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T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, November 6, 2022, Vol. 26, No. 309
Headlines
BALLYROCK CLO 21: S&P Assigns BB- (sf) Rating on Class D Notes
BAYVIEW COMMERCIAL 2005-2: Moody's Ups Rating on 2 Tranches to B1
COMM 2012-CCRE5: Moody's Cuts Rating on Cl. E Certificates to B1
DEUTSCHE BANK 2011-LC3: Fitch Lowers Rating on Class E Certs to CC
DT AUTO 2022-3: S&P Assigns BB (sf) Rating on Class E Notes
ELMWOOD CLO 20: S&P Assigns B- (sf) Rating on Class F Notes
FIP MASTER 2022-1: S&P Assigns BB- (sf) Rating on Class E Notes
GS MORTGAGE 2022-AGSS: S&P Assigns Prelim 'B' Rating on HRR Certs
HALCYON LOAN 2015-3: Moody's Cuts $27.5MM D Notes Rating to Caa3
LENDMARK 2019-2: S&P Places 'BB' Rating on D Notes on Watch Pos.
MANUFACTURED HOUSING 2001-3: S&P Raises A-4 Certs Rating to B-(sf)
MONROE CAPITAL XIV: Moody's Assigns Ba3 Rating to Class E Notes
MORGAN STANLEY 2015-C21: Fitch Affirms 'Csf' Rating on Cl. F Certs
MORGAN STANLEY 2016-BNK2: S&P Lowers Class D Notes Rating to 'BB-'
MOUNTAIN VIEW XVI: S&P Assigns Prelim BB- (sf) Rating on E Notes
NATIONAL COLLEGIATE 2005-1: S&P Affirms 'CCC' Rating on B Notes
NYMT LOAN 2022-INV1: S&P Assigns Prelim B (sf) Rating on B-2 Notes
ORLANDO, FL: S&P Affirms 'BB+' Rating on 2008C Revenue Bonds
PALMER SQUARE 2022-3: Moody's Assigns Ba3 Rating to $40MM D Notes
PENNANTPARK CLO V: S&P Assigns BB- (sf) Rating on Class E Notes
PREFERRED TERM XXVIII: Moody's Ups Rating on $8MM C-2 Notes to Ba3
PSMC 2021-2: S&P Affirms B (sf) Rating on Class B-5 Notes
SARATOGA INVESTMENT 2022-1: Moody's Assigns Ba3 Rating to E Notes
SLM STUDENT 2008-2: Moody's Lowers Rating on Cl. A-3 Notes to B1
SOUND POINT III-R: Moody's Lowers Rating on Class F Notes to Caa3
VERUS SECURITIZATION 2022-INV2: S&P Assigns (P) B-(sf) on B-2 Notes
WELLS FARGO 2015-NXS1: Fitch Affirms B-sf Rating on 2 Tranches
[*] S&P Takes Various Actions on 85 Classes from 27 U.S. RMBS Deals
[*] S&P Takes Various Actions on 95 Classes from 30 U.S. RMBS Deals
*********
BALLYROCK CLO 21: S&P Assigns BB- (sf) Rating on Class D Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to Ballyrock CLO 21
Ltd./Ballyrock CLO 21 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 Ballyrock Investment 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 debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Ballyrock CLO 21 Ltd./Ballyrock CLO 21 LLC
Class A-1, $256.0 million: AAA (sf)
Class A-2a, $33.0 million: AA (sf)
Class A-2b, $15.0 million: AA (sf)
Class B (deferrable), $22.0 million: A+ (sf)
Class C (deferrable), $22.0 million: BBB+ (sf)
Class D (deferrable), $16.0 million: BB- (sf)
Subordinated notes, $32.5 million: Not rated
BAYVIEW COMMERCIAL 2005-2: Moody's Ups Rating on 2 Tranches to B1
-----------------------------------------------------------------
Moody's Investors Service upgraded the rating on 29 classes of
notes issued by Bayview Commercial Asset Trust 2005-2, 2006-2,
2006-3, 2008-1, and Bayview Commercial Mortgage Pass-Through Trust
2006-SP1, reflecting performance of the transactions. The loans are
secured primarily by small commercial real estate properties in the
U.S. owned by small businesses and investors.
The complete rating actions are as follows:
Issuer: Bayview Commercial Asset Trust 2005-2
Cl. A-1, Upgraded to Baa1 (sf); previously on May 31, 2012
Downgraded to Baa3 (sf)
Cl. A-2, Upgraded to Baa1 (sf); previously on May 31, 2012
Downgraded to Baa3 (sf)
Cl. M-1, Upgraded to Ba2 (sf); previously on May 31, 2012
Downgraded to Ba3 (sf)
Cl. M-2, Upgraded to Ba3 (sf); previously on May 31, 2012
Downgraded to B1 (sf)
Cl. M-3, Upgraded to B1 (sf); previously on May 31, 2012 Downgraded
to B2 (sf)
Cl. M-4, Upgraded to B1 (sf); previously on May 31, 2012 Downgraded
to B2 (sf)
Cl. M-5, Upgraded to B2 (sf); previously on May 31, 2012 Downgraded
to B3 (sf)
Cl. M-6, Upgraded to B3 (sf); previously on May 31, 2012 Downgraded
to Caa1 (sf)
Cl. B-1, Upgraded to Caa1 (sf); previously on May 31, 2012
Downgraded to Caa2 (sf)
Cl. B-2, Upgraded to Caa3 (sf); previously on May 31, 2012
Downgraded to Ca (sf)
Issuer: Bayview Commercial Asset Trust 2006-2
Cl. A-1, Upgraded to Baa1 (sf); previously on May 31, 2012
Downgraded to Baa2 (sf)
Cl. A-2, Upgraded to Baa1 (sf); previously on May 31, 2012
Downgraded to Baa2 (sf)
Cl. M-1, Upgraded to Ba1 (sf); previously on May 31, 2012
Downgraded to Ba2 (sf)
Cl. M-2, Upgraded to Ba2 (sf); previously on May 31, 2012
Downgraded to Ba3 (sf)
Cl. M-3, Upgraded to Ba3 (sf); previously on May 31, 2012
Downgraded to B1 (sf)
Cl. M-4, Upgraded to B1 (sf); previously on May 31, 2012 Downgraded
to B2 (sf)
Cl. M-5, Upgraded to B2 (sf); previously on May 31, 2012 Downgraded
to B3 (sf)
Cl. M-6, Upgraded to B3 (sf); previously on May 31, 2012 Downgraded
to Caa1 (sf)
Cl. B-1, Upgraded to Caa1 (sf); previously on May 31, 2012
Downgraded to Caa3 (sf)
Cl. B-2, Upgraded to Caa3 (sf); previously on May 31, 2012
Downgraded to Ca (sf)
Issuer: Bayview Commercial Asset Trust 2006-3
Cl. A-1, Upgraded to Ba2 (sf); previously on Sep 14, 2020 Confirmed
at Ba3 (sf)
Cl. A-2, Upgraded to Ba2 (sf); previously on Sep 14, 2020 Confirmed
at Ba3 (sf)
Cl. M-1, Upgraded to B2 (sf); previously on Sep 14, 2020 Confirmed
at B3 (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on Sep 14, 2020
Confirmed at Caa2 (sf)
Cl. M-3, Upgraded to Caa2 (sf); previously on Sep 14, 2020
Confirmed at Caa3 (sf)
Cl. M-4, Upgraded to Caa3 (sf); previously on Mar 28, 2014
Downgraded to Ca (sf)
Issuer: Bayview Commercial Asset Trust 2008-1
Cl. A-4, Upgraded to Ba3 (sf); previously on Jan 14, 2016
Downgraded to B2 (sf)
Issuer: Bayview Commercial Mortgage Pass-Through Trust 2006-SP1
Cl. M-4, Upgraded to Aa3 (sf); previously on Apr 21, 2021 Upgraded
to A2 (sf)
Cl. B-1, Upgraded to Ba2 (sf); previously on Apr 21, 2021 Upgraded
to Ba3 (sf)
RATINGS RATIONALE
The upgrade is primarily prompted by an increase in credit
enhancement from subordination, overcollateralization and reserve
fund, where applicable. For Bayview Commercial Mortgage
Pass-Through Trust 2006-SP1 and Bayview Commercial Asset Trust
2008-1 deal, the upgrades are also a result of deleveraging due to
the sequential pay structures. Upgrades on the junior most bonds in
Bayview 2005-2, 2006-2 and 2006-3 are also driven by the recoveries
received.
Recently, the delinquency buckets have improved across all deals.
However, loans in foreclosure and REO remain elevated.
Moody's analysis also took into account the impact of various
economic factors such as inflation and slow growth on the
collateral performance.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Moody's Global
Approach to Rating SME Balance Sheet Securitizations" 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 expected losses could drive the ratings
up. Moody's expectation of pool losses could decline as a result of
a decrease in seriously delinquent loans or lower severities than
expected on liquidated loans. As a primary driver of performance,
positive changes in the US macro economy could also affect the
ratings, as can changes in servicing practices.
Down
Levels of credit protection that are insufficient to protect
investors against expected losses could drive the ratings down.
Moody's expectation of pool losses could increase as a result of an
increase in seriously delinquent loans and higher severities than
expected on liquidated loans. As a primary driver of performance,
negative changes in the US macro economy could also affect the
ratings. Other reasons for worse-than-expected performance include
poor servicing, error on the part of transaction parties,
inadequate transaction governance, and fraud.
COMM 2012-CCRE5: Moody's Cuts Rating on Cl. E Certificates to B1
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on seven classes
and downgraded the ratings on four classes in COMM 2012-CCRE5
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
Series 2012-CCRE5 as follows:
Cl. A-4, Affirmed Aaa (sf); previously on Jul 1, 2020 Affirmed Aaa
(sf)
Cl. A-M, Affirmed Aaa (sf); previously on Jul 1, 2020 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa1 (sf); previously on Jul 1, 2020 Affirmed Aa1
(sf)
Cl. C, Downgraded to A2 (sf); previously on Jul 1, 2020 Affirmed A1
(sf)
Cl. D, Downgraded to Baa2 (sf); previously on Jul 1, 2020 Affirmed
Baa1 (sf)
Cl. E, Downgraded to B1 (sf); previously on Apr 23, 2021 Downgraded
to Ba2 (sf)
Cl. F, Downgraded to Caa2 (sf); previously on Apr 23, 2021
Downgraded to B3 (sf)
Cl. G, Affirmed Caa3 (sf); previously on Apr 23, 2021 Downgraded to
Caa3 (sf)
Cl. PEZ, Affirmed Aa2 (sf); previously on Jul 1, 2020 Affirmed Aa2
(sf)
Cl. X-A*, Affirmed Aaa (sf); previously on Jul 1, 2020 Affirmed Aaa
(sf)
Cl. X-B*, Affirmed Aa1 (sf); previously on Jul 1, 2020 Affirmed Aa1
(sf)
*Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings on three P&I classes, Cl. A-4, Cl. A-M, and Cl. B, were
affirmed because of their credit support and the transaction's key
metrics, including Moody's loan-to-value (LTV) ratio and Moody's
stressed debt service coverage ratio (DSCR), are within acceptable
ranges. These classes will also benefit from principal paydowns as
the loans approach their maturity dates.
The ratings on four P&I classes were downgraded due to potential
losses and interest shortfall risks from the potential refinance
challenges for poorly performing loans with upcoming maturity
dates. The largest loan in the pool, Eastview Mall and Commons (25%
of the pool), is secured by a regional mall with declining
performance in recent years and has already passed its original
maturity date of September 2022. Additionally, the third largest
loan, Widener Building (13% of the pool), which is secured by an
office property has faced recent decline in net operating income
(NOI) as a result of the second largest tenant vacating the
property. All the remaining loans mature by December 2022 and if
certain loans are unable to pay off at their maturity date, the
outstanding classes may face increased interest shortfall risk.
The rating on the P&I class, Cl. G, was affirmed due to timing of
the losses and the ratings being consistent with Moody's expected
losses.
The ratings on two interest only (IO) classes were affirmed based
on the credit quality of the referenced classes.
The ratings on one exchangeable class, Cl. PEZ, was affirmed based
on the credit quality of the referenced exchangeable classes.
Moody's regard e-commerce competition as a social risk under
Moody's ESG framework. The rise in e-commerce and changing consumer
behavior presents challenges to brick-and-mortar discretionary
retailers
Moody's rating action reflects a base expected loss of 16.3% of the
current pooled balance, compared to 7.1% at Moody's last review.
Moody's base expected loss plus realized losses is now 5.3% of the
original pooled balance, compared to 5.1% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in rating all classes except interest-only
classes were "US and Canadian Conduit/Fusion Commercial
Mortgage-Backed Securitizations Methodology" published in July
2022.
DEAL PERFORMANCE
As of the October 13, 2022, distribution date, the transaction's
aggregate certificate balance has decreased by 68% to $366.2
million from $1.13 billion at securitization. The certificates are
collateralized by 15 mortgage loans ranging in size from less than
1% to 24.6% of the pool, with the top ten loans (excluding
defeasance) constituting 90.2% of the pool. One loan, constituting
3.9% of the pool, has defeased and is secured by US government
securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 7.
Thirteen loans, constituting 93.6% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
As of the October 2022 remittance report, loans representing 72.9%
were current or within their grace period on their debt service
payments, 2.5% were delinquent at 90 days or more, and 24.6% were
non-performing maturity balloon default.
One loan has been liquidated from the pool since securitization,
resulting in minimal realized loss of $78,750 (a loss severity of
0.5%). There is currently one loan in special servicing,
constituting 2.5% of the pool balance. The Gaslamp Mixed-Use loan
had transferred to special servicing in June 2020 due to delinquent
payments, primarily caused by the impacts of the coronavirus
pandemic, and is currently 90 days delinquent. The loan is secured
by a mixed-use development, comprised of 2 properties: The Keating
Hotel, a 35-room, luxury full-service boutique hotel and the
Mercantile Building, a 10,482 SF retail property located adjacent
to the Keating Hotel in San Diego's Gaslamp District. The special
servicer is pursuing with foreclosure. Moody's expects a moderate
to significant loss from this loan.
The credit risk of loans is determined primarily by two factors: 1)
Moody's assessment of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessment of the
severity of loss upon a default, which is largely driven by each
loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV.
As described in the CMBS methodology used to rate this
transaction, Moody's make various adjustments to the MLTV. Moody's
adjust the MLTV for each loan using a value that reflects
capitalization (cap) rates that are between Moody's sustainable cap
rates and market cap rates. Moody's also use an adjusted loan
balance that reflects each loan's amortization profile. The MLTV
reported in this publication reflects the MLTV before the
adjustments described in the methodology.
Moody's received full year 2021 operating results for 100% of the
pool, and partial year 2022 operating results for 94% of the pool
(excluding specially serviced and defeased loans). Moody's weighted
average conduit LTV is 103%. Moody's conduit component excludes
loans with structured credit assessments, defeased and CTL loans,
and specially serviced and troubled loans. Moody's net cash flow
(NCF) reflects a weighted average haircut of 21% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.7%.
Moody's actual and stressed conduit DSCRs are 1.34X and 1.07X,
respectively. Moody's actual DSCR is based on Moody's NCF and the
loan's actual debt service. Moody's stressed DSCR is based on
Moody's NCF and a 9.25% stress rate the agency applied to the loan
balance.
The top three conduit loans represent 51.8% of the pool balance.
The largest loan is the Eastview Mall and Commons Loan ($90.0
million –24.6% of the pool), which represents a pari-passu
portion in $210 million first mortgage loan. The loan is secured by
a 725,000 SF portion of a 1.4 million super-regional mall and an
86,000 SF portion of a 341,000 SF adjacent retail power center. The
property is located in Victor, New York, approximately 15 miles
southeast of Rochester. The Eastview Commons portion is a power
center with major tenants including Best Buy, Staples and Old Navy
with non-collateral anchors of Target & Home Depot. The Eastview
Mall's non-collateral anchors include Macy's, Von Maur, Dick's
Sporting goods (backfilled a previously vacated Sears), and JC
Penney. Another non-collateral anchor tenant, Lord & Taylor,
declared bankruptcy and closed their store in early 2021.
Collateral occupancy was approximately 75% as of June 2022,
compared to 90% in December 2018 and 94% at securitization. The
property's NOI has declined annually since 2018 due primarily to
the lower rental revenues. The mall is the dominant mall in the
area; however, property performance has further declined with a
December 2021 NOI DSCR of 1.44X compared to 1.77X in 2019 and 2.01X
in 2018. The 2021 NOI was 34% lower than underwritten levels at
securitization. The loan first transferred to special servicing in
June 2020 but was ultimately brought current and returned to the
master servicer as a corrected loan in July 2020. However, the loan
did not payoff at its scheduled maturity date in September 2022 and
it is reported as a non-performing maturity balloon default. The
loan recently transferred back to special servicing in June 2022.
Servicer commentary indicates the borrower is seeking a maturity
extension. The loan is interest only for its entire term and is
paid through the August 2022 payment date. Due to the property's
decline in performance and maturity default, Moody's has identified
this as a troubled loan and expects a moderate to significant loss
from this loan.
The second largest loan is the Metroplex Loan ($52.2 million –
14.3% of the pool), which is secured by an 18 story, 404,000 SF
office property in the Mid-Wilshire office submarket of Los
Angeles, California. As of June 2022, the property was 66%
occupied, compared to 78% as of December 2020, compared to 89% as
of December 2019 and 86% at securitization. The largest tenant is
County of Los Angeles (28% of NRA) with a lease expiration in April
2025. Performance has recently declined due to lower revenues and
higher expenses. As of June 2022, NOI DSCR decreased to 1.37X from
2.20X as of December 2020. The loan has amortized 19% since
securitization and Moody's LTV and stressed DSCR are 106% and
0.94X, respectively.
The third largest loan is the Widener Building Loan ($47.4 million
– 12.9% of the pool), which is secured by an 18-story
multi-tenant Class B office building located in Philadelphia,
Pennsylvania. The building has approximately 423,000 SF of office
space with 32,000 SF of ground floor retail space. The property was
90% occupied as of March 2022, compared to 91% in December 2020.
The largest tenant is Philadelphia Municipal Authority (44% of
NRA), with a lease expiration in January 2026. Performance has
recently declined due to lower revenues and higher expenses. As of
March 2022, NOI DSCR decreased to 1.47X from 1.84X as of December
2020. However, the second largest tenant, Rawle and Henderson (15%
of NRA), has already announced that they will vacate the property
at lease expiration in April 2023. The loan has amortized 20%
since securitization and Moody's LTV and stressed DSCR are 112% and
1.01X, respectively.
DEUTSCHE BANK 2011-LC3: Fitch Lowers Rating on Class E Certs to CC
------------------------------------------------------------------
Fitch Ratings has downgraded one distressed class and affirmed
eight classes of Deutsche Bank Securities (DBUBS), commercial
mortgage pass-through certificates, series 2011-LC3. In addition,
Fitch has affirmed one class of Providence Place Group Limited
Partnership, Providence Place Mall pass-through certificates.
Entity/Debt Rating Prior
----------- ------ -----
Providence Place Group
Ltd. Partnership
Providence Place Mall
A-2 743784AB6 LT AAAsf Affirmed AAAsf
DBUBS 2011-LC3
D 23305YAM1 LT Bsf Affirmed Bsf
E 23305YAN9 LT CCsf Downgrade CCCsf
F 23305YAP4 LT Csf Affirmed Csf
PM-1 23305YAU3 LT AAsf Affirmed AAsf
PM-2 23305YAW9 LT BBBsf Affirmed BBBsf
PM-3 23305YAX7 LT BBsf Affirmed BBsf
PM-4 23305YAY5 LT BB-sf Affirmed BB-sf
PM-5 23305YAZ2 LT B-sf Affirmed B-sf
PM-X 23305YAV1 LT AAsf Affirmed AAsf
KEY RATING DRIVERS
Regional Mall Concentration; Increased Loss Expectations: Due to
the concentrated nature of the DBUBS 2011-LC3 pool, Fitch performed
a liquidation analysis which considered the recovery prospect on
the remaining three regional mall loans/assets.
The downgrade of class E in DBUBS 2011-LC3 reflects a greater
certainty of loss to the class due to higher loss expectations on
the largest loan, Dover Mall and Commons (55% of pool), as a result
of continued occupancy and cash flow deterioration. Loss
expectations remain high on the REO Albany Mall asset (16%). The
Negative Outlook on class D reflects possible downgrade should
these two malls' performance further deteriorate and/or the REO
workout is prolonged.
Providence Place Mall: The Negative Outlooks maintained on the PM-1
through PM-5 and PM-X bonds associated with the Providence Place
Mall reflect upcoming refinance concerns at its extended maturity
date in May 2023 and whether continued property performance
stabilization will be sustained given the growing macroeconomic
stress. The most-recent servicer-reported YE 2021 net cash flow
(NCF) remains 17% below YE 2020 NCF.
The loan, sponsored by Brookfield Properties, was previously in
special servicing when it did not pay off at the initial May 6,
2021 maturity. The loan was subsequently modified in August 2021.
Terms of the loan modification included a maturity extension
through May 6, 2022, with two additional one-year options that are
subject to debt yield requirements. The loan converted to
interest-only and would be cash managed during the extended term.
No funds will be paid to the mezzanine lender until the senior debt
has been paid in full. The loan did not refinance at the extended
May 6, 2022 maturity and the borrower exercised its first one-year
extension option thru May 2023.
The loan is secured by a 980,711-sf portion of a 1.3 million-sf
regional mall in Providence, RI. At issuance, the property was
anchored by Macy's, JCPenney and Nordstrom. JCPenney vacated in
2015 and the space was demolished and replaced with an expanded
parking garage. Nordstrom vacated in early 2019 and was replaced in
October 2019 by Boscov's (20% of collateral NRA; lease expiry in
January 2030). Major collateral tenants include Providence Place
Cinemas (13%; January 2026), Dave & Buster's (4.1%; December 2024);
H&M (2.9%; January 2028), DSW (2.7%; January 2024), Zara (2.4%;
October 2025) and Old Navy (2.2%; April 2022).
Fitch's analysis incorporates an 11% cap rate to a stressed NCF of
$32.8 million, which accounts for rental revenues per the leases in
place as of the June 2022 rent roll. The majority of tenants
previously granted rent relief have resumed their rental payments.
Inline occupancy as of June 2022 was stable at 84.7%. Upcoming
lease rollover includes 13% of the collateral NRA in 2022, 10% in
2023 and 8% in 2024. Comparable in-line sales as of TTM March 2022
were $557 psf, compared with $437 psf as of TTM March 2021, $417
psf in 2020, $647 psf in 2019, $615 psf in 2018 and $603 psf in
2017.
Low Leverage for PILOT Bonds: The Providence Place Group Limited
Partnership, Providence Place Mall pass-through certificates are
secured by a payment in lieu of taxes (PILOT) lien on the
Providence Place Mall property. The PILOT, which has remained
current since issuance, is senior to other liens on the property or
leasehold including ground lease or mortgage payments. The
affirmation reflects the continued deleveraging of the transaction,
which has paid down by 52.2% since issuance, and the ratio of
maximum exposure to the property value is extremely low.
Specially Serviced/FLOC: The largest loss contributor and largest
increase in loss since the prior rating action is the largest loan,
Dover Mall and Commons (55.1% of pool), which is secured by a
one-story regional mall, Dover Mall, and a one-story strip center,
Dover Commons, located in Dover, DE; these properties total
886,324-sf, of which 553,854-sf is collateral. Fitch's base case
loss of 67% reflects a cap rate of 25% and a 10% haircut to the
servicer-projected YE 2021 NOI of $7.3 million.
The mall is anchored by Macy's, Boscov's (non-collateral), JC
Penney (non-collateral) and Dick's Sporting Goods. A collateral
Sears (20% of collateral NRA) closed in August 2018 and the space
remains vacant. The mall also features a 14-screen AMC Theatres,
with in-line tenants including Old Navy, Victoria's Secret,
American Eagle Outfitters and Hollister.
Occupancy has declined further for the two properties. In-line
occupancy for Dover Mall declined to 63.5% as of June 2022 from
70.6% at YE 2020; total mall occupancy was 78.8%, down from 80.7%
over this same period. Upcoming mall rollover includes 20.6% of the
collateral NRA in 2023 and 25.2% in 2024. Occupancy at Dover
Commons declined to 58.1% as of June 2022 from 62.7% at YE 2020,
with 21% of the NRA that has an upcoming rollover in 2023; the
largest tenants are Chuck E. Cheese, Mattress Warehouse and Plato's
Closet. The most recent servicer-provided inline tenant sales for
Dover Mall as of TTM May 2020 were $353 psf; for Dover Commons,
$218 psf. Updated tenant sales were requested, but per the master
servicer, the borrower is not required to provide them.
The loan was modified in March 2021 and returned from special
servicing in July 2021. Modification terms included a maturity date
extension to August 2026, conversion of loan payments to
interest-only for the remaining term, implementation of cash
management, allowing the use of excess cashflow to hyper-amortize
the unpaid principal balance and a 12-month deferral of debt
service payment effective October 2020 to be repaid by excess cash
flow.
The next largest loss contributor is the REO Albany Mall asset (16%
of pool), which is a 446,969-sf portion of a 753,552-sf regional
mall located in Albany, GA. Fitch's base case loss of 73% considers
a stress to a recent appraisal, reflecting an implied cap rate of
38% to the YE 2019 NOI.
The loan was transferred to special servicing in February 2021 due
to imminent monetary default. The loan subsequently matured in July
2021. The original sponsor, The Aronov Corporation, handed back the
property keys at maturity.
Non-collateral anchors include JCPenney, Belk and a vacant box
formerly occupied by Sears, which closed its store in March 2017
and remains vacant. The only collateral anchor is Dillards (20% of
NRA) which had a lease expire in January 2022. The largest inline
tenants are Old Navy (lease expiry in January 2023), Books A
Million (January 2025), Hibbett Sporting Goods (June 2024), Shoe
Dept Encore (July 2026) and Chuck E. Cheese (December 2025).
The collateral was 69.9% occupied as of August 2022, compared to
67.6% in February 2021, 68.6% in September 2020, 69.1% in 2019, 74%
in 2018 and 90% in March 2017. Approximately 36% of the collateral
NRA rolls in 2022 and 12% in 2023. Per the special servicer, there
are a number of renewals in process and a potential lease for the
former Toys R Us space is also in process. A broker has been
engaged and has received interest from a couple of parties and a
broader marketing of the asset is expected to occur once the
renewals and leases are finalized. Updated sales have not been
provided since issuance; tenant sales around the time of issuance
were $220 psf.
Increased Credit Enhancement (CE): As of the October 2022
remittance reporting, the transaction's pooled aggregate balance
has been reduced by 89.7% to $144.2 million from $1.4 billion at
issuance. Since the last rating action, two loans ($29.3 million)
were repaid in full at better recoveries than expected.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
A downgrade to class D would occur should loss expectations for
Albany Mall and Dover Mall and Commons be higher than expected upon
liquidation and/or from further deterioration of mall performance.
Downgrades to the distressed classes E and F would occur as losses
are realized and/or with greater certainty of losses.
A downgrade to the bonds associated with Providence Place Mall may
occur with further performance or valuation declines, and/or the
borrower fails to refinance the loan at the extended maturity
and/or not meet the debt yield requirement for the subsequent
maturity date extension.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Upgrades are not expected due to significant pool concentration and
adverse selection, but may occur if performance of the regional
malls improves substantially and/or recoveries are better than
expected. If the specially serviced loans revert to their
pre-pandemic performance and/or actual losses are better than
expected, the Negative Outlook on class D may be revised back to
Stable.
An upgrade to the bonds associated with Providence Place Mall are
not expected, but could occur if performance of the malls improves
substantially and stabilizes to pre-pandemic levels.
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.
DT AUTO 2022-3: S&P Assigns BB (sf) Rating on Class E Notes
-----------------------------------------------------------
S&P Global Ratings assigned its 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 ratings reflect:
-- The availability of approximately 59.58%, 53.51%, 43.92%,
35.13%, and 32.58% 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 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 '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 our stressed cash flow modeling
scenarios that S&P believes are appropriate for the assigned
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 and our updated macroeconomic
forecast and forward-looking view of the auto finance sector.
-- The series' bank accounts at Wells Fargo Bank N.A., which do
not constrain the ratings.
-- S&P's operational risk assessment of Bridgecrest Acceptance
Corp. 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 credit factors, which is in
line with its sector benchmark.
-- The transaction's payment and legal structures.
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)
ELMWOOD CLO 20: S&P Assigns B- (sf) Rating on Class F Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to Elmwood CLO 20 Ltd.'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 Elmwood Asset 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 notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Elmwood CLO 20 Ltd./Elmwood CLO 20 LLC
Class A, $283.50 million: AAA (sf)
Class B-1, $47.25 million: AA (sf)
Class B-2, $11.25 million: AA (sf)
Class C (deferrable), $27.00 million: A (sf)
Class D (deferrable), $24.30 million: BBB- (sf)
Class E (deferrable), $14.85 million: BB- (sf)
Class F (deferrable), $5.85 million: B- (sf)
Subordinated notes, $36.00 million: Not rated
FIP MASTER 2022-1: S&P Assigns BB- (sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to First Investors Auto
Owner Trust 2022-2's asset-backed notes.
The note issuance is an ABS securitization backed by subprime auto
loan receivables.
The ratings reflect:
-- The availability of approximately 34.98%, 30.08%, 22.95%,
17.41%, and 13.53% 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 3.65x, 3.15x, 2.40x, 1.80x, and
1.40x coverage of S&P's expected cumulative net loss of 9.50% for
the class A, B, C, D, and E notes, respectively. The transaction's
nonamortizing reserve account increased to 2.20% of the initial
receivables balance at closing from 1.50% pre-pricing.
-- The expectation that under a moderate ('BBB') stress scenario
(1.80x 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 series' subprime
automobile loans, 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 Wilmington Trust N. A., which do
not constrain the ratings.
-- S&P's operational risk assessment of First Investors Servicing
Corporation as servicer, and our view of the company's
underwriting.
-- 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
First Investors Auto Owner Trust 2022-2
Class A, $211.53 million: AAA (sf)
Class B, $14.43 million: AA (sf)
Class C, $24.64 million: A (sf)
Class D, $19.68 million: BBB (sf)
Class E, $17.43 million: BB- (sf)
GS MORTGAGE 2022-AGSS: S&P Assigns Prelim 'B' Rating on HRR Certs
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to GS Mortgage
Securities Corp. Trust 2022-AGSS' commercial mortgage pass-through
certificates.
The certificate issuance is a CMBS securitization backed by a
two-year, floating-rate, interest-only, first mortgage loan
totaling $251.5 million that matures in November 2024, with three,
12-month extension options. The trust loan is secured by the fee
simple interest in 50 self-storage properties, totaling
approximately 3.8 million total square feet and 25,645 units
located across 11 states.
The preliminary ratings are based on information as of Oct. 31,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of the collateral's
historic and projected performance, the sponsor's and the manager's
experience, the trustee-provided liquidity, the loan terms, and the
transaction's structure.
Preliminary Ratings Assigned
GS Mortgage Securities Corp. Trust 2022-AGSS(i)
Class A, $127,030,000: AAA (sf)
Class B, $28,540,000: AA-(sf)
Class C, $21,410,000: A-(sf)
Class D, $26,260,000: BBB-(sf)
Class E, $35,680,000: BB- (sf)
Class HRR, $12,580,000: B (sf)
(i)Certificate balances are approximate, subject to a variance of
plus or minus 5%. The issuer will issue the certificates to
qualified institutional buyers in line with Rule 144A of the
Securities Act of 1933, to institutional accredited investors under
Regulation D and to non-U.S. persons under Regulation S.
HALCYON LOAN 2015-3: Moody's Cuts $27.5MM D Notes Rating to Caa3
----------------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following notes issued by Halcyon Loan Advisors Funding 2015-3
Ltd.:
US$27,500,000 Class D Senior Secured Deferrable Floating Rate Notes
(current outstanding balance of 29,438,307.32) due 2027, Downgraded
to Caa3 (sf); previously on Feb 8, 2022 Downgraded to Caa2 (sf)
Halcyon Loan Advisors Funding 2015-3 Ltd., originally issued in
September 2015 and partially refinanced in December 2017, is a
managed cashflow CLO. The notes are collateralized primarily by a
portfolio of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in October 2019.
RATINGS RATIONALE
The downgrade rating action on the Class D notes reflects the
specific risks to the junior notes posed by par loss and credit
deterioration observed in the underlying CLO portfolio. Based on
the trustee's October 2022 report[1], the portfolio continues to be
riskier than the average CLO, with a weighted average rating factor
(WARF) of 3375. Also, the proportion of obligors in the portfolio
with Moody's corporate family or other equivalent ratings of Caa1
or lower (after any adjustments for watchlist for possible
downgrade) is currently approximately 17% of the CLO par.
Furthermore, the portfolio has become less diversified: based on
Moody's calculation, the five largest assets in the portfolio
currently comprise 19.2% of the performing assets. Collateral and
debt service coverage is weak, with the October 2022
trustee-reported OC ratio for the Class D notes at 97.48%[2] versus
the January 2022 level[3] of 100.45%, and the IC ratio for the
Class D notes failing the test level of 105.00% and reported at
94.77%[4] versus 126.45% in January 2022[5].
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on its
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:
Performing par and principal proceeds balance: $119,197,123
Defaulted par: $7,995,411
Diversity Score: 37
Weighted Average Rating Factor (WARF): 3122
Weighted Average Spread (WAS): (before accounting for reference
rate floors): 3.75%
Weighted Average Recovery Rate (WARR): 47.21%
Weighted Average Life (WAL): 2.6 years
Par haircut in OC tests and interest diversion test: 2.4%
In addition to base case analysis, Moody's considered additional
scenarios where outcomes could diverge from the base case. These
additional scenarios include, among others, near term defaults by
companies facing liquidity pressure, deterioration in credit
quality of the underlying portfolio, decrease in overall WAS and
lower recoveries on defaulted assets.
Methodology Used for the Rating Action
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2021.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.
LENDMARK 2019-2: S&P Places 'BB' Rating on D Notes on Watch Pos.
----------------------------------------------------------------
S&P Global Ratings placed its ratings on the class A, B, C, and D
notes from Lendmark Funding Trust 2019-2 (LFT 2019-2) on
CreditWatch with positive implications.
The notes are backed by a pool of fixed-rate personal consumer
loans and receive principal payment sequentially by class. The
transaction also benefits from credit enhancement in the form of a
nonamortizing reserve account, overcollateralization, subordination
for the higher-rated tranches, and excess spread. The transaction
stopped revolving and began paying note principal on Sept. 30,
2022.
The CreditWatch positive placement on the class A, B, C, and D
notes reflects S&P's view that the transaction's current and future
collateral performance, relative to the available credit
enhancement, may be sufficient to support higher ratings on the
notes.
S&P will complete a comprehensive cash flow analysis and committee
review for the transaction, which it expects to resolve within the
next 90 days.
Ratings Placed On Watch Positive
Lendmark Funding Trust 2019-2
Class A to 'A (sf)/Watch Pos' from 'A (sf)'
Class B to 'A- (sf)/Watch Pos' from 'A- (sf)'
Class C to 'BBB- (sf)/Watch Pos' from 'BBB- (sf)'
Class D to 'BB (sf)/Watch Pos' from 'BB (sf)'
MANUFACTURED HOUSING 2001-3: S&P Raises A-4 Certs Rating to B-(sf)
------------------------------------------------------------------
S&P Global Ratings completed its review of 27 ratings from 17
Conseco Finance Corp.-related manufactured housing ABS transactions
issued between 1999 and 2002 and three ratings from two GreenPoint
Credit LLC-related manufactured housing ABS transactions issued in
2000. S&P raised one rating and affirmed 29.
S&P said, "The rating actions reflect the transactions' collateral
performance to date, our views regarding future collateral
performance, the transactions' structures, and the credit
enhancement available. Furthermore, our analysis incorporated
secondary credit factors such as credit stability, payment
priorities under certain scenarios, and sector- and issuer-specific
analyses.
"The upgrade reflects our assessment of the growth in credit
enhancement for the affected class in the form of subordination,
which we expect will mitigate the impact of losses being higher
than originally expected for this pool.
"The affirmed 'CCC (sf)' and 'CC (sf)' ratings reflect our view
that our projected credit support will remain insufficient to cover
our projected losses for these classes. As defined in our criteria,
the 'CCC (sf)' level ratings reflect our view that the related
classes are still vulnerable to nonpayment and are dependent upon
favorable business, financial, and economic conditions in order to
be paid interest and/or principal according to the terms of each
transaction. Additionally, the 'CC (sf)' ratings reflect our view
that the related classes remain virtually certain to default."
Each transaction was initially structured with
overcollateralization (O/C) and subordination. However, due to
higher-than-expected losses, the O/C on each of these transactions
has been depleted to zero, and many of the subordinated classes
have experienced principal write-downs.
S&P said, "For Manufactured Housing Contract Trust Pass-Through
Certificates Series 2000-4, we affirmed our 'AA (sf)' rating on the
class A-3 certificates based on our 'AA' financial strength rating
on Assured Guaranty Municipal Corp. (Assured), the bond insurer, to
pay any principal or interest shortfalls that may arise. Assured
has made claims payments on principal and interest payment
shortfalls that have occurred since the November 2014 determination
date, and we believe that Assured will continue to honor its
obligations to make up any shortfalls in principal and/or interest
payments.
"We will continue to monitor the performance of the transactions
relative to their cumulative net loss expectations and the
available credit enhancement. We will take rating actions as we
consider appropriate."
Ratings List
RATING RAISED
RATING
TRANSACTION CLASS TO FROM
Manufactured Housing Contract Sr/Sub
Pass-Thru Certs Series 2001-3 A-4 B- (sf) CCC+ (sf)
RATINGS AFFIRMED
TRANSACTION CLASS RATING
Manufactured Housing Contract
Sr/Sub Pass-thru Trust 1999-1 A-7 B (sf)
Manufactured Housing Contract Sr/Sub
Pass-Through Certificates Series 2002-2 M-1 B (sf)
Manufactured Housing Contract Sr/Sub
Pass-thru Cert Series 2002-1 M-1-A B (sf)
Manufactured Housing Contract Sr/Sub
Pass-thru Cert Series 2002-1 M-1-F B (sf)
Manufactured Housing Contract Sr/Sub
Pass-Thru Cert Series 2001-4 M-1 CCC (sf)
Manufactured Housing Contract Sr/Sub
Pass-thru Cert Series 2002-1 M-2 CCC- (sf)
Manufactured Housing Contract Sr/Sub
Pass-thru Trust 1999-2 A-6 CCC- (sf)
Manufactured Housing Contract Sr/Sub
Pass-thru Trust 1999-2 A-7 CCC- (sf)
Manufactured Housing Contract Sr/Sub
Pass-thru Trust 1999-3 A-8 CC (sf)
Manufactured Housing Contract Sr/Sub
Pass-thru Trust 1999-3 A-9 CC (sf)
Manufactured Housing Contract Sr/Sub
Pass-thru Trust 1999-4 A-7 CC (sf)
Manufactured Housing Contract Sr/Sub
Pass-thru Trust 1999-4 A-8 CC (sf)
Manufactured Housing Contract Sr/Sub
Pass-thru Trust 1999-4 A-9 CC (sf)
Manufactured Housing Contract Sr/Sub
Pass-thru Trust 1999-5 A-5 CC (sf)
Manufactured Housing Contract Sr/Sub
Pass-thru Trust 1999-5 A-6 CC (sf)
Manufactured Housing Contract Sr/Sub
Pass-Thru Trust 1999-6 A-1 CC (sf)
Manufactured Housing Contract Sr/Sub
Pass-thru Trust 2000-2 A-5 CC (sf)
Manufactured Housing Contract Sr/Sub
Pass-thru Trust 2000-2 A-6 CC (sf)
Manufactured Housing Contract Sr/Sub
Pass-Through Certificates Series 2000-3 A CC (sf)
Manufactured Housing Contract Sr/Sub
Pass-thru Cert Series 2000-4 A-5 CC (sf)
Manufactured Housing Contract Sr/Sub
Pass-thru Cert Series 2000-4 A-6 CC (sf)
Manufactured Housing Contract Sr/Sub
Pass-Thru Cert Series 2000-5 A-6 CC (sf)
Manufactured Housing Contract Sr/Sub
Pass-Thru Cert Series 2000-5 A-7 CC (sf)
Manufactured Housing Contract Sr/Sub
Pass-Thru Cert Series 2000-6 A-5 CCC- (sf)
Manufactured Housing Contract Sr/Sub
Pass-Thru Cert Series 2001-1 A-5 CCC- (sf)
Manufactured Housing Contract Sr/Sub
Pass-Thru Cert Series 2001-2 A CCC- (sf)
Manufactured Housing Contract Trust
Pass-Thru Cert Series 2000-3 IA CC (sf)
Manufactured Housing Contract Trust
Pass-Thru Cert Series 2000-3 IIA-2 CC (sf)
Manufactured Housing Contract Trust
Pass-Thru Cert Series 2000-4 A-3 AA (sf)
MONROE CAPITAL XIV: Moody's Assigns Ba3 Rating to Class E Notes
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued and three classes of loans incurred by Monroe Capital
MML CLO XIV, LLC (the "Issuer" or "Monroe XIV").
Moody's rating action is as follows:
Up to $282,000,000 Class A Senior Floating Rate Notes due 2034,
Definitive Rating Assigned Aaa (sf)
US$187,000,000 Class A-1 Senior Floating Rate Loans maturing 2034,
Definitive Rating Assigned Aaa (sf)
US$40,000,000 Class A-2 Senior Floating Rate Loans maturing 2034,
Definitive Rating Assigned Aaa (sf)
US$25,000,000 Class B Floating Rate Loans maturing 2034, Definitive
Rating Assigned Aa2 (sf)
US$15,000,000 Class B-1 Floating Rate Notes due 2034, Definitive
Rating Assigned Aa2 (sf)
US$10,000,000 Class B-2 Fixed Rate Notes due 2034, Definitive
Rating Assigned Aa2 (sf)
US$41,000,000 Class C Deferrable Mezzanine Floating Rate Notes due
2034, Definitive Rating Assigned A2 (sf)
US$31,000,000 Class D Deferrable Mezzanine Floating Rate Notes due
2034, Definitive Rating Assigned Baa3 (sf)
US$32,500,000 Class E Deferrable Mezzanine Floating Rate Notes due
2034, Definitive Rating Assigned Ba3 (sf)
The notes and loans listed are referred to herein, collectively, as
the "Rated Debt."
The Class A-1 Loans and the Class A-2 Loans listed above are
referred to herein, collectively, as the "Class A Loans".
On the closing date, the Class A-1 Loans have an outstanding
principal balance of $187,000,000, the Class A-2 Loans have an
outstanding principal balance of $40,000,000, and the Class A Notes
have an outstanding principal balance of $55,000,000. At any time,
all or a portion of the Class A Loans may be converted to the Class
A Notes, thereby decreasing the outstanding principal balance of
the Class A Loans and increasing, by the corresponding amount, the
outstanding principal balance of the Class A Notes. The aggregate
outstanding principal balance of the Class A Loans and the Class A
Notes will not exceed $282,000,000, less the amount of any
principal repayments. The Class B Loans are not convertible into
Class B-1 Notes or Class B-2 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.
Monroe XIV is a managed cash flow CLO. The issued debt will be
collateralized primarily by middle market loans. At least 95% of
the portfolio must consist of senior secured loans and eligible
investments, and up to 5% of the portfolio may consist of second
lien loans, senior unsecured loans and senior secured bonds. The
portfolio is approximately 60% ramped as of the closing date.
Monroe Capital CLO Manager 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 four year
reinvestment period. Thereafter, the manager may not reinvest in
new assets and all principal proceeds received will be used to
amortize the Rated Debt in sequential order.
In addition to the Rated Debt, the Issuer issued two classes of
subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the debt in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2021.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 50
Weighted Average Rating Factor (WARF): 3593
Weighted Average Spread (WAS): SOFR + 5.32%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 46.0%
Weighted Average Life (WAL): 7.0 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2021.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Debt is subject to uncertainty. The
performance of the Rated Debt is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Debt.
MORGAN STANLEY 2015-C21: Fitch Affirms 'Csf' Rating on Cl. F Certs
------------------------------------------------------------------
Fitch has affirmed all classes of Morgan Stanley Bank of America
Merrill Lynch Trust, commercial mortgage pass-through certificates,
series 2015-C21 (MSBAM 2015-C21), and revised six Rating Outlooks
to Stable from Negative.
Entity/Debt Rating Prior
----------- ------ -----
MSBAM 2015-C21
555A 61764XBA2 LT BBB-sf Affirmed BBB-sf
A-3 61764XBH7 LT AAAsf Affirmed AAAsf
A-4 61764XBJ3 LT AAAsf Affirmed AAAsf
A-S 61764XBL8 LT AAsf Affirmed AAsf
A-SB 61764XBG9 LT AAAsf Affirmed AAAsf
B 61764XBM6 LT Asf Affirmed Asf
C 61764XBP9 LT BBBsf Affirmed BBBsf
D 61764XAN5 LT CCCsf Affirmed CCCsf
E 61764XAQ8 LT CCsf Affirmed CCsf
F 61764XAS4 LT Csf Affirmed Csf
PST 61764XBN4 LT BBBsf Affirmed BBBsf
X-A 61764XBK0 LT AAsf Affirmed AAsf
X-B 61764XAA3 LT Asf Affirmed Asf
X-E 61764XAG0 LT CCsf Affirmed CCsf
KEY RATING DRIVERS
Stable Loss Expectations: The affirmations reflect the generally
stable loss expectations of the pool since the prior rating action.
There are six Fitch Loans of Concern (FLOCs, 17.2% of pool),
including three specially serviced loans (12.2%).
Fitch's current ratings incorporate a base case loss of 10.6%. The
Outlook revisions to Stable from Negative for classes A-S, B, C,
PST and interest-only classes X-A and X-B reflect performance
stabilization of loans affected by the pandemic and the return of
two specially serviced loans, Fontainebleau Park Plaza (6.3%) and
Ashford Hotel Portfolio (6.1%), to master servicing.
Specially Serviced Loans Driving High Losses: Expected losses from
the specially serviced loans account for nearly 90% of total
expected pool losses. The largest contributor to expected losses is
the Westfield Palm Desert Mall loan, which is secured by a
572,724-sf portion of a 977,888-sf regional mall located in Palm
Desert, CA. The nearest enclosed regional mall is approximately 60
miles away. Non-collateral anchors include Macy's and JC Penney. A
non-collateral Sears closed in early 2020 and the box remains
vacant. The loan transferred to special servicing in June 2020 for
payment default. After failed debt relief negotiations, the special
servicer has moved forward with foreclosure and a receiver was
appointed in October 2021. The disposition timing of the asset has
yet to be determined.
The property reported an occupancy of 81% as of June 2022, compared
with 77% at YE2021, 88% at YE2020 and 93% at YE2019. YTD June 2022
NOI DSCR was 2.30x, compared with 1.96x at YE2021, 2.00x at YE2020
and 2.13x at YE2019. According to the borrower, in-line sales was
projected to be $513 psf for 2022, compared with $468 psf in
YE2021, $346 psf at July 2020, $418 psf in 2019, $384 psf in 2018,
$380 psf in 2017, $377 psf in 2015 and $357 psf at issuance.
Fitch's loss expectation of 67% reflects an implied cap rate of
22.5% to the annualized June 2022 NOI.
The second largest contributor to losses and largest increase in
loss since the prior rating action is the specially serviced Stone
Ridge Plaza loan (2.3%), which is secured by a 178,915-sf shopping
center located in the Rochester, NY metro. The loan transferred to
special servicing in 2020 for payment default shortly after
Rochester Athletic Club for Women (11.8% of NRA) and Pet Saver
(4.5%) vacated, reducing occupancy from 86% to 68%. A foreclosure
action was initiated in April 2022 and a receiver is now in place
for the property.
As of June 2022, the property was 63% occupied, with a NOI DSCR of
0.13x, compared with 68% and 1.15x, respectively, at YE 2021. The
further decline in occupancy in 2022 was due to Goodwill (5.9%)
vacating at YE2021. In 2018, Toys R Us (26.4%) vacated the property
as a result of their bankruptcy, but the vacant space was demised
and a portion was backfilled by Roc City Furniture (15.2%) in 2019,
which had improved property occupancy to 86%.
Fitch's loss expectations of 69% is based on a discount to a
January 2022 appraisal value, which reflects a stressed value of
$46 psf and continued deterioration in property performance.
Improvement in Credit Enhancement (CE): As of the October 2022
distribution date, the pool's aggregate principal balance has been
paid down by 14.7% since issuance. Interest shortfalls are
currently affecting classes D through H. Nine loans (7.4%) are
defeased. Two loans and a REO asset with a combined balance
totaling $25.4 million were either prepaid or liquidated since the
prior rating action. Seven loans (32.7%) are full-term
interest-only with the remainder now amortizing.
Non-pooled Asset; Generally Stable Performance: The transaction
contains a $30 million non-pooled senior B note related to 555 11th
NW Street, the second largest loan in the pool. The loan received a
credit opinion of 'A-sf' on a stand-alone basis at issuance and has
characteristics that remain consistent with a credit opinion loan.
The loan is secured by an office building in Washington, D.C. While
the property occupancy declined to 90% as of June 2022 from 97% at
YE2020, the servicer-reported NOI DSCR as of September 2021 was
strong at 2.29x, compared with 2.44x at YE2020. YE2021 NOI was 5%
above YE2020 and remains 8% above the originator's underwritten NOI
at issuance.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Downgrades would occur with an increase in pool-level losses from
underperforming or specially serviced loans. Downgrades to classes
A-3, A-4 and A-SB are not likely due to the position in the capital
structure and increasing CE, but may occur should interest
shortfalls affect these classes. Downgrades to class A-S and X-A
may occur should expected pool losses increase significantly.
Downgrades to classes B, C, X-B and PST are possible should loss
expectations increase from continued performance decline of the
FLOCs, additional loans default or transfer to special servicing
and/or higher than expected losses are realized on the specially
serviced loans. Downgrades to classes D, E, F and X-E would occur
as losses are realized and/or become more certain. Class 555A could
be downgraded with sustained occupancy and cash flow declines for
555 11th Street NW.
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, particularly on the FLOCs,
coupled with additional paydown and/or additional defeasance.
Upgrades to classes A-S, X-A, B and X-B would only occur with
significant improvement in CE, defeasance and/or performance
stabilization of the FLOCs. Upgrades to classes C, PST, D, E, F and
X-E are not likely until the later years of the transaction and
only if the performance of the remaining pool is stable, the FLOCs
particularly the specially serviced loans deliver
better-than-expected outcomes, and there is sufficient CE to the
classes. Classes would not be upgraded above 'Asf' if there were
likelihood of interest shortfalls. Class 555A could be upgraded
with sustained occupancy and cash flow improvement at 555 11th
Street NW.
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.
MORGAN STANLEY 2016-BNK2: S&P Lowers Class D Notes Rating to 'BB-'
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S&P Global Ratings lowered its ratings on 16 classes of commercial
mortgage pass-through certificates from Morgan Stanley Capital I
Trust 2016-BNK2, a U.S. CMBS transaction. At the same time, S&P
affirmed its 'AAA (sf)' ratings on five other classes from the same
transaction.
Rating Actions
The downgrades on the class B, C, D, E-1, E-2, F-1, F-2, G-1, and
G-2 certificates primarily reflect S&P's re-evaluation of three
loans comprising 26.9% of the current pool trust balance due to
reported performance declines: 101 Hudson Street ($72.5 million;
11.4%), Harlem USA ($68.0 million; 10.7%), and Briarwood Mall
($30.0 million; 4.7%).
The downgrades of the class F-2, G-1, and G-2 certificates to the
'CCC' rating category further reflect S&P's view that these classes
have elevated risk of principal losses and liquidity interruptions,
given its revised valuations of the aforementioned loans, and the
bonds' subordinate positions in the payment waterfall. Further
discussion of these loans, as well as other loans of interest, are
continued below.
In addition, S&P lowered its ratings on the class E, F, EF, G, and
EFG exchangeable combined certificates, to reflect the ratings of
the certificates for which they can be exchanged.
-- The class E exchangeable combined certificates can be exchanged
for a combination of the class E-1 and E-2 exchangeable
certificates;
-- The class F exchangeable combined certificates can be exchanged
for a combination of the class F-1 and F-2 exchangeable
certificates;
-- The class EF exchangeable combined certificates can be
exchanged for a combination of the class E-1, E-2, F-1, and F-2
exchangeable certificates;
-- The class G exchangeable combined certificates can be exchanged
for a combination of the class G-1 and G-2 exchangeable
certificates; and
-- The class EFG exchangeable combined certificates can be
exchanged for a combination of the class E-1, E-2, F-1, F-2, G-1,
and G-2 exchangeable certificates.
S&P lowered its ratings on the class X-B and X-D interest-only (IO)
certificates and affirmed its 'AAA (sf)' rating on the class X-A IO
certificates based on its criteria for rating IO securities, which
states that the ratings on the IO securities would not be higher
than that of the lowest-rated reference class. The notional amount
of class X-A references classes A-1, A-2, A-SB, A-3, and A-4, while
class X-B references classes A-S and B, and class X-D references
class D.
S&P affirmed its 'AAA (sf)' ratings on the class A-SB, A-3, A-4,
and A-S certificates because the current outstanding ratings were
generally in line with the model indicated ratings.
For classes A-S, B, C, D, E-1, E-2, and F-1, while the
model-indicated ratings were lower than the classes' respective
current or revised rating levels, S&P affirmed class A-S and
tempered its downgrades on classes B, C, D, E-1, E-2, and F-1,
because S&P weighed certain qualitative considerations, including:
-- The potential that the operating performance of the underlying
collateral for the 101 Hudson Street, Harlem USA, and Briarwood
Mall loans could improve above our revised expectations;
-- The liquidity support provided in the form of servicer
advancing; and
-- The relative subordination of each class within the payment
waterfall.
S&P said, "We will continue to monitor the transaction's
performance, specifically any developments around the 101 Hudson
Street, Harlem USA, and Briarwood Mall loans, as well as the
specially serviced loans. To the extent future developments differ
meaningfully from our underlying assumptions, we may take further
rating actions as we deem necessary."
Transaction Summary
As of the Oct. 17, 2022, trustee remittance report, the collateral
pool balance was $634.8 million, which is 87.5% of the pool balance
at issuance. The pool currently includes 38 loans, down from 40
loans at issuance. Two of these loans ($61.8 million; 9.7%) are
with the special servicer, three ($11.7 million; 1.8%) are
defeased, and five ($185.1 million; 29.2%) are on the master
servicer's watchlist.
S&P said, "Excluding the three defeased loans, we calculated a
1.69x S&P Global Ratings' weighted average debt service coverage
(DSC) and 102.4% S&P Global Ratings' weighted average loan-to-value
(LTV) ratio using a 7.88% S&P Global Ratings' weighted average
capitalization rate. The top 10 loans have an aggregate outstanding
pool trust balance of $395.4 million (62.3%). Using adjusted
servicer-reported numbers, we calculated an S&P Global Ratings'
weighted average DSC and LTV ratio of 1.75x and 113.0%,
respectively, for the top 10 loans."
To date, the transaction has not experienced any principal losses.
Loan Details
Details on the three previously mentioned loans, two of which are
also on the master servicer's watchlist, as well as the two
specially serviced loans are discussed below.
101 Hudson Street (11.4% of the pooled trust balance)
This is the largest loan in the pool and has a trust balance of
$72.5 million and a whole loan balance of $250.0 million. The
remaining pari passu pieces totaling $177.5 million are in four
other U.S. CMBS transactions (all performance figures referenced
herein are whole-loan based). The whole loan is IO, pays a fixed
interest rate of 3.117% per annum, and matures on Oct. 11, 2026.
The whole loan is secured by the borrower's fee simple interest in
a 42-story, 1.3-million-sq.-ft. class-A office tower in Jersey
City, N.J. The property, built in 1992 and renovated in 2015,
features views of New York City, 17-ft. ceiling heights, ground
floor retail, a courtyard, and an attached 900-space parking
garage.
The whole loan is on the master servicer's watchlist due to low
reported occupancy. The borrower has not been able to lease up the
vacant space after the property's second-largest tenant, National
Union Fire Insurance (272,000 sq. ft., 20.0% of net rentable area
[NRA]), vacated upon its lease expiration in April 2018. The
reported occupancy was 70.0% as of year-end 2018, and has remained
at a similar level since, down from 98.3% at issuance.
As discussed above, the servicer-reported occupancy and net cash
flow (NCF) have declined from 94.0% and $29.3 million,
respectively, in 2017 to 70.0% and $24.4 million in 2018; 76.0% and
$20.6 million in 2019; 74.0% and $24.1 million in 2020; and 74.0%
and $21.7 million in 2021. As of the June 2022 rent roll, the
property was approximately 75.8% occupied. The five largest tenants
comprise 56.7% of NRA and include:
-- Merrill Lynch (520,043 sq. ft.; 38.6% of NRA; $18.48 per sq.
ft. base rent as calculated by S&P Global Ratings; March 2027
expiration);
-- TP ICAP Americas Holdings Inc. (65,264 sq. ft.; 4.9%; $33.49
per sq. ft.; November 2023. The tenant plans to extend its lease to
August 2033 but will reduce its footprint to 37,387 sq. ft.);
-- First Data Corp. (64,195 sq. ft.; 4.8%; $46.23 per sq. ft.;
December 2026 and April 2029);
-- Jefferies LLC (62,763 sq. ft.; 4.7%; $37.00 per sq. ft.; July
2023); and
-- GBT US LLC (49,563 sq. ft.; 3.7%; $39.75 sq. ft.; November
2026).
The property faces elevated rollover in 2023 (13.2% of NRA) and
2027 (40.6%).
S&P said, "Given the prolonged lower-than-expected occupancy rate,
we revised and lowered our long-term sustainable NCF by 18.5% to
$20.1 million from $24.7 million in the last review in August 2020
and at issuance. We assumed a 75.8% in-place occupancy rate, $21.64
per sq. ft. base rent and $27.42 per sq. ft. gross rent, as
calculated by S&P Global Ratings, and 40.2% operating expense
ratio. This compared with a $10.3 million NCF (reported DSC of
2.61x) as of year-to-date (YTD) ended June 30, 2022. Using a 7.25%
S&P Global Ratings' capitalization rate, unchanged from issuance
and last review, we derived an S&P Global Ratings value of $277.5
million, which is 19.8% lower than our last review and issuance
value of $345.9 million. This yielded a 90.1% S&P Global Ratings
LTV ratio on the whole loan, up from 72.3% at issuance and our last
review. According to CoStar, as of year-to-date (October) 2022, the
four- and five-star office properties in the Hudson Waterfront
submarket had a vacancy rate, availability rate, and market rent of
17.4%, 26.1%, and $44.61 per sq. ft., respectively. The servicer
also noted that the property was recently sold for $346.0 million
(down 28.3% from the issuance appraisal value of $482.5 million)
and the new sponsor, Birch Group, assumed the loan on Oct. 7, 2022.
According to the servicer's October 2022 reserve report, there is
$2.9 million in other reserves. We will continue to monitor the
loan's performance and tenancy and adjust our analysis as future
developments may warrant."
Harlem USA (10.7%)
The is the second-largest loan in the pool and has a trust balance
of $68.0 million and a whole loan balance of $108.0 million. The
remaining pari passu piece totaling $40.0 million is in another
U.S. CMBS transaction (all performance figures referenced herein
are whole-loan based). The whole loan is IO, pays a fixed interest
rate of 3.31% per annum, and matures on Oct. 1, 2026. The whole
loan is secured by the borrower's leasehold interest in a
five-story, 245,849-sq.-ft. retail building, built in 1998 and
renovated in 2004, on West 125th Street, in the Harlem neighborhood
of upper Manhattan. The property is subject to a 124-year ground
lease that expires May 20, 2122. The ground rent is $300,000 per
annum through expiration. The borrower also needs to pay a
supplemental ground rent of $250,000 per annum, which is scheduled
to increase to $300,000 on Jan. 1, 2023, and will escalate by
$50,000 every following five-year period.
The whole loan is on the master servicer's watchlist due to
declining occupancy and NCF. Prior to the COVID-19 pandemic, the
reported occupancy and NCF were 98.0% and $10.0 million,
respectively, in 2017; 98.0% and $10.2 million in 2018; and 95.0%
and $8.9 million in 2019. At the onset of the COVID-19 pandemic,
occupancy and NCF dropped to 80.0% and $4.7 million in 2020 after
tenants, Chuck E Cheese (19,542 sq. ft.; 8.0% of NRA) and Modell's
(19,000 sq. ft.; 7.8%) vacated, and remained depressed in 2021 and
2022 (74.0% and $5.5 million in 2021 and 74.6% and $2.7 million as
of YTD ended June 30, 2022). The reported DSC was 1.51x as of YTD
ended June 30, 2022.
As of the June 2022 rent roll, the property was approximately 74.6%
occupied. The five largest tenants comprise 68.8% of NRA and
include:
-- AMC Magic Johnson Theatres (68,087 sq. ft.; 28.0% of NRA;
-- $35.89 per sq. ft. base rent as calculated by S&P Global
Ratings; June 2030 expiration);
-- Old Navy (34,787 sq. ft.; 14.3%; $63.24 per sq. ft.; January
2028);
-- K&G Fashion Superstore (23,250 sq. ft.; 9.5%; $20.86 per sq.
ft.; June 2023);
-- New York Sports Club (21,993 sq. ft.; 9.0%; $19.13 per sq. ft.;
December 2030); and
-- Dollar Tree (11,260 sq. ft.; 4.6%; $30.28 per sq. ft.; January
2023).
The property faces elevated rollover in 2023 (15.1% of NRA), 2028
(14.3%), and 2030 (37.0%).
S&P said, "Since the property has been performing below our
expectations for the past two-plus years, we revised and lowered
our long-term sustainable NCF by 54.7% to $4.2 million from $9.2
million in the last review in August 2020. We assumed a 74.6%
in-place occupancy rate, $35.49 per sq. ft. base rent and $41.60
per sq. ft. gross rent, as calculated by S&P Global Ratings, and
62.1% operating expense ratio. Using an 8.00% S&P Global Ratings'
capitalization rate, unchanged from last review, we derived an S&P
Global Ratings value of $48.9 million, which is 58.9% lower than
our last review of $118.8 million. This yielded an over 100% S&P
Global Ratings LTV ratio on the whole loan, up from 90.9% in our
last review. According to CoStar, as of YTD October 2022, the four-
and five-star retail properties in the Harlem/North Manhattan
submarket had a vacancy rate, availability rate, and market rent of
6.6%, 11.8%, and $76.20 per sq. ft., respectively. The servicer's
reserve report as of October 2022 noted $782,281 in tenant, capital
improvement and other reserves. We will continue to monitor the
loan's performance and tenancy and adjust our analysis as future
developments may warrant."
Marriott Albany (6.4%)
This loan is the third-largest loan in the pool and the largest
with the special servicer. The loan has a trust balance of $40.6
million, down from $45.5 million at issuance, and a current
reported exposure of $43.0 million. The loan amortizes on a 30-year
schedule, pays fixed interest rate of 4.2% per annum, and matures
on Nov. 1, 2026. The loan is secured by the borrower's fee simple
and leasehold interests in an eight-story, 359-guestroom,
full-service hotel in Albany, N.Y. The property, built in 1985 and
renovated in 2007, includes 667 parking spaces in a two-level
garage, a full-service restaurant, a lounge, a gift shop, a fitness
center, an outdoor pool and an indoor pool, a business center, and
seven meeting rooms totaling 15,556 sq. ft.
Prior to the COVID-19 pandemic, the reported occupancy and NCF were
54.0% and $4.2 million in 2017, 69.0% and $6.0 million in 2018, and
68.0% and $6.4 million in 2019. The loan was transferred to the
special servicer on April 13, 2020, due to the negative impact that
the COVID-19 pandemic had on the property's performance. The
reported occupancy and NCF fell to 24.0% and negative $573,812 in
2020, and 32.0% and $336,621 in 2021. According to the special
servicer comments, deposits into the furniture, fixture, and
equipment (FF&E) reserve, and cash management trigger were
suspended for nine months while the borrower funded operating
expense and debt service shortfalls through October 2020. Cash is
currently being trapped ($140,481 is currently in an FF&E reserve
account). The loan has a foreclosure in progress payment status
(paid through December 2021); however, the special servicer is
currently exploring various resolution options. As of YTD ended
Aug. 31, 2022, occupancy rebounded to 43.5% compared with 30.0% for
the same period in 2021. The reported DSC was 1.28x as of YTD ended
Aug. 31, 2022, up from 0.13x as of year-end 2021. Given that the
property's performance is slowly rebounding, S&P maintained its
$5.0 million NCF, 10.00% capitalization rate, and $46.1 million
value assumptions from our last review in August 2020. This yielded
an 87.9% S&P Global Ratings' LTV ratio. The property was last
appraised at $62.5 million as of November 2021, down slightly from
$65.0 million at issuance.
Briarwood Mall (4.7%)
The is the seventh-largest loan in the pool and has a trust balance
of $30.0 million and a whole loan balance of $165.0 million. The
remaining pari passu pieces totaling $135.0 million are in two
other U.S. CMBS transactions (all performance figures referenced
herein are whole-loan based). The whole loan is IO, pays a fixed
interest rate of 3.292% per annum, and matures on Sept. 1, 2026.
The whole loan is secured by the borrower's fee simple interest in
369,916 sq. ft. of an 808,320-sq.-ft., single-level, regional mall
in Ann Arbor, Mich. The mall, built in 1973 and renovated in 2015,
includes noncollateral anchors: Macy's (186,969 sq. ft.), JCPenney
(153,807 sq. ft.), and Von Maur (101,065 sq. ft.).
While the loan is not on the master servicer's watchlist, the
servicer-reported occupancy and NCF have declined from 93.0% and
$18.0 million, respectively, in 2017 to 93.0% and $17.4 million in
2018; 87.0% and $15.7 million in 2019; 76.0% and $13.1 million in
2020; and 67.0% and $10.4 million, in 2021. As of the June 2022
rent roll, the property was approximately 64.1% occupied. The five
largest tenants comprise 15.6% of NRA and include:
-- Forever 21 (15,941 sq. ft.; 4.3% of NRA; $4.72 per sq. ft. base
rent as calculated by S&P Global Ratings; July 2024 expiration);
-- Victoria's Secret (14,232 sq. ft.; 3.9%; $100.12 per sq. ft.;
January 2026);
-- American Eagles Outfitters (11,580 sq. ft.; 3.2%; $49.39 per
sq. ft.; January 2031);
-- Urban Outfitters (7,880 sq. ft.; 2.2%; $4.19 per sq. ft.;
January 2023); and
-- Red Robin Gourmet Burgers (7,376 sq. ft.; 2.0%; $26.92 per sq.
ft.; May 2025).
The property faces elevated rollover in 2023 (18.4% of NRA)and 2024
(13.3%).
S&P said, "Because of the reported decline in occupancy and NCF due
to tenant bankruptcies and store closures, we revised and lowered
our long-term sustainable NCF by 36.1% to $10.4 million from $16.3
million in the last review in August 2020. We assumed a 64.1%
in-place occupancy rate, $27.42 per sq. ft. base rent and $45.14
per sq. ft. gross rent, as calculated by S&P Global Ratings, and
39.7% operating expense ratio. This compared with a $5.3 million
NCF (reported DSC of 1.94x) as of year-YTD ended June 30, 2022. In
addition, we revised our capitalization rate to 9.00% from 8.25% at
last review to reflect our view that, based on its performance and
tenancy, the mall exhibits class-B- quality. Using our revised NCF
and capitalization rate, we derived an S&P Global Ratings value of
$115.3 million, which is 41.5% lower than our last review value of
$197.0 million. This yielded a 143.1% S&P Global Ratings LTV ratio
on the whole loan, up from 83.8% in the last review. We will
continue to monitor the loan's performance and tenancy and adjust
our analysis as future developments may warrant."
Conrad Indianapolis (3.3%)
This is the 11th-largest loan in the pool and the smallest loan
with the special servicer. The loan has a trust balance of $21.2
million, down from $23.7 million at issuance and a whole loan
balance of $49.9 million, down from $55.6 million at issuance. The
current reported trust exposure is $22.1 million. The other pari
passu piece, totaling $28.7 million, is in another U.S. CMBS
transaction (all performance figures referenced herein are
whole-loan based). The whole loan amortizes on a 30-year schedule,
pays a fixed interest rate of 4.52% per annum, and matures on Oct.
11, 2026. The whole loan is secured by the borrower's fee simple
interest in floors one through 18 of a 23-story, full-service hotel
totaling 247 guestrooms, and restaurant and conference room space
in an adjacent building in Indianapolis, Ind. The property,
constructed in 2006 and renovated in 2015, is subject to a
management agreement with HLT Conrad Domestic LLC that expires in
April 2031.
Prior to the COVID-19 pandemic, the reported occupancy and NCF were
74.0% and $5.6 million in 2017, 75.0% and $5.3 million in 2018, and
75.0% and $5.0 million in 2019. The loan was transferred to the
special servicer on April 15, 2020, due to the negative impact that
the COVID-19 pandemic had on the property's performance. The
reported occupancy and NCF fell to 26.0% and negative $2.1 million
in 2020, and 48.0% and $2.0 million in 2021. According to the
special servicer comments, the borrower received a second
forbearance that included deferring principal and interest payments
through Oct. 11, 2021. The reported DSC was 0.60x as of year-end
2021, up from -0.62x as of year-end 2020. Based on a reported YTD
ended August 2022 occupancy of 62.8%, up from 42.6% for the same
period in 2021, the borrower anticipates repaying all arrearages by
Dec. 31, 2022. S&P said, "Since the property's performance is
slowly rebounding, we maintained our $5.2 million NCF, 10.00%
capitalization rate, and $51.6 million value from our last review
in August 2020. This yielded a 96.6% S&P Global Ratings' LTV ratio
on the whole loan. The property was last appraised at $63.6 million
as of November 2021, down 26.0% from $85.9 million at issuance. The
whole loan has a reported current payment status, and the special
servicer is exploring its resolution options. We will continue to
monitor the loan's resolution strategy and timing."
Ratings Lowered
Morgan Stanley Capital I Trust 2016-BNK2
Class B to A+ (sf) from AA (sf)
Class C to BBB (sf) A (sf)
Class D to BB- (sf) BBB- (sf)
Class E-1 to B+ (sf) from BB+ (sf)
Class E-2 to B (sf) from BB (sf)
Class F-1 to B- (sf) from BB- (sf)
Class F-2 to CCC (sf) from B+ (sf)
Class G-1 to CCC (sf) from B (sf)
Class G-2 to CCC- (sf) from B- (sf)
Class X-B to A+ (sf) from AA (sf)
Class X-D to BB- (sf) from BBB- (sf)
Class E to B (sf) from BB (sf)
Class F to CCC (sf) from B+ (sf)
Class G to CCC- (sf) from B- (sf)
Class EF to CCC (sf) from B+ (sf)
Class EFG to CCC- (sf) from B- (sf)
Ratings Affirmed
Morgan Stanley Capital I Trust 2016-BNK2
Class A-SB: AAA (sf)
Class A-3: AAA (sf)
Class A-4: AAA (sf)
Class A-S: AAA (sf)
Class X-A: AAA (sf)
MOUNTAIN VIEW XVI: S&P Assigns Prelim BB- (sf) Rating on E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Mountain
View CLO XVI Ltd.'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 Seix Investment Advisors.
The preliminary ratings are based on information as of Nov. 1,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The collateral pool's diversification;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Mountain View CLO XVI Ltd./Mountain View Clo XVI LLC
Class A, $180.00 million: AAA (sf)
Class B, $48.00 million: AA (sf)
Class C-1 (deferrable), $11.10 million: A (sf)
Class C-2 (deferrable), $5.40 million: A (sf)
Class D (deferrable), $15.75 million: BBB- (sf)
Class E (deferrable), $9.00 million: BB- (sf)
Subordinated notes, $27.50 million: Not rated
NATIONAL COLLEGIATE 2005-1: S&P Affirms 'CCC' Rating on B Notes
---------------------------------------------------------------
S&P Global Ratings affirmed its 'CCC (sf)' rating on the class B
notes from The National Collegiate Student Loan Trust 2005-1. At
the same time, S&P removed the rating from CreditWatch, where it
had placed it with positive implications on Aug. 5, 2022.
The rating actions reflect S&P views regarding collateral
performance and associated credit enhancement levels. Collateral
performance since the last review has remained stable. The pace of
increase in cumulative defaults continues to decline, and the
percentage of loans that are in current repayment status is stable.
The rating actions also considered the results of a cash flow
analysis and the transaction's relevant structural features--in
particular, the transaction's cost of funds, capital structure,
payment waterfall, transaction triggers, and available credit
enhancement.
Rationale
Credit enhancement as measured by the class B note parity has
increased due to the stable collateral performance and continued
deleveraging. In addition, the class B notes have benefited from
repeated class C note interest reprioritization trigger breaches,
which began in January 2010. This trigger cured in March 2020,
after which the transaction used available funds to pay unpaid
interest shortfalls. The trigger breached again in April 2020 and
began accruing additional interest shortfalls. S&P expects the
transaction to continue to accrue class C interest shortfalls for
some time unless the trigger is cured.
S&P said, "We rate an obligation 'CCC' when it is dependent upon
favorable business, financial, and economic conditions for the
obligor to meet its financial commitment on the obligation. Based
on a cash flow analysis, the transaction has insufficient credit
enhancement to absorb any additional losses and pay the class B
notes in full prior to legal final. One of the key drivers of the
cash flow results is the frequency of the class C note interest
reprioritization trigger breaches, its subsequent cure, and any
unpaid class C interest that is repaid. In our cash flow scenarios,
the class C interest reprioritization trigger breaches and then
eventually cures, and the payment of the accrued class C interest
shortfalls consumes a significant portion of the transaction's
available credit enhancement. Accordingly, in our view, the class B
notes are dependent on favorable conditions such as additional
collections on previously defaulted loans, to receive full payment
prior to legal final."
Structural Features
The transaction's remaining class A-5, B, and C notes are all
indexed to one-month LIBOR. Due to breaches of the various
transaction performance triggers, the notes are paid sequentially
from all available funds (i.e., full turbo) for the transaction's
remaining life. The note factor as of September 2022 for the class
A-5 note is 7.5%; and for the class B and C notes, it is 100.0%.
Credit enhancement available to support the class B notes primarily
includes a reserve account and subordination of the class C notes.
The reserve account for the transaction is currently at its floor.
The reserve account is available to pay note interest and fees, as
well as principal at final maturity. At issuance, the transaction
was structured to provide excess spread over the transaction's life
as additional credit enhancement. However, excess spread levels
have been under pressure for most of the life of the transaction,
primarily because of under-collateralization as a result of
previous collateral performance issues.
The class B notes are also supported by the class C interest
reprioritization trigger. This trigger is generally defined to
breach when the class B notes are undercollateralized (i.e., the
pool balance is less than the balance of the class A and B notes).
When this trigger is breached, interest payments to the class C
notes are subordinated to principal payments to the class B notes
until they become collateralized again.
Transaction Performance
The pace of increase in cumulative defaults for the transaction
continues to slow. In addition, the percentage of loans in
repayment and currently making payments is stable. The performance,
in terms of the pace of defaults and the percentage of loans in
repayment, indicates that the transaction is likely past its peak
default period.
The historical impact of poor collateral performance, as measured
by the level of realized cumulative net losses, has led to
significant under-collateralization for the transaction. However,
the class parity for the class B notes had increased to
approximately 106% as of September 2022 due to deleveraging and the
class C subordination. However, the current calculation of class
parity does not take into account existing or future class C
interest shortfalls that may be repaid if breaches of the class C
interest reprioritization trigger are cured.
Cash Flow Modeling Assumptions
S&P ran break-even cash flow scenarios that maximized defaults
under various interest rate and rating stress assumptions. The
following are some of the major assumptions we modeled:
-- A five-year flat default curve;
-- Recovery rates ranging from 15%-20%, taken evenly over 10
years;
-- A constant prepayment speed of 9% for the transaction's life;
-- Non-paying loans (i.e., deferment and forbearance) as
percentage of the loan pool of 3% for five years;
-- Two interest rate scenarios for the stress levels commensurate
to the ratings of the liabilities created by a credit rating model
based on the Cox-Ingersoll-Ross framework: rising then falling
interest rates (up/down curve) and falling then rising interest
rates (down/up curve).
S&P will continue to monitor the ongoing performance of the
transaction. In particular, it will continue to review available
credit enhancement, the pace of defaults, the level recoveries on
previously defaulted loans, and transaction deleveraging.
NYMT LOAN 2022-INV1: S&P Assigns Prelim B (sf) Rating on B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to NYMT Loan
Trust 2022-INV1's mortgage-backed notes, series 2022-INV1.
The note issuance is an RMBS transaction backed by first-lien
fixed- and adjustable-rate, fully amortizing, and interest-only
residential mortgage loans secured by single-family residences,
planned-unit developments, two- to four-family homes, condominiums,
townhomes, five- to 18-unit multifamily properties, and mixed-use
properties to both prime and nonprime borrowers. The pool consists
of 1,140 business-purpose investor loans (including 50
cross-collateralized loans backed by 359 properties) that are
exempt from the qualified mortgage and ability-to-repay rules.
The preliminary ratings are based on information as of Nov. 2,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, geographic concentration, and representation and
warranty framework; and
-- Recent economic indicators, which now show cracks in the
foundation as the U.S. economy heads into 2023, as rising prices
and interest rates eat away at household purchasing power.
Extremely high home prices coupled with aggressive interest rate
increases are also weighing heavily on the demand for housing. S&P
said, "Despite all of this, we expect economic momentum will
protect the U.S. economy for the remainder of 2022, but what's
around the bend in 2023 is the bigger worry. With the
Russia-Ukraine conflict and a slowdown in China exacerbating supply
chains and pricing pressures, it's hard to see the economy walking
out of 2023 unscathed. As a result, we continue to maintain our
revised outlook to our RMBS criteria, which increased the
archetypal 'B' projected foreclosure frequency to 3.25% from
2.50%."
Preliminary Ratings Assigned(i)
NYMT Loan Trust 2022-INV1
Class A-1, $188,814,000: AAA (sf)
Class A-2, $24,840,000: AA (sf)
Class A-3, $36,529,000: A (sf)
Class M-1, $22,729,000: BBB (sf)
Class B-1, $16,885,000: BB (sf)
Class B-2, $16,884,000: B (sf)
Class B-3, $18,021,771: Not rated
Class A-IO-S, notional(ii): Not rated
Class XS, notional(ii): Not rated
Class R, not applicable: Not rated
(i)The preliminary ratings address the ultimate payment of interest
and principal and do not address payment of the cap carryover
amounts.
(ii)The notional amount equals the loans' aggregate unpaid
principal balance.
ORLANDO, FL: S&P Affirms 'BB+' Rating on 2008C Revenue Bonds
------------------------------------------------------------
S&P Global Ratings revised to stable from negative its outlook on
the city of Orlando, Fla.'s series 2017A tourist development tax
(TDT) refunding revenue bonds and its 2008C third-lien TDT revenue
bonds. At the same time, S&P affirmed its 'A' rating on the city's
2017A series bonds and its 'BB+' rating on its 2008C bonds.
"The outlook revision reflects improved revenue collection that
resulted in improved coverage ratios and allowed the city to
replenish all funds drawn from reserves to make prior debt service
payments," said S&P Global Ratings credit analyst Christian
Richards.
The bonds are secured by net proceeds from the city's share (50%)
of the six-cent TDT levied on each dollar charged for tourist
rentals (a hotel tax) within Orange County. The county levies and
collects the tax, and remits to the city its portion consistent
with the intergovernmental agreement. The series 2017A bonds have a
senior lien on the pledged revenues, while the series 2017B and
2008C bonds have second and third liens, respectively. S&P does not
rate the series 2017B bonds.
Orlando's TDT bonds were assigned a negative outlook in May 2020
due to the pandemic and expected pressure on hospitality sector
revenue. Pledged revenues declined 46% from 2019 to 2021, leading
to drawdowns from debt service reserve accounts, liquidity reserve
accounts, and additional surplus funds used to fund payments on the
2008C fiscal year 2038 bullet maturity. In fiscal 2022, TDT
unaudited revenue of $26.7 million exceeds the pre-pandemic high of
$25.8 million (fiscal 2018). Fiscal 2022 revenue collection allowed
the city to replenish all reserve funds and it expects to make an
additional $2.455 million payment toward the 2008C bullet maturity,
which is currently $8.7 million, down from the original $87.3
million.
S&P said, "We view Orlando's environmental risks as somewhat
elevated, as they are for most of the state. Hurricane flooding
represents the largest risk for the city and county. For more
information, see "ESG U.S. Public Finance Report Card: Florida
Governments And Not-For-Profit Enterprises," published Sept. 9,
2021. The city works through its Office of Sustainability &
Resilience and its 2017 Municipal Operations Sustainability Plan to
identify and implement resiliency efforts to ensure continuity of
operations and livability in response to hurricanes and other
potential events. We expect it will continue to revise and update
its planning based on Hurricane Ian effects and responses. We view
the city's governance and social risks relative to its economy,
management, financial measures, and debt and liability profile as
neutral within our analysis."
PALMER SQUARE 2022-3: Moody's Assigns Ba3 Rating to $40MM D Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Palmer Square Loan Funding 2022-3, Ltd. (the
"Issuer" or "Palmer Square 2022-3").
Moody's rating action is as follows:
US$620,000,000 Class A-1a Senior Secured Floating Rate Notes due
2031, Assigned Aaa (sf)
US$140,000,000 Class A-1b Senior Secured Floating Rate Notes due
2031, Assigned Aaa (sf)
US$40,000,000 Class A-2 Senior Secured Floating Rate Notes due
2031, Assigned Aa2 (sf)
US$45,000,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2031, Assigned A2 (sf)
US$45,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2031, Assigned Baa3 (sf)
US$40,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2031, Assigned Ba3 (sf)
The notes listed are referred to herein, collectively, as the
"Rated Notes."
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.
Palmer Square 2022-3 is a static cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated senior
secured corporate loans. The portfolio is 100% ramped as of the
closing date.
Palmer Square Capital Management LLC (the "Servicer") may engage in
disposition of the assets on behalf of the Issuer during the life
of the transaction. Reinvestment is not permitted and all sale and
unscheduled principal proceeds received will be used to amortize
the debt in sequential order.
In addition to the Rated Notes, the Issuer issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2021.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $1,000,077,000
Diversity Score: 81
Weighted Average Rating Factor (WARF): 2450
Weighted Average Spread (WAS): 3.19% (LIBOR loans) and 3.47% (SOFR
loans) (modeled as two separate groups and using actual spread
vectors of the portfolio)
Weighted Average Recovery Rate (WARR): 47.93%
Weighted Average Life (WAL): 4.8 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2021.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated 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 Servicer's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
PENNANTPARK CLO V: S&P Assigns BB- (sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to PennantPark CLO V LLC's
fixed- and floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by middle market speculative-grade
(rated 'BB+' or lower) senior secured term loans. The transaction
is managed by PennantPark Investment Advisers LLC.
The ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
PennantPark CLO V LLC
Class A-1A notes, $40.00 million: AAA (sf)
Class A-1A loans, $85.00 million: AAA (sf)
Class A-1F notes, $46.00 million: AAA (sf)
Class A-2 notes, $12.00 million: AAA (sf)
Class B notes, $21.00 million: AA (sf)
Class C notes, $24.00 million: A (sf)
Class D notes, $18.00 million: BBB- (sf)
Class E notes, $18.00 million: BB- (sf)
Subordinated notes, $34.70 million: Not rated
PREFERRED TERM XXVIII: Moody's Ups Rating on $8MM C-2 Notes to Ba3
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Preferred Term Securities XXVIII, Ltd.:
US$191,000,000 Floating Rate Class A-1 Senior Notes Due March 22,
2038, Upgraded to Aaa (sf); previously on Sep 13, 2019 Upgraded to
Aa1 (sf)
US$45,700,000 Floating Rate Class A-2 Senior Notes Due March 22,
2038, Upgraded to Aa1 (sf); previously on Sep 13, 2019 Upgraded to
Aa3 (sf)
US$44,400,000 Floating Rate Class B Mezzanine Notes Due March 22,
2038, Upgraded to A2 (sf); previously on Sep 13, 2019 Upgraded to
Baa2 (sf)
US$36,000,000 Floating Rate Class C-1 Mezzanine Notes Due March 22,
2038, Upgraded to Ba3 (sf); previously on Aug 31, 2018 Upgraded to
B2 (sf)
US$8,000,000 Fixed/Floating Rate Class C-2 Mezzanine Notes Due
March 22, 2038, Upgraded to Ba3 (sf); previously on Aug 31, 2018
Upgraded to B2 (sf)
Preferred Term Securities XXVIII, Ltd., issued in November 2007, is
a collateralized debt obligation (CDO) backed mainly by a portfolio
of bank and insurance trust preferred securities (TruPS).
RATINGS RATIONALE
The rating actions are primarily a result of the deleveraging of
the Class A-1 notes and an increase in the transaction's
over-collateralization (OC) ratios over the past year.
The Class A-1 notes have paid down by approximately 39.0% or $27.5
million over the past year, using principal proceeds from the
redemption of the underlying assets and the diversion of excess
interest proceeds. Based on Moody's calculations, the OC ratios for
the Senior Coverage Test, Class B notes and Class C notes have
improved to 226.7%, 154.6% and 116.7%, respectively, from levels a
year ago of 193.6%, 143.2% and 113.0%, respectively. The Class A-1,
Class A-2, Class B, Class C, and Class D notes will continue to
benefit from the diversion of excess interest.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool as having a performing par (after treating
deferring securities as performing if they meet certain criteria)
of $187.9 million, defaulted/deferring par of $40.5 million, a
weighted average default probability of 8.1% (implying a WARF of
824), and a weighted average recovery rate upon default of 10%.
In addition to base case analysis, Moody's considered additional
scenarios where outcomes could diverge from the base case. The
additional scenario includes deteriorating credit quality of the
portfolio.
Methodology Used for the Rating Action
The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS CDOs" published in July 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 portfolio consists primarily
of unrated assets whose default probability Moody's assesses
through credit scores derived using RiskCalc(TM) or credit
estimates. Because these are not public ratings, they are subject
to additional estimation uncertainty.
PSMC 2021-2: S&P Affirms B (sf) Rating on Class B-5 Notes
---------------------------------------------------------
S&P Global Ratings completed its review of 174 classes from six
U.S. RMBS transactions between 2013 and 2021, which are all backed
by prime collateral. The review yielded one upgrade and 173
affirmations.
S&P said, "For each transaction, we performed a credit analysis
using updated loan-level information from which we determined
foreclosure frequency, loss severity, and loss coverage amounts
commensurate for each rating level. In addition, we used the same
mortgage operational assessment, representation and warranty, and
due diligence factors that were applied at issuance. Our geographic
concentration and prior credit event adjustment factors were based
on the transactions' current pool composition.
"We upgraded PSMC 2021-1 Trust's class B-2 certificates to 'A (sf)'
from 'A- (sf)'. The upgrade primarily reflects deleveraging,
because the transaction benefits from zero accumulated losses to
date, very low delinquencies, and a growing percentage of credit
support to the rated classes.
"The affirmations reflect our view that the projected collateral
performance relative to our projected credit support on these
classes remains relatively consistent with our prior projections."
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by the application of its criteria. These
considerations are based on transaction-specific performance or
structural characteristics (or both) and their potential effects on
certain classes. Some of these considerations include:
-- Collateral performance or delinquency trends;
-- Priority of principal payments;
-- Priority of loss allocation;
-- Application of interest-only criteria;
-- Available subordination and/or credit enhancement floors; and
-- Large balance loan exposure/tail risk.
Ratings List
RATING
ISSUER SERIES CLASS CUSIP TO FROM
NRP Mortgage
Trust 2013-1 2013-1 A1 62942KAA4 AAA (sf) AAA (sf)
NRP Mortgage
Trust 2013-1 2013-1 A3 62942KAC0 AAA (sf) AAA (sf)
NRP Mortgage
Trust 2013-1 2013-1 A4 62942KAD8 AAA (sf) AAA (sf)
NRP Mortgage
Trust 2013-1 2013-1 A5 62942KAU0 AAA (sf) AAA (sf)
NRP Mortgage
Trust 2013-1 2013-1 A6 62942KAW6 AAA (sf) AAA (sf)
NRP Mortgage
Trust 2013-1 2013-1 A7 62942KAX4 AAA (sf) AAA (sf)
NRP Mortgage
Trust 2013-1 2013-1 A8 62942KAY2 AAA (sf) AAA (sf)
NRP Mortgage
Trust 2013-1 2013-1 A9 62942KAZ9 AAA (sf) AAA (sf)
NRP Mortgage
Trust 2013-1 2013-1 A10 62942KBA3 AAA (sf) AAA (sf)
NRP Mortgage
Trust 2013-1 2013-1 AIO 62942KAK2 AAA (sf) AAA (sf)
NRP Mortgage
Trust 2013-1 2013-1 B1 62942KAE6 AA+ (sf) AA+ (sf)
NRP Mortgage
Trust 2013-1 2013-1 B2 62942KAF3 AA (sf) AA (sf)
NRP Mortgage
Trust 2013-1 2013-1 B3 62942KAG1 AA- (sf) AA- (sf)
NRP Mortgage
Trust 2013-1 2013-1 B4 62942KAH9 A (sf) A (sf)
Agate Bay Mortgage
Trust 2016-1 2016-1 A-1 00842TAA6 AAA (sf) AAA (sf)
Agate Bay Mortgage
Trust 2016-1 2016-1 A-2 00842TAB4 AAA (sf) AAA (sf)
Agate Bay Mortgage
Trust 2016-1 2016-1 A-3 00842TAC2 AAA (sf) AAA (sf)
Agate Bay Mortgage
Trust 2016-1 2016-1 A-4 00842TAD0 AAA (sf) AAA (sf)
Agate Bay Mortgage
Trust 2016-1 2016-1 A-7 00842TAG3 AAA (sf) AAA (sf)
Agate Bay Mortgage
Trust 2016-1 2016-1 A-8 00842TAH1 AAA (sf) AAA (sf)
Agate Bay Mortgage
Trust 2016-1 2016-1 A-9 00842TAJ7 AAA (sf) AAA (sf)
Agate Bay Mortgage
Trust 2016-1 2016-1 A-10 00842TAK4 AAA (sf) AAA (sf)
Agate Bay Mortgage
Trust 2016-1 2016-1 A-X-1 00842TAL2 AAA (sf) AAA (sf)
Agate Bay Mortgage
Trust 2016-1 2016-1 A-X-2 00842TAM0 AAA (sf) AAA (sf)
Agate Bay Mortgage
Trust 2016-1 2016-1 A-X-3 00842TAN8 AAA (sf) AAA (sf)
Agate Bay Mortgage
Trust 2016-1 2016-1 A-X-5 00842TAQ1 AAA (sf) AAA (sf)
Agate Bay Mortgage
Trust 2016-1 2016-1 A-X-6 00842TAR9 AAA (sf) AAA (sf)
Agate Bay Mortgage
Trust 2016-1 2016-1 B-1 00842TAS7 AA+ (sf) AA+ (sf)
Agate Bay Mortgage
Trust 2016-1 2016-1 B-2 00842TAT5 AA (sf) AA (sf)
Agate Bay Mortgage
Trust 2016-1 2016-1 B-3 00842TAU2 A+ (sf) A+ (sf)
Agate Bay Mortgage
Trust 2016-1 2016-1 B-4 00842TAV0 BBB (sf) BBB (sf)
Agate Bay Mortgage
Trust 2016-3 2016-3 A-1 00842VAA1 AAA (sf) AAA (sf)
Agate Bay Mortgage
Trust 2016-3 2016-3 A-2 00842VAB9 AAA (sf) AAA (sf)
Agate Bay Mortgage
Trust 2016-3 2016-3 A-3 00842VAC7 AAA (sf) AAA (sf)
Agate Bay Mortgage
Trust 2016-3 2016-3 A-4 00842VAD5 AAA (sf) AAA (sf)
Agate Bay Mortgage
Trust 2016-3 2016-3 A-7 00842VAG8 AAA (sf) AAA (sf)
Agate Bay Mortgage
Trust 2016-3 2016-3 A-8 00842VAH6 AAA (sf) AAA (sf)
Agate Bay Mortgage
Trust 2016-3 2016-3 A-9 00842VAJ2 AAA (sf) AAA (sf)
Agate Bay Mortgage
Trust 2016-3 2016-3 A-10 00842VAK9 AAA (sf) AAA (sf)
Agate Bay Mortgage
Trust 2016-3 2016-3 A-X-1 00842VAL7 AAA (sf) AAA (sf)
Agate Bay Mortgage
Trust 2016-3 2016-3 A-X-2 00842VAM5 AAA (sf) AAA (sf)
Agate Bay Mortgage
Trust 2016-3 2016-3 A-X-3 00842VAN3 AAA (sf) AAA (sf)
Agate Bay Mortgage
Trust 2016-3 2016-3 A-X-5 00842VAQ6 AAA (sf) AAA (sf)
Agate Bay Mortgage
Trust 2016-3 2016-3 A-X-6 00842VAR4 AAA (sf) AAA (sf)
Agate Bay Mortgage
Trust 2016-3 2016-3 B-1 00842VAS2 AA+ (sf) AA+ (sf)
Agate Bay Mortgage
Trust 2016-3 2016-3 B-2 00842VAT0 AA (sf) AA (sf)
Agate Bay Mortgage
Trust 2016-3 2016-3 B-3 00842VAU7 A+ (sf) A+ (sf)
Agate Bay Mortgage
Trust 2016-3 2016-3 B-4 00842VAV5 BBB- (sf) BBB- (sf)
PSMC 2020-3 Trust 2020-3 A-1 693675AA8 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-2 693675AB6 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-3 693675AC4 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-4 693675AD2 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-5 693675AE0 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-6 693675AF7 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-7 693675AG5 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-8 693675AH3 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-9 693675AJ9 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-10 693675AK6 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-11 693675AL4 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-12 693675AM2 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-13 693675AN0 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-14 693675AP5 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-15 693675AQ3 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-16 693675AR1 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-17 693675AS9 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-18 693675AT7 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-19 693675AU4 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-20 693675AV2 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-21 693675AW0 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-22 693675AX8 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-23 693675AY6 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-24 693675AZ3 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-25 693675BA7 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-26 693675BB5 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-X1 693675BC3 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-X2 693675BD1 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-X3 693675BE9 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-X4 693675BF6 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-X5 693675BG4 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-X6 693675BH2 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-X7 693675BJ8 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-X8 693675BK5 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-X9 693675BL3 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-X10 693675BM1 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 A-X11 693675BN9 AAA (sf) AAA (sf)
PSMC 2020-3 Trust 2020-3 B-1 693675BP4 AA (sf) AA (sf)
PSMC 2020-3 Trust 2020-3 B-2 693675BQ2 A (sf) A (sf)
PSMC 2020-3 Trust 2020-3 B-3 693675BR0 BBB (sf) BBB (sf)
PSMC 2020-3 Trust 2020-3 B-4 693675BS8 BB- (sf) BB- (sf)
PSMC 2020-3 Trust 2020-3 B-5 693675BT6 B (sf) B (sf)
PSMC 2021-1 Trust 2021-1 A-1 693650AA1 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-2 693650AB9 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-3 693650AC7 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-4 693650AD5 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-5 693650AE3 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-6 693650AF0 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-7 693650AG8 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-8 693650AH6 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-9 693650AJ2 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-10 693650AK9 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-11 693650AL7 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-12 693650AM5 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-13 693650AN3 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-14 693650AP8 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-15 693650AQ6 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-16 693650AR4 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-17 693650AS2 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-18 693650AT0 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-19 693650AU7 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-20 693650AV5 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-21 693650AW3 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-22 693650AX1 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-23 693650AY9 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-24 693650AZ6 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-25 693650BA0 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-26 693650BB8 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-X1 693650BC6 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-X2 693650BD4 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-X3 693650BE2 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-X4 693650BF9 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-X5 693650BG7 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-X6 693650BH5 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-X7 693650BJ1 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-X8 693650BK8 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-X9 693650BL6 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-X10 693650BM4 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 A-X11 693650BN2 AAA (sf) AAA (sf)
PSMC 2021-1 Trust 2021-1 B-1 693650BP7 AA (sf) AA (sf)
PSMC 2021-1 Trust 2021-1 B-2 693650BQ5 A (sf) A- (sf)
MAIN RATIONALE: Increased credit support.
PSMC 2021-1 Trust 2021-1 B-3 693650BR3 BBB- (sf) BBB- (sf)
PSMC 2021-1 Trust 2021-1 B-4 693650BS1 BB- (sf) BB- (sf)
PSMC 2021-1 Trust 2021-1 B-5 693650BT9 B (sf) B (sf)
PSMC 2021-2 Trust 2021-2 A-1 69376CAA2 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-2 69376CAB0 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-3 69376CAC8 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-4 69376CAD6 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-5 69376CAE4 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-6 69376CAF1 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-7 69376CAG9 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-8 69376CAH7 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-9 69376CAJ3 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-10 69376CAK0 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-11 69376CAL8 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-12 69376CAM6 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-13 69376CAN4 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-14 69376CAP9 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-15 69376CAQ7 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-16 69376CAR5 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-17 69376CAS3 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-18 69376CAT1 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-19 69376CAU8 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-20 69376CAV6 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-21 69376CAW4 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-22 69376CAX2 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-23 69376CAY0 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-24 69376CAZ7 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-25 69376CBA1 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-26 69376CBB9 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-X1 69376CBC7 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-X2 69376CBD5 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-X3 69376CBE3 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-X4 69376CBF0 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-X5 69376CBG8 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-X6 69376CBH6 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-X7 69376CBJ2 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-X8 69376CBK9 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-X9 69376CBL7 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-X10 69376CBM5 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 A-X11 69376CBN3 AAA (sf) AAA (sf)
PSMC 2021-2 Trust 2021-2 B-1 69376CBP8 AA (sf) AA (sf)
PSMC 2021-2 Trust 2021-2 B-2 69376CBQ6 A (sf) A (sf)
PSMC 2021-2 Trust 2021-2 B-3 69376CBR4 BBB- (sf) BBB- (sf)
PSMC 2021-2 Trust 2021-2 B-4 69376CBS2 BB- (sf) BB- (sf)
PSMC 2021-2 Trust 2021-2 B-5 69376CBT0 B (sf) B (sf)
SARATOGA INVESTMENT 2022-1: Moody's Assigns Ba3 Rating to E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to four classes of
notes issued by Saratoga Investment Corp Senior Loan Fund 2022-1,
Ltd. (the "Issuer").
Moody's rating action is as follows:
US$240,000,000 Class A-1 Senior Secured Floating Rate Notes due
2033, Assigned Aaa (sf)
US$16,000,000 Class A-2 Senior Secured Floating Rate Notes due
2033, Assigned Aaa (sf)
US$20,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2033, Assigned A3 (sf)
US$14,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2033, Assigned Ba3 (sf)
The notes listed are referred to herein, collectively, as the
"Rated Notes."
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.
Saratoga Investment Corp Senior Loan Fund 2022-1, Ltd. 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 and eligible
investments, and up to 10.0% of the portfolio may consist of second
lien loans, unsecured loans and bonds. The portfolio is 100% ramped
as of the closing date.
Saratoga Senior Loan Fund I JV, 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 three 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 two 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: $400,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2678
Weighted Average Spread (WAS): SOFR+3.70%
Weighted Average Coupon (WAC): 6.0%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 7.0 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2021.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
SLM STUDENT 2008-2: Moody's Lowers Rating on Cl. A-3 Notes to B1
----------------------------------------------------------------
Moody's Investors Service has downgraded class A notes issued by
three FFELP student loan securitizations sponsored and administered
by Navient Solutions, LLC. The securitizations are backed by
student loans originated under the Federal Family Education Loan
Program (FFELP) that are guaranteed by the US government for a
minimum of 97% of defaulted principal and accrued interest.
The complete rating actions are as follows:
Issuer: SLM Student Loan Trust 2008-2
Cl. A-3, Downgraded to B1 (sf); previously on Mar 7, 2022
Downgraded to Ba3 (sf)
Issuer: SLM Student Loan Trust 2008-6
Cl. A-4, Downgraded to B1 (sf); previously on Mar 7, 2022
Downgraded to Ba3 (sf)
Issuer: SLM Student Loan Trust 2008-7
Cl. A-4, Downgraded to B1 (sf); previously on Mar 7, 2022
Downgraded to Ba3 (sf)
RATINGS RATIONALE
The downgrade actions are primarily a result of the Class A notes'
approaching their legal final maturities and the reliance on
Navient's support to pay off the notes in full by their legal final
maturity dates. The maturity dates for these notes are between
April and July 2023.
In the action, Moody's considered Navient's willingness and ability
to support the notes by paying off the outstanding amount of the
notes at their legal final maturity dates. The transactions include
a 10% clean-up call provision by Navient. In addition, Navient had
previously amended transactions to allow for 10% additional
purchase of collateral or to establish a revolving credit facility
that enables the trust to borrow money from Navient Corporation on
a subordinated basis in order to pay off the notes. Based on the
current pool factor for the trusts and available 10% additional
purchase, Navient should be able to bring pool factor to 10% by
legal final maturity dates of the affected notes and exercise the
optional redemption. However, Moody's also considered the
uncertainty of Navient calling the deals due to the limited current
market interest in FFELP loans in light of recent announcement of
student loan forgiveness.
The actions also reflect the updated performance of the
transactions and updated expected loss on the tranches across
Moody's cash flow scenarios. Moody's quantitative analysis derives
the expected loss for a tranche using 28 cash flow scenarios with
weights accorded to each scenario.
Moody's ratings on the Class A notes of the affected transactions
are lower than the ratings on the subordinated Class B notes.
Although transaction structures stipulate that Class B interest is
diverted to pay Class A principal upon default on the Class A
notes, Moody's analysis indicates that the cash flow available to
make payments on the Class B notes will be sufficient to make all
required payments, including accrued interest, to Class B
noteholders by the Class B final maturity dates, which occur later
than the final maturity dates of the downgraded Class A notes. The
Class B maturities range between January and July 2083.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Moody's
Approach to Rating Securities Backed by FFELP Student Loans"
published in April 2021.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the ratings if the paydown speed of the loan
pool increases as a result of declining borrower usage of
deferment, forbearance and IBR, increasing voluntary prepayment
rates, or prepayments with proceeds from sponsor repurchases of
student loan collateral. Moody's could also upgrade the ratings
owing to a build-up in credit enhancement.
Down
Moody's could downgrade the ratings if the paydown speed of the
loan pool declines as a result of lower than expected voluntary
prepayments, and higher than expected deferment, forbearance and
IBR rates, which would threaten full repayment of the class by its
final maturity date. In addition, because the US Department of
Education guarantees at least 97% of principal and accrued interest
on defaulted loans, Moody's could downgrade the rating of the notes
if it were to downgrade the rating on the United States government.
SOUND POINT III-R: Moody's Lowers Rating on Class F Notes to Caa3
-----------------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following note issued by Sound Point CLO III-R, Ltd.:
US$10,000,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2029, Downgraded to Caa3 (sf); previously on July 24, 2020
Downgraded to Caa2 (sf)
Sound Point CLO III-R, Ltd., issued in April 2018 is a managed
cashflow CLO. The notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in April 2021.
RATINGS RATIONALE
The downgrade rating action on the Class F notes reflects the
specific risks to the junior notes posed by par loss and credit
deterioration observed in the underlying CLO portfolio. Based on
Moody's calculation, the OC ratio for the Class F notes is
currently 101.55%. Furthermore, the weighted average spread (WAS)
has been deteriorating since October 2021. Based on trustee's
October 2022 report[1], the WAS is reported at 3.17% compared to
3.38% in October 2021 [2].
Notwithstanding the foregoing, the deal has benefited from an
improvement in the credit quality of the portfolio since October
2021. Based on the trustee's October 2022 report[3], the weighted
average rating factor (WARF) is currently 2699 compared to 2822 in
October 2021[4].
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on its
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:
Performing par and principal proceeds balance: $426,024,281
Defaulted par: $5,316,404
Diversity Score: 61
Weighted Average Rating Factor (WARF): 2598
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.18%
Weighted Average Recovery Rate (WARR): 47.51%
Weighted Average Life (WAL): 2.64 years
In addition to base case analysis, Moody's considered additional
scenarios where outcomes could diverge from the base case. These
additional scenarios include, among others, near term defaults by
companies facing liquidity pressure, deterioration in credit
quality of the underlying portfolio, decrease in overall WAS and
lower recoveries on defaulted assets.
Methodology Used for the Rating Action
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2021.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.
VERUS SECURITIZATION 2022-INV2: S&P Assigns (P) B-(sf) on B-2 Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Verus
Securitization Trust 2022-INV2's mortgage-backed notes.
The note issuance is an RMBS transaction backed by U.S. residential
mortgage loans.
The preliminary ratings are based on information as of Nov. 2,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, representations and warranties framework, and geographic
concentration;
-- The mortgage aggregator, Invictus Capital Partners (Invictus);
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
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%."
Preliminary Ratings Assigned
Verus Securitization Trust 2022-INV2
Class A-1, $198,935,000: AAA (sf)
Class A-2, $42,795,000: AA (sf)
Class A-3, $47,420,000: A (sf)
Class M-1, $34,699,000: BBB- (sf)
Class B-1, $22,361,000: BB- (sf)
Class B-2, $18,120,000: B- (sf)
Class B-3, $21,204,650: Not rated
Class A-IO-S, $385,534,650(i): Not rated
Class XS, $385,534,650(i): Not rated
Class R, not applicable: Not rated
WELLS FARGO 2015-NXS1: Fitch Affirms B-sf Rating on 2 Tranches
--------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of Wells Fargo Commercial
Mortgage Trust 2015-NXS1 commercial mortgage pass-through
certificates. The Rating Outlooks for two classes have been revised
to Stable from Negative and for one class to Positive from Stable.
Entity/Debt Rating Prior
----------- ------ -----
WFCM 2015-NXS1
A-2 94989HAF7 LT AAAsf Affirmed AAAsf
A-3 94989HAJ9 LT AAAsf Affirmed AAAsf
A-4 94989HAM2 LT AAAsf Affirmed AAAsf
A-5 94989HAQ3 LT AAAsf Affirmed AAAsf
A-S 94989HAW0 LT AAAsf Affirmed AAAsf
A-SB 94989HAT7 LT AAAsf Affirmed AAAsf
B 94989HBF6 LT AAsf Affirmed AAsf
C 94989HBJ8 LT A-sf Affirmed A-sf
D 94989HBM1 LT BBB-sf Affirmed BBB-sf
E 94989HBR0 LT BB-sf Affirmed BB-sf
F 94989HBU3 LT B-sf Affirmed B-sf
PEX 94989HBQ2 LT A-sf Affirmed A-sf
X-A 94989HAZ3 LT AAAsf Affirmed AAAsf
X-E 94989HCA6 LT BB-sf Affirmed BB-sf
X-F 94989HCD0 LT B-sf Affirmed B-sf
KEY RATING DRIVERS
Improved Loss Expectations: The Outlook revision to Stable from
Negative on class F and interest-only class X-F reflect improved
loss expectations for the pool since the prior rating action
primarily due to stabilizing performance of loans affected by the
pandemic. Fitch's current ratings incorporate a base case loss of
5%. There are five Fitch Loans of Concern (FLOCs; 12.4% of pool).
The largest contributor to expected losses is the 9990 Richmond
Avenue asset (2.5%), which is a 188,439-sf office building located
in Houston, TX. The subject's occupancy has been declining for the
past several years, and was reported at 50% as of September 2022,
down from 66% at YE 2020, 72% at YE 2019, 75% at YE 2018 and 90% at
YE 2017. The continued occupancy declines have been attributed to
the loss of multiple large tenants, including Costello (17% NRA;
vacated in 2019), Selene Finance (15% NRA; vacated in 2022) and
Tranzap, Inc. (6% NRA; vacated in 2019). The loan transferred to
special servicing in January 2021 for imminent default after the
borrower expressed a desire for a consensual foreclosure, and the
asset became REO in August 2021. The servicer is working to extend
an expiring lease with the GSA (8% NRA; expiring October 2022)
before listing the asset for sale. Fitch's loss expectations of 62%
represents a stressed value of $40psf.
The second largest contributor to expected losses and largest
increase in loss since the prior rating action is the 760 & 800
Westchester Avenue loan, which is secured by a two-building,
561,513-sf suburban office campus located in Rye Brook, NY. The
property is leased to a diverse tenancy base from various
industries, including healthcare, insurance, financial and
telecommunications. The largest tenant, CBL Path (11.5% NRA),
renewed its lease through November 2024. The second largest tenant
at issuance, Guardian Life Insurance (7.3% NRA), vacated upon its
March 2022 lease expiration. Overall occupancy has declined to
83.5% as of the June 2022 rent roll, from 88% at YE 2021 and 92% at
issuance. The servicer-reported NOI DSCR was 1.16x as of YE 2021.
Fitch's loss expectations of 12% reflects a 9% cap rate and a 10%
haircut to the YE 2021 NOI due to the Guardian Life vacancy.
The largest improvement in loss since the prior rating action is
the largest loan in special servicing, Hotel Andra (3.2%), which is
secured by a 119-room, full-service unflagged, boutique hotel
located in Seattle, WA. The loan transferred to special servicing
in March 2020 due to payment default, but is expected to return to
the master servicer after the borrower and servicer agreed to a
forbearance agreement. The hotel had been closed from March 2020
and reopened in August 2021. During the closure, the borrower has
reportedly made upgrades to the property, including room and lobby
renovations.
Performance is still recovering from the pandemic. According to the
most recent STR report from June 2022, TTM occupancy, ADR and
RevPAR were 44%, $203.01 and $89.26, respectively, compared with
91%, $252 and $229 at September 2019 TTM. Fitch's loss expectations
have improved to 2.5% from 14% at the prior rating action,
reflecting a higher recent appraisal valuation as performance
continues to stabilize and the expected return of the loan to the
master servicer.
Increased Credit Enhancement (CE): The Positive Outlook on class B
reflects increasing CE and the potential for upgrade over the next
one to two years with continued paydown and/or additional
defeasance, as well as stable to improving pool performance.
As of the September 2022 distribution date, the pool's aggregate
principal balance has been reduced by 24.3% to $723.3 million from
$955.2 million at issuance. Seven loans (11.1%) are fully defeased.
Four loans (13.5%) are full-term, interest-only and the remaining
loans in the pool are amortizing. Loan maturities are concentrated
in 2024 (16.6%) and 2025 (78.6%). The anticipated repayment date
(ARD) for the 100 West 57th Street loan (4.8%) has passed on Nov.
10, 2019. Per the servicer, the borrower has no plans to repay the
loan until the ground rent resets in March 2025.
Alternative Loss Considerations: While CE and pool loss
expectations have improved, prior to any upgrades, Fitch
incorporated an additional pool-level sensitivity scenario to test
for the resiliency of the current ratings by applying higher cap
rates and NOI stresses. This additional scenario supported the
affirmations and the Rating Outlook revisions.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Downgrades would occur with an increase in pool-level losses from
underperforming or specially serviced loans. Downgrades to classes
A-3, A-4, A-5, A-SB, A-S and X-A are not likely due to the
increasing CE, expected continued paydown and overall stable to
improving performance, but may occur should interest shortfalls
affect these classes. Downgrades to classes B, C and PEX may occur
should pool loss expectations increase significantly and should all
of the FLOCs suffer losses, which would erode CE.
Downgrades to classes D, E, F and interest only classes X-E and X-F
may occur with further performance deterioration of the FLOCs,
should additional loans default or transfer to special servicing
and/or losses from the 9990 Richmond Avenue asset are higher than
anticipated.
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 would occur with stable to improved asset performance,
particularly on the FLOCs, coupled with additional paydown and/or
defeasance. Upgrades to classes B and C would only occur with
significant improvement in CE, defeasance, and/or performance
stabilization of FLOCs and other loans secured by office properties
that have exposure to lease rollover.
Upgrades to classes D, E and interest only classes X-E may occur as
the number of FLOCs are reduced, properties vulnerable to the
pandemic return to pre-pandemic levels and there is sufficient CE
to the classes. Classes would not be upgraded above 'Asf' if there
were likelihood of interest shortfalls.
Upgrades to class F and interest only class X-F are not likely
until the later years of the transaction and only if the
performance of the remaining pool is stable and/or properties
vulnerable to the pandemic return to pre-pandemic levels, and there
is sufficient CE to the 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.
[*] S&P Takes Various Actions on 85 Classes from 27 U.S. RMBS Deals
-------------------------------------------------------------------
S&P Global Ratings completed its review of 85 classes from 27 U.S.
RMBS transactions issued between 1997 and 2007. All of these
transactions are backed by subprime collateral. The review yielded
18 upgrades, nine downgrades, 54 affirmations, and four
withdrawals.
A list of Affected Ratings can be viewed at:
https://bit.ly/3NyQ3XJ
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;
-- Erosion of or increases in credit support;
-- An expected short duration;
-- Payment priority;
-- Small loan count; and
-- Historical and/or outstanding missed interest payments.
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.
"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."
The upgrades are primarily due to increased credit support. The
majority of these transactions have failed their cumulative loss
trigger, which provides a permanent sequential principal payment
mechanism. This prevents credit support from eroding and limits the
class' exposure to losses. As a result, the upgrades on these
classes reflect their abilities to withstand a higher level of
projected losses than previously anticipated. Additionally, the
majority of these classes are receiving all of the principal
payments or are next in payment priority when the more senior class
pays down.
The majority of the downgrades reflect S&P's view that the payment
allocation triggers are passing, allowing principal payments to be
made to more subordinate classes and eroding projected credit
support for the affected classes.
[*] S&P Takes Various Actions on 95 Classes from 30 U.S. RMBS Deals
-------------------------------------------------------------------
S&P Global Ratings completed its review of 95 classes from 30 U.S.
RMBS transactions issued between 2003 and 2007. The review yielded
21 upgrades, 12 downgrades, 47 affirmations, and 15
discontinuances. At the same time, S&P maintained the CreditWatch
with negative implications on one of the lowered ratings.
A list of Affected Ratings can be viewed at:
https://bit.ly/3h74nL6
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 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 (O/C);
-- Increases or decreases in available credit support;
-- Historical and/or outstanding missed interest payments/interest
shortfalls;
-- Reduced interest payments due to loan modifications;
-- Expected duration;
-- Payment priority; and
-- A small number of remaining loans.
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 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."
The majority of the upgrades are due to increased credit support.
As a result, the upgrades on these classes reflect their ability to
withstand a higher level of projected losses than previously
anticipated.
The rating on the class M-1 certificates issued from CPT
Asset-Backed Certificates Trust 2004-EC1 was lowered in this review
due to its seventh consecutive reported interest shortfall during
the October 2022 remittance report. Based on "S&P Global Ratings
Definitions" (published Nov. 10, 2021), an outstanding interest
shortfall for a duration of seven periods is consistent with a
maximum potential rating of 'BBB- (sf)'.
S&P said, "Additionally, we maintained the CreditWatch negative
placement on the CPT Asset-Backed Certificates Trust 2004-EC1 class
M-1 certificates. The CreditWatch placement reflects the current
interest shortfalls on this class, the current level of O/C (13.8%
of the deal's target O/C amount), and the potential for the target
to be reached prior to an additional three periods of interest
shortfalls, which, based on our criteria, displays a maximum
potential rating of 'B- (sf)'. We will continue to monitor the O/C
level and interest shortfall of the class M-1 balance and resolve
the CreditWatch placement.
"Finally, in accordance with our policies and procedures, we
discontinued 14 ratings because we view a subsequent upgrade to a
rating higher than 'D (sf)' to be unlikely. We previously lowered
the ratings on these classes to 'D (sf)' because of principal
losses and/or accumulated interest shortfalls."
*********
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