNL delinq. Ext.
May-22 98.39 0.00 0.00 0.00 0.85 0.08
Jun-22 96.76 0.06 56.68 0.03 5.69 0.09
Jly-22 94.48 0.86 29.70 0.61 10.67 0.40
Aug-22 90.04 3.62 22.11 2.82 12.72 1.71
Sep-22 85.57 6.86 22.87 5.29 12.08 3.66
Mo.(i)--as of the monthly collection period.
Delinq.—Delinquencies.
CGL—Cumulative gross loss.
CRR--Cumulative recovery rate.
CNL--Cumulative net loss.
Ext.--Extensions.
Table 3
Current overcollateralization (%)(i)
Mo. ACAR 2022-1 ACAR 2022-2
Feb-22 7.65 --
Mar-22 8.82 --
Apr-22 9.98 --
May-22 10.30 8.19
Jun-22 10.16 9.45
Jul-22 9.89 10.26
Aug-22 9.38 9.55
Sep-22 9.04 8.49
(i)As a percentage of the current collateral pool balance. The
target overcollateralization amount on any distribution date for
series 2022-1 is equal to the greater of 10.50% of the current pool
balance and 2.50% of initial and prefunded collateral balance. For
series 2022-2 it is the greater of 12.50% of the current pool
balance and 2.50% of initial and prefunded collateral balance.
Mo.-- as of the monthly collection period.
Chart 1
Notwithstanding the decrease in overcollateralization, the
transactions' sequential principal payment structures have led to
an increase in the other components of hard credit
enhancement--subordination and non-amortizing reserve amounts as a
percentage of the current collateral pool balance--which benefit
the senior notes as their collateral pools amortize.
As such, S&P believes the current available credit enhancement
levels for class A, B, C, and D of each series are still sufficient
to support the related notes at their existing ratings at this
time. However, unless remedied, continued performance deterioration
and erosion of overcollateralization could cause us to revisit its
stance on the afore-mentioned classes of notes at a later date.
Although hard credit enhancements for class E and F of each
transaction have increased since issuance, they are highly
dependent upon excess spread and vulnerable to continued losses
which can exacerbate the decline in overcollateralization.
Looking forward, S&P believes the evolving economic headwinds and
potential negative impact on consumers, could result in greater
proportion of delinquencies and extension ultimately defaulting
which are risks to excess spread and overcollateralization. As
such, S&P hsa placed the class E and F of both series on
CreditWatch negative.
Table 4
Hard Credit Enhancement(i)
Total hard Current total
Current CE at hard CE
Series Class rating issuance (%) (% of current)
2022-1 A AAA (sf) 57.00 78.02
2022-1 B AA (sf) 44.50 61.28
2022-1 C A (sf) 31.60 44.00
2022-1 D BBB+ (sf) 19.70 28.06
2022-1 E BB+ (sf)(ii) 10.35 15.54
2022-1 F BB- (sf)(ii) 6.50 10.38
2022-2 A AAA (sf) 57.50 68.09
2022-2 B AA (sf) 48.25 57.28
2022-2 C A (sf) 31.75 38.00
2022-2 D BBB (sf) 19.90 24.15
2022-2 E BB- (sf)(ii) 10.70 13.40
2022-2 F B (sf)(ii) 7.50 9.66
(i)As of the October 2022 distribution date.
(ii)Being placed on CreditWatch with negative implications.
CE--Credit enhancement.
S&P will continue to monitor these transactions and plan to resolve
the CreditWatch after it has gathered sufficient data to more
accurately project future losses, develop a loss-timing forecast,
and conduct cash flow analysis.
BANK 2018-BNK15: Fitch Alters Outlook on G & X-G Certs to Stable
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Fitch Ratings has affirmed 16 classes of BANK 2018-BNK15,
commercial mortgage pass-through certificates, series 2018-BNK15
(BANK 2018-BNK15). The Rating Outlooks on classes G and X-G have
been revised to Stable from Negative.
Debt Rating Prior
---- ------ -----
BANK 2018-BNK15
A-2 06036FAZ4 LT AAAsf Affirmed AAAsf
A-3 06036FBB6 LT AAAsf Affirmed AAAsf
A-4 06036FBC4 LT AAAsf Affirmed AAAsf
A-S 06036FBF7 LT AAAsf Affirmed AAAsf
A-SB 06036FBA8 LT AAAsf Affirmed AAAsf
B 06036FBG5 LT AA-sf Affirmed AA-sf
C 06036FBH3 LT A-sf Affirmed A-sf
D 06036FAJ0 LT BBBsf Affirmed BBBsf
E 06036FAL5 LT BBB-sf Affirmed BBB-sf
F 06036FAN1 LT BB-sf Affirmed BB-sf
G 06036FAQ4 LT B-sf Affirmed B-sf
X-A 06036FBD2 LT AAAsf Affirmed AAAsf
X-B 06036FBE0 LT AAAsf Affirmed AAAsf
X-D 06036FAA9 LT BBB-sf Affirmed BBB-sf
X-F 06036FAE1 LT BB-sf Affirmed BB-sf
X-G 06036FAG6 LT B-sf Affirmed B-sf
KEY RATING DRIVERS
Stable Loss Expectations: Fitch's base case loss expectations have
remained relatively stable since Fitch's prior rating action. The
Outlook revisions to Stable from Negative on classes G and X-G
reflect performance stabilization and better than expected
performance of properties affected by the pandemic, including
Embassy Suites St. Louis (2.3% of pool), which returned to the
master servicer in August 2022 after a loan modification and
improved performance.
Fitch's current ratings incorporate a base case loss of 3.00%,
which is in-line with issuance. Nine loans (19.3%) were designated
Fitch Loans of Concern (FLOCs). No loans are in special servicing.
The largest FLOC, Starwood Hotel Portfolio (9.8%), is secured by a
portfolio of 22 hotels located in 12 states. The loan, which is
sponsored by SCG Hotel Investors Holdings, was designated a FLOC
due to the slow recovery from the pandemic. Portfolio occupancy and
servicer-reported NOI debt service coverage ratio (DSCR) for this
full-term IO loan were 52% and 1.03x as of the TTM ended September
2021, up from 52% and 0.33x at YE 2020 but down from 72% and 2.68x
at YE 2019. Fitch's analysis reflects an 11.25% cap rate and 15%
total haircut to the YE 2019 NOI. No loss was modeled.
Minimal Change to Credit Enhancement (CE): As of the September 2022
distribution date, the pool's aggregate balance has been reduced by
6.4% to $1.015 billion from $1.085 billion at issuance. One loan
with a $6.2 million balance at Fitch's prior rating action was
disposed with a $1.9 million loss to the trust. Two loans (3.2%)
are fully defeased. Twenty-seven loans (61.2%) are full-term, IO,
and 14 loans (15.6%) have a partial-term, IO component. Ten have
begun to amortize. Cumulative interest shortfalls of $146,211 are
currently affecting the non-rated classes H and RRI.
Pool Concentration: The top 10 loans comprise 55.2% of the pool.
Loan maturities are concentrated in 2028 (98.1%). Based on property
type, the largest concentrations are retail at 47.7%, hotel at
16.4% and office at 11.4%. In addition, 12 loans (3.8%) are secured
by co-operative properties.
Credit Opinion Loans: Five loans (29.8%) received stand-alone
investment grade credit opinions at issuance: Aventura Mall (9.8%;
Asf), Millennium Partners Portfolio (7.4%; A-sf), 685 Fifth Avenue
Retail (5.9%; BBB-sf), Moffett Towers - Buildings E, F, G (5.6%;
BBB-sf) and Pfizer Building (1.1%; A-sf).
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Downgrades of classes in the 'AAAsf' and 'AAsf' categories are not
likely due to sufficient CE and expected continued amortization but
would occur at the 'AAAsf' and 'AAsf' levels if interest shortfalls
occur. Downgrades of classes in the 'Asf' and 'BBBsf' categories
would occur if additional loans become FLOCs or if performance of
the FLOCs deteriorates significantly. Classes F, X-F, G and X-G
would be downgraded if loss expectations increase on the FLOCs or
additional loans become FLOCs and/or transfer to special
servicing.
Fitch has identified both a baseline and a worse-than-expected,
adverse stagflation scenario based on fallout from the
Russia-Ukraine war whereby growth is sharply lower amid higher
inflation and interest rates; even if the adverse scenario should
play out, Fitch expects virtually no impact on ratings performance,
indicating very few rating or Outlook changes. However, for some
transactions with concentrations in underperforming retail
exposure, the ratings impact may be mild to modest, indicating some
changes on sub-investment grade notes.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Upgrades of classes B, C, D, E and X-D may occur with significant
improvement in CE and/or defeasance but would be limited based on
sensitivity to concentrations or the potential for future
concentration. Classes would not be upgraded above 'Asf' if there
is a likelihood for interest shortfalls. Upgrades of classes F,
X-F, G and X-G are not likely until the later years of the
transaction, but could occur if performance of the FLOCs improves
significantly and there is sufficient CE.
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.
BANK OF AMERICA 2017-BNK3: Fitch Affirms B- Rating on Class F Debt
------------------------------------------------------------------
Fitch Ratings has affirmed 12 classes of Bank of America Merrill
Lynch Commercial Mortgage Trust 2017-BNK3 Commercial Mortgage
Pass-Through Certificates, Series 2017-BNK3. The Rating Outlook was
revised to Stable from Negative on classes E and F.
Debt Rating Prior
---- ------ -----
BACM 2017-BNK3
A-3 06427DAR4 LT AAAsf Affirmed AAAsf
A-4 06427DAS2 LT AAAsf Affirmed AAAsf
A-S 06427DAV5 LT AAAsf Affirmed AAAsf
A-SB 06427DAQ6 LT AAAsf Affirmed AAAsf
B 06427DAW3 LT AA-sf Affirmed AA-sf
C 06427DAX1 LT A-sf Affirmed A-sf
D 06427DAC7 LT BBB-sf Affirmed BBB-sf
E 06427DAE3 LT BBsf Affirmed BBsf
F 06427DAG8 LT B-sf Affirmed B-sf
KEY RATING DRIVERS
Improved Loss Expectations: Loss expectations decreased since the
last rating action primarily due to improved performance with
respect to larger loans within the top 15 and loans previously
impacted by the pandemic that have stabilized. The revision of
outlooks on classes E and F to stable from negative reflects the
pool's overall performance stabilization.
Fitch has designated eight loans (9.1%) as Fitch Loans of Concern
(FLOCs) primarily due deteriorating performance following the loss
of large tenants including two loans within the top 15 (4.5%).
Fitch's current ratings incorporate a base case loss of 4.1%.
The largest contributor to loss expectations and largest loan in
the pool, The Summit Birmingham (8.3%), is secured by an 681,000-sf
outdoor regional lifestyle center located in Birmingham, AL. The
largest tenants are Belk (23.8% of NRA; expires on Jan. 31, 2028),
RSM US (5.2%; expires May 31, 2023) and Barnes & Noble (3.7%;
expires Feb. 1, 2028). Belk emerged from bankruptcy as of February
2021. This property is considered a dominant shopping center in the
market with high sales at issuance. Updated sales were requested
but not received.
Occupancy and debt service coverage ratio (DSCR) were a reported
94% and 1.66x, respectively as of YE 2021 compared to 92% and 1.53x
as of YE 2020. Upcoming rollover is as follows: 1% (2022); 12%
(2023); 13% (2024). Fitch's base case loss of 10% reflects a 10%
stress to YE 2021 NOI to account for rollover concerns and a 9% cap
rate.
The second largest contributor to loss expectations, 8700-8714
Santa Monica Boulevard (1.6%), is secured by 32,964 sf mixed use
property, located in West Hollywood, CA. Occupancy and DSCR were a
reported 77% and 1.56x, respectively as of YTD March 31, 2022. The
loan is on the servicer's watchlist due to upcoming rollover
concerns. Approximately over 30% NRA is scheduled to expire this
year. Fitch's base case loss of 37.4% reflects a 35% stress to
annualized March 2022 NOI to account for rollover concerns.
Shoreline Office Center (2.5%) remains a FLOC due to tenant
Glassdoor vacating the majority of their space (37% NRA) upon the
January 2021 lease expiration; occupancy declined to 36.5% by YE
2021. New tenants Club Evexia (19.8% NRA; expires March 31, 2028)
and Presidio Brands (10.9%; expires April 30,2027) have backfilled
a portion of the former Glassdoor space bringing occupancy to 68%
as of June 2022. Two additional tenants have signed leases for an
additional 18.4% of NRA which would bring occupancy to
approximately 86.4%. The tenants have not yet taken occupancy.
Fitch's conservative loss estimate of 10.6% is based on a 10.5% cap
rate and a 40% stress to YE 2020 to account for the occupancy
volatility, lower incoming rental rates and upcoming tenant
rollover of 14.7% by 2024. Expected losses at the last rating
action were 14.3%.
Increase in Credit Enhancement: As of the September 2022 remittance
reporting, the pool's aggregate principal balance has been paid
down by 9.3% to $842.1 million from $977.1 million at issuance.
Since the last rating action two loans repaid in full in line with
expectations. Sixteen loans (59.6%) are full term, interest-only.
Nineteen loans (21.8%) have a partial, interest-only component; all
of which have begun amortizing. Four loans (3.8%) have been
defeased.
Concentration: Retail is the largest property type representing
31.4% of the pool, followed by office (22.7%) and mixed-use (16%).
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Sensitivity factors that lead to downgrades include an increase in
pool level losses from underperforming or specially serviced loans.
Downgrades to the senior classes, along with class B, are not
expected given the overall stable performance of the pool, their
position in the capital structure and sufficient credit enhancement
(CE), but may occur if interest shortfalls occur or losses increase
considerably.
A downgrade to classes C and D would occur should several loans
transfer to special servicing and/or as expected pool losses
significantly increase.
Further downgrades to classes E and F would occur should the
performance of the FLOCs continue to deteriorate, and/or loans
transfer to special servicing.
Fitch has identified both a baseline and a worse-than-expected,
adverse stagflation scenario based on fallout from the
Russia-Ukraine war, whereby growth is sharply lower amid higher
inflation and interest rates. Even if the adverse scenario should
play out, Fitch expects virtually no impact on ratings performance,
indicating very few rating or Outlook changes. However, for some
transactions with concentrations in underperforming retail
exposure, the ratings impact may be mild to modest, indicating some
changes on sub-investment-grade notes.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Sensitivity factors that lead to upgrades would include stable to
improved asset performance coupled with paydown and/or defeasance.
Upgrades to classes B and C would likely occur with significant
improvement in CE and/or defeasance. However, adverse selection,
increased concentrations or the underperformance of a particular
loan(s) may limit the potential for future upgrades.
An upgrade to classes D and E is considered unlikely and would be
limited based on the sensitivity to concentrations or the potential
for future concentrations. Classes would not be upgraded above
'Asf' if there were a likelihood for interest shortfalls.
Upgrades to class F are not likely until the later years of the
transaction, and only if the performance of the FLOCs improve
significantly, and/or if there is sufficient CE, which would likely
occur if the non-rated class is not eroded and the senior classes
pay off.
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.
BENCHMARK 2018-B1: Fitch Lowers Rating on 2 Tranches to 'B-sf'
--------------------------------------------------------------
Fitch Ratings has downgraded two and affirmed 12 classes of
Benchmark 2018-B1 Mortgage Trust commercial mortgage pass-through
certificates. In addition, the Rating Outlook on the affirmed
classes D and X-D have been revised to Stable from Negative, and
the Outlook on classes E and X-E is Negative following the
downgrade.
Entity/Debt Rating Prior
----------- ------ -----
Benchmark 2018-B1
Mortgage Trust
A-2 08162PAT8 LT PIFsf Paid In Full AAAsf
A-3 08162PAU5 LT AAAsf Affirmed AAAsf
A-4 08162PAW1 LT AAAsf Affirmed AAAsf
A-5 08162PAX9 LT AAAsf Affirmed AAAsf
A-M 08162PAZ4 LT AAAsf Affirmed AAAsf
A-SB 08162PAV3 LT AAAsf Affirmed AAAsf
B 08162PBA8 LT AA-sf Affirmed AA-sf
C 08162PBB6 LT A-sf Affirmed A-sf
D 08162PAG6 LT BBB-sf Affirmed BBB-sf
E 08162PAJ0 LT B-sf Downgrade BB-sf
F-RR 08162PAL5 LT CCCsf Affirmed CCCsf
X-A 08162PAY7 LT AAAsf Affirmed AAAsf
X-B 08162PAA9 LT AA-sf Affirmed AA-sf
X-D 08162PAC5 LT BBB-sf Affirmed BBB-sf
X-E 08162PAE1 LT B-sf Downgrade BB-sf
KEY RATING DRIVERS
Increased Loss Expectations; Office Performance Declines: The
downgrades to classes E and X-E reflect the increased loss
expectations since Fitch's prior rating action, primarily due to
the performance deterioration of the Valencia Town Center loan
(5.6% of the pool) and higher losses for the specially serviced
loans. Fitch's current ratings incorporate a base case loss of
6.20% of the current pool balance. Fitch has identified 13 loans
(30.5% of the pool) as Fitch Loans of Concern (FLOCs), which
includes three loans (5.5%) in special servicing.
The Negative Outlooks reflect losses that could reach 6.90% when
factoring in a sensitivity stress to the Valencia Town Center loan,
due to major tenant vacancy concerns and increased default risks.
The revised Outlook on the affirmed classes D and X-D to Stable
from Negative reflects the increasing credit enhancement (CE) to
the class driven by the re-payment of five loans ($161 million;
14.5% of the original pool balance) since Fitch's prior rating
action. The Stable Outlooks on all other classes reflect stable
performance for the majority of the pool, sufficient CE, and the
expectation of paydown from continued amortization.
Largest Contributors to Losses: The largest increase in losses and
second largest contributor to losses is the Valencia Town Center
loan (5.6% of the pool), secured by the leasehold interest in a
395,483-sf mixed-use property located in Santa Clara, CA. The
property is comprised of primarily office space with retail space
on the ground floor. The loan has been identified as a FLOC as the
largest tenant, Princess Cruise Lines (79.1% of the NRA), has
vacated or intends to vacate the majority of its leased space.
In April 2022, the tenant exercised an option to terminate one
space at the Valencia Town Center (VTC) III building, which
comprised 21,199-sf (5.1% of the NRA). Additionally, the servicer
confirmed that Princess Cruise Lines intends to discontinue
business on the second, third and fourth floors at the VTC II
building, and the second, third, fifth, and sixth floors at the VTC
III building, totaling 150,648-sf (38.1% of the NRA). The tenant
intends on vacating the spaces by year-end 2022, however has
verbally committed to continue paying rent and perform their lease
obligations under the Princess Cruise Lease that expires in March
2026. With the downsizing, the tenant will physically occupy about
35% of the NRA.
The collateral was 92% occupied as of YE 2021, however with the
expected departure of Princess Cruise Lines, physical occupancy
will decline to about 49%. The loan is currently amortizing and has
an NOI DSCR of 2.34x as of YE 2021.
A cash flow sweep was triggered, with a total tenant reserve
balance of $10.4 million as of September 2022. The loan is
structured with a 12-month cash flow sweep tied to Princess Cruise
Lines' lease expiration and upon notice of termination, upon
material default, bankruptcy, upon cancellation of the lease for
any reason, or upon a decline in the unsecured debt credit rating
of its parent entity (Carnival Corp.) below 'BBB' or equivalent by
any of the rating agencies.
Fitch's base case analysis considers a dark value of approximately
$42.0 million, which assumes Princess Cruises vacates its space
during the loan term. Fitch made assumptions for market rent,
downtime between leases, carrying costs (including taxes and
insurance) and re-tenanting costs. The stressed value reflects an
11% cap rate and approximately a 42% stress to the YE 2021 NOI.
Fitch's base case loss of 12% recognizes half of the potential loss
and gives credit for the loan remaining current and the tenant
reserves. Fitch also applied an additional sensitivity recognizing
the full potential loss of 24% should the loan default, transfer to
special servicing, and/or Princess Cruise Lines fail to perform
under the current lease obligations.
The largest contributor to losses is the specially serviced 156-168
Bleecker loan (3.5%), which is secured by a 29,415-sf retail
property (14,696-sf on-grade and 14,709-sf below-grade) in the
Greenwich Village neighborhood of New York City. The loan
transferred to special servicing in November 2020 due to payment
default as a result of pandemic related performance declines. The
largest tenant, Le Poisson Rouge (46.3% of the NRA; September 2027
LXP), a music venue and cabaret, had closed for a duration of the
pandemic. The venue reopened in August 2021, however per servicer
updates, the tenant has not paid rent since COVID started. The
venue resides below a collateral CVS store (28.1% of the NRA; 51%
of base rents).
Occupancy continued to decline to about 77% from 88% after
commercial tenant Moge Tee (8% of the NRA) and a residential space
(2.7%) vacated their spaces in 2021. The TTM ended March 2022 NOI
is approximately 40% below issuance levels.
Foreclosure was filed in November 2021, with a receiver appointed
and foreclosure judgement entered in September 2022. Per servicer
updates, the lender is moving forward with the foreclosure sale
process.
Fitch's base case loss of approximately 35% reflects a stress to
the most recent servicer provided appraised value. Fitch's current
recovery equates to $818 psf.
Alternative Loss Considerations: Fitch applied an additional
sensitivity analysis which factors in a higher loss of 24% on
Valencia Town Center (5.6% of the pool), due to major tenant
vacancy concerns and term default risks. These additional stresses
contributed to the Negative Outlooks.
Increasing Credit Enhancement: As of the September 2022 remittance,
the pool's aggregate balance has been reduced by 15.7% to $983.5
million from $1.17 billion. Since Fitch's prior rating action, five
loans (14% of the prior pool balance) have paid in full, including
three loans previously in the top 15: The Woods ($57.5 million),
The Griffin Portfolio ($55.0 million), and The Marriot Charlotte
Center City ($30.0 million). There are 14 loans (55.2% of the pool)
that are full-term, interest-only (IO); 12 loans (12% of the pool)
that are currently amortizing; and 18 loans (32.8%) that are
partial IO. Interest shortfalls of $722,696 are currently impacting
the non-rated G-RR class.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Downgrades to the 'AAAsf'- and 'AA-sf'-rated classes are not
considered likely due to their position in the capital structure
and expected continued paydown, but may occur should interest
shortfalls impact this class.
Downgrades to classes rated 'A-sf' and 'BBB-sf' may occur should
expected losses for the pool increase significantly, performance of
the FLOCs deteriorate further and/or one or more larger FLOCs
experience and outsized loss, which would erode CE.
Downgrades to classes rated 'B-sf' would occur should performance
of the FLOC's continue to decline, particularly the Valencia Town
Center loan, additional loans transfer to special servicing, and/or
loans in special servicing remain unresolved.
Downgrades to classes rated 'CCCsf' would occur with a greater
certainty in losses, and/or FLOCs experience losses greater than
expected.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Upgrades to classes B, C and X-B would occur with significant
improvement in CE, defeasance, and/or performance stabilization of
the FLOCs, but would be limited as concentrations increase. Classes
would not be upgraded above 'Asf' if there is likelihood of
interest shortfalls.
Upgrades to classes D and X-D would occur with significant
improvement in performance of the FLOCs or loans in special
servicing and/or if there is sufficient CE to these classes.
Upgrades to the E and X-E are not likely until the later years in
the transaction and only if performance of the remaining pool is
stable and there is sufficient CE to these classes.
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.
BENCHMARK 2022-B37: Fitch Assigns 'B-(EXP)sf' Rating on H-RR Certs
------------------------------------------------------------------
Fitch Ratings has issued a presale report on Benchmark 2022-B37
Mortgage Trust. Fitch has assigned the following expected ratings:
- 13,214,000 class A-1 'AAAsf'; Outlook Stable;
- 120,920,000 class A-2 'AAAsf'; Outlook Stable;
- 198,000,000a class A-4 'AAAsf'; Outlook Stable;
- 235,284,000a class A-5 'AAAsf'; Outlook Stable;
- $15,349,000 class A-SB 'AAAsf'; Outlook Stable;
- $661,857,000b class X-A 'AAAsf'; Outlook Stable;
- $77,009,000b class X-B 'A-sf'; Outlook Stable;
- $79,090,000 class A-S 'AAAsf'; Outlook Stable;
- $41,626,000 class B 'AA-sf'; Outlook Stable;
- $35,383,000 class C 'A-sf'; Outlook Stable;
- $17,899,000b class X-D 'BBBsf'; Outlook Stable;
- $17,899,000 class D 'BBBsf'; Outlook Stable;
- $19,564,000c class E-RR 'BBB-sf'; Outlook Stable;
- $11,448,000c class F-RR 'BB+sf'; Outlook Stable;
- $8,325,000c class G-RR 'BB-sf'; Outlook Stable;
- $7,284,000c class H-RR 'B-sf'; Outlook Stable.
Fitch is not expected to rate the following classes:
- $29,139,276c class J-RR.
Debt Rating
---- ------
BMARK 2022-B37
A-1 LT AAA(EXP)sf Expected Rating
A-2 LT AAA(EXP)sf Expected Rating
A-4 LT AAA(EXP)sf Expected Rating
A-5 LT AAA(EXP)sf Expected Rating
A-S LT AAA(EXP)sf Expected Rating
A-SB LT AAA(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-RR LT BBB-(EXP)sf Expected Rating
F-RR LT BB+(EXP)sf Expected Rating
G-RR LT BB-(EXP)sf Expected Rating
H-RR LT B-(EXP)sf Expected Rating
J-RR LT NR(EXP)sf Expected Rating
X-A LT AAA(EXP)sf Expected Rating
X-B LT A-(EXP)sf Expected Rating
X-D LT BBB(EXP)sf Expected Rating
a. The exact initial certificate balances of the Class A-4 and
Class A-5 certificates are unknown and will be determined based on
the final pricing of those classes of certificates. However, the
respective initial certificate balances, weighted average lives and
principal windows of the Class A-4 and Class A-5 certificates are
expected to be within the applicable ranges. The initial aggregate
certificate balance of the Class A-4 and Class A-5 certificates is
expected to be approximately $433,284,000, subject to a variance of
plus or minus 5%.
b. Notional amount and IO.
c. Represents the "eligible horizontal interest."
The expected ratings are based on information provided by the
issuer as of Oct. 17, 2022.
TRANSACTION SUMMARY
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 39 loans secured by 90
commercial properties having an aggregate principal balance of
$832,525,276 as of the cutoff date. The loans were contributed to
the trust by Citi Real Estate Funding Inc., German American Capital
Corporation, Goldman Sachs Mortgage Company and JPMorgan Chase
Bank, N.A. Midland Loan Services, a Division of PNC Bank, National
Association, is expected to serve as the master servicer while
Rialto Capital Advisors, LLC is expected to serve as special
servicer.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 31.5% of the properties
by balance, cash flow analyses of 85.6% of the pool and asset
summary reviews on 100% of the pool.
KEY RATING DRIVERS
Lower Leverage Compared with Recent Transactions: The pool has
lower leverage compared with recent multiborrower transactions
rated by Fitch. The pool's Fitch's loan-to-value ratio (LTV) of
93.5% is lower than both the 2022 YTD and 2021 averages of 100.9%
and 103.3%, respectively. However, the pool's Fitch trust debt
service coverage ratio (DSCR) of 1.24x is below the 2022 YTD and
2021 averages of 1.34x and 1.38x, respectively, driven in large
part by a higher average mortgage rate. Excluding credit opinion
loans, the pool's Fitch LTV and DSCR are 98.3% and 1.21x,
respectively.
Below-Average Pool Diversification: The pool's 10 largest loans
represent 56.4% of its cutoff balance, which is greater than the
2022 YTD and 2021 averages of 55.5% and 51.2%, respectively. This
results in a Loan Concentration Index (LCI) score of 416, which is
lower than the 2022 YTD averages of 423 and higher than the 2021
average of 381.
Investment-Grade Credit Opinion Loans: The pool includes two loans,
representing 14.71% of the cutoff balance, that received an
investment-grade credit opinion. This is below both the 2022 YTD
and 2021 averages of 16.5% and 13.3%, respectively.
Minimal Amortization: Based on scheduled balances at maturity, the
pool will pay down by only 0.5%, which is below the 2022 YTD and
2021 averages of 3.4% and 4.8%, respectively. Twenty-three loans
representing 70.0% of the pool are full-term interest-only (IO)
loans, and four loans (10.0% of the pool) are partial IO. There are
12 amortizing balloon loans (20.0% of pool).
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 net cash flow (NCF):
- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf'
/ 'BB+sf' / 'BB-sf' / 'B-sf';
- 10% NCF Decline: 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BBB-sf' / 'BBsf'
/ 'B-sf' / 'CCCsf' / 'CCCsf';
- 20% NCF Decline: 'BBB+sf' / 'BBB-sf' / 'BBsf' / 'Bsf' / 'CCCsf' /
'CCCsf' / 'CCCsf' / 'CCCsf';
- 30% NCF Decline: 'BBB-sf' / 'BBsf' / 'CCCsf' / 'CCCsf' / 'CCCsf'
/ 'CCCsf' / 'CCCsf' / 'CCCsf'.
Fitch has revised its global economic outlook forecasts as a result
of the war in Ukraine and related economic sanctions. Downside
risks have increased and, therefore, Fitch has published an
assessment of the potential rating and asset performance impact of
a plausible, albeit worse than expected, adverse stagflation
scenario on Fitch's major structured finance and covered bond
subsectors (What a Stagflation Scenario Would Mean for Global
Structured Finance).
Fitch expects the North American CMBS sector in the assumed adverse
scenario to experience virtually no impact on ratings performance,
indicating very few rating or Outlook changes. Fitch expects the
asset performance impact of the adverse case scenario to be more
modest than the most stressful scenario shown above, which assumes
a further 30% decline from Fitch's NCF at issuance.
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' / 'BB-sf' / 'B-sf';
- 20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AAsf' / 'A+sf' / 'A-sf' /
'BBB+sf' / 'BBBsf' / 'BBB-sf'.
DATA ADEQUACY
Fitch received information in accordance with its published
criteria. Sufficient data, including asset summaries, three years
of property financials, when available, and third-party reports on
the properties were received from the issuer. Ongoing performance
monitoring, including data provided, is described in the
Surveillance section of the presale.
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.
CAPITAL ONE: Fitch Affirms 'BBsf' Rating on Series 2002-1D Notes
----------------------------------------------------------------
Fitch Ratings has affirmed the Long-Term ratings on Capital One
Multi-Asset Execution Note Trust. The Rating Outlook remains
Stable.
The Stable Outlook reflects Fitch's expectation that performance
and loss multiples will remain supportive of the rating. The
affirmation of the outstanding notes reflects available credit
enhancement (CE) and performance to date.
Entity/Debt Rating Prior
----------- ------ -----
Capital One Multi-Asset
Execution Trust Card
Series
2002-1D LT BBsf Affirmed BBsf
2005-3B 14041NCG4 LT Asf Affirmed Asf
2009-A C LT BBBsf Affirmed BBBsf
2009-C B LT Asf Affirmed Asf
2015-4A 14041NEX5 LT AAAsf Affirmed AAAsf
2017-5A 14041NFP1 LT AAAsf Affirmed AAAsf
2017-6A 14041NFQ9 LT AAAsf Affirmed AAAsf
2018-2A 14041NFS5 LT AAAsf Affirmed AAAsf
2019-3A 14041NFV8 LT AAAsf Affirmed AAAsf
2021-1A 14041NFW6 LT AAAsf Affirmed AAAsf
2021-2A 14041NFX4 LT AAAsf Affirmed AAAsf
2021-3A 14041NFY2 LT AAAsf Affirmed AAAsf
2022-1A 14041NFZ9 LT AAAsf Affirmed AAAsf
2022-2A 14041NGA3 LT AAAsf Affirmed AAAsf
KEY RATING DRIVERS
Receivables' Performance and Collateral Characteristics: The notes
issued by Capital One Multi-Asset Execution Trust are secured by a
pool of credit card receivables from VISA and MasterCard serviced
by Capital One N.A. The underlying collateral performance and
characteristics play a vital role in a credit card ABS transaction.
Fitch closely examines the trust's performance history and such
collateral characteristics as credit quality, seasoning, geographic
concentration, delinquencies and utilization rates on the cards.
Chargeoff performance has improved over the past year. The current
12-month average gross chargeoff rate as of the October 2022
distribution date is 1.98% compared with 2.47% in October 2021.
Fitch recommends to remain a conservative charge-off steady state
assumption at 6.00%.
Monthly payment rate (MPR), which includes principal and finance
charge collections and is a measure of how quickly consumers are
paying off their credit card debts, has improved over the past
year. Current 12-month average MPR as of the October 2022
distribution date is 49.55% compared with 45.65% one year ago.
Fitch maintains a conservative MPR steady state at 26.00% with
strong performance observed through the pandemic.
The current 12-month average gross yield as of the October 2022
distribution date is 25.72%, which is comprised of finance charges,
fees and interchange. This compares with the 12-month average of
24.76% as of October 2021 distribution date. Fitch maintained its
steady state at 19.00% given the stabilized performance trend over
the last 12 months, which incorporates Fitch's interchange haircut
in case interchange is affected in the future by regulatory or
competitive factors.
CE continues to be sufficient with loss multiples and are in line
with the current ratings given each rating category. The Stable
Outlook on the notes reflects Fitch's expectation that performance
and loss multiples will remain supportive of these ratings, given
the steady states and stresses detailed below.
Originator and Servicer Quality: Fitch believes Capital One Bank
(USA) National Association to be an effective and capable
originator and servicer given its extensive track record. Capital
One Bank (USA), National Association currently has a Fitch Issuer
Default Rating (IDR) of 'A-'/'F1'.
Counterparty Risk: Fitch's ratings of the notes are dependent on
the financial strength of certain counterparties. Fitch believes
this risk is currently mitigated, as evidenced by the ratings of
the applicable counterparties to the transactions.
Interest Rate Risk: Interest rate risk is currently mitigated by
the available CE. For the class A notes, total CE of 21.00% is
provided by 9.00% subordination of class B notes, 9.00%
subordination of class C notes and 3.00% subordination of class D
notes. The class B benefits from 12.00% CE achieved through 9.00%
subordination of class C and 3.00% subordination of class D. The
class C benefits from 4.00% CE achieved through 3.00% subordination
of class D and a reserve account. The class D benefits from a
reserve account.
Fitch analyzed characteristics of the underlying collateral to
better assess overall asset performance. This supplements Fitch's
analysis of the originator's historical data when determining the
following steady state performance assumptions and stresses:
Steady State:
- Annualized Chargeoffs - 6.00%;
- Monthly Payment Rate (MPR) - 26.00%;
- Annualized Gross Yield - 19.00%;
- Purchase Rate - 100.00%.
Rating Level Stresses (for 'AAAsf', 'Asf', 'BBBsf' and 'BBsf'):
- Chargeoffs (increase) - 4.50x/3.00x/2.25x/1.75x;
- Payment Rate (% decrease) - 55.00/46.20/39.60/30.80;
- Gross Yield (% decrease) - 35.00/25.00/20.00/15.00;
- Purchase Rate (% decrease) - 50.00/40.00/35.00/30.00.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Rating sensitivity to increased chargeoff rate:
- Current ratings for class A, class B, class C and class D (steady
state: 6%): 'AAAsf'; 'Asf'; 'BBBsf'; 'BBsf';
- Increase base case by 25%: 'AAAsf'; 'Asf'; 'BBBsf'; 'BBsf';
- Increase base case by 50%: 'AAAsf'; 'Asf'; 'BBBsf'; 'BBsf';
- Increase base case by 75%: 'AAAsf'; 'Asf'; 'BBBsf'; 'BBsf'.
- Current ratings for class A, class B, class C and class D (100%
base assumption): 'AAAsf'; 'Asf'; 'BBBsf'; 'BBsf';
- Reduce purchase rate by 50%: 'AAAsf'; 'Asf'; 'BBBsf'; 'BBsf';
- Reduce purchase rate by 75%: 'AAAsf'; 'Asf'; 'BBBsf'; 'BBsf';
- Reduce purchase rate by 100%: 'AAAsf'; 'Asf'; 'BBBsf'; 'BBsf'.
Rating sensitivity to increased chargeoff rate and reduced MPR:
- Current ratings for class A, class B, class C and class D
(charge-off steady state: 6%; MPR steady state: 26%):
'AAAsf'; 'Asf'; 'BBBsf'; 'BBsf';
- Increase charge-off rate by 25% and reduce MPR by 15%: 'AAAsf';
'Asf'; 'BBBsf'; 'BBsf';
- Increase charge-off rate by 50% and reduce MPR by 25%: 'AAAsf';
'Asf'; 'BBBsf'; 'BBsf';
- Increase charge-off rate by 75% and reduce MPR by 35%: 'AAAsf';
'Asf'; 'BBBsf'; 'BBsf'.
Fitch has revised its global economic outlook forecasts as a result
of the war in Ukraine and related economic sanctions. Downside
risks have increased and, therefore, Fitch has published an
assessment of the potential rating and asset performance impact of
a plausible, albeit worse than expected, adverse stagflation
scenario on Fitch's major structured finance and covered bond
subsectors (What a Stagflation Scenario Would Mean for Global
Structured Finance).
Fitch expects the North American prime credit card ABS sector in
the assumed adverse scenario to experience "Virtually No Impact" on
rating performance, indicating very few (less than 5%) rating or
Outlook changes. Fitch expects "Virtually No Impact" on asset
performance, indicating asset performance to remain broadly
unaffected, and less than 10% likelihood of sector outlook revision
by end-2023. Fitch expects the asset performance impact of the
adverse case scenario to be more modest than the most stressful
scenario shown above, which increases defaults by 75% and reduces
MPR by 35%.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
The positive rating action/upgrade scenario is not considered in
this review since Fitch rates the class A notes 'AAAsf'.
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.
CARVAL CLO VIII-C: S&P Assigns BB- (sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to CarVal CLO VIII-C
Ltd./CarVal CLO VIII-C LLC's floating- and fixed-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 CarVal CLO Management 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 debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
CarVal CLO VIII-C Ltd./CarVal CLO VIII-C LLC
Class A, $248.0 million: AAA (sf)
Class B-1, $42.0 million: AA (sf)
Class B-2, $14.0 million: AA (sf)
Class C, $22.0 million: A (sf)
Class D, $22.0 million: BBB- (sf)
Class E, $11.2 million: BB- (sf)
Subordinated notes, $41.6 million: Not rated
CITIGROUP 2022-RP5: Fitch Assigns 'B(EXP)sf Rating on Cl. B-2 Notes
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Citigroup Mortgage
Loan Trust 2022-RP5 (CMLTI 2022-RP5).
Entity/Debt Rating
----------- ------
CMLTI 2022-RP5
A-1 LT AAA(EXP)sf Expected Rating
A-2 LT AA(EXP)sf Expected Rating
A-3 LT AA(EXP)sf Expected Rating
A-4 LT A(EXP)sf Expected Rating
A-5 LT BBB(EXP)sf Expected Rating
M-1 LT A(EXP)sf Expected Rating
M-2 LT BBB(EXP)sf Expected Rating
B-1 LT BB(EXP)sf Expected Rating
B-2 LT B(EXP)sf Expected Rating
B-3 LT NR(EXP)sf Expected Rating
B-4 LT NR(EXP)sf Expected Rating
B-5 LT NR(EXP)sf Expected Rating
B LT NR(EXP)sf Expected Rating
A-IO-S LT NR(EXP)sf Expected Rating
X LT NR(EXP)sf Expected Rating
SA LT NR(EXP)sf Expected Rating
PT LT NR(EXP)sf Expected Rating
PT-1 LT NR(EXP)sf Expected Rating
R LT NR(EXP)sf Expected Rating
TRANSACTION SUMMARY
Fitch expects to rate the residential mortgage-backed notes to be
issued by Citigroup Mortgage Loan Trust 2022-RP5 (CMLTI 2022-RP5),
as indicated above. The transaction is expected to close on Oct.
28, 2022. The notes are supported by two collateral groups
consisting of 1,705 seasoned performing loans (SPLs) and
reperforming loans (RPLs), with a total balance of approximately
$322 million, including $26.7 million, or 8.3%, of the aggregate
pool balance in noninterest-bearing deferred principal amounts as
of the cutoff date.
Distributions of 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
servicer 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 11.7% above a long-term sustainable level versus
12.2% on a national level. Underlying fundamentals are not keeping
pace with growth in home prices, which is the 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 15.8% yoy nationally as of July 2022.
Distressed Performance History (Negative): The collateral pool
consists primarily of peak-vintage SPLs and RPLs. Of the pool, 2.9%
was 30 days delinquent as of the cutoff date, and 28.8% of the
loans are current but have had delinquencies within the past 24
months. Additionally, 96.6% of the loans have a prior modification.
Fitch increased its loss expectations to account for the delinquent
loans and loans with prior delinquencies. See the Asset Analysis
section for additional information.
Low Leverage (Positive): The pool consists of loans with a weighted
average (WA) original combined loan-to-value (CLTV) ratio of 86.7%.
All loans received updated property values, translating to a WA
current (MtM) CLTV ratio of 51.4% and sustainable LTV of 58.5% at
the base case. This reflects low leverage borrowers and is stronger
than in recently rated SPL/RPL transactions.
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 reallocate principal to pay interest
on the 'AAAsf' and 'AAsf' rated notes prior to other principal
distributions is highly supportive of timely interest payments to
those classes in the absence of servicer advancing.
No Servicer P&I Advances (Mixed): The servicer will not advance
delinquent monthly payments of P&I, which reduces liquidity to the
trust. P&I advances made on behalf of loans that become delinquent
and eventually liquidate reduce liquidation proceeds to the trust.
Due to the lack of P&I advancing, the loan-level loss severity (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 'AAsf' rated
classes.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper market value declines (MVDs) at
the national level. The analysis assumes MVDs of 10.0%, 20.0% and
30.0%, in addition to the model-projected 42.6% at 'AAA'. The
analysis indicates there is some potential for rating migration
with higher MVDs for all rated classes compared with the model
projection. Specifically, a 10.0% additional decline in home prices
would lower all rated classes by one full category.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10.0% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
for positive rating migration for all of the rated classes.
Specifically, a 10.0% gain in home prices would result in a full
category upgrade for the rated classes excluding those being
assigned ratings of 'AAAsf'.
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 SitusAMC. The third-party due diligence review was
completed on 100% of the loans in this transaction. The scope of
the due diligence review was consistent with Fitch criteria for
seasoned collateral. All loans are seasoned at 24 months or more
and are subject to a due diligence scope that primarily tests for
compliance with lending regulations. However, 228 loans received a
credit and property valuation review in additional to a regulatory
compliance review. All loans received an updated tax and title
search and review of servicing comments.
Fitch considered this information in its analysis and, as a result,
Fitch made the following adjustments: increased the LS due to HUD-1
issues, missing modification agreements, material TRID exceptions,
as well as delinquent taxes and outstanding liens. These
adjustments resulted in an increase in the 'AAAsf' expected loss of
approximately 37bps.
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.
COMM 2015-LC19: Fitch Alters Outlook on Class E Certs to Stable
---------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of COMM Mortgage Trust
commercial mortgage pass-through certificates, series 2015-LC19.
The Rating Outlook on class E has been revised to Stable from
Negative.
Debt Rating Prior
---- ------ -----
COMM 2015-LC19
A-3 200474BB9 LT AAAsf Affirmed AAAsf
A-4 200474BC7 LT AAAsf Affirmed AAAsf
A-M 200474BE3 LT AAAsf Affirmed AAAsf
A-SB 200474AZ7 LT AAAsf Affirmed AAAsf
B 200474BF0 LT AA-sf Affirmed AA-sf
C 200474BH6 LT A-sf Affirmed A-sf
D 200474AE4 LT BBB-sf Affirmed BBB-sf
E 200474AG9 LT Bsf Affirmed Bsf
F 200474AJ3 LT CCCsf Affirmed CCCsf
PEZ 200474BG8 LT A-sf Affirmed A-sf
X-A 200474BD5 LT AAAsf Affirmed AAAsf
X-B 200474AA2 LT AA-sf Affirmed AA-sf
X-C 200474AC8 LT BBB-sf Affirmed BBB-sf
KEY RATING DRIVERS
Improved Loss Expectations: Overall performance and base case loss
expectations for the pool have improved since the last rating
action. The Outlook revision to Stable from Negative reflects the
performance stabilization for the majority of properties affected
by the pandemic and better than expected recoveries from two
specially serviced loans since the prior review.
Fitch has identified seven Fitch Loans of Concern (FLOCs; 17.7% of
the pool balance), including one (0.6%) specially serviced loan.
Ten loans (18.7%) are on the master servicer's watchlist for
declines in occupancy, performance declines as a result of the
pandemic, upcoming rollover and/or deferred maintenance. Fitch's
current ratings incorporate a base case loss of 4.2%. Losses could
reach 5.4% when applying additional sensitivities on Central Plaza
and Decorative Center of Houston to address concerns with the
potential performance volatility of these office assets. The
ratings and revision of the Outlook on class E reflect the
potentially higher losses on these two assets.
The largest contributor to overall loss expectations and largest
increase in loss since the prior rating action is the Central Plaza
loan (6.9% of the pool), which is secured by an 876,112-sf office
property and two adjacent parking structures, located in Los
Angeles, CA. Annualized March 2022 NOI DSCR was 1.49x, compared
with 1.45x at YE 2021 and 1.64x at YE 2019. Portfolio occupancy has
decreased to 52% at March 2022 from 58% at YE 2021, and remains
below issuance occupancy of 64%. Near-term rollover includes 14% of
the collateral NRA in 2022, 7.4% in 2023 and 12.9% in 2024. Fitch's
analysis includes a 10% cap rate and 20% total stress to the YE
2021 NOI to account for the low occupancy, upcoming rollover, and
performance concerns from the pandemic resulting in an 11% base
case modeled loss.
The second largest contributor to overall loss expectations is the
AHIP Oklahoma City Portfolio loan (2.1%), which is secured by a
portfolio of four hotels (440 keys) located in Oklahoma; three are
located in Oklahoma City (Holiday Inn Oklahoma City Airport,
Staybridge Suites Oklahoma City Airport, and Holiday Inn Oklahoma
City North Quail Springs), and one in Woodward (Hampton Inn &
Suites Woodward). Performance declined pre-pandemic with YE 2019
NOI DSCR at 0.62x, due to the softening of the oil and gas
industry, which is a key demand driver in the Oklahoma market; as
well as new supply. YE 2020 and YE 2021 NOI were negative. Two of
the hotels have reportedly received poor franchise inspection
results recently, with one hotel in default on its franchise
agreement. Fitch's analysis includes a 11.75% cap rate and 10%
total stress to the YE 2019 NOI resulting in an 32% modeled loss.
The third largest contributor to overall loss expectations is the
Decorative Center of Houston loan (3.7%), which is secured by a
516,582-sf design center, located in Houston, TX. The property
itself consists of approximately 222,945 sf of office space and
approximately 293,636 sf of design space. The servicer reported
DSCR as of the first quarter of 2022 was 1.36x compared with 1.47x
at YE 2021 and 1.61x at YE 2020. Per the July 2022 rent roll, the
property was 71% leased compared with 69% as of YE 2021, and 78% at
issuance. Near-term rollover includes 7.7% of the collateral NRA in
2022, 14.5% in 2023 and 11.7% in 2024. Fitch's analysis includes a
10.75% cap rate and 15% total stress to the YE 2021 NOI to account
for the low occupancy and performance concerns resulting in a 12%
base case modeled loss.
Increased Credit Enhancement (CE): As of the October 2022
distribution date, the pool's aggregate balance has been paid down
by 13.54% to $1.23 billion from $1.42 billion at issuance. Realized
losses since issuance total $6.2 million, including approximately
$1.7 million from March 2022 after the discounted payoff of the
specially serviced loan Enclave West. Thirteen full-term
interest-only loans comprise 47% of the pool. Eighteen loans
representing 28.3% of the pool had a partial interest-only
component, and twenty loans representing 24.7% are balloon loans.
Eleven loans (23.2%) have been defeased. No performing loans mature
or have an ARD prior to 2024 (46.5%), 2025 (49.4%), and 2027
(3.5%).
Alternative Loss Scenario: Fitch applied an additional sensitivity
analysis on the Central Plaza and Decorative Center of Houston due
to concerns with potential continued performance declines.
Sensitivity losses of 23% and 25% were applied respectively by
assuming 100% probability of default on each loan. This additional
sensitivity scenario was used to test the viability of the revision
of the Outlook on class E to stable from negative and to address
potential upgrades given the increase in CE, large percentage of
defeased loans, and improving pool performance. With improved
performance on Central Plaza and Decorative Center of Houston
upgrades are possible.
Property Type Concentration: The highest concentration is office
(29.7%), followed by retail (26.5%), lodging (14.9%), mixed-use
(14.4%) and multi-family (8.3%).
Pari Passu Loans: Three loans (23.2% of pool) are pari passu.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Sensitivity factors that lead to downgrades include an increase in
pool-level losses from underperforming or specially serviced
loans/assets. Downgrades to the 'AAA' through 'A-' classes are not
currently considered likely due to the expectation of continued
increase in credit enhancement from amortization and future
dispositions, but may occur with continued performance declines
should pandemic-impacts continue.
In addition, classes rated 'AAA' or 'AA' would be downgraded should
interest shortfalls occur. Downgrades to classes 'BBB-' and 'B' are
possible should performance of the FLOCs continue to decline,
should loans susceptible to the coronavirus pandemic not stabilize,
and/or should further loans transfer to special servicing.
Downgrades to the 'CCC' class could happen if losses are realized
or become more certain.
Fitch has identified both a baseline and a worse-than-expected,
adverse stagflation scenario based on fallout from the
Russia-Ukraine war whereby growth is sharply lower amid higher
inflation and interest rates; even if the adverse scenario should
play out, Fitch expects virtually no impact on ratings performance,
indicating very few rating or Outlook changes. However, for some
transactions with concentrations in underperforming retail
exposure, the ratings impact may be mild to modest, indicating some
changes on sub-investment-grade notes.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Sensitivity factors that could lead to upgrades would include
stable to improved asset performance, coupled with additional
paydown and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' rated
classes are not expected but would likely occur with significant
improvement in CE and/or defeasance along with continued
stabilization to the properties impacted by the pandemic.
Upgrades of the 'BBB-sf' class would be limited based on the
sensitivity to concentrations or the potential for future
concentrations. Classes would not be upgraded above 'Asf' if there
were likelihood of interest shortfalls. An upgrade to the 'Bsf' and
'CCCsf' rated classes is possible with the performance of the
remaining pool continuing to stabilize, the continued paydown of
the senior classes, and improved occupancy on the Central Plaza and
Decorative Center of Houston loans.
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.
COMMERCIAL MORTGAGE 2000-CMLB1: Moody's Lowers X Certs to Caa1
--------------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
interest-only class (IO) in Commercial Mortgage Leased-Backed
Certificates 2000-CMLB1 (CMLBC 2001-CMLB1).
Cl. X, Downgraded to Caa1 (sf); previously on Jan 19, 2021 Affirmed
B3 (sf)
RATINGS RATIONALE
The rating on the IO Class was downgraded due to the decline in the
credit performance resulting from principal paydowns of higher
quality reference classes. The IO class is the only outstanding
Moody's-rated class in this transaction.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
An IO class may be subject to ratings upgrades if there is an
improvement in the credit quality of its referenced classes,
subject to the limits and provisions of the updated IO
methodology.
An IO class may be subject to ratings downgrades if there is (i) a
decline in the credit quality of the reference classes and/or (ii)
paydowns of higher quality reference classes, subject to the limits
and provisions of the updated IO methodology.
The ratings of Credit Tenant Lease (CTL) deals (reference classes)
are primarily based on the senior unsecured debt rating (or the
corporate family rating) of the tenants leasing the real estate
collateral supporting the bonds. Other factors that are also
considered are Moody's dark value of the collateral (value based on
the property being vacant or dark), which is used to determine a
recovery rate upon a loan's default and the rating of the residual
insurance provider, if applicable. Factors that may cause an
upgrade of the ratings include an upgrade in the rating of the
corporate tenant or significant loan paydowns or amortization which
results in a lower loan to dark value ratio. Factors that may cause
a downgrade of the ratings include a downgrade in the rating of the
corporate tenant or the residual insurance provider.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in this rating were "Moody's Approach to
Rating Credit Tenant Lease and Comparable Lease Financings"
published in June 2020.
DEAL PERFORMANCE
As of the September 21, 2022 distribution date, the transaction's
aggregate certificate balance has decreased by 93% to $32.5 million
from $476.3 million at securitization. The certificates are
collateralized by 33 mortgage loans. Eleven of the loans,
representing 25% of the pool, are CTL loans secured by properties
leased to six corporate credit tenants. Twenty two loans,
representing 75% of the pool, have defeased and are collateralized
with U.S. Government securities.
The CTL pool, excluding defeasance, consists of 11 loans secured by
properties leased to six tenants. The largest exposure is AutoZone,
Inc. ($3.0 million – 9.1% of the pool; senior unsecured rating:
Baa1 -- stable outlook). Five of the six corporate tenants (90% of
the non-defeased portion of the pool) have a Moody's investment
grade ratings. The bottom-dollar weighted average rating factor
(WARF) for this pool (including defeasance) is 136. WARF is a
measure of the overall quality of a pool of diverse credits. The
bottom-dollar WARF is a measure of default probability.
CREDIT SUISSE 2008-C1: Fitch Affirms Dsf Rating on 13 Tranches
--------------------------------------------------------------
Fitch Ratings has affirmed all classes of Credit Suisse Commercial
Mortgage Trust 2008-C1 and Citigroup Commercial Mortgage Trust
2006-C4. In addition, Fitch has upgraded one class of COMM Mortgage
Trust 2004-LNB2 to 'AAAsf' from 'BBBsf' and affirmed all other
ratings.
Entity/Debt Rating Prior
----------- ------ -----
Credit Suisse
Commercial Mortgage
Trust 2008-C1
A-J 22546NAH7 LT Csf Affirmed Csf
B 22546NAK0 LT Csf Affirmed Csf
C 22546NAM6 LT Csf Affirmed Csf
D 22546NAP9 LT Dsf Affirmed Dsf
E 22546NAR5 LT Dsf Affirmed Dsf
F 22546NAT1 LT Dsf Affirmed Dsf
G 22546NAV6 LT Dsf Affirmed Dsf
H 22546NAX2 LT Dsf Affirmed Dsf
J 22546NAZ7 LT Dsf Affirmed Dsf
K 22546NBB9 LT Dsf Affirmed Dsf
L 22546NBD5 LT Dsf Affirmed Dsf
M 22546NBF0 LT Dsf Affirmed Dsf
N 22546NBH6 LT Dsf Affirmed Dsf
O 22546NBK9 LT Dsf Affirmed Dsf
P 22546NBM5 LT Dsf Affirmed Dsf
Q 22546NBP8 LT Dsf Affirmed Dsf
Citigroup Commercial
Mortgage Trust 2006-C4
C 17309DAJ2 LT CCCsf Affirmed CCCsf
D 17309DAK9 LT Csf Affirmed Csf
E 17309DAM5 LT Dsf Affirmed Dsf
F 17309DAN3 LT Dsf Affirmed Dsf
G 17309DAP8 LT Dsf Affirmed Dsf
H 17309DAQ6 LT Dsf Affirmed Dsf
J 17309DAR4 LT Dsf Affirmed Dsf
K 17309DAS2 LT Dsf Affirmed Dsf
L 17309DAT0 LT Dsf Affirmed Dsf
M 17309DAU7 LT Dsf Affirmed Dsf
N 17309DAV5 LT Dsf Affirmed Dsf
O 17309DAW3 LT Dsf Affirmed Dsf
COMM Mortgage Trust
2004-LNB2
K 20047BAG3 LT AAAsf Upgrade BBBsf
L 20047BAH1 LT Dsf Affirmed Dsf
M 20047BAJ7 LT Dsf Affirmed Dsf
N 20047BAK4 LT Dsf Affirmed Dsf
O 20047BAL2 LT Dsf Affirmed Dsf
KEY RATING DRIVERS
Fitch affirmed all classes of Credit Suisse Commercial Mortgage
Trust 2008-C1 at their distressed ratings of 'Csf' and 'Dsf'.
Losses to class A-J are considered inevitable. The remaining REO
asset, the Killeen Mall, is secured by 385,000-sf of a 558,254-sf
regional mall located in Killeen, TX, home to Fort Hood, the
nation's largest armed forces training and development facility.
Anchors are Dillard's (non-collateral), JCPenney (non-collateral),
Sears (closed in March 2019), and Burlington Coat Factory (15.8%
NRA).The loan was transferred to the special servicer in June 2017
because the loan was unable to pay off at maturity.
Tenant sales for the property for the 12 months ending July 2022
were $323.86 psf, compared to $344.88 psf for YE 2021, $269.46 psf
for YE 2020, and $300.95 psf for YE 2019. Fitch's stressed value of
$42 psf implies a 36.4% cap rate on TTM August 2022 NOI.
Fitch has affirmed all classes of Citigroup Commercial Mortgage
Trust 2006-C4, due to minimal change in expected losses since the
prior ratings action, suppressed cash flow, and continued
stabilization efforts. Both remaining assets are in special
servicing and losses are expected. The largest specially serviced
REO asset, Dubois Mall (71.5%), is secured by an approximately
440,000 sf regional mall in DuBois, PA, approximately 100 miles
northeast of Pittsburgh, PA. The loan transferred to special
servicing in May 2016 due to imminent maturity default and become
REO in April 2019. Current major tenants include JCPenney (11.4%
NRA), Big Lots (9.3% NRA), and Ross Dress for Less (6.9% NRA).
Sears, which previously occupied 14.4% NRA, vacated in December
2018. Per the May 2022 rent roll, mall occupancy was approximately
66.2%.
Fitch's analysis included a 50% stress to the most recent appraisal
provided by the Servicer. Fitch's stressed value of $10 psf
reflects a 17.7% cap rate on TTM May 2022 NOI.
The second largest specially serviced REO asset, State & Perryville
Shopping Center (28.5%), secured by an approximately 120,000 sf
anchored retail center in Rockford, IL. The loan transferred to
special servicing in April 2017 for imminent default, as a result
of performance declines due to a major tenant vacancy. Gordmans
(previously 51.7% NRA) vacated in March 2017 after the tenant filed
for bankruptcy. The foreclosure sale occurred in January 2019, and
the asset is REO. The property is currently 68.2% occupied,
primarily by Ashley Furniture (42.5% NRA) whose lease expires in
July 2026.
Fitch's analysis included a 50% stress to the most recent appraisal
provided by the Servicer. Fitch's stressed value of $27 psf
reflects a 7.9% cap rate on TTM August 2022 NOI.
Fitch has upgraded one class of COMM Mortgage Trust 2004-LNB2 and
affirmed the remaining classes at 'Dsf'. The remaining loan in the
pool defeased as of the September 2022 remittance reporting. The
loan was previously secured by a single tenant drugstore located in
College Station, TX. The property is 100% leased to Walgreens
through April 2028, coterminous with the loan's maturity date.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
For distressed classes in the transactions, further downgrades are
expected with increased certainty of losses or as losses are
incurred. Classes currently rated 'Dsf' will remain unchanged as
losses have already been incurred.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Although not expected given the significant pool concentration and
adverse selection, factors that could lead to upgrades include
significant improvement in loss expectations, from higher
valuations and/or better than expected performance of the remaining
specially serviced loans/assets.
ESG CONSIDERATIONS
Credit Suisse Commercial Mortgage Trust 2008-C1 has an ESG
relevance score of '5' for Social Impacts due to exposure to
sustained structural shifts in secular preferences affecting
consumer trends, occupancy trends, etc. which, on an individual
basis, has a significant impact on the ratings.
Citigroup Commercial Mortgage Trust 2006-C4 has an ESG Relevance
Score of '4' for Exposure to Social Impacts due to malls that are
underperforming as a result of changing consumer preference to
shopping, which has a negative impact on the credit profile and is
highly relevant to the rating.
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.
DANBY PARK: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Danby Park
CLO Ltd./Danby Park CLO LLC's floating-rate notes.
The note issuance is a CLO securitization backed primarily by
broadly syndicated speculative-grade (rated 'BB+' and lower) senior
secured term loans.
The preliminary ratings are based on information as of Oct. 26,
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 diversification of the collateral pool, which consists
primarily of broadly syndicated speculative-grade (rated 'BB+' and
lower) senior secured term loans.
-- 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.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Danby Park CLO Ltd./Danby Park CLO LLC
Class A-1a, $227.00 million: Not rated
Class A-1b, $25.00 million: Not rated
Class A-2, $12.00 million: AA+ (sf)
Class B, $36.00 million: AA (sf)
Class C (deferrable), $24.40 million: A (sf)
Class D (deferrable), $22.80 million: BBB- (sf)
Class E (deferrable), $12.40 million: BB- (sf)
Subordinated notes, $29.35 million: Not rated
DEUTSCHE ALT-B 2006-AB1: Moody's Lowers Cl. A-X-1 Bond Rating to C
------------------------------------------------------------------
Moody's Investors Service has downgraded the rating of Class A-X-1
issued by Deutsche Alt-B Securities Mortgage Loan Trust, Series
2006-AB1. The collateral backing this deal consists of Alt-A
mortgage loans.
Complete rating actions are as follows:
Issuer: Deutsche Alt-B Securities Mortgage Loan Trust, Series
2006-AB1
Cl. A-X-1, Downgraded to C (sf); previously on Oct 27, 2017
Confirmed at Caa3 (sf)
RATINGS RATIONALE
The downgrade of the rating to C(sf) reflects the nonpayment of
interest for an extended period of more than 12 months. The rating
action also reflects the recent performance as well as Moody's
updated loss expectations on the underlying pool.
In light of the current macroeconomic environment, Moody's revised
loss expectations based on forecast uncertainties. Specifically,
Moody's have observed an increase in delinquencies, payment
forbearance, and payment, which could result in higher realized
losses. Moody's rating actions also take into consideration the
buildup in credit enhancement of the bonds, which has helped offset
the impact of the increase in expected losses.
Moody's estimated the proportion of loans granted payment relief in
a pool based on a review of loan level cashflows. In Moody's
analysis, Moody's considered a loan to be enrolled in a payment
relief program if (1) the loan was not liquidated but took a loss
in the reporting period (to account for loans with monthly
deferrals that were reported as current), or (2) the actual balance
of the loan increased in the reporting period, or (3) the actual
balance of the loan remained unchanged in the last and current
reporting period, excluding interest-only loans and pay ahead
loans. Based on Moody's analysis, the proportion of borrowers that
are currently enrolled in payment relief plans varied greatly,
ranging between approximately 2% and 11% among RMBS transactions
issued before 2009. In Moody's analysis, Moody's assume these loans
to experience lifetime default rates that are 50% higher than
default rates on the performing loans.
In addition, for borrowers unable to make up missed payments
through a short-term repayment plan, servicers will generally defer
the forborne amount as a non-interest-bearing balance, due at
maturity of the loan as a balloon payment. Moody's analysis
considered the impact of six months of scheduled principal payments
on the loans enrolled in payment relief programs being passed to
the trust as a loss. The magnitude of this loss will depend on the
proportion of the borrowers in the pool subject to principal
deferral and the number of months of such deferral. The treatment
of deferred principal as a loss is credit negative for junior
bonds, which could incur write-downs on bonds when missed payments
are deferred.
Principal Methodologies
The methodologies used in this rating were "US RMBS Surveillance
Methodology" published in July 2022.
Factors that would lead to an upgrade or downgrade of the rating:
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.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds.
DT AUTO 2022-3: S&P Assigns Prelim BB (sf) Rating on Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to DT Auto
Owner Trust 2022-3's asset-backed notes.
The note issuance is an ABS securitization backed by subprime auto
loan receivables.
The preliminary ratings are based on information as of Oct. 20,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The availability of approximately 59.56%, 53.45%, 43.75%,
34.95%, and 32.01% credit support--hard credit enhancement and a
haircut to excess spread--for the class A, B, C, D, and E notes,
respectively, based on stressed break-even cash flow scenarios.
These credit support levels provide approximately 2.40x, 2.15x,
1.75x, 1.40x, and 1.25x coverage of S&P's expected net loss range
of 24.75% for the class A, B, C, D, and E notes, respectively.
-- The expectation that under a moderate ('BBB') stress scenario
(1.40x S&P's expected loss level), all else being equal, its
preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', 'BB
(sf)'ratings on the class A, B, C, D, and E notes, respectively,
will be within the credit stability limits.
-- The timely payment of interest and principal by the designated
legal final maturity dates under S&P's stressed cash flow modeling
scenarios that it believes are appropriate for the assigned
preliminary ratings.
-- The collateral characteristics of the subprime automobile loans
securitized in this transaction together with S&P's view of the
credit risk of the collateral, its updated macroeconomic forecast
and forward-looking view of the auto finance sector.
-- The series' bank accounts at Wells Fargo Bank N.A. (Wells
Fargo), which do not constrain the preliminary ratings.
-- S&P's operational risk assessment of Bridgecrest Acceptance
Corp. (BAC) as servicer, along with its view of the company's
underwriting and the backup servicing arrangement with
Computershare Trust Co. N.A.
-- S&P's assessment of the transaction's potential exposure to
environmental, social, and governance (ESG) credit factors which
are in line with our sector benchmark.
-- The transaction's payment and legal structure.
Preliminary Ratings Assigned
DT Auto Owner Trust 2022-3
Class A, $235.50 million: AAA (sf)
Class B, $42.00 million: AA (sf)
Class C, $51.25 million: A (sf)
Class D, $68.75 million: BBB (sf)
Class E, $22.50 million, BB (sf)
EMPOWER CLO 2022-1: Fitch Assigns 'BB-sf' Rating on Class E Notes
-----------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Empower
CLO 2022-1, Ltd.
Entity/Debt Rating
----------- ------
Empower CLO
2022-1, Ltd.
A-1 LT NRsf New Rating
A-2 LT NRsf New Rating
B LT AAsf New Rating
C LT NRsf New Rating
D LT BBB-sf New Rating
E LT BB-sf New Rating
Subordinated Notes LT NRsf New Rating
TRANSACTION SUMMARY
Empower CLO 2022-1, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) managed by Empower Capital
Management, LLC. 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. The weighted average rating factor (WARF) of the
indicative portfolio is 22.6 versus a maximum covenant, in
accordance with the initial expected matrix point of 23.8. Issuers
rated in the 'B+'/'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
100.0% first lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 76.9% versus a
minimum covenant, in accordance with the initial expected matrix
point of 72.4%.
Portfolio Composition (Positive): The largest three industries may
constitute up to 39.0% 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 4.0-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 its stress scenarios at the initial expected matrix
point, the rated notes can withstand default rates and recovery
assumptions consistent with other recent Fitch-rated CLO notes. The
performance of all classes of rated notes at the other permitted
matrix points is in line with other recent CLOs.
RATING SENSITIVITIES
Factors 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
metrics. The results under these sensitivity scenarios are between
'BB+sf' and 'AA+sf' for class B, between less than 'B-sf' and
'BBB-sf' for class D, and between less than 'B-sf' and 'B+sf' for
class E.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
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, 'A+sf' for class D notes, and 'BBB+sf' for class E
notes.
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.
EXETER AUTOMOBILE 2022-5: Fitch Gives 'BBsf' Rating on Cl. E Notes
------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
Exeter Automobile Receivables Trust (EART) 2022-5.
Debt Rating Prior
---- ------ -----
Exeter Automobile
Receivables Trust 2022-5
A-1 ST F1+sf New Rating F1+(EXP)sf
A-2 LT AAAsf New Rating AAA(EXP)sf
A-3 LT AAAsf New Rating AAA(EXP)sf
B LT AAsf New Rating AA(EXP)sf
C LT Asf New Rating A(EXP)sf
D LT BBBsf New Rating BBB(EXP)sf
E LT BBsf New Rating BB(EXP)sf
KEY RATING DRIVERS
Collateral Performance - Subprime Credit Quality: EART 2022-5 is
backed by collateral with subprime credit attributes, including a
weighted average (WA) FICO score of 586, a WA loan-to-value ratio
of 112.69%, and a WA annual percentage rate (APR) of 20.94%.
Additionally, 97.92% of the loans are backed by used cars and the
WA payment-to-income ratio is 12.26%.
Forward-Looking Approach to Derive Base Case Proxy: Fitch
considered economic conditions and future expectations by assessing
key macroeconomic and wholesale market conditions when deriving the
series loss proxy. Although recessionary performance data from
Exeter is not available, the initial base case credit net loss
(CNL) proxy was derived utilizing 2006-2010 data from Santander
Consumer as proxy recessionary static managed portfolio data and
2016-2017 vintage data from Exeter to arrive at a forward-looking
base case cumulative net loss expectation of 18.75%.
Payment Structure — Sufficient Credit Enhancement: Initial hard
credit enhancement (CE) totals 56.67%, 42.82%, 30.47%, 18.27%, and
8.32% for classes A, B, C, D and E, respectively, slightly down
from 2022-4, but generally in range of recent transactions. Excess
spread is expected to be 10.47% per annum. Loss coverage for each
class of notes is sufficient to cover the respective multiples of
Fitch's base case CNL proxy of 18.75%.
Seller/Servicer Operational Review — Adequate
Origination/Underwriting/Servicing: Exeter demonstrates adequate
abilities as the originator, underwriter and servicer, as evidenced
by historical portfolio and securitization performance. Fitch does
not rate Exeter Finance LLC. Fitch deems Exeter as capable to
service this transaction. In addition, Citibank, N.A., which Fitch
rates 'A+'/'F1'/Outlook Stable, has been contracted as backup
servicer for this transaction.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Unanticipated increases in the frequency of defaults could produce
CNL levels that are higher than the base case and would likely
result in declines of CE and remaining net loss coverage levels
available to the notes. Additionally, unanticipated declines in
recoveries could also result in lower net loss coverage, which may
make certain note ratings susceptible to potential negative rating
actions depending on the extent of the decline in coverage.
Therefore, Fitch conducts sensitivity analyses by stressing both a
transaction's initial base case CNL and recovery rate assumptions,
as well as by examining the rating implications on all classes of
issued notes. The CNL sensitivity stresses the CNL proxy to the
level necessary to reduce each rating by one full category, to
non-investment grade (BBsf) and to 'CCCsf' based on the break-even
loss coverage provided by the CE structure.
Additionally, Fitch conducts 1.5x and 2.0x increases to the CNL
proxy, representing both moderate and severe stresses. Fitch also
evaluates the impact of stressed recovery rates on an auto loan ABS
structure and rating impact with a 50% haircut. These analyses are
intended to provide an indication of the rating sensitivity of the
notes to unexpected deterioration of a trust's performance.
Fitch has revised its global economic outlook forecasts as a result
of the war in Ukraine and related economic sanctions. Downside
risks have increased, and Fitch has published an assessment of the
potential rating and asset performance impact of a plausible,
albeit worse than expected, adverse stagflation scenario on Fitch's
major structured finance and covered bond subsectors ("What Global
Stagflation Would Mean for Structured Finance and Covered Bond
Ratings").
Fitch expects the North American subprime auto ABS sector in the
assumed adverse scenario to experience "Virtually No Impact" on
rating performance, indicating very few (less than 5%) rating or
Outlook changes. Fitch expects "Mild to Modest Impact" on asset
performance, indicating asset performance to be modestly negatively
affected relative to current expectations, and a 25% chance of
sector outlook revision by YE 2023. Fitch expects the asset
performance impact of the adverse case scenario to be more modest
than the most stressful scenario shown above that increases the
default expectation by 2.0x.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Stable to improved asset performance driven by stable delinquencies
and defaults would lead to rising CE levels and consideration for
potential upgrades. If CNL is 20% less than the projected proxy,
the expected subordinate note ratings could be upgraded by up to
one category.
ESG CONSIDERATIONS
The low concentration of hybrid and electric vehicles did not have
an impact on Fitch's ratings analysis or conclusion on this
transaction and has no impact on Fitch's ESG Relevance Score.
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.
FLAGSHIP CREDIT 2022-4: S&P Assigns Prelim 'BB-' Rating on E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Flagship
Credit Auto Trust 2022-4's automobile receivables-backed notes.
The note issuance is an ABS transaction backed by subprime auto
loan receivables.
The preliminary ratings are based on information as of Oct. 26,
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 availability of approximately 42.31%, 36.70%, 27.91%,
22.39%, and 17.46% credit support--hard credit enhancement and
haircut to excess spread--for the class A (A-1, A-2, and A-3), B,
C, D, and E notes, respectively, based on stressed cash flow
scenarios. These credit support levels provide at least 3.50x,
3.00x, 2.30x, 1.75x, and 1.40x coverage of S&P's expected net loss
of 11.50% for the class A, B, C, D, and E notes, respectively.
-- The expectation that under a moderate ('BBB') stress scenario
(1.75x S&P's expected loss level), all else being equal, its
preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB-
(sf)' ratings on the class A, B, C, D, and E notes, respectively,
are within the credit stability limits.
-- The timely payment of interest and principal by the designated
legal final maturity dates under S&P's stressed cash flow modeling
scenarios, which we believe are appropriate for the assigned
preliminary ratings.
-- The collateral characteristics of the subprime automobile loans
in this transaction, S&P's view of the credit risk of the
collateral, and its updated macroeconomic forecast, and
forward-looking view of the auto finance sector.
-- The series' bank accounts at UMB Bank N.A., which do not
constrain the preliminary ratings.
-- S&P's operational risk assessment of Flagship Credit Acceptance
LLC as servicer, along with its view of the company's underwriting
and the backup servicing arrangement with UMB Bank.
-- S&P's assessment of the transaction's potential exposure to
environmental, social, and governance credit factors, which are in
line with its sector benchmark.
-- The transaction's payment and legal structures.
Preliminary Ratings Assigned
Flagship Credit Auto Trust 2022-4
Class A-1, $48.20 million: A-1+ (sf)
Class A-2, $165.00 million: AAA (sf)
Class A-3, $52.66 million: AAA (sf)
Class B, $28.14 million: AA (sf)
Class C, $45.78 million: A (sf)
Class D, $25.62 million: BBB (sf)
Class E, $35.70 million: BB- (sf)
GCAT 2022-NQM5: S&P Assigns B(sf) Rating on Class B-2 Certificates
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to GCAT 2022-NQM5 Trust's
mortgage pass-through certificates.
The certificate issuance is an RMBS securitization backed by
first-lien, fixed-, and adjustable-rate residential mortgage loans,
including mortgage loans with initial interest-only periods, to
prime and nonprime borrowers. The loans are secured by
single-family residential properties, planned-unit developments,
townhouses, condominiums, cooperatives, and two- to four-family
residential properties. The pool has 844 loans, which are either
non-QM (non-QM/ATR compliant), ATR-exempt mortgage loans, QM/HPML,
or QM/safe harbor.
S&P said, "Since we assigned the preliminary ratings on Oct. 14,
2022, the pool balance decreased by $2,146,114 to $457,410,040
because five loans were removed from the final mortgage pool as a
result of material damage caused by hurricane Ian to the related
properties. The bonds sizes were reduced proportionately to keep
the subordination credit enhancement the same for each tranche.
These changes 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, geographic concentration, and representation and
warranty framework;
-- The mortgage aggregator, Blue River Mortgage III LLC, and the
mortgage originators; and
-- The potential impact current and near-term macroeconomic
conditions may have on the performance of the mortgage borrowers in
the pool. S&P said, "On April 17, 2020, we updated our mortgage
outlook and corresponding archetypal foreclosure frequency levels
to account for the potential impact of the COVID-19 pandemic on the
overall credit quality of collateralized pools. While COVID-19
pandemic related performance concerns have waned, given our current
outlook for the U.S. economy considering the impact of the
Russia-Ukraine military conflict, supply-chain disruptions, and
rising inflation and interest rates, we continue to maintain our
updated 'B' foreclosure frequency for the archetypal pool at
3.25%."
Ratings Assigned
GCAT 2022-NQM5 Trust(i)
Class A-1, $327,965,000: AAA (sf)
Class A-2, $31,562,000: AA (sf)
Class A-3, $44,369,000: A (sf)
Class M-1, $17,382,000: BBB (sf)
Class B-1, $13,494,000: BB+ (sf)
Class B-2, $12,807,000: B (sf)
Class B-3, $9,835,040: Not rated
Class A-IO-S, Notional(ii): Not rated
Class X, Notional(ii): Not rated
Class R, N/A: Not rated
(i)The ratings address our expectation for the ultimate payment of
interest and principal.
(ii)The notional amount equals the aggregate stated principal
balance of the loans.
N/A--Not applicable.
GOLUB CAPITAL 64B: Fitch Assigns 'BB-sf' Rating on Class E Notes
----------------------------------------------------------------
Fitch Ratings has assigned ratings and Ratings Outlooks to Golub
Capital Partners CLO 64(B), Ltd.
Debt Rating
---- ------
Golub Capital Partners CLO
64(B), Ltd.
A LT NRsf New Rating
B LT AAsf New Rating
C LT Asf New Rating
D LT BBB-sf New Rating
E LT BB-sf New Rating
Subordinated Notes LT NRsf New Rating
TRANSACTION SUMMARY
Golub Capital Partners CLO 64(B), Ltd. (the issuer) is an arbitrage
cash flow collateralized loan obligation (CLO) that will be managed
by OPAL BSL LLC. Net proceeds from the issuance of the secured and
subordinated notes will provide financing on a portfolio of
approximately $425.0 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. The weighted average rating factor (WARF) of the
indicative portfolio is 25.6 versus a maximum covenant, in
accordance with the initial expected matrix point of 26.5. 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
99.8% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 76.4% versus a
minimum covenant, in accordance with the initial expected matrix
point of 75.6%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 46.0% 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 that of other
recent U.S. CLOs.
Portfolio Management (Neutral): The transaction has a 5.0-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 at the initial expected
matrix point, the rated notes can withstand default and recovery
assumptions consistent with their assigned ratings. The performance
of all classes of rated notes at the other permitted matrix points
is in line with other recent CLOs.
RATING SENSITIVITIES
Factors 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
metrics; results under these sensitivity scenarios are between
'BB+sf' and 'AA+sf' for class B notes, between 'B-sf' and 'A-sf'
for class C notes, between less than 'B-sf' and 'BBB-sf' for class
D notes, and between less than 'B-sf' and 'B+sf' for class E
notes.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
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, 'A+sf' for class C notes, between 'Asf' and 'A+sf'
for class D notes, and 'BBB+sf' for class E notes.
DATA ADEQUACY
A 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 its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
LCM 39: Fitch Assigns 'BB-sf' Rating on Class E Notes
-----------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to LCM 39
Ltd.
Entity/Debt Rating Prior
----------- ------ -----
LCM 39 Ltd.
A-1 LT AAAsf New Rating AAA(EXP)sf
A-2 LT AAAsf New Rating AAA(EXP)sf
B-1 50204NAE8 LT AAsf New Rating AA(EXP)sf
B-2 LT AAsf New Rating
C LT Asf New Rating A(EXP)sf
D LT BBB-sf New Rating BBB-(EXP)sf
E LT BB-sf New Rating BB-(EXP)sf
F LT NRsf New Rating NR(EXP)sf
Subordinated
Notes LT NRsf New Rating
RANSACTION SUMMARY
LCM 39 Ltd. (the issuer) is an arbitrage cash flow collateralized
loan obligation (CLO) that will be managed by LCM EURO II LLC. Net
proceeds from the issuance of the secured and subordinated notes
will provide financing on a portfolio of approximately $450 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', 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
100.0% first-lien senior secured loans and has a weighted average
recovery assumption of 76.42%. 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 5.0-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 notes were able to
withstand respective default rates and recovery assumptions
appropriate for their assigned ratings.
RATING SENSITIVITIES
Factors 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
'A-sf' and 'AAAsf' for class A-1, between 'BBB+sf' and 'AAAsf' for
class A-2, between 'BB+sf' and 'AA+sf' for class B, between 'Bsf'
and 'A+sf' for class C, between less than 'B-sf' and 'BBB-sf' for
class D, and between less than 'B-sf' and 'BB-sf' for class E.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Upgrade scenarios are not applicable to the class A-1 and A-2
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, 'A+sf' for class D notes, and
'BBB+sf' for class E notes.
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.
LCM 39: Moody's Assigns 'B3' Rating to $1MM Class F Notes
---------------------------------------------------------
Moody's Investors Service has assigned ratings to two classes of
notes issued LCM 39 Ltd. (the "Issuer" or "LCM 39").
Moody's rating action is as follows:
US$276,750,000 Class A-1 Senior Floating Rate Notes due 2034,
Definitive Rating Assigned Aaa (sf)
US$1,000,000 Class F Deferrable Mezzanine Floating Rate Notes due
2034, Definitive Rating Assigned B3 (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.
LCM 39 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90.0% of the portfolio must consist of
senior secured loans, eligible investments, and up to 10.0% of the
portfolio may consist of second-lien loans, unsecured loans and
fixed rate collateral debt obligations. The portfolio is
approximately 95% ramped as of the closing date.
LCM EURO 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 issued six 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 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: $450,000,000
Diversity Score: 80
Weighted Average Rating Factor (WARF): 3121
Weighted Average Spread (WAS): 3.80%
Weighted Average Coupon (WAC): 7.0%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 8.23 years (9.0 years, covenant)
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.
METRONET INFRASTRUCTURE 2022-1: Fitch Gives BB-(EXP) on Cl. C Notes
-------------------------------------------------------------------
Fitch Ratings has issued a presale report for Metronet
Infrastructure Issuer LLC's Secured Fiber Network Revenue Notes,
Series 2022-1.
Debt Rating
---- ------
Metronet Infrastructure Issuer,
LLC, Series 2022-1
Class A-2 LT A(EXP)sf Expected Rating
Class B LT BBB(EXP)sf Expected Rating
Class C LT BB-(EXP)sf Expected Rating
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
- $860,781,000 series 2022-1, class A-2, 'Asf'; Outlook Stable;
- $119,075,000 series 2022-1, class B, 'BBBsf'; Outlook Stable;
- $239,584,000 series 2022-1, class C, 'BB-sf'; Outlook Stable.
TRANSACTION SUMMARY
The transaction is a securitization of the contract payments
derived from an existing Fiber-to the-Premises (FTTP) network. The
collateral assets include: conduits, cables, network-level
equipment, access rights, customer contracts, transaction accounts
and pledge of equity from the asset entities. Debt is secured by
the net revenue of operations and benefits from a perfected
security interest in the securitized assets.
The collateral consists of high-quality fiber lines that support
the provision of internet, cable, and telephone services to a
network of approximately 207,000 retail customers across 58 cities
in five states - these assets represent approximately 55% of the
sponsor's total business. For the markets contributed to the
transaction, the majority of the subscriber base (57.8% of ARRGR)
is located in Indiana, though this is spread across a few distinct
markets in the state.
The ratings reflect a structured finance analysis of the cash flows
from the ownership interest in the underlying fiber optic network,
not an assessment of the corporate default risk of the ultimate
parent, MetroNet Holdings, LLC.
KEY RATING DRIVERS
Fitch Net Cash Flow and Leverage: The Fitch net cash flow (NCF) on
the pool is $118.7 million, implying a 17.3% haircut to issuer net
cash flow. The debt multiple relative to Fitch's NCF on the rated
classes is 10.3x, which compares with the debt/issuer NCF leverage
of 8.5x.
Credit Risk Factors: The major factors affecting Fitch's
determination of cash flow and Maximum Potential Leverage (MPL)
include: the high quality of the underlying collateral networks,
scale and diversity of the customer base, market position and
penetration, capability of the operator, and strength of the
transaction structure.
Technology-Dependent Credit: Due to the specialized nature of the
collateral and potential for changes in technology to affect
long-term demand for digital infrastructure, the senior classes of
this transaction do not achieve ratings above 'Asf'. The securities
have a rated final payment date 30 years after closing, and the
long-term tenor of the securities increases the risk that an
alternative technology —rendering obsolete the current
transmission of data through fiber-optic cables— will be
developed. Fiber optic cable networks are currently the fastest and
most reliable means to transmit information, and data providers
continue to invest in and utilize this technology.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Declining cash flow as a result of higher expenses, contract churn,
or lower market penetration and the development of an alternative
technology for the transmission of wireless signal could lead to
downgrades.
Fitch's NCF was 17.3% below the issuer's underwritten cash flow.
Based on Fitch's determination of MPL, a further 10% decline in
Fitch's NCF indicates the following rating sensitivities: Class A-2
from 'Asf' to 'BBBsf'; class B from 'BBBsf' to 'BB+sf'; class C
from 'BB-sf' to 'Bsf'.
The presale report includes a detailed explanation of additional
stresses and sensitivities on page 5 and 6.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Increasing cash flow without an increase in corresponding debt,
from contractual lease escalators, new tenant leases, or lease
amendments could lead to upgrades.
Based on Fitch's determination of MPL, a 10% increase in Fitch's
NCF indicates the following rating sensitivities: Class A-2 from
'Asf' to 'Asf'; class B from 'BBBsf' to 'A-sf'; class F from
'BB-sf' to 'BBsf'.
Upgrades are unlikely for these transactions given the provision
for the issuer to issue additional notes, which rank pari passu or
subordinate to existing notes, without the benefit of additional
collateral. In addition, the transaction is capped in the 'Asf'
category, given the risk of technological obsolescence.
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.
MVM LLC 2022-2: Fitch Assigns 'BB(EXP)sf' Rating on Class D Notes
-----------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
notes to be issued by MVW 2022-2 LLC (MVW 2022-2).
Debt Rating
---- ------
MVW 2022-2 LLC
A LT AAA(EXP)sf Expected Rating
B LT A(EXP)sf Expected Rating
C LT BBB(EXP)sf Expected Rating
D LT BB(EXP)sf Expected Rating
TRANSACTION SUMMARY
The notes are backed by a pool of fixed-rate timeshare loans
originated by Marriott Ownership Resorts, Inc. (MORI) or one of its
wholly owned subsidiaries or affiliates. MORI is a subsidiary of
Marriott Vacations Worldwide Corporation (MVWC/MVW). A portion of
the timeshare loans are from Vistana Signature Experiences (VSE),
the exclusive licensee for Whvhestin and Sheraton brands in
vacation ownership (VO) and Hyatt Vacation Ownership (HVO), the
exclusive licensee for the Hyatt brand in VO. The MVW 2022-2 pool
also includes timeshare loans originated by The WHV Resort Group,
Inc. (WHV) This follows the acquisition of ILG, Inc. (ILG) on Sept.
1, 2018 and the acquisition of WHV Hospitality Group, Inc. on April
1, 2021. Post-acquisitions, the Westin, Sheraton, Hyatt and WHV
VO's were combined with MVW VO's. This is MORI's 27th term
securitization.
KEY RATING DRIVERS
Borrower Risk — Stronger Collateral Pool: This is the seventh
transaction to include originations from both the Marriott
Vacations Worldwide Corporation (MVW) and VSE platforms. Overall,
the pool is stronger than the 2022-1 pool, as the weighted average
(WA) FICO score increased to 733 from 726 in 2022-1, while in line
with 2021-2. Fifteen-year loans decreased slightly to 41.1% from
44.2% in 2022-1. However, the seasoning is down to 10 months from
14 months in 2022-1. The concentration of foreign obligors is at
3.8%, comparable with 3.9% in 2022-1.
The 2022-2 pool includes 59.5% of Marriott Vacation Club (MVC)
collateral, up from 45.0% in 2022-1, which performs stronger than
other brands except Westin. However, the WHV collateral
concentration is up to 16.9% from 8.1% in 2022-1, which has
historically had higher forecast losses compared with other brands.
This is also the fifth transaction to include Hyatt-branded loans,
which represents 0.9% of the initial pool.
Forward-Looking Approach on CGD Proxy — Varied Performance: With
the exception of certain foreign segments, MVC 2010-2016 vintages
continue to display improved performance relative to the weaker
2007-2009 periods, although more recent vintages remain under
stress. The VSE and WHV portfolios also experienced stress during
the recession. Since then, the Westin loan performance has improved
but has experienced elevated defaults in recent periods.
The Sheraton loan performance has deteriorated in recent years,
driven by Sheraton Flex and the longer 15-year term loans, with the
newly included Hyatt-branded loans since the 2020-1 transaction
showing overall high projected losses on par with, and in some
cases, exceeding those of other VSE brands, including Sheraton.
WHV loan performance in recent vintages has been tracking
consistently below that of the recessionary 2006-2009 vintages, but
has been weaker compared with the 2010-2013 periods. Fitch's base
case CGD proxy is 13.50% for 2022-2.
Structural Analysis — Lower CE Structure: Initial hard credit
enhancement (CE) is 37.00%, 21.25%, 10.00% and 2.50% for class A,
B, C and D notes, respectively. CE is notably down for class A, B
and C notes relative to 2022-1 from 43.00%, 22.75% and 10.25%,
respectively. Available CE is sufficient to support stressed
'AAAsf', 'Asf', 'BBBsf' and 'BBsf' multiples of Fitch's base case
CGD proxy of 13.50%.
Compared with prior MVW/MVW Owner Trust (MVWOT) transactions,
2022-2 only includes existing timeshare loans in its collateral
pool. The 2022-1 transaction featured a prefunding account that
held 25% of the aggregate initial collateral balance after the
closing date to buy eligible timeshare loans.
Originator/Seller/Servicer Operational Review — Quality of
Origination/Servicing: MVW/MORI, VSE and WHV have demonstrated
sufficient abilities as originator and servicer of timeshare loans,
as evidenced by the historical delinquency and default performance
of securitized trusts and of the managed portfolio.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Unanticipated increases in the frequency of defaults could produce
CGD levels higher than the base case and would likely result in
declines of CE and remaining default coverage levels available to
the notes. Additionally, unanticipated increases in prepayment
activity could also result in a decline in coverage. Declining
default coverage may make certain note ratings susceptible to
potential negative rating actions, depending on the extent of the
decline in coverage.
Hence, Fitch conducts sensitivity analysis by stressing both a
transaction's initial base case CGD and prepayment assumptions and
examining the rating implications on all classes of issued notes.
The CGD sensitivity stresses the CGD proxy to the level necessary
to reduce each rating by one full category, to
non-investment-grade, 'BBsf' and to 'CCCsf' based on the break-even
loss coverage provided by the CE structure. The prepayment
sensitivity includes 1.5x and 2.0x increases to the prepayment
assumptions representing moderate and severe stresses,
respectively. These analyses are intended to provide an indication
of the rating sensitivity of notes to unexpected deterioration of a
trust's performance.
Additionally, Fitch conducts increases of 1.5x and 2.0x to the CGD
proxy, which represents moderate and severe stresses, respectively.
These analyses are intended to provide an indication of the rating
sensitivity of notes to unexpected deterioration of a trust's
performance.
Fitch has revised global economic outlook forecasts as a result of
the Ukraine War and related economic sanctions. Downside risks have
increased, and Fitch has published an assessment of the potential
rating and asset performance impact of a plausible, but
worse-than-expected, adverse stagflation scenario on Fitch's major
SF and CVB subsectors.
Fitch expects the Timeshare ABS sector in the assumed adverse
scenario to experience "Virtually No Impact" on rating performance,
indicating very few (less than 5%) rating or Outlook changes. Fitch
expects "Mild to Modest Impact" on asset performance, indicating
asset performance to be modestly negatively affected relative to
current expectations and a 25% chance of sector outlook revision by
YE 2023.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Stable to improved asset performance driven by stable delinquencies
and defaults would lead to increasing CE levels and consideration
for potential upgrades. If CNL is 20% less than the projected
proxy, the expected ratings would be maintained for the class A
note at a stronger rating multiple. For the class B, C and D notes,
the multiples would increase, resulting in potential upgrade of one
rating category, two notches and two notches, respectively.
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.
MVW LLC 2022-2: Moody's Assigns (P)Ba2 Rating to Class D Notes
--------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
notes to be issued by MVW 2022-2 LLC. MVW 2022-2 is backed by a
pool of timeshare loans originated by Marriott Ownership Resorts,
Inc. (MORI, Ba3 stable) or various subsidaries of Marriott
Vacations Worldwide Corporation (MVW). MVW is the ultimate parent
of MORI and a public global vacation company that offers vacation
ownership, exchange, rental, resort management and other related
businesses. MORI is the servicer of this transaction and MVW is the
performance guarantor. Computershare Trust Company, N.A.
(Computershare, Baa2 stable) serves as the backup servicer.
Issuer: MVW 2022-2 LLC
Class A Notes, Assigned (P)Aaa (sf)
Class B Notes, Assigned (P)A2 (sf)
Class C Notes, Assigned (P)Baa2 (sf)
Class D Notes, Assigned (P)Ba2 (sf)
RATINGS RATIONALE
The rating is based on the quality of the underlying collateral and
its expected performance, the capital structure, and the experience
and expertise of MORI as servicer and the back-up servicing
arrangement with Computershare.
Moody's expected median cumulative net loss expectation for MVW
2022-2 is 13.6% and the loss at a Aaa stress is 46%. Moody's based
its net loss expectations on an analysis of the credit quality of
the underlying collateral; the historical performance of similar
collateral, including securitization performance and managed
portfolio performance; the ability of MORI to perform the servicing
functions and Computershare to perform the backup servicing
functions; and current expectations for the macroeconomic
environment during the life of the transaction.
At closing, the Class A notes, Class B notes, Class C notes and
Class D notes are expected to benefit from 37.00%, 21.25%, 10.00%
and 2.50% of hard credit enhancement, respectively. Hard credit
enhancement for the notes consists of a combination of
overcollateralization, a reserve account and subordination. The
notes may also benefit from excess spread.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "US Vacation
Timeshare Loan Securitizations Methodology" published in July
2022.
Factors that would lead to an upgrade or downgrade of the rating:
Up
Moody's could upgrade the Class B, C and D notes if, given current
expectations of portfolio losses, levels of credit enhancement are
consistent with higher ratings. This transaction has a pro-rata
structure with sequential pay triggers. Moody's expectation of pool
losses could decline as a result of better than expected
improvements in the economy, changes to servicing practices that
enhance collections or refinancing opportunities that result in
prepayments.
Down
Moody's could downgrade the ratings of the notes if pool losses
exceed its expectations and levels of credit enhancement are
consistent with lower ratings. Credit enhancement could decline if
excess spread is not sufficient to cover losses in a given month.
Moody's expectation of pool losses may increase, for example, due
to performance deterioration stemming from a downturn in the US
economy, deficient servicing, errors on the part of transaction
parties, inadequate transaction governance or fraud.
NYT 2019-NYT: Fitch Affirms 'BB-sf' Rating on 2 Tranches
--------------------------------------------------------
Fitch Ratings has affirmed seven classes of NYT 2019-NYT Mortgage
Trust Commercial Mortgage Pass-Through Certificates. The Rating
Outlooks remain Stable.
Entity/Debt Rating Prior
----------- ------ -----
NYT 2019-NYT
A 62954PAA8 LT AAAsf Affirmed AAAsf
B 62954PAG5 LT AA-sf Affirmed AA-sf
C 62954PAJ9 LT A-sf Affirmed A-sf
D 62954PAL4 LT BBB-sf Affirmed BBB-sf
E 62954PAN0 LT BB-sf Affirmed BB-sf
F 62954PAQ3 LT BB-sf Affirmed BB-sf
X-EXT 62954PAE0 LT BBB-sf Affirmed BBB-sf
KEY RATING DRIVERS
Stable Performance: The affirmations and Stable Outlooks reflect
the continued stable performance of the property. The June 2022
rent roll reflects occupancy of 90.6%, a decline from 99% at YE
2021 due to Osler, Hoskin & Harcourt (8.6% of NRA) vacating at
lease expiration. The most recent servicer-reported June 2022 net
cash flow (NCF) debt service coverage ratio (DSCR) was 3.28x as
compared to 3.26x at YE 2021 for the interest-only loan. The
sponsor has three one-year extension options remaining.
Largest tenant, Clearbridge (27.2% of NRA), and Goodwin Procter
(8.5%) have indicated intentions to vacate at their respective
lease expirations in 2023. A new lease has been signed with Datadog
for 45% of the NRA, which is a direct lease and an expansion of
existing sublease space. Datadog will occupy the vacated
Clearbridge, Goodwin Procter, and Osler Hoskin floors, taking
possession of space in phases as existing tenants vacate. Occupancy
is expected to increase to 99% once Datadog takes full possession
of space. The weighted average base rent of the new lease with
Datadog is within 3% of the average in-place rent of the departing
tenants. In addition, the sponsor will be contributing significant
tenant improvement funds toward the buildout of space for Datadog.
Collateral Quality: The collateral represents 738,385 sf, comprised
of 709,678 sf of office, 23,044 sf of ground floor retail, and
5,663 sf of storage/other space, of the 1.3 million sf New York
Times Building located at 242 W. 41st Street in New York. The
collateral office space includes 23 office condominium units
spanning floors 28 through 52. Fitch assigned the property a
quality grade of 'A-' at issuance. The property was completed in
2007, incorporating various environmentally sustainable features
that promote increased energy efficiency while more than 80% of the
submarket's inventory was constructed prior to 2000.
Accessible Location: The subject occupies the entire block along
Eighth Avenue in between West 40th and West 41st Streets in the
Times Square neighborhood of the New York CBD. The collateral
features immediate access to public transportation, with the Port
Authority Bus Terminal located directly across the street, and the
Times Square subway station within a five-minute walk.
Institutional Sponsorship: The sponsors of the loan are owned by
affiliates of Brookfield Property Partners, a global leader in real
estate investment and management. Brookfield Property Partners is a
publicly listed (NYSE: BPY) real estate company of Brookfield Asset
Management. BPY's portfolio includes an ownership interest in
approximately 140 office properties totaling 96 million sf and 115
retail properties totaling 115 million sf.
Loan Structure: The mortgage is $515.0 million, represented by the
interests in four promissory notes, which, together with four
junior promissory notes that are not included in the trust,
evidence a two-year (with five, one-year extension options),
floating-rate, whole loan secured by a first-lien mortgage on the
leasehold interest of the borrower. The loan is IO for the entire
term. The initial maturity date was Dec. 9, 2020; however, the
borrower has exercised their second 12-month extension option
through December 2022. The sponsor has three one-year extension
options remaining.
High Aggregate Leverage: The $515.0 million mortgage loan has a
Fitch DSCR and LTV of 1.005x and 87.5%, respectively, and debt of
$697 psf. The total debt package includes a $120.0 million B-note
and $115.0 million mezzanine loan, resulting in a total debt Fitch
DSCR and LTV of 0.69x and 127.4%, respectively.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
A downgrade to classes A and B is not likely due to their position
in the capital structure but may occur should interest shortfalls
occur. A downgrade to classes C and D is possible if there is a
material and sustained decline in the property's occupancy or cash
flow. Classes E and F may be downgraded if the coronavirus pandemic
permanently shifts New York City valuations.
Fitch has identified both a baseline and a worse-than-expected,
adverse stagflation scenario based on fallout from the
Russia-Ukraine war whereby growth is sharply lower amid higher
inflation and interest rates; even if the adverse scenario should
play out, Fitch expects virtually no impact on ratings performance,
indicating very few rating or Outlook changes. However, for some
transactions with concentrations in underperforming retail
exposure, the ratings impact may be mild to modest, indicating some
changes on sub-investment grade notes.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Upgrades to the investment-graded classes are possible should
performance of the underlying property improve significantly. The
lower tranches are less likely to be upgraded, even with improved
performance, given the single-property exposure and concentration
risk. Classes would not be upgraded beyond 'Asf' if there is any
likelihood of interest shortfalls. Defeasance and paydown would not
play a role in contemplated an upgrade, given the single-borrower
and non-amortizing nature of the securitized loan.
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.
OBX TRUST 2022-INV5: Moody's Assigns (P)B3 Rating to Cl. B-5 Debt
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 38
classes of residential mortgage-backed securities (RMBS) issued by
OBX 2022-INV5 Trust, and sponsored by Onslow Bay Financial LLC
(Onslow Bay).
The securities are backed by a pool of GSE-eligible (100% by
balance) residential mortgages aggregated by Onslow Bay, originated
by multiple entities and serviced by NewRez LLC d/b/a Shellpoint
Mortgage Servicing.
The complete rating actions are as follows:
Issuer: OBX 2022-INV5 Trust
Cl. A-1, Assigned (P)Aaa (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. A-4, Assigned (P)Aaa (sf)
Cl. A-5, Assigned (P)Aaa (sf)
Cl. A-6, Assigned (P)Aaa (sf)
Cl. A-7, Assigned (P)Aaa (sf)
Cl. A-8, Assigned (P)Aaa (sf)
Cl. A-9, Assigned (P)Aaa (sf)
Cl. A-10, Assigned (P)Aaa (sf)
Cl. A-11, Assigned (P)Aaa (sf)
Cl. A-12, Assigned (P)Aaa (sf)
Cl. A-13, Assigned (P)Aa1 (sf)
Cl. A-14, Assigned (P)Aa1 (sf)
Cl. A-15, Assigned (P)Aaa (sf)
Cl. A-16, Assigned (P)Aaa (sf)
Cl. A-IO1*, Assigned (P)Aaa (sf)
Cl. A-IO2*, Assigned (P)Aaa (sf)
Cl. A-IO4*, Assigned (P)Aaa (sf)
Cl. A-IO6*, Assigned (P)Aaa (sf)
Cl. A-IO8*, Assigned (P)Aaa (sf)
Cl. A-IO10*, Assigned (P)Aaa (sf)
Cl. A-IO12*, Assigned (P)Aaa (sf)
Cl. A-IO14*, Assigned (P)Aa1 (sf)
Cl. A-IO16*, Assigned (P)Aaa (sf)
Cl. B-1, Assigned (P)Aa3 (sf)
Cl. B-1A, Assigned (P)Aa3 (sf)
Cl. B-IO1*, Assigned (P)Aa3 (sf)
Cl. B-2, Assigned (P)A3 (sf)
Cl. B-2A, Assigned (P)A3 (sf)
Cl. B-IO2*, Assigned (P)A3 (sf)
Cl. B-3, Assigned (P)Baa2 (sf)
Cl. B-3A, Assigned (P)Baa2 (sf)
Cl. B-IO3*, Assigned (P)Baa2 (sf)
Cl. B-4, Assigned (P)Ba2 (sf)
Cl. B-5, Assigned (P)B3 (sf)
Cl. A-1A Loans, Assigned (P)Aaa (sf)
Cl. A-2A Loans, Assigned (P)Aaa (sf)
*Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings are based on the credit quality of the mortgage loans,
the structural features of the transaction, the origination quality
and the servicing arrangement, the third-party review, and the
representations and warranties framework.
Moody's expected loss for this pool in a baseline scenario-mean is
1.18%, in a baseline scenario-median is 0.85% and reaches 8.30% at
a stress level consistent with Moody's Aaa ratings.
PRINCIPAL 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 July 2022.
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 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 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. 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.
OCEANVIEW MORTGAGE 2022-1: Moody's Gives B3 Rating to Cl. B-5 Debt
------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 57
classes of residential mortgage-backed securities (RMBS) issued by
Oceanview Mortgage Trust 2022-1 and sponsored by Oceanview Asset
Selector, LLC.
The securities are backed by a pool of prime jumbo (100% by
balance) residential mortgages originated by multiple entities and
serviced by Nationstar Mortgage, LLC (d/b/a Mr. Cooper Master
Servicing).
The complete rating actions are as follows:
Issuer: Oceanview Mortgage Trust 2022-1
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-1A, 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 Aa1 (sf)
Cl. A-20, Definitive Rating Assigned Aa1 (sf)
Cl. A-21, Definitive Rating Assigned Aa1 (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-IO1*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO2*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO3*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO4*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO5*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO6*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO7*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO8*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO9*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO10*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO11*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO12*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO13*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO14*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO15*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO16*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO17*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO18*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO19*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO20*, Definitive Rating Assigned Aa1 (sf)
Cl. A-IO21*, Definitive Rating Assigned Aa1 (sf)
Cl. A-IO22*, Definitive Rating Assigned Aa1 (sf)
Cl. A-IO23*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO24*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO25*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO26*, 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 Ba3 (sf)
Cl. B-5, Definitive Rating Assigned B3 (sf)
*Reflects Interest-Only Classes
Moody's is withdrawing the provisional ratings for the class A-2A,
assigned on October 11, 2022, because the issuer will not be
issuing this class.
RATINGS RATIONALE
The ratings are based on the credit quality of the mortgage loans,
the structural features of the transaction, the origination quality
and the servicing arrangement, the third-party review, and the
representations and warranties framework.
Moody's expected loss for this pool in a baseline scenario-mean is
0.61%, in a baseline scenario-median is 0.38% and reaches 5.27% at
a stress level consistent with Moody's Aaa rating.
PRINCIPAL 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 July 2022.
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 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 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.
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.
OCTAGON 60: Fitch Assigns 'BB-sf' Rating on Class E Notes
---------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Octagon
60, Ltd.
Debt Rating Prior
---- ------ -----
Octagon 60, Ltd.
A-1 675935AA8 LT AAAsf New Rating AAA(EXP)sf
A-2 675935AC4 LT AAAsf New Rating AAA(EXP)sf
B 675935AE0 LT AAsf New Rating AA(EXP)sf
C 675935AG5 LT Asf New Rating A(EXP)sf
D-1 675935AJ9 LT BBB-sf New Rating BBB-(EXP)sf
D-2 675935AL4 LT BBB-sf New Rating
E 675936AA6 LT BB-sf New Rating BB-(EXP)sf
Subordinated Notes
675936AC2 LT NRsf New Rating NR(EXP)sf
Octagon 60, Ltd. has issued pari passu class D-1 and D-2 notes,
rather than the class D notes that were anticipated when the
expected ratings were assigned on Aug. 31, 2022.
TRANSACTION SUMMARY
Octagon 60, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Octagon Credit Investors, LLC. Net proceeds from the issuance of
the secured and subordinated notes will provide financing on a
portfolio of approximately $500 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', which is in line with that of recent
CLOs. The weighted average rating factor of the indicative
portfolio is 23.4 versus a maximum covenant, in accordance with the
initial expected matrix point of 26.3. 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
99.0% first-lien senior secured loans. The weighted average
recovery rate of the indicative portfolio is 74.42% versus a
minimum covenant, in accordance with the initial expected matrix
point of 73.25%.
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 5.0-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 at the initial expected
matrix point, the rated notes can withstand default and recovery
assumptions consistent with their assigned ratings. The performance
of all classes of rated notes at the other permitted matrix points
is in line with other recent CLOs.
RATING SENSITIVITIES
Factors 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
metrics; the results under these sensitivity scenarios are between
'BBB+sf' and 'AAAsf' for class A-1 notes, between 'BBB+sf' and
'AAAsf' for class A-2 notes, between 'BB+sf' and 'AAsf' for class B
notes, between 'B-sf' and 'Asf' for class C notes, between less
than 'B-sf' and 'BBB-sf' for class D-1 and D-2 notes, and between
less than 'B-sf' and 'B+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-1 and A-2
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; the results under these
sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf'
and 'AAsf' for class C notes, between 'Asf' and 'A+sf' for class
D-1 and D-2 notes and 'BBB+sf' for class E notes.
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.
PRESTIGE AUTO 2022-1: S&P Assigns BB- (sf) Rating on Class F Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Prestige Auto
Receivables Trust 2022-1's automobile receivables-backed notes
series 2022-1.
The note issuance is an ABS transaction backed by subprime auto
loan receivables.
The ratings reflect S&P's view of:
-- The availability of approximately 53.9%, 46.9%, 37.6%, 28.7%,
and 23.0% credit support (hard credit enhancement and haircut to
excess spread) for the class A, B, C, D, and E notes, respectively,
based on stressed cash-flow scenarios. These credit support levels
provide at least 3.30x, 2.85x, 2.25x, 1.70x, and 1.37x coverage of
S&P's expected cumulative net loss of 16.00% for the class A, B, C,
D, and E notes, respectively. The transaction's nonamortizing
reserve account increased to 1.25% of the initial receivables
balance at closing from 1.00% pre-pricing.
-- The expectation that under a moderate ('BBB') stress scenario
(1.70x S&P's expected loss level), all else being equal, its 'AAA
(sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)'ratings on
the class A, B, C, D, and E notes, respectively, are within its
credit stability limits.
-- The timely payment of interest and principal by the designated
legal final maturity dates under S&P's stressed cash flow modeling
scenarios, which it believes are appropriate for the assigned
ratings.
-- The collateral characteristics of the subprime automobile loans
securitized in this transaction, S&P's view of the credit risk of
the collateral, and its updated macroeconomic forecast and
forward-looking view of the auto finance sector.
-- S&P's assessment of the series' bank accounts at Citibank N.A.,
which do not constrain the ratings.
-- S&P's operational risk assessment of Prestige Financial
Services Inc. as servicer, and our view of the company's
underwriting and the backup servicing with Citibank.
-- S&P's assessment of the transaction's potential exposure to
environmental, social, and governance credit factors, which are in
line with our sector benchmark.
-- The transaction's payment and legal structures.
Ratings Assigned
Prestige Auto Receivables Trust 2022-1
Class A-1, $48.00 million: A-1+ (sf)
Class A-2, $112.23 million: AAA (sf)
Class A-3, $47.61 million: AAA (sf)
Class B, $40.53 million: AA (sf)
Class C, $44.89 million: A (sf)
Class D, $46.76 million: BBB (sf)
Class E, $38.25 million: BB- (sf)
RAD CLO 17: Fitch Assigns 'BB-sf' Rating on Class E Debt
--------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Rad CLO
17, Ltd.
Debt Rating Prior
---- ------ -----
RAD CLO 17, Ltd.
A LT NRsf New Rating NR(EXP)sf
B-1 LT AAsf New Rating AA(EXP)sf
B-2 LT AAsf New Rating AA(EXP)sf
C LT Asf New Rating A(EXP)sf
D LT BBB-sf New Rating BBB-(EXP)sf
E LT BB-sf New Rating BB-(EXP)sf
Subordinated Notes LT NRsf New Rating NR(EXP)sf
TRANSACTION SUMMARY
Rad CLO 17, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Irradiant Partners, LP. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $500 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. The weighted average rating factor (WARF) of the
indicative portfolio is 24.7 versus a maximum covenant, in
accordance with the initial expected matrix point of 26.2. 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
99.0% first-lien senior secured loans. The weighted average
recovery assumption (WARR) of the indicative portfolio is 75.75%
versus a minimum covenant of 73.00%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 39.0% 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 5.0-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 at the initial expected
matrix point, the rated notes can withstand default and recovery
assumptions for their assigned ratings. The performance of all
classes of rated notes at the other permitted matrix points is in
line with other recent CLOs.
RATING SENSITIVITIES
Factors 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
'BB+sf' and 'AA+sf' for class B, between 'Bsf' and 'A+sf' for class
C, between less than 'B-sf' and 'BBB+sf' for class D, and between
less than 'B-sf' and 'BB-sf' for class E.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
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, 'A+sf'
for class D notes, and 'BBB+sf' for class E notes.
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.
SIERRA TIMESHARE 2022-3: Fitch Gives 'BB-sf' Rating on Cl. D Notes
------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
notes issued by Sierra Timeshare 2022-3 Receivables Funding LLC
(2022-3).
Debt Rating Prior
---- ------ -----
Sierra Timeshare 2022-3
Receivables Funding LLC
A LT AAAsf New Rating AAA(EXP)sf
B LT Asf New Rating A(EXP)sf
C LT BBBsf New Rating BBB(EXP)sf
D LT BB-sf New Rating BB-(EXP)sf
TRANSACTION SUMMARY
The notes are backed by a pool of fixed-rate timeshare loans
originated by Wyndham Vacation Resorts, Inc. (WVRI) and Wyndham
Resort Development Corporation (WRDC). Both entities are indirect,
wholly owned operating subsidiaries of Travel + Leisure Co. (T+L,
formerly Wyndham Destinations, Inc.) This is T+L's 44th public
Sierra transaction.
KEY RATING DRIVERS
Borrower Risk — Shifting Collateral Composition: Approximately
69.4% of Sierra 2022-3 consists of WVRI-originated loans; the
remainder of the pool comprises WRDC loans. Fitch has determined
that, on a like-for-like FICO basis, WRDC's receivables perform
better than WVRI's. The weighted average (WA) original FICO score
of the pool is 731, slightly lower than 733 in Sierra 2022-2.
Additionally, compared with the prior transaction, the 2022-3 pool
has overall weaker FICO segment concentrations, but with slightly
lower concentration in WVRI loans.
Forward-Looking Approach on Cumulative Gross Default (CGD) Proxy
— Increasing CGDs: Similar to other timeshare originators, T+L's
delinquency and default performance exhibited notable increases in
the 2007-2008 vintages, stabilizing in 2009 and thereafter.
However, more recent vintages, from 2014 through 2019, have begun
to show increasing gross defaults versus prior vintages dating back
to 2009, partially driven by increased paid product exits (PPE).
Fitch's CGD proxy for this pool is 23.00% (up from 22.50% for
2022-2). Given the current economic environment and consistent with
the prior transaction, Fitch used proxy vintages that reflect a
recessionary period along with recent vintage performance,
specifically 2007-2009 and 2016-2019 vintages.
Structural Analysis — Higher Credit Enhancement (CE): Initial
hard CE for the class A, B, C and D notes is 68.65%, 46.50%, 24.25%
and 15.00%, respectively. CE is higher for the class A through D
notes relative to 2022-2, mainly due to higher
overcollateralization (OC) as compared with the prior transaction.
Hard CE comprises OC, a reserve account and subordination. Soft CE
is also provided by excess spread and is expected to be 7.83% per
annum. Loss coverage for all notes is able to support default
multiples of 3.25x, 2.25x, 1.50x and 1.17x for 'AAAsf', 'Asf',
'BBBsf' and 'BB-sf', respectively.
Originator/Seller/Servicer Operational Review — Quality of
Origination/Servicing: T+L has demonstrated sufficient capabilities
as an originator and servicer of timeshare loans. This is evidenced
by the historical delinquency and loss performance of securitized
trusts and of the managed portfolio.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Unanticipated increases in the frequency of defaults could produce
CGD levels higher than the base case and would likely result in
declines of CE and remaining default coverage levels available to
the notes. Additionally, unanticipated increases in prepayment
activity could also result in a decline in coverage. Decreased
default coverage may make certain note ratings susceptible to
potential negative rating actions, depending on the extent of the
decline in coverage.
Therefore, Fitch conducts sensitivity analyses by stressing both a
transaction's initial base case CGD and prepayment assumptions and
examining the rating implications on all classes of issued notes.
The CGD sensitivity stresses the CGD proxy to the level necessary
to reduce each rating by one full category, to non-investment grade
(BBsf) and to 'CCCsf' based on the break-even loss coverage
provided by the CE structure. The CGD and prepayment sensitivities
include 1.5x and 2.0x increases to the prepayment assumptions,
representing moderate and severe stresses, respectively. These
analyses are intended to provide an indication of the rating
sensitivity of the notes to unexpected deterioration of a trust's
performance.
Fitch has revised its global economic outlook forecasts as a result
of the war in Ukraine and related economic sanctions. The downside
risks have increased; as such, Fitch has published an assessment of
the potential rating and asset performance impact of a plausible
but worse than expected adverse stagflation scenario on Fitch's
major structured finance and covered bonds subsectors.
Fitch expects the timeshare ABS sector in the assumed adverse
scenario to experience 'Virtually No Impact' on rating performance,
indicating very few (less than 5%) rating or Rating Outlook
changes. Fitch expects 'Mild to Modest Impact' on asset
performance, indicating asset performance will be modestly
negatively affected relative to current expectations, with a 25%
chance of a sector outlook revision by YE 2023.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Stable to improved asset performance driven by stable delinquencies
and defaults would lead to increasing CE levels and consideration
for potential upgrades. If CGD is 20% less than the projected
proxy, the ratings would be maintained for the class A note at a
stronger rating multiple. For class B, C and D notes, the multiples
would increase, resulting in potential upgrade of approximately up
to one rating category for each of the subordinate classes.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
SIERRA TIMESHARE 2022-3: S&P Assigns BB-(sf) Rating on Cl. D Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Sierra Timeshare 2022-3
Receivables Funding LLC's timeshare loan-backed, fixed-rate notes.
The note issuance is an ABS transaction backed by vacation
ownership interest (timeshare) loans.
The ratings reflect:
-- The credit enhancement available in the form of subordination,
overcollateralization, a reserve account, and available excess
spread.
-- Wyndham Consumer Finance Inc.'s servicing ability and
experience in the timeshare market.
-- The transaction's ability to pay timely interest and ultimate
principal by the notes' legal maturity under our stressed cash flow
recovery rate, and credit stability sensitivity scenarios.
Ratings Assigned
Sierra Timeshare 2022-3 Receivables Funding LLC
Class A, $96.714 million: AAA (sf)
Class B, $63.286 million: A (sf)
Class C, $63.571 million: BBB (sf)
Class D, $26.429 million: BB- (sf)
SLM STUDENT 2008-7: Fitch Lowers Rating on 2 Tranches to CCsf
-------------------------------------------------------------
Fitch Ratings has downgraded the outstanding notes of SLM Student
Loan Trusts 2008-2, 2008-6 and 2008-7.
Debt Rating Prior
---- ------ -----
SLM Student Loan Trust
2008-7
A-4 78445FAD7 LT CCsf Downgrade Bsf
B 78445FAE5 LT CCsf Downgrade Bsf
SLM Student Loan Trust
2008-2
A-3 784442AC9 LT CCsf Downgrade Bsf
B 784442AD7 LT CCsf Downgrade Bsf
SLM Student Loan Trust
2008-6
A-4 78445CAD4 LT CCsf Downgrade Bsf
B 78445CAE2 LT CCsf Downgrade Bsf
The outstanding class A notes of SLM 2008-2, 2008-6 and 2008-7 miss
their respective legal final maturity dates under both credit and
maturity stresses. If the class A notes miss their legal final
maturity dates, this constitutes an event of default on the
transaction's indenture, which would result in diversion of
interest from the class B notes to pay class A notes until the
class A notes are paid in full. This would cause an event of
default for the class B notes. All classes from these transactions
are eventually paid in full under Fitch's stressed, 'b cashflow
analysis.
The legal final maturity date of the class A-3 notes is
approximately six months away in April 2023 for SLM 2008-2 and nine
months away in July 2023 for the class A-4 notes for SLM 2008-6 and
2008-7. The repayment of these classes by their legal final
maturity date is unlikely under Fitch's maturity stress scenarios
without an extension of legal final maturity dates or without
support from the sponsor. Currently there are not active consent
solicitations for a maturity date extension for these
transactions.
Each trust has entered into a revolving credit agreement with
Navient by which it may borrow funds at maturity in order to pay
off the notes. Due to the short amount of time to the legal final
maturity of the class A-3 and A-4 notes, Fitch decreased the
qualitative credit to the revolving credit agreement available to
the trust. If this revolving credit facility is utilized it will
result in positive rating pressure to these ratings.
KEY RATING DRIVERS
U.S. Sovereign Risk: The trust collateral comprises Federal Family
Education Loan Program (FFELP) loans, with guaranties provided by
eligible guarantors and reinsurance provided by the U.S. Department
of Education (ED) for at least 97% of principal and accrued
interest. The U.S. sovereign rating is currently 'AAA'/Outlook
Stable.
Collateral Performance: SLM 2008-2: Based on transaction-specific
performance to date, Fitch assumes a cumulative default rate of
29.25% under the base case scenario and an 87.75% default rate
under the 'AAAsf' credit stress scenario. Fitch is maintaining a
sustainable constant default rate (sCDR) of 4.2% and a sustainable
constant prepayment rate (sCPR; voluntary & involuntary
prepayments) of 11.0%. The claim reject rate is assumed to be 0.25%
in the base case and 2.0% in the 'AAA' case.
The trailing 12-month (TTM) levels of deferment, forbearance and
income-based repayment (IBR; prior to adjustment) are 5.07%, 16.38%
and 26.91%, respectively, and are used as the starting point in
cash flow modeling. Subsequent declines and increases in these
assumptions are modeled as per criteria. The borrower benefit is
assumed to be approximately 0.06%, based on information provided by
the sponsor.
SLM 2008-6: Based on transaction-specific performance to date,
Fitch assumes a cumulative default rate of 25.50% under the base
case scenario and an 76.50% default rate under the 'AAAsf' credit
stress scenario. Fitch is maintaining a sCDR of 4.0% and sCPR of
11.5%. The claim reject rate is assumed to be 0.25% in the base
case and 2.0% in the 'AAA' case. The TTM levels of deferment,
forbearance and IBR are 5.68%, 15.22% and 27.25%, respectively, and
are used as the starting point in cash flow modeling. The borrower
benefit is assumed to be approximately 0.03%, based on information
provided by the sponsor.
SLM 2008-7: Based on transaction-specific performance to date,
Fitch assumes a cumulative default rate of 26.25% under the base
case scenario and an 78.75% default rate under the 'AAAsf' credit
stress scenario. Fitch is maintaining a sCDR of 4.0% and sCPR of
11.5%. The claim reject rate is assumed to be 0.25% in the base
case and 2.0% in the 'AAA' case. The TTM levels of deferment,
forbearance and IBR are 5.67%, 16.36% and 27.83%, respectively, and
are used as the starting point in cash flow modeling. The borrower
benefit is assumed to be approximately 0.04%, based on information
provided by the sponsor.
Basis and Interest Rate Risk: Basis risk for this transaction
arises from any rate and reset frequency mismatch between interest
rate indices for Special Allowance Payments (SAP) and the
securities. As of June 2022, approximately 97.51%, 94.05% and
93.74% of the student loans are indexed to LIBOR, and 2.49%, 5.95%
and 6.26% are indexed to the 91-day T-Bill rate for SLM 2008-2,
2008-6 and 2008-7, respectively. All notes are indexed to
three-month LIBOR. Fitch applies its standard basis and interest
rate stresses to this transaction as per criteria.
Payment Structure: SLM 2008-2: Credit enhancement (CE) is provided
by overcollateralization (OC), excess spread, the reserve account,
and for the class A notes, subordination provided by the class B
notes. As of October 2022, senior and total effective parity ratios
(including the reserve) are 118.91% (15.90% CE) and 100.50% (0.50%
CE). Liquidity support is provided by a reserve account initially
sized at 0.25% of the outstanding pool balance and is currently
sized at its floor of $2,199,978. The trust will release cash as
long as 100.0% total parity is maintained.
SLM 2008-6: CE is provided by OC, excess spread, the reserve
account, and for the class A notes, subordination provided by the
class B notes. As of October 2022, senior and total effective
parity ratios (including the reserve) are 121.69% (17.83% CE) and
101.56% (1.53% CE). Liquidity support is provided by a reserve
account initially sized at 0.25% of the outstanding pool balance
and is currently sized at its floor of $2,000,000. The trust will
release cash as long as 101.01% total parity is maintained.
SLM 2008-7: CE is provided by OC, excess spread, the reserve
account, and for the class A notes, subordination provided by the
class B notes. As of October 2022, senior and total effective
parity ratios (including the reserve) are 122.04% (18.06% CE) and
101.57% (1.54% CE). Liquidity support is provided by a reserve
account initially sized at 0.25% of the outstanding pool balance
and is currently sized at its floor of $1,544,879. The trust will
release cash as long as 101.01% total parity is maintained.
Operational Capabilities: Day-to-day servicing is provided by
Navient Solutions, LLC. Fitch believes Navient to be an acceptable
servicer, due to its extensive track record as one of the largest
servicers of FFELP loans.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
'AAAsf' rated tranches of most FFELP securitizations will likely
move in tandem with the U.S. sovereign rating given the strong
linkage to the U.S. sovereign, by nature of the reinsurance
provided by the Department of Education. Aside from the U.S.
sovereign rating, defaults, basis risk and loan extension risk
account for the majority of the risk embedded in FFELP student loan
transactions.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. Fitch conducts credit and maturity stress
sensitivity analysis by increasing or decreasing key assumptions by
25% and 50% over the base case. The credit stress sensitivity is
viewed by stressing both the base case default rate and the basis
spread. The maturity stress sensitivity is viewed by stressing
remaining term, IBR usage and prepayments. The results below should
only be considered as one potential outcome, as the transactions
are exposed to multiple dynamic risk factors and should not be used
as an indicator of possible future performance.
Fitch has revised its global economic outlook forecasts as a result
of the war in Ukraine and related economic sanctions. Downside
risks have increased highlighted in the special report, "What a
Stagflation Scenario Would Mean for Global Structured Finance", an
assessment of the potential rating and asset performance impact of
a plausible, albeit worse than expected, adverse stagflation
scenario.
Fitch expects the FFELP student loan ABS sector, under this
scenario, to experience mild to modest asset performance
deterioration, indicating some Outlook changes (between 5% and 20%
of outstanding ratings). Asset performance under this adverse
scenario is expected to be more modest than the most severe
sensitivity scenario below. The severity and duration of the
macroeconomic disruption is uncertain, but is balanced by a strong
labor market and the build-up of household savings during the
pandemic, which will provide support in the near term to households
faced with falling real incomes.
SLM Student Loan Trust 2008-2
Current Ratings: class A-3 'Bsf'; class B 'Bsf'
Current Model-Implied Ratings: class A-3 'CCCsf' (Credit and
Maturity Stress); class B 'CCCsf' (Credit and Maturity Stress)
Credit Stress Rating Sensitivity
- Default increase 25%: class A 'CCCsf'; class B 'CCCsf';
- Default increase 50%: class A 'CCCsf'; class B 'CCCsf';
- Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf';
- Basis Spread increase 0.50%: class A 'CCCsf'; class B 'CCCsf'.
Maturity Stress Rating Sensitivity
- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf';
- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf';
- IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf';
- IBR usage increase 50%: class A 'CCCsf'; class B: 'CCCsf';
- Remaining term increase 25%: class A 'CCCsf'; class B 'CCCsf';
- Remaining term increase 50%: class A 'CCCsf'; class B 'CCCsf'.
SLM Student Loan Trust 2008-6
Current Ratings: class A-4 'Bsf'; class B 'Bsf'
Current Model-Implied Ratings: class A-4 'CCCsf' (Credit and
Maturity Stress); class B 'CCCsf' (Credit and Maturity Stress)
Credit Stress Rating Sensitivity
- Default increase 25%: class A 'CCCsf'; class B 'CCCsf';
- Default increase 50%: class A 'CCCsf'; class B 'CCCsf';
- Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf';
- Basis Spread increase 0.50%: class A 'CCCsf'; class B 'CCCsf'.
Maturity Stress Rating Sensitivity
- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf';
- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf';
- IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf';
- IBR usage increase 50%: class A 'CCCsf'; class B: 'CCCsf';
- Remaining term increase 25%: class A 'CCCsf'; class B 'CCCsf';
- Remaining term increase 50%: class A 'CCCsf'; class B 'CCCsf'.
SLM Student Loan Trust 2008-7
Current Ratings: class A-4 'Bsf'; class B 'Bsf'
Current Model-Implied Ratings: class A-4 'CCCsf' (Credit and
Maturity Stress); class B 'CCCsf' (Credit and Maturity Stress)
Credit Stress Rating Sensitivity
- Default increase 25%: class A 'CCCsf'; class B 'CCCsf';
- Default increase 50%: class A 'CCCsf'; class B 'CCCsf'
- Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf';
- Basis Spread increase 0.50%: class A 'CCCsf'; class B 'CCCsf'.
Maturity Stress Rating Sensitivity
- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf';
- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf';
- IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf';
- IBR usage increase 50%: class A 'CCCsf'; class B: 'CCCsf';
- Remaining term increase 25%: class A 'CCCsf'; class B 'CCCsf';
- Remaining term increase 50%: class A 'CCCsf'; class B 'CCCsf'.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
The current ratings are most sensitive to Fitch's maturity risk
scenario. An extension of the legal final maturity date of the A-3
and A-4 notes, which would effectively mitigate the maturity risk
in Fitch's cash flow modeling, would result in upward rating
pressure. Additional secondary factors that may lead to a positive
rating action are: material increases in the payment rate and/or a
material reduction in the weighted average remaining loan term.
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.
START II: Fitch Affirms Bsf Rating on C Notes, Outlook Stable
-------------------------------------------------------------
Fitch Ratings has affirmed the ratings on START II Ltd. class A, B
and C notes. The Rating Outlooks have been revised to Stable from
Negative.
Entity/Debt Rating Prior
----------- ------ -----
START II Ltd.
Class A 85573LAA9 LT BBBsf Affirmed BBBsf
Class B 85573LAB7 LT BBsf Affirmed BBsf
Class C 85573LAC5 LT Bsf Affirmed Bsf
TRANSACTION SUMMARY
The rating actions reflect current performance, Fitch's cash flow
projections, and its expectation for the structure to withstand
stress scenarios commensurate with their respective ratings. The
rating actions also consider lease terms, lessee credit, updated
aircraft values, and Fitch's assumptions and stresses, which inform
modeled cash flows and coverage levels.
Fitch's updated rating assumptions for both rated and non-rated
airlines are based on a variety of performance metrics and airline
characteristics. Recessionary timing was assumed to start
immediately. This scenario stresses airline credits, asset values
and lease rates while incurring remarketing and repossession costs
and downtime at each relevant rating stress level.
AerCap Holdings N.V. (BBB-/Positive) acts as servicer for START II,
through its wholly-owned subsidiary Celestial Aviation Services
Limited, formerly known as GECAS (the initial servicer). Sculptor
Capital is the asset manager and its affiliate is an E Note Holder
for START II (not rated).
Fitch was recently notified of an amendment to the Trust Indenture
that will effectively replace the base rate of LIBOR with Adjusted
Rate SOFR; Fitch views this change as immaterial.
KEY RATING DRIVERS
Airline Lessee Credit: While aircraft ABS transactions have
generally seen improvement in the credit landscape, there is still
exposure to lessees within specific countries with lagging
recoveries. The credit profiles of the airline lessees in the pool
have generally improved with lower deferrals and delinquencies
being reported. However, multiple deferrals have been seen,
specifically regarding lessees located in Indonesia. Any publicly
rated airlines in the pool whose ratings have shifted in the prior
year were updated for this review.
Asset Quality and Appraised Pool Value: The pool features all
narrow body (NB) aircraft, which is generally viewed positively.
The composition primarily consists of last generation technology.
Demand for 737-800s and A320CEOs, representing approximately 65% of
the pool, is improving, particularly for younger aircraft in good
maintenance condition.
START II updated its appraisals as of April 2022 which resulted in
an average Maintenance Adjusted Base Value (MABV) of $293.8
million. The appraisers include Avitas, MBA and IBA. For modeling
purposes, Fitch used the lower of mean and median (LMM) of the
three provided appraisals. Controlling for maintenance adjustments
and the sale of two aircraft, depreciation was 6% on an annualized
basis which is in line with Fitch's expectations.
Fitch ran a sensitivity in which a 10% value haircut was applied to
all aircraft older than 10 years. Additionally, Fitch ran a
sensitivity assuming 'CCC' ratings on all future lessees. In both
cases, the sensitivities would not have changed the affirmations or
Outlook.
Asset Value and Lease Rate Volatility: While Fitch is starting to
observe a recovery in lease rates, this recovery is more pronounced
in younger, newer-technology narrowbody aircraft; generally,
aircraft ABS transactions have fewer of these assets. The START II
WA lease rate factor (1.05) increased by 7.9% since closing. This
is mostly due to slightly stronger lease rates when extensions and
replacements were negotiated.
Transaction Performance: Lease collections have remained relatively
consistent throughout 2022 with no significant fluctuations since
the beginning of the year. START II realized $3.5 million in lease
payments for the collection month August 2022 compared to average
monthly receipts of $3.2 million over the last 12 months. The
reported DSCR (1.75x) has been steadily increasing since the prior
review in November 2021 (0.45x). Since April 2022, DSCR has
exceeded the cash trap and RAE trigger of 1.20x and 1.15x,
respectively. The monthly reported utilization (100%) has also
increased since the previous review as two recently AOG aircraft
were sold.
Overall Market Recovery: Major differences in performance by region
have emerged for both international and domestic markets. As such,
a transaction's regional concentration of lessees can be a
meaningful driver of performance. This pool has significant
concentration in APAC, which is experiencing further pressure
compared to other regions. APAC revenue passenger kilometers (RPKs)
are approximately 62% lower than pre-pandemic levels, as
performance is dependent on further easing of travel restrictions
in China. Domestic RPKs are improving but still face challenges in
certain countries, such as China and India, where they are still
below pre-pandemic levels.
Macro Risks: While the commercial aviation market is recovering,
the industry continues to face multiple unknowns and potential
headwinds including the emergence of new Covid variants with
associated travel restrictions, on-going geopolitical risks,
elevated and volatile oil prices, and rising interest rates, as
well as potential reductions in passenger demand due to
inflationary pressures and recessionary concerns.
These events may lead to increased lessee delinquencies, lease
restructurings, defaults, and reductions in lease rates and asset
values, particularly for older aircraft, all of which would cause
downward pressure on future cash flows needed to meet debt service
obligations. Fitch considered these risks when estimating
transaction cash flows and establishing rating stresses.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Downgrades are possible if the concentration of grounded aircraft
or lease deferrals result in material cash flows declines,
increased LTVs, and impaired credit enhancement.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Key drivers of potential upgrades would be strong collections, debt
service coverage ratio above trigger levels and a decline in LTVs
sustained over a period of time, among other factors.
Rating upgrades are limited as Fitch caps aircraft ABS ratings at
'Asf'. This is due to heavy servicer reliance, historical asset and
performance risks and volatility, and its pronounced exposure to
exogenous risks. This was evidenced by the effects of the events of
Sept. 11, 2001, the 2008-2010 credit crisis and the global
pandemic, all impacting demand for air travel. Finally, the risks
that aviation market cyclicality presents to these transactions are
compounded because when lessee default probability is highest,
aircraft values and lease rates are typically depressed.
Fitch also considers jurisdictional concentrations per the
"Structured Finance and Covered Bonds Country Risk Rating
Criteria," which could result in lower rating caps. Hence, senior
class 'Asf' rated notes are capped and there is no potential for
upgrades for certain tranches at this time.
For classes rated below 'Asf', upgrades are also limited given
ongoing pressure on transaction performance and the ongoing
geopolitical risk, which combined will retain negative ABS rating
pressure, especially for transactions that are underperforming
relative to Fitch's COVID recovery expectation.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
TRIMARAN CAVU 2022-1: S&P Assigns BB- (sf) Rating on Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Trimaran CAVU 2022-1
Ltd./Trimaran CAVU 2022-1 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 Trimaran Advisors 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
Trimaran CAVU 2022-1 Ltd. /Trimaran CAVU 2022-1 LLC
Class A, $246.00 million: AAA (sf)
Class B-1, $43.00 million: AA (sf)
Class B-2, $15.00 million: AA (sf)
Class C (deferrable), $21.40 million: A (sf)
Class D (deferrable), $22.00 million: BBB- (sf)
Class E (deferrable), $12.20 million: BB- (sf)
Subordinated notes, $38.00 million: Not rated
UBS-BARCLAYS 2012-C2: Fitch Lowers Rating on Two Classes to 'BBsf'
------------------------------------------------------------------
Fitch Ratings has downgraded seven classes and affirmed three
classes of UBS-Barclays Commercial Mortgage Trust 2012-C2. The
Rating Outlook on class A-4 has been revised to Stable from
Negative.
Entity/Debt Rating Prior
----------- ------ -----
UBS-Barclays
Commercial Mortgage
Trust 2012-C2
A-4 90269CAD2 LT AAAsf Affirmed AAAsf
A-S-EC 90269CAF7 LT BBsf Downgrade BBBsf
B-EC 90269CAM2 LT CCsf Downgrade BBsf
C-EC 90269CBF6 LT Csf Downgrade CCCsf
D 90269CAR1 LT Csf Downgrade CCCsf
E 90269CAT7 LT Csf Downgrade CCsf
EC 90269CAP5 LT Csf Downgrade CCCsf
F 90269CAV2 LT Csf Affirmed Csf
G 90269CAX8 LT Csf Affirmed Csf
X-A 90269CAH3 LT BBsf Downgrade BBBsf
KEY RATING DRIVERS
Greater Certainty of Loss; High Loss Expectations and Pool
Concentration: Despite significant paydown since the prior rating
action, high losses are expected on the six remaining assets, four
of which are regional malls (80.5% of pool), and all six are in
special servicing.
The downgrades reflect significantly higher loss expectations on
the Southland Center Mall, which defaulted at maturity in July 2022
and the Louis Joliet Mall, which became REO in November 2021.
Southland Center Mall transferred to special servicing since the
last rating action and has an updated valuation. Fitch's loss
expectations on the Louis Joliet Mall have increased as the
guaranty from the former borrower is no longer being pursued;
losses are based on a stressed updated valuation.
Given the pool concentration, Fitch performed a liquidation
analysis which considered the likelihood of repayment for the
Trenton Office Portfolio (18.5%), which recently received a
maturity extension until January 2023, and the recovery and loss
expectations on the four remaining regional mall loans and REO
office property. Class A-4 is expected to pay in full in the next
few months; all remaining classes are reliant on proceeds from the
regional malls for repayment. Class A-S-EC is expected to be
partially repaid by the Trenton Office Portfolio given the updated
valuation that is higher than the outstanding debt. Classes B-EC
through G are fully reliant on proceeds from the regional malls for
repayment, with Fitch's current expectations of losses impacting
each class.
While credit enhancement for the remaining classes is high, Fitch
expects the ultimate workout and recovery timing for the remaining
four mall loans to be prolonged. The Negative Outlook for class
A-S-EC reflects Fitch's concerns for performance stabilization and
refinance prospects of the mall assets and the potential for an
increase in expected losses.
Specially Serviced Loans/Assets: The largest contributor to Fitch's
base case loss is Crystal Mall (25.1%), which is an REO 518,174-sf
portion of a 789,381-sf, two-story enclosed regional mall located
in Waterford, CT. The loan transferred to the special servicer in
July 2020 for imminent monetary default due to the pandemic at the
borrower's request, and the borrower, Simon Property Group, worked
with the lender to transfer the property to REO.
The mall is anchored by JC Penney, which is the only collateral
anchor. Macy's closed the store in January 2021 and was sold in
October 2021 to CRJ Waterford LLC. Sears (owned by Seritage Growth
Properties) vacated the property in December 2018 and Bed Bath &
Beyond announced in September 2022 it was closing this store.
Additionally, H&M, Express, Hollister, and American Eagle vacated
at the January 2021 lease expirations. Collateral occupancy
declined to 61.2% (removing Bed Bath & Beyond) as of July 2022 and
was 67% as of Dec. 2020 from 78.2% as of June 2019, 80% as of June
2018, and 85% at issuance. Total mall occupancy has declined to
40.6% as of July 2022.
The servicer-reported NOI debt service coverage ratio (DSCR) was
0.80x at YE 2021 compared with 0.81 at YE 2020, 1.16x at YE 2019,
1.37x at YE 2018, 1.51x at YE 2017 and 1.66x at YE 2016. Comparable
in-line tenant sales for tenants under 10,000 sf were at $335 psf
for YE 2021, $295 psf for YE 2019, $310 psf for YE 2018, $309 psf
for YE 2017 and $315 psf at issuance. Anchor tenant sales have also
declined.
Fitch's base case loss of 86% incorporates a 30% stress on a recent
valuation of the asset, which implies a cap rate of 36.5% on the YE
2021 NOI.
The largest asset and second largest contributor to Fitch's base
case loss is Louis Joliet Mall (26.3%), which is a 365,931-sf
portion of a 982,399-sf regional mall located in Joliet, IL. The
loan transferred to the special servicer for imminent monetary
default in May 2020 at the borrower's request due to the pandemic.
The former joint venture between Starwood Capital Group and
Westfield cooperated on a consensual foreclosure and the asset
became REO in November 2021. At issuance, the senior portion of the
loan ($41.8 million A Note) was guaranteed by Westfield America
Limited Partnership. According to the servicer, the guaranty was
not pursued by the lender as the appraisal and foreclosure bid
amount were in excess of the $41.8 million guaranteed amount.
Fitch's prior recovery estimates were based on this guaranty.
The non-collateral anchors include Macy's, JC Penney and a former
Sears and Carson's, which closed in January 2019 and August 2018,
respectively. Following the closure of Sears and Carson's, total
mall occupancy declined to approximately 59.6% as of June 2020 and
remains at 54% as of June 2022. Collateral occupancy declined to
71% as of June 2022 compared to 85.3 as of June 2020, 81.6% as of
June 2019, 90.8% at YE 2017 and 99.3% at YE 2016. There have been
reports that Carson's may re-open at the mall in Spring 2023, and
marketing of the property has been delayed until it is finalized.
Additionally, the former Toys R Us parcel is under contract and
expected to sell in the first quarter of 2023.
The servicer- reported NOI DSCR was 1.44x at March 2022 and 1.33x
at YE 2020 compared with 1.73x at YE 2019, 2.28x at YE 2018 and
2.60x at YE 2017. Comparable in-line tenant sales (totaling 147,000
sf) as of YE 2021 were $485 psf, compared to YE 2020 at $345 psf,
YE 2019 at $506 psf, TTM June 2019 at $488 psf, YE 2017 at $419
psf, and in-line sales at issuance of $419 psf.
Fitch's base case loss of 80% incorporates an approximate 70%
stress on a Jan. 2022 valuation of the asset, which implies a cap
rate of 27% on YE2020 NOI. The increase in expected loss since the
prior review reflects a more conservative loss estimate given the
loss of the former guaranty as well as concerns with potential
declines in value given the difficulty of disposing of a mall in
the current economic environment.
The third largest contributor to Fitch's base case loss is
Southland Center Mall (20%), which is secured by a 612,058-sf
portion of a 904,435-sf regional mall located in Taylor, MI,
approximately 17 miles southwest of the Detroit CBD. The loan was
transferred for imminent default at the request of the borrower,
Brookfield Asset Management, due to its July 2022 maturity date.
The mall is anchored by JC Penney and a non-collateral Macy's,
which is the only remaining Macy's in suburban Detroit.
The servicer- reported NOI DSCR was 1.79 at YE 2021 compared with
1.93x at YE 2020 and 2.17x at YE 2019. Comparable in-line tenant
sales as of YE 2021 were $537 psf, compared to YE 2020 at $383 psf,
YE 2019 at $447, YE 2018 at $430 and issuance at $374 psf.
Fitch's base case loss of approximately 40% incorporates a 40%
stress on a September 2022 valuation of the asset, which implies a
cap rate of 22.8% on YE2021 NOI.
Increased Credit Enhancement: Credit enhancement has increased
since Fitch's prior rating action, primarily from the repayment of
loans at maturity as expected. As of the October2022 distribution
date, the pool's aggregate principal balance has been reduced by
73.5% to $323 million from $1.2 billion at issuance. No loans are
defeased. Since the last rating action, 43 loans ($540 million)
were repaid in full or disposed of by the special servicer.
The pool has experienced $42.4 million (3.5% of original pool) in
realized losses since issuance mainly from the disposition of the
Pierre Bossier Mall by receiver sale in September 2022. Cumulative
interest shortfalls of $9.3 million are currently affecting up to
class E.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Downgrades to class A-4 are unlikely because the class is expected
to pay in full within the next several months. Further downgrades
of classes A-S-EC would occur if performance of the regional mall
FLOCs decline further. Downgrades of the distressed classes would
occur as losses are realized from loan dispositions.
Fitch has identified both a baseline and a worse-than-expected,
adverse stagflation scenario based on fallout from the
Russia-Ukraine war whereby growth is sharply lower amid higher
inflation and interest rates; even if the adverse scenario should
play out, Fitch expects virtually no impact on ratings performance,
indicating very few rating or Outlook changes. However, for some
transactions with concentrations in underperforming retail
exposure, the ratings impact may be mild to modest, indicating some
changes on sub-investment grade notes.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Upgrades are unlikely due to the regional mall concentration but
could occur if performance and valuations of the regional mall
FLOCs improves significantly or recoveries are significantly higher
than expected.
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.
UPSTART STRUCTURED 2022-4A: Moody's Assigns Ba3 Rating to C Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
notes issued by Upstart Structured Pass-Through Trust, Series
2022-4A ("USPTT 2022-4A"), the fourth personal loan securitization
issued from Credit Suisse's sponsored USPTT shelf this year. The
collateral backing USPTT 2022-4A consists of unsecured consumer
installment loans originated by Cross River Bank, a New Jersey
state-chartered commercial bank and FinWise Bank, a Utah
state-chartered commercial bank, both utilizing the Upstart
platform. Upstart Network, Inc. (Upstart) will act as the servicer
of the loans.
The complete rating actions are as follows:
Issuer: Upstart Structured Pass-Through Trust, Series 2022-4A
$189,333,000 2022-4A Class A Exchange Notes, Definitive Rating
Assigned A2 (sf)
$37,867,000 2022-4A Class B Exchange Notes, Definitive Rating
Assigned Baa2 (sf)
$31,556,000 2022-4A Class C Exchange Notes, Definitive Rating
Assigned Ba3 (sf)
$227,200,000 2022-4A Class AB Exchangeable Notes, Definitive Rating
Assigned Baa1 (sf)
RATINGS RATIONALE
The ratings are based on the quality of the underlying collateral
and its expected performance, the strength of the capital structure
and fast amortization of the assets, the experience and expertise
of Upstart as servicer, and the back-up servicing arrangement with
Systems & Services Technologies, Inc. (SST unrated).
Moody's median cumulative net loss expectation for the 2022-4A pool
is 17.3% and the stress loss is 59.0%. Moody's based its cumulative
net loss expectation on an analysis of the credit quality of the
underlying collateral; the historical performance of similar
collateral, including securitization performance and managed
portfolio performance; the ability of Upstart to perform its
servicing functions; the ability of SST to perform the backup
servicing functions; and current expectations for the macroeconomic
environment during the life of the transaction.
At closing, the Class A, Class B, Class C and Class AB notes
benefit from 40.5%, 28.5%, 18.50% and 28.5% of hard credit
enhancement respectively. Hard credit enhancement for the notes
consists of a combination of overcollateralization, a non-declining
reserve account and subordination for the Class A, Class B and
Class AB notes. The notes may also benefit from excess spread.
The social risk for this transaction is high. Marketplace lenders
have attracted elevated levels of regulatory attention at the state
and federal level. As such, regulatory and borrower challenges to
marketplace lenders and their third-party lending partners over
"true lender" status and interest rate exportation could result in
some of Upstart's loans being deemed void or unenforceable, in
whole or in part.
PRINCIPAL METHODOLOGY
The methodologies used in these ratings were "Moody's Approach to
Rating Consumer Loan-Backed ABS" published in July 2022.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the notes if, given current expectations of
portfolio losses, levels of credit enhancement are consistent with
higher ratings. In sequential pay structures, such as the one in
this transaction, credit enhancement grows as a percentage of the
collateral balance as collections pay down senior notes. Moody's
expectation of pool losses could decline as a result of better than
expected improvements in the economy, changes to servicing
practices that enhance collections or refinancing opportunities
that result in prepayments. In addition, greater certainty
concerning the legal and regulatory risks facing this transaction
could lead to lower loss volatility assumptions, and thus lead to
an upgrade of the notes.
Down
Moody's could downgrade the ratings of the notes if pool losses
exceed its expectations and levels of credit enhancement are
consistent with lower ratings. Credit enhancement could decline if
excess spread is not sufficient to cover losses in a given month.
Moody's expectation of pool losses may increase, for example, due
to performance deterioration stemming from a downturn in the US
economy, deficient servicing, errors on the part of transaction
parties, inadequate transaction governance or fraud. In addition,
the legal and regulatory risks stemming from the bank partner used
to originate the loans could expose the pool to increased losses.
WELLS FARGO 2016-C37: Fitch Alters Outlook on 2 Tranches to Stable
------------------------------------------------------------------
Fitch Ratings has upgraded three and affirmed 13 classes of Wells
Fargo Commercial Mortgage Trust 2016-C37. Fitch has also revised
the affirmed Rating Outlook on classes G and X-G to Stable from
Negative on the Outlooks on classes B, C and X-B are positive
following the upgrades.
Debt Rating Prior
---- ------ -----
WFCM 2016-C37
A-3 95000PAC8 LT AAAsf Affirmed AAAsf
A-4 95000PAD6 LT AAAsf Affirmed AAAsf
A-5 95000PAE4 LT AAAsf Affirmed AAAsf
A-S 95000PAG9 LT AAAsf Affirmed AAAsf
A-SB 95000PAF1 LT AAAsf Affirmed AAAsf
B 95000PAK0 LT AAsf Upgrade AA-sf
C 95000PAL8 LT Asf Upgrade A-sf
D 95000PAX2 LT BBB-sf Affirmed BBB-sf
E 95000PAZ7 LT BB+sf Affirmed BB+sf
F 95000PBB9 LT BB-sf Affirmed BB-sf
G 95000PBD5 LT B-sf Affirmed B-sf
X-A 95000PAH7 LT AAAsf Affirmed AAAsf
X-B 95000PAJ3 LT AAsf Upgrade AA-sf
X-D 95000PAM6 LT BBB-sf Affirmed BBB-sf
X-EF 95000PAP9 LT BB-sf Affirmed BB-sf
X-G 95000PAR5 LT B-sf Affirmed B-sf
KEY RATING DRIVERS
Improved Credit Enhancement (CE): The upgrades and Positive
Outlooks reflect improving CE, primarily due to loan amortization
and payoffs as well as defeasance. As of the September 2022
distribution date, the pool's aggregate balance has been reduced by
21.2% to $591.5 million from $750.5 million at issuance. Since
Fitch's prior rating action, two loans, comprising approximately
$52.8 million in outstanding principal balance, have paid in full,
including the previously second largest loan in the pool, Quantum
Park. Four loans comprising 8.2% of outstanding principal balance
have been fully defeased. Four loans comprising 21.5% of
outstanding principal balance are classified as interest only.
The Positive Outlooks for classes B and C reflect the expectation
for continuing improvement in CE as loans continue to amortize and
the potential for upgrades should the performance of Franklin
Square (4.9%) continue to stabilize and there is greater certainty
that the loan pays in full at its scheduled November 2023
maturity.
Additional Loss Considerations: To test the durability of the
upgrades, an additional sensitivity was performed which assumed
higher cap rates and higher pool-wide stresses to servicer-reported
NOI for all loans in the pool; this scenario supported the upgrades
for classes B and C.
Stable Loss Expectations: Fitch's base case loss has been stable as
the result of the underlying pool performing in line with, or
better than, expectations at issuance. Fitch's base case loss is
3.4%. There are no loans currently in special servicing. Three
loans (8.2% of pool) were designated as Fitch Loans of Concern
(FLOCs) for high vacancy and/or low NOI DSCR. The Outlook revision
to Stable from Negative on class G reflects performance
stabilization of properties that had been affected by the
pandemic.
The largest contributor to modelled losses is 1140 Avenue of
Americas (FLOC, 5.1%), which is secured by a class A office
building located in Midtown, Manhattan. Performance at the property
has been declining. Occupancy declined to 69% as of YE 2021
compared with 84% at YE 2020. The second largest tenant Waterfall
Asset Management has been subleasing its space to two tenants for
the past two years.
According to servicer updates, the borrower has spoken to the
tenants about a direct lease; one of the tenants has agreed to a
10-year lease for their current occupied space and to further
expand into currently vacant space. Fitch's expected loss of 7.4%
reflects a 7.75% cap rate and a 10% haircut on YE 2019 NOI to
reflect upcoming lease expirations.
The second contributor to modelled losses is Franklin Square III
(4.9%), which is secured by a retail center located in Gastonia,
NC. Subject YE 2020 base rent collections has fallen 17.5% compared
to YE 2019 due to property closures during the coronavirus
pandemic. As a result, YE 2020 NOI DSCR fell to 1.05x from 1.33x at
YE 2019; however, YTD June 2022 NOI DSCR has improved to 1.18x.
This loan is scheduled to mature in November 2023. Fitch's expected
loss of 6.6% reflects a 9% cap rate on annualized June 2022 NOI.
The third largest contributor to modelled losses is The UConn
Apartment Portfolio (FLOC, 2.5%), which consists of five
student-housing communities located within three miles of the
University of Connecticut (UConn) campus. This loan transferred to
special servicing in July 2020 for payment as a result of
pandemic-related hardship. The loan was cured following a
forbearance agreement and returned to the master servicer in
September 2020.
Year-end 2021 NOI DSCR and portfolio occupancy were 0.96x and 82%,
respectively. The borrower attributes this drastic underperformance
to new supply in the subject's submarket. In order to improve the
subject's position in its competitive set, the borrower has hired a
new management company and renovated units in the portfolio.
Fitch's base case expected loss of 12.5% is based on a Fitch cash
flow analysis with a 20% haircut and 9.25% cap rate to reflect
uncertainty regarding the effect on property performance from the
renovations.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Downgrades to the classes rated 'AAAsf' are not likely due to their
position in the capital structure but may occur at the 'AAAsf' or
'AA-sf' levels should interest shortfalls occur. Downgrades to
classes C through E may occur if overall pool performance declines
or loss expectations increase. Downgrades to classes F and G may
occur if loans transfer to special servicing.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Upgrades could be triggered by significantly improved performance
coupled with paydown and/or defeasance. An upgrade to class C and D
could occur with further amortization and should Franklin Square
pay in full at its scheduled maturity. Classes would not be
upgraded above 'Asf' if interest shortfalls are likely. Upgrades of
class E would only occur with significant improvement in credit
enhancement and stabilization of the FLOCs. An upgrade to classes F
and G is not likely unless performance of the FLOCs improves and if
performance of the remaining pool is stable.
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.
WELLS FARGO 2017-C42: Fitch Affirms CCC Rating on 2 Tranches
------------------------------------------------------------
Fitch Ratings has affirmed 17 classes of Wells Fargo Commercial
Mortgage Trust 2017-C42 commercial mortgage pass-through
certificates. The Rating Outlook on class E and X-E have been
revised to Stable from Negative.
Debt Rating Prior
---- ------ -----
WFCM 2017-C42
A-2 95001GAB9 LT AAAsf Affirmed AAAsf
A-3 95001GAD5 LT AAAsf Affirmed AAAsf
A-4 95001GAE3 LT AAAsf Affirmed AAAsf
A-BP 95001GAF0 LT AAAsf Affirmed AAAsf
A-S 95001GAK9 LT AAAsf Affirmed AAAsf
A-SB 95001GAC7 LT AAAsf Affirmed AAAsf
B 95001GAL7 LT AA-sf Affirmed AA-sf
C 95001GAM5 LT A-sf Affirmed A-sf
D 95001GAU7 LT BBB-sf Affirmed BBB-sf
E 95001GAW3 LT B-sf Affirmed B-sf
F 95001GAY9 LT CCCsf Affirmed CCCsf
X-A 95001GAG8 LT AAAsf Affirmed AAAsf
X-B 95001GAJ2 LT A-sf Affirmed A-sf
X-BP 95001GAH6 LT AAAsf Affirmed AAAsf
X-D 95001GAN3 LT BBB-sf Affirmed BBB-sf
X-E 95001GAQ6 LT B-sf Affirmed B-sf
X-F 95001GAS2 LT CCCsf Affirmed CCCsf
KEY RATING DRIVERS
Improved Loss Expectations: Overall pool performance and loss
expectations have improved since Fitch's last rating action. The
Outlook revisions to Stable from Negative reflect performance
stabilization for the majority of properties affected by the
pandemic.
Fitch's current ratings incorporate a base case loss of 4.4%. Fitch
has identified seven Fitch Loans of Concern (FLOCs; 16.3% of pool),
including one loan in special servicing (1.0%).
Largest Contributors to Loss: The largest contributor to loss and
largest increase in loss expecatations since Fitch's prior rating
action is the 16 Court Street loan (9.2% of the pool), which is
secured by a 36-story, 325,510 SF, office building located in
Brooklyn, New York. The largest tenants are The City University of
New York (14.5% NRA; lease expiration August 2024) and Michael Van
Valkenburgh Associates (7.7% NRA; lease expiration October 2035).
Occupancy has gradually declined since issuance, falling to 75% per
the March 2022 rent roll, from 81% at YE 2021 and 93% at issuance.
Upcoming rollover at the property includes 3.3% of the NRA in 2022,
3.4% NRA in 2023, 31.7% NRA in 2024 and 1.0% NRA in 2025.
The YE 2021 NOI reported 24% below the issuers NOI primarily due to
increased expenses, driven by higher real estate taxes and utility
costs, in addition to the increased vacancy. The servicer reported
NOI DSCR reported at 1.59x as of YE 2021, compared with 2.10x at YE
2020 and 2.01x at issuance.
Fitch's base case loss of 6.2% reflects an 8.5% cap rate and a 5%
stress to the YE 2021 NOI. Fitch's analysis gives credit for the
property location and lower leverage of $341 per square foot.
The next largest contributor to loss is the Lennar Corporate Center
loan (3.9%), which is secured by a 289,986-sf office property
located in Miami, FL. The loan has been designated as a FLOC due to
the largest tenant Lennar Corporation (50% NRA) vacating the
property at their lease expiration in March 2022. The largest
remaining tenants are Farelogix (6.4% NRA) and Alliance for Aging
(4.3% NRA) both of which signed lease extensions. Fitch has an
outstanding request to the servicer for leasing updates on the
vacated Lennar Corporation space and has yet to receive a
response.
Fitch's base case loss of 11.4% reflects a 10.25% cap rate and a
40% stress to the YE 2021 NOI to reflect the largest tenant's
departure.
The next largest contributor to loss is the Lakeside Shopping
Center loan (3.4%), which is a 1.2 million sf regional mall located
in Metairie, LA, approximately 7.8 miles northwest of the New
Orleans CBD. The loan is sponsored by the Fell Organization. The
mall is anchored by Dillard's, which leases 25.7% net rentable area
(NRA) through December 2029, Macy's, which has a ground lease for
19.0% NRA through February 2029 and JCPenney, which leases 16.8%
NRA through July 2023.
The property has had relatively stable performance, with minimal
impact from the pandemic. The YE 2021 NOI is relatively flat to YE
2020; however, it remains 12% below the issuer's underwritten NOI.
This IO loan has remained current, with NOI DSCR reporting at 2.40x
for YTD June 2022 and 2.61x for YE 2021, compared with 2.58x at YE
2020 and 2.96x at issuance.
Occupancy has remained relatively flat since issuance, most
recently reporting at 97% as of June 2022. The property faces near
term rollover risks, with leases for 26.5% of NRA scheduled to
expire by YE 2023, including JCPenney (16.8% NRA) which executed a
short-term lease extension through July 2023 from a prior November
2022 lease expiration. Recent tenant sales remain outstanding;
however, at issuance, the mall reported in-line sales of $795 psf
($651 excluding Apple). According to Green Street, in-line tenant
sales reported at $921psf/$795psf (excluding Apple) as of July
2022, exceeding pre-pandemic levels.
Fitch's analysis includes a 12% cap rate and 5% stress to the YE
2021 NOI, resulting in an 11% base case loss.
Minimal Change to Credit Enhancement (CE): As of the September 2022
distribution date, the pool's aggregate principal balance was
reduced by 2.4% to $726.5 million from $744.8 million at issuance.
There have been no realized losses to date to and interest
shortfalls are currently affecting class G. There are no defeased
loans.
Eleven loans (46%) are full-term IO, and five loans (22.9%) remain
in their partial IO periods.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Downgrades to classes A-2 through B are not likely due to their
increasing CE, overall stable pool performance and expected
continued paydown; however, downgrades to these classes may occur
should interest shortfalls affect these classes;
- Downgrades to classes C and D would occur if loss expectations
increase significantly and/or if CE is eroded due to realized
losses that exceed expectations on one or more larger FLOCs;
- Downgrades to class E would occur if the performance of the
FLOCs deteriorate further or fail to stabilize.
- Further downgrades to the distressed class F would occur if
losses are realized or become more certain.
- Fitch has identified both a baseline and a worse-than-expected,
adverse stagflation scenario based on fallout from the
Russia-Ukraine war, whereby growth is sharply lower amid higher
inflation and interest rates. Even if the adverse scenario should
play out, Fitch expects virtually no impact on ratings performance,
indicating very few rating or Outlook changes. However, for some
transactions with concentrations in underperforming retail
exposure, the ratings impact may be mild to modest, indicating some
changes on sub-investment-grade notes.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Upgrades to the 'AA-sf' and 'A-sf' category would likely occur with
significant improvement in CE and/or defeasance; however, adverse
selection and increased concentrations or the underperformance of
particular loan(s) could cause this trend to reverse. Classes would
not be upgraded above 'Asf' if there is likelihood for interest
shortfalls.
- The 'BBB-sf', 'B-sf' and 'CCCsf' rated classes are unlikely to
be upgraded absent significant performance improvement of the FLOCs
and sufficient credit enhancement.
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.
WMRK COMMERCIAL 2022-WMRK: S&P Assigns Prelim B- Rating on F Certs
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to WMRK
Commercial Mortgage Trust 2022-WMRK's commercial mortgage
pass-through certificates.
The certificate issuance is a U.S. CMBS transaction backed by a
commercial mortgage loan that is secured primarily by first
mortgage liens on the borrowers' fee simple and/or leasehold
interests and the operating lessees' leasehold interests in 16
full-service lodging properties totaling 4,759 collateral keys
(5,012 total keys including 253 condominium-hotel keys) in nine
U.S. states.
The preliminary ratings are based on information as of Oct. 24,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
S&P said, "The preliminary ratings reflect our view of the
collateral's historical and projected performance, the experience
of the sponsor and the manager, the trustee-provided liquidity, the
mortgage loan terms, and the transaction's structure. We determined
that the trust loan has a beginning and ending loan-to-value ratio
of 106.1%, based on our value of the properties backing the
transaction."
Preliminary Ratings Assigned
WMRK Commercial Mortgage Trust 2022-WMRK
Class A, $641,200,000: AAA (sf)
Class B, $118,500,000: AA (sf)
Class C, $256,000,000: A- (sf)
Class D, $197,200,000: BBB- (sf)
Class E, $310,000,000: BB- (sf)
Class F, $267,850,000: B- (sf)
Class HRR(i), $94,250,000: Not rated
(i)Horizontal residual interest.
[*] S&P Takes Various Actions on 52 Classes from 43 U.S. RMBS Deals
-------------------------------------------------------------------
S&P Global Ratings completed its review of 52 classes from 43 U.S.
RMBS transactions. The review yielded two downgrades due to
observed principal write-downs and 49 downgrades due to observed
interest shortfalls/missed interest payments. At the same time, S&P
placed two ratings (one that was lowered due to missed interest
payments) on CreditWatch Negative.
A list of Affected Ratings can be viewed at:
https://bit.ly/3gJtenI
Analytical Considerations
S&P incorporates various considerations into its 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 or structural
characteristics (or both) and their potential effects on certain
classes.
Some of these considerations may include:
-- Historical and/or outstanding interest shortfalls/missed
interest payments; and
-- Available and/or insufficient subordination and/or
overcollateralization (O/C).
Rating Actions
S&P said, "The rating changes reflect our view of the associated
transaction-specific collateral performance, the structural
characteristics, or the application of criteria relevant to these
classes. See the ratings list for the specific rationales
associated with each of the classes with rating transitions.
"The lowered ratings due to interest shortfalls are consistent with
our "S&P Global Ratings Definitions," published Nov. 10, 2021,
which imposes a maximum rating threshold on classes that have
incurred missed interest payments resulting from credit or
liquidity erosion. In applying our ratings definitions, we looked
to see if the applicable class received additional compensation
beyond the imputed interest due as direct economic compensation for
the delay in interest payments (e.g., interest on interest) and if
the missed interest payments will be repaid by the maturity date.
"In instances where the class does receive additional compensation
for outstanding interest shortfalls, our analysis considers the
likelihood that the missed interest payments, including the
capitalized interest, would be reimbursed under our various rating
scenarios. Forty-six classes from 37 transactions were affected in
this review (see the ratings list).
"In instances where the class does not receive additional
compensation for outstanding interest shortfalls, our analysis
focuses on our expectations regarding the length of the interest
payment interruptions to assign the rating on the class. Four
classes from four transactions were affected in this review.
"Additionally, we placed the Park Place Securities Inc. series
2005-WHQ2 class M-3 certificates on CreditWatch with negative
implications. The CreditWatch placement reflects a missed interest
payment cited in the September 2022 trustee report, which could
negatively affect our rating. During the September 2022 remittance
period, the class M-3 certificates incurred its first missed
interest payment of $29,241. At the time of the missed payment,
class M-3, which is the senior most class, had 75.25% credit
support (up from an original credit support of 8.1%) and was
receiving all principal funds due to a performance trigger that
precludes subordinate classes from receiving principal
distributions. After verifying this possible missed interest
payment, we will adjust the rating as we consider appropriate
according to our criteria.
"Furthermore, we lowered the rating on the class M-1 certificates
issued from GSAMP Trust 2004-WF and placed the rating on Credit
Watch negative to reflect observed interest shortfalls and our
expectations of future reimbursement. Based on the transaction
documents, the class M-1 certificates will not be paid the full
missed interest payments outstanding until O/C reaches its target
level of $2,190,259. The current level of O/C is 14.73% of the
target, and it is unlikely for the target to be reached and the
class M-1 certificates to be paid the full missed interest at the
current rating level. We will continue to monitor the O/C level and
principal pay down of the class M-1 balance. If the reimbursement
of missed interest payments becomes more unlikely under our
analysis, we will adjust the rating as we consider appropriate
pursuant to our criteria.
"The lowered ratings due to outstanding principal write-downs
reflect our assessment of the principal write-downs' effect on the
affected classes during recent remittance periods. All of these
classes were rated 'CCC (sf)' or 'CC (sf)' before today's rating
actions."
[*] S&P Takes Various Actions on 69 Classes from 19 U.S. RMBS Deals
-------------------------------------------------------------------
S&P Global Ratings completed its review of 69 classes from 19 U.S.
RMBS transactions issued between 2003 and 2007. The review yielded
seven upgrades, 52 affirmations, and 10 withdrawals.
A list of Affected Ratings can be viewed at:
https://bit.ly/3srjOzW
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;
-- Available subordination and/or overcollateralization;
-- Erosion of or increases in credit support;
-- Historical and/or outstanding missed interest payments/interest
shortfalls;
-- Principal-only/interest-only criteria; and
-- Small loan count.
Rating Actions
S&P said, "The rating changes reflect our opinion regarding the
associated transaction-specific collateral performance and/or
structural characteristics, as well as 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 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.
"We withdrew our ratings on 10 classes from five transactions 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."
*********
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