/raid1/www/Hosts/bankrupt/TCR_Public/221127.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, November 27, 2022, Vol. 26, No. 330
Headlines
AMERICAN CREDIT 2022-4: S&P Assigns BB-(sf) Ratings on Cl. E Notes
AMMC CLO 27: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
AMSR TRUST 2021-SFR4: DBRS Confirms BB(low) Rating on F-2 Certs
BANK 2022-BNK44: Fitch Assigns Final Bsf Rating on 2 Tranches
BELLEMEADE RE 2021-2: Moody's Raises Rating on Cl. B-1 Notes to B2
CD MORTGAGE 2017-CD3: Fitch Cuts Rating on 3 Tranches to 'CCCsf'
CEDAR CREST 2022-1: Fitch Assigns 'B-sf' Rating on Class F Notes
CIFC FUNDING 2022-VII: Fitch Gives BB-(EXP)sf Rating on Cl. E Notes
CIFC FUNDING 2022-VII: Moody's Gives (P)B3 Rating to $1MM F Notes
COLT MORTGAGE 2022-9: Fitch Assigns B(EXP)sf Rating on Cl. B2 Certs
COMM 2013-CCRE12: Moody's Downgrades Rating on Cl. C Certs to B2
COMM 2013-LC6: Moody's Lowers Rating on Cl. E Certs to B1
COMM MORTGAGE 2014-UBS6: Fitch Affirms CCC Rating on 2 Tranches
COMMERCIAL EQUIPMENT 2021-A: DBRS Confirms BB(low) on D Notes
DANBY PARK: S&P Assigns BB- (sf) Rating on $12.40MM Class E Notes
DRYDEN 106: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes
ELMWOOD CLO 21: S&P Assigns Prelim B- (sf) Rating on Class F Notes
FIRST FRANKLIN 2006-FF18: Moody's Ups Rating on Cl. A-1 Debt to B3
FLAGSTAR MORTGAGE 2020-1INV: Moody's Ups B-5 Bonds Rating to Ba1
FORTRESS CREDIT XVI: Fitch Assigns 'BB-sf' Rating on Class E Notes
GS MORTGAGE 2012-BWTR: Moody's Lowers Rating on Cl. C Certs to Ba1
GS MORTGAGE 2017-GPTX: Moody's Lowers Rating on Cl. C Certs to Ba1
GUGGENHEIM CLO 2022-1: Fitch Assigns 'BB-sf' Rating on Cl. D Notes
HOTWIRE FUNDING 2021-1: Fitch Affirms 'BBsf' Rating on Cl. B Notes
JP MORGAN 2017-FL11: DBRS Confirms BB(low) Rating on Class E Certs
JP MORGAN 2022-DSC1: S&P Assigns Prelim B-(sf) on B-2 Certs
MADISON PARK LIV: S&P Assigns BB- (sf) Rating on Class E-2 Notes
MARANON LOAN 2022-1: S&P Assigns BB- (sf) Rating on Class E Notes
MARBLE POINT XXV: Fitch Assigns 'BB-sf' Rating on Class E Notes
MIDOCEAN CREDIT XI: Fitch Assigns 'BB-sf' Rating on Class E Notes
MORGAN STANLEY 2014-C14: Fitch Affirms 'Bsf' Rating on Cl. G Certs
MORGAN STANLEY 2015-C23: Fitch Affirms B- Rating on Class F Debt
NATIXIS COMMERCIAL 2017-75B: S&P Cuts V2 Certs Rating to 'CCC(sf)'
NYMT LOAN 2022-INV1: DBRS Finalizes B Rating on Class B-2 Notes
OBX TRUST 2022-INV5: Moody's Assigns B3 Rating to Cl. B-5 Debt
SATURNS TRUST 2003-7: S&P Raises Class B Units Rating to 'BB+'
SCF EQUIPMENT 2022-2: Moody's Assigns B2 Rating to Class F-1 Notes
SECURITIZED TERM 2019-CRT: DBRS Confirms BB Rating on Class D Debt
SPRUCE HILL 2022-SH1: Fitch Assigns 'Bsf' Rating on Class B2 Certs
SUMMIT ISSUER 2020-1: Fitch Affirms 'BB-sf' Rating on Class B Notes
SYMPHONY CLO 37: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes
TABERNA PREFERRED I: Fitch Hikes Rating on 2 Tranches to BBsf
TSTAT LTD 2022-2: Fitch Assigns 'BB-sf' Rating on Class E Notes
VOYA CLO 2015-3: Fitch Affirms 'B-sf' Rating on Class E-R Notes
WFRBS COMMERCIAL 2014-LC14: Fitch Affirms CCC Rating on F Certs
WOODMONT 2022-10: S&P Assigns BB- (sf) Rating on Class E Notes
WOODMONT TRUST 2021-8: Fitch Affirms 'BB+sf' Rating on Cl. E Notes
[*] DBRS Confirms Ratings on 4 Single Borrower Deals Issued in 2021
[*] Moody's Takes Action on $197MM of US RMBS Issued 2004-2007
[*] S&P Affirms 48 Ratings From 10 U.S. RMBS Transactions
[*] S&P Takes Various Actions on 63 Classes From Nine US RMBS Deals
[*] S&P Takes Various Actions on 98 Classes from 31 U.S. RMBS Deals
*********
AMERICAN CREDIT 2022-4: S&P Assigns BB-(sf) Ratings on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to American Credit
Acceptance Receivables Trust 2022-4's automobile receivables-backed
notes.
The note issuance is an ABS transaction backed by subprime auto
loan receivables.
The ratings reflect:
-- The availability of approximately 65.5%, 60.6%, 47.8%, 38.9%,
and 33.8% 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 2.35x, 2.10x, 1.70x, 1.37x, and 1.20x coverage of
S&P's expected cumulative net loss of 27.25% for the class A, B, C,
D, and E notes, respectively.
-- The expectation that under a moderate ('BBB') stress scenario
(1.37x 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 its stressed cash flow modeling
scenarios, which S&P 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 Wells Fargo Bank N.A., which do
not constrain the ratings.
-- S&P's operational risk assessment of American Credit Acceptance
LLC as servicer, S&P's view of the company's underwriting, and its
view of 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 that are in
line with its sector benchmark.
-- The transaction's payment and legal structures.
Ratings Assigned
American Credit Acceptance Receivables Trust 2022-4
Class A, $133.95 million, 6.20% interest rate: AAA (sf)
Class B, $18.62 million, 6.75% interest rate: AA (sf)
Class C, $75.62 million, 7.86% interest rate: A (sf)
Class D, $50.16 million, 8.00% interest rate: BBB (sf)
Class E, $38.57 million, 10.00% interest rate: BB- (sf)
AMMC CLO 27: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to AMMC CLO 27
Ltd./AMMC CLO 27 LLC's fixed- and floating-rate notes.
The note issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by American Money Management Corp.
The preliminary ratings are based on information as of Nov. 18,
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 debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
AMMC CLO 27 Ltd./AMMC CLO 27 LLC
Class A-1A, $178.480 million: NR
Class A-1F, $41.000 million: NR
Class A-J, $7.080 million: NR
Class B-1, $23.500 million: AA (sf)
Class B-F, $17.210 million: AA (sf)
Class C (deferrable), $18.585 million: A (sf)
Class D (deferrable), $18.600 million: BBB- (sf)
Class E (deferrable), $13.275 million: BB- (sf)
Subordinated notes, $32.100 million: NR
NR--Not rated.
N/A--Not applicable.
AMSR TRUST 2021-SFR4: DBRS Confirms BB(low) Rating on F-2 Certs
---------------------------------------------------------------
DBRS, Inc. (DBRS Morningstar) confirmed the ratings on the
following classes from AMSR 2021-SFR4 Trust:
Single-Family Rental Pass-Through Certificates
- Class A at AAA (sf)
- Class B at AA (high) (sf)
- Class C at A (high) (sf)
- Class D at A (low) (sf)
- Class E-1 at BBB (sf)
- Class E-2 at BBB (low) (sf)
- Class F-1 at BB (high) (sf)
- Class F-2 at BB (low) (sf)
The rating confirmations reflect asset performance and
credit-support levels that are consistent with the current
ratings.
DBRS Morningstar's rating actions are based on the following
analytical consideration:
-- Key performance measures as reflected in month-over-month
changes in vacancy and delinquency, quarterly analysis of the
actual expenses, credit enhancement increases since deal inception,
and bond paydown factors.
BANK 2022-BNK44: Fitch Assigns Final Bsf Rating on 2 Tranches
-------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
BANK 2022-BNK44, commercial mortgage pass-through certificates,
series 2022-BNK44, as follows:
Entity/Debt Rating Prior
----------- ------ -----
BANK 2022-BNK44
A-1 LT AAAsf New Rating AAA(EXP)sf
A-2 LT AAAsf New Rating AAA(EXP)sf
A-4 LT WDsf Withdrawn AAA(EXP)sf
A-4-1 LT WDsf Withdrawn AAA(EXP)sf
A-4-2 LT WDsf Withdrawn AAA(EXP)sf
A-4-X1 LT WDsf Withdrawn AAA(EXP)sf
A-4-X2 LT WDsf Withdrawn AAA(EXP)sf
A-5 LT AAAsf New Rating AAA(EXP)sf
A-5-1 LT AAAsf New Rating AAA(EXP)sf
A-5-2 LT AAAsf New Rating AAA(EXP)sf
A-5-X1 LT AAAsf New Rating AAA(EXP)sf
A-5-X2 LT AAAsf New Rating AAA(EXP)sf
A-S LT AAAsf New Rating AAA(EXP)sf
A-S-1 LT AAAsf New Rating AAA(EXP)sf
A-S-2 LT AAAsf New Rating AAA(EXP)sf
A-S-X1 LT AAAsf New Rating AAA(EXP)sf
A-S-X2 LT AAAsf New Rating AAA(EXP)sf
A-SB LT AAAsf New Rating AAA(EXP)sf
B LT AA-sf New Rating AA-(EXP)sf
B-1 LT AA-sf New Rating AA-(EXP)sf
B-2 LT AA-sf New Rating AA-(EXP)sf
B-X1 LT AA-sf New Rating AA-(EXP)sf
B-X2 LT AA-sf New Rating AA-(EXP)sf
C LT A-sf New Rating A-(EXP)sf
C-1 LT A-sf New Rating A-(EXP)sf
C-2 LT A-sf New Rating A-(EXP)sf
C-X1 LT A-sf New Rating A-(EXP)sf
C-X2 LT A-sf New Rating A-(EXP)sf
D LT BBBsf New Rating BBB(EXP)sf
E LT BBB-sf New Rating BBB-(EXP)sf
F LT BBsf New Rating BB(EXP)sf
G LT Bsf New Rating B(EXP)sf
H LT NRsf New Rating NR(EXP)sf
RR Interest LT NRsf New Rating NR(EXP)sf
X-A LT AAAsf New Rating AAA(EXP)sf
X-B LT WDsf Withdrawn AA-(EXP)sf
X-D LT BBB-sf New Rating BBB-(EXP)sf
X-F LT BBsf New Rating BB(EXP)sf
X-G LT Bsf New Rating B(EXP)sf
X-H LT NRsf New Rating NR(EXP)sf
- $14,500,000 class A-1 'AAAsf'; Outlook Stable;
- $82,100,000 class A-2 'AAAsf'; Outlook Stable;
- $23,200,000 class A-SB 'AAAsf'; Outlook Stable;
- $562,650,000a class A-5 'AAAsf'; Outlook Stable;
- $0b class A-5-1 'AAAsf'; Outlook Stable;
- $0b class A-5-2 'AAAsf'; Outlook Stable;
- $0bc class A-5-X1 'AAAsf'; Outlook Stable;
- $0bc class A-5-X2 'AAAsf'; Outlook Stable;
- $682,450,000c class X-A 'AAAsf'; Outlook Stable;
- $97,493,000 class A-S 'AAAsf'; Outlook Stable;
- $0b class A-S-1 'AAAsf'; Outlook Stable;
- $0bclass A-S-2 'AAAsf'; Outlook Stable;
- $0bc class A-S-X1 'AAAsf'; Outlook Stable;
- $0bc class A-S-X2 'AAAsf'; Outlook Stable;
- $43,872,000 class B 'AA-sf'; Outlook Stable;
- $0b class B-1 'AA-sf'; Outlook Stable;
- $0b class B-2 'AA-sf'; Outlook Stable;
- $0bc class B-X1 'AA-sf'; Outlook Stable;
- $0bc class B-X2 'AA-sf'; Outlook Stable;
- $42,653,000 class C 'A-sf'; Outlook Stable;
- $0b class C-1 'A-sf'; Outlook Stable;
- $0b class C-2 'A-sf'; Outlook Stable;
- $0bc class C-X1 'A-sf'; Outlook Stable;
- $0bc class C-X2 'A-sf'; Outlook Stable;
- $25,592,000d class D 'BBBsf'; Outlook Stable;
- $17,061,000d class E 'BBB-sf'; Outlook Stable;
- $42,653,000cd class X-D 'BBB-sf'; Outlook Stable;
- $21,936,000d class F 'BBsf'; Outlook Stable;
- $21,936,000cd class X-F 'BBsf'; Outlook Stable;
- $9,750,000d class G 'Bsf'; Outlook Stable.
- $9,750,000cd class X-G 'Bsf'; Outlook Stable.
Fitch does not rate the following classes:
- $34,122,756d class H;
- $34,122,756cd class X-H;
- $51,312,092e class RR Interest.
a. Since Fitch published its expected ratings on Nov. 2, 2022, the
balances for classes A-4 and A-5 were finalized. At the time the
expected ratings were published, the initial certificate balances
of classes A-4 and A-5 were expected to be $562,650,000 in the
aggregate, subject to a 5% variance. The classes above reflect the
final ratings and deal structure.
b. Exchangeable Certificates. Class A-5, A-S, B and C certificates
are exchangeable certificates. Each class of exchangeable
certificates may be exchanged for the corresponding classes of
exchangeable certificates and vice versa. The dollar denomination
of each of the received classes of certificates must be equal to
the dollar denomination of each of the corresponding classes of
exchangeable certificates. Class A-5 may be surrendered (or
received) for the received (or surrendered) classes A-5-1 and
A-5-X1. Class A-5 may be surrendered (or received) for the received
(or surrendered) classes A-5-2 and A-5-X2. Class A-S may be
surrendered (or received) for the received (or surrendered) classes
A-S-1 and A-S-X1. Class A-S may be surrendered (or received) for
the received (or surrendered) classes A-S-2 and A-S-X2. Class B may
be surrendered (or received) for the received (or surrendered)
classes B-1 and B-X1. Class B may be surrendered (or received) for
the received (or surrendered) classes B-2 and B-X2. Class C may be
surrendered (or received) for the received (or surrendered) classes
C-1 and C-X1. Class C may be surrendered (or received) for the
received (or surrendered) classes C-2 and C-X2.
c. Notional amount and interest only.
d. Privately placed and pursuant to Rule 144A.
e. Represents the "eligible vertical interest" comprising 5.0% of
the pool.
TRANSACTION SUMMARY
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 56 loans secured by 75
commercial properties having an aggregate principal balance of
$1,026,241,849 as of the cut-off date. The loans were contributed
to the trust by Wells Fargo Bank, National Association, National
Cooperative Bank, N.A., Morgan Stanley Mortgage Capital Holdings
LLC, and Bank of America, National Association. The Master
Servicers are expected to be Wells Fargo Bank, National
Association, and National Cooperative Bank, N.A., and the Special
Servicers are expected to be KeyBank National Association and
National Cooperative Bank, N.A.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 40.3% of the properties
by balance, cash flow analyses of 83.7% of the pool and asset
summary reviews on 100% of the pool.
Fitch has withdrawn the expected ratings for classes A-4 and X-B
because the classes were removed from the final deal structure. The
classes above reflect the final ratings and deal structure.
KEY RATING DRIVERS
Lower Fitch Leverage than Recent Transactions: The pool has lower
leverage compared to recent multiborrower transactions rated by
Fitch. The pool's Fitch loan-to-value ratio (LTV) of 95.7% is lower
than both the YTD 2022 and 2021 averages of 100.3% and 103.3%,
respectively. Additionally, the pool's Fitch trust debt service
coverage ratio (DSCR) of 1.39x is slightly higher than the YTD 2022
and 2021 averages of 1.31x and 1.38x, respectively.
The pool's conduit-specific leverage is also lower than other
multiborrower transactions recently rated by Fitch. Excluding
co-operative (co-op) and credit opinion loans, the pool's DSCR and
LTV are 1.14x and 102.3%, respectively. This is lower leverage
compared to the equivalent conduit YTD 2022 LTV and DSCR averages
of 107.4% and 1.23x, respectively.
Investment Grade Credit Opinion and Co-Op Loans: One loan
representing 5.9% of the pool received an investment-grade credit
opinion. Constitution Center (5.9%) received a standalone credit
opinion of 'A-sf*'. The pool's total credit opinion percentage is
above the YTD 2022 and 2021 averages of 14.9% and 13.3%,
respectively. Additionally, the pool contains a total of 22 loans,
representing 5.4% of the cutoff balance, that are secured by
residential co-ops and exhibit leverage characteristics that are
significantly lower than those of typical conduit loans. The
weighted average (WA) Fitch DSCR and LTV for the co-op loans are
5.32x and 25.1%, respectively.
Retail Exposure: Retail properties represent the largest
concentration at 42.7%, which is higher than the 2022 YTD and 2021
averages of 21.8%. The pool's retail collateral consists of two
regional malls, Concord Mills (9.7% of total pool balance), Pacific
View (4.1% of total pool balance) and an outlet center, Tanger
Outlets Columbus (3.8% of total pool balance). Additionally, there
are four other retail properties (18.5% of total pool balance) in
the top 10 largest loans.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Similarly, declining cash flow decreases property value and
capacity to meet its debt service obligations. The table below
indicates the model implied rating sensitivity to changes to the
same one variable, Fitch net cash flow (NCF):
- Original Rating:
'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BBsf'/'Bsf';
- 10% NCF Decline:
'A+sf'/'BBB+sf'/'BBB-sf'/'BB+sf'/'BB-sf'/'CCCsf'/'CCCsf';
- 20% NCF Decline:
'BBB+sf'/'BBB-sf'/'BB-sf'/'CCCsf'/'CCCsf'/'CCCsf'/'CCCsf';
- 30% NCF Decline:
'BBB-sf'/'BBsf'/'CCCsf'/'CCCsf'/'CCCsf'/'CCCsf'/'CCCsf'.
Fitch has revised its global economic outlook forecasts as a result
of the war in Ukraine and related economic sanctions. Downside
risks have increased and, therefore, Fitch has published an
assessment of the potential rating and asset performance impact of
a plausible, albeit worse than expected, adverse stagflation
scenario on Fitch's major structured finance and covered bond
subsectors (What a Stagflation Scenario Would Mean for Global
Structured Finance).
Fitch expects the North American CMBS sector in the assumed adverse
scenario to experience virtually no impact on ratings performance,
indicating very few rating or Rating Outlook changes. Fitch expects
the asset performance impact of the adverse case scenario to be
more modest than the most stressful scenario shown above, which
assumes a further 30% decline from Fitch's NCF at issuance.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Improvement in cash flow increases property value and capacity to
meet its debt service obligations.
The list below indicates the model implied rating sensitivity to
changes in one variable, Fitch NCF:
- Original Rating:
'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BBsf'/'Bsf';
- 20% NCF Increase:
'AAAsf'/'AAAsf'/'AAsf'/'A+sf'/'A-sf'/'BBB-sf'/'BBB-sf'.
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.
BELLEMEADE RE 2021-2: Moody's Raises Rating on Cl. B-1 Notes to B2
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 26 tranches
from five mortgage insurance-linked note (MILN) transactions issued
in 2021. These transactions were issued to transfer to the capital
markets the credit risk of private mortgage insurance (MI) policies
issued by ceding insurers on a portfolio of residential mortgage
loans.
A list of Affected Credit Ratings is available at
https://bit.ly/3GsKGId
Complete rating actions are as follows:
Issuer: Bellemeade Re 2021-2 Ltd.
Cl. M-1A, Upgraded to Aa3 (sf); previously on Jun 17, 2021
Definitive Rating Assigned A1 (sf)
Cl. M-1B, Upgraded to A3 (sf); previously on Jun 17, 2021
Definitive Rating Assigned Baa1 (sf)
Cl. M-1C, Upgraded to Baa2 (sf); previously on Jun 17, 2021
Definitive Rating Assigned Baa3 (sf)
Cl. M-2, Upgraded to Ba3 (sf); previously on Jun 17, 2021
Definitive Rating Assigned B1 (sf)
Cl. B-1, Upgraded to B2 (sf); previously on Jun 17, 2021 Definitive
Rating Assigned B3 (sf)
Issuer: Eagle Re 2021-1 Ltd.
Cl. M-1B, Upgraded to Aa3 (sf); previously on Jan 31, 2022 Upgraded
to A2 (sf)
Cl. M-1C, Upgraded to Baa1 (sf); previously on Jan 31, 2022
Upgraded to Baa2 (sf)
Cl. M-2, Upgraded to Ba1 (sf); previously on Jan 31, 2022 Upgraded
to Ba2 (sf)
Cl. M-2A, Upgraded to Baa3 (sf); previously on Jan 31, 2022
Upgraded to Ba1 (sf)
Cl. M-2B, Upgraded to Ba1 (sf); previously on Jan 31, 2022 Upgraded
to Ba2 (sf)
Cl. M-2C, Upgraded to Ba2 (sf); previously on Jan 31, 2022 Upgraded
to Ba3 (sf)
Cl. B-1, Upgraded to Ba3 (sf); previously on Jan 31, 2022 Upgraded
to B1 (sf)
Cl. B-2, Upgraded to B1 (sf); previously on Jan 31, 2022 Upgraded
to B2 (sf)
Issuer: Oaktown Re VI Ltd.
Cl. M-1A, Upgraded to A2 (sf); previously on Jan 31, 2022 Upgraded
to Baa1 (sf)
Cl. M-1B, Upgraded to Baa2 (sf); previously on Apr 27, 2021
Definitive Rating Assigned Baa3 (sf)
Cl. M-1C, Upgraded to Ba1 (sf); previously on Apr 27, 2021
Definitive Rating Assigned Ba2 (sf)
Cl. M-2, Upgraded to B1 (sf); previously on Apr 27, 2021 Definitive
Rating Assigned B2 (sf)
Cl. B-1, Upgraded to B2 (sf); previously on Apr 27, 2021 Definitive
Rating Assigned B3 (sf)
Issuer: Radnor Re 2021-1 Ltd.
Cl. M-1A, Upgraded to A3 (sf); previously on Jan 31, 2022 Upgraded
to Baa2 (sf)
Cl. M-1B, Upgraded to Baa1 (sf); previously on Jan 31, 2022
Upgraded to Baa2 (sf)
Cl. M-1C, Upgraded to Ba2 (sf); previously on Jun 23, 2021
Definitive Rating Assigned Ba3 (sf)
Cl. M-2, Upgraded to B2 (sf); previously on Jun 23, 2021 Definitive
Rating Assigned B3 (sf)
Issuer: Triangle Re 2021-2 Ltd.
Cl. M-1A, Upgraded to A1 (sf); previously on Jan 31, 2022 Upgraded
to A3 (sf)
Cl. M-1B, Upgraded to A3 (sf); previously on Jan 31, 2022 Upgraded
to Baa2 (sf)
Cl. M-1C, Upgraded to Baa3 (sf); previously on Jan 31, 2022
Upgraded to Ba1 (sf)
Cl. M-2, Upgraded to Ba3 (sf); previously on Jan 31, 2022 Upgraded
to B1 (sf)
RATINGS RATIONALE
The upgrade actions are primarily driven by the increased levels of
credit enhancement available to the bonds and the decreased level
of expected losses. These transactions have approximately 11.4% to
15.4% prepayment rates averaging over the last six months, with no
loss on the insured balance under each of the reinsurance
agreements. The prepayments and the sequential pay structure have
benefited the bonds by increasing the paydown speed and building up
credit enhancement.
On the closing date, the issuer and the ceding insurer entered into
a reinsurance agreement providing excess of loss reinsurance on
mortgage insurance policies issued by the ceding insurer on a
portfolio of residential mortgage loans. Proceeds from the sale of
the notes were deposited into the reinsurance trust account for the
benefit of the ceding insurer and as security for the issuer's
obligations to the ceding insurer under the reinsurance agreement.
The funds in the reinsurance trust account are also available to
pay noteholders, following the termination of the trust and payment
of amounts due to the ceding insurer. Funds in the reinsurance
trust account were used to purchase eligible investments and were
subject to the terms of the reinsurance trust agreement.
Following the instruction of the ceding insurer, the trustee
liquidates assets in the reinsurance trust account to (1) make
principal payments to the note holders as the insurance coverage in
the reference pool reduces due to loan amortization or policy
termination, and (2) reimburse the ceding insurer whenever it pays
MI claims after the unfunded coverage levels are written off. While
income earned on eligible investments is used to pay interest on
the notes, the ceding insurer is responsible for covering any
difference between the investment income and interest accrued on
the notes' coverage levels.
In Moody's analysis Moody's considered the additional risk posed by
borrowers enrolled in payment relief programs. Moody's increased
Moody's MILAN model-derived median expected losses by 7.5% and
Moody's Aaa losses by 2.5% to reflect the performance deterioration
observed following the COVID-19 outbreak. Moody's also considered
an additional scenario based on higher collateral loss
expectations.
Moody's updated loss expectation on the pool incorporates, amongst
other factors, Moody's assessment of the representations and
warranties frameworks of the transactions, the due diligence
findings of the third-party reviews received at the time of
issuance, and the strength of the transaction's originators and
servicers.
Principal Methodologies
The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework" published in
July 2022.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
CD MORTGAGE 2017-CD3: Fitch Cuts Rating on 3 Tranches to 'CCCsf'
----------------------------------------------------------------
Fitch Ratings has downgraded 11 and affirmed five classes of CD
2017-CD3 Mortgage Trust Commercial Mortgage Pass-Through
Certificates. In addition, a Stable Outlook was assigned to classes
A-S, B, C and their respective interest-only (X-A, X-B) and
exchangeable classes (V-A, V-B, V-C) following their downgrades.
Entity/Debt Rating Prior
----------- ------ -----
CD 2017-CD3 Mortgage
Trust Series 2017-CD3
A-3 12515GAC1 LT AAAsf Affirmed AAAsf
A-4 12515GAD9 LT AAAsf Affirmed AAAsf
A-AB 12515GAE7 LT AAAsf Affirmed AAAsf
A-S 12515GAF4 LT AAsf Downgrade AAAsf
B 12515GAG2 LT Asf Downgrade AA-sf
C 12515GAH0 LT BBBsf Downgrade A-sf
D 12515GAM9 LT CCCsf Downgrade B-sf
E 12515GAP2 LT CCsf Affirmed CCsf
F 12515GAR8 LT Csf Affirmed Csf
V-A 12515GAX5 LT AAsf Downgrade AAAsf
V-B 12515GAZ0 LT Asf Downgrade AA-sf
V-C 12515GBB2 LT BBBsf Downgrade A-sf
V-D 12515GBD8 LT CCCsf Downgrade B-sf
X-A 12515GAJ6 LT AAsf Downgrade AAAsf
X-B 12515GAK3 LT Asf Downgrade AA-sf
X-D 12515GAV9 LT CCCsf Downgrade B-sf
KEY RATING DRIVERS
Increased Loss Expectations; Specially Serviced; Office Performance
Declines: The downgrades reflect increased loss expectations since
Fitch's prior rating action due to continued pandemic related
performance deterioration for loans secured by office properties,
primarily 111 Livingston Street (5.4% of the pool) and 16 East 40th
Street (2.5%). In addition, the downgrades reflect the elevated
losses and continued lack of progress toward the resolution for the
specially serviced and largest loan 229 W 43rd Street Retail Condo
loan (8.1%), which accounts for approximately 60% of Fitch's total
modeled loss.
Fitch's current ratings reflect a base case loss of 10.5%. Fitch
has designated 16 loans (40.4%) as Fitch Loans of Concerns (FLOCs),
which includes two loans (10.4%) in special servicing. The Stable
Outlooks reflect sufficient credit enhancement (CE) at their
current ratings. The CEs for the senior classes are expected to
increase from anticipated paydown of loans with a high likelihood
of repayment and defeasance in the later years of the transaction,
which may warrant potential positive rating actions with improved
performance of the FLOCs.
Largest Contributors to Losses: The largest contributor to Fitch's
overall loss expectations is the 229 West 43rd Street Retail Condo
loan (8.1% of the pool), which is secured by a 245,132-sf retail
condominium located in Manhattan's Time Square district. The loan
transferred to special servicing in December 2019 for imminent
monetary default. The property experienced performance declines
prior to the pandemic.
With tenants operating in the entertainment and tourism industries,
the property sustained further declines due to the onset of the
pandemic. A receiver was appointed in March 2021 and foreclosure
has been filed; per the servicer, foreclosure is not projected to
occur until late 2022 due to the delays in New York City courts.
Fitch has requested an update from the servicer regarding the
foreclosure status.
Multiple lease sweep periods have occurred related to the majority
of the tenants, triggering a cash flow sweep since December 2017.
Additionally, the OHM food hall concept contemplated at issuance
failed to open at the property. Three tenants, National Geographic,
Gulliver's Gate and Guitar Center (combined, 54% of the NRA), have
vacated the property; as a result, occupancy declined to 41% as of
the October 2021 rent roll from 52% in October 2020. Per the
special servicer, Los Tacos and The Ribbon are currently paying
reduced rents under recently approved lease modifications.
A lease modification for Haru is forthcoming and one for Bowlmor is
being negotiated. Per media reports, BuzzFeed has recently
announced it will relocate its headquarters to the subject property
and is expected to lease approximately 110,000-sf (44% of the
NRA).
The property had been benefiting from an Industrial Commercial
Incentive Program (ICIP) tax abatement, which began to burn off in
the 2017-2018 tax year by 20% per year. The loan exposure continues
to increase due to servicer advances.
Fitch's base case loss of 76% reflects a stressed value of $395
psf, and is based on a discount to the most recent
servicer-provided appraised values of the property.
The largest increase to losses since the prior rating action and
second largest contributor to overall pool losses is the 111
Livingston Street loan (5.4%), which is secured by a 407,861-sf
office building located in Brooklyn, NY. The property experienced
occupancy declines after the NYS Worker's Compensation Board (12.3%
of the NRA) vacated in August 2020. Occupancy remained lower at 86%
as of YE 2021 from 99% in June 2020. Despite the YE 2021 rental
revenues in-line with expectations at issuance, operating expenses
increased about 10.5%.
This interest-only loan has remained current since issuance, with
YE 2021 NOI DSCR at 1.53x. Fitch's base case loss of 9.3% reflects
an 8.50% cap rate and a 5% stress to YE 2021 NOI.
The second largest increase to losses since the prior rating action
and third largest contributor to overall pool losses is the 16 East
40th Street loan (2.5%), which is secured by a 96,182-sf office
property located in the Grand Central submarket of Manhattan. The
collateral has experienced performance declines in 2021, with YE
2021 NOI declining 28% from YE 2020, and 44% from the issuers
underwritten NOI. As a result, NOI DSCR has declined to 1.01x as of
YE 2021 from 1.41x at YE 2020 and 1.69x at YE 2019. Cash flow
declines are primarily attributed to lower revenues. A lockbox has
been activated due to a low DSCR trigger.
Current occupancy is unclear, as the borrower has not provided the
servicer with an updated rent roll since March 2020. Fitch's base
case loss of 26% reflects a 9% cap rate and a 5% stress to the YE
2021 NOI. Fitch's analysis factors conservative assumptions given
the lack of an updated rent roll and continued property performance
declines, but gives credit to the sponsor keeping the loan current
and the collateral's prime Manhattan location.
Minimal Changes to CE: As of the October 2022 remittance report,
the pool's aggregate balance has been paid down by 6.5% to $1.24
billion from $1.33 billion at issuance. Two loans (1.3% of the
original pool balance) have been defeased and four loans (3.5%)
have been disposed with no losses. There are 15 loans (53.3% of the
pool) that are full-term, interest-only (IO); 20 loans (20.9%) that
are currently amortizing; and 13 loans (25.8%) that are still in
their partial-IO periods. Interest shortfalls totaling $7.5 million
are currently impacting class F and the non-rated G and V-E
classes.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Downgrades would occur with an increase in pool-level losses from
underperforming or specially serviced loans. Downgrades to the
'AAAsf' rated classes are not likely due to the expected paydown
from loan repayments and continued amortization high CE, but may
occur should interest shortfalls affect these classes.
Further downgrades to the 'AAsf', 'Asf', and 'BBBsf' rated classes
may occur if expected losses increase and/or if loans expected to
pay off at maturity exhibit worsening performance.
Further downgrades to classes rated 'CCCsf', 'CCsf', and 'Csf'
would occur with an increase in specially serviced loans, greater
certainty of losses on and/or losses are realized.
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 including better than anticipated
recoveries for the specially serviced loans, coupled with paydown
and/or defeasance. Upgrades of the subordinated classes category
would likely occur with significant improvement in CE and/or
defeasance; however, adverse selection and increased concentrations
and/or further underperformance of FLOCs could cause this trend to
reverse. Classes would not be upgraded above 'Asf' if there were
likelihood for interest shortfalls.
The 'Csf', and 'CCsf' rated classes are unlikely to be upgraded
absent significant performance improvement and substantially higher
recoveries than expected on the FLOCs.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
CEDAR CREST 2022-1: Fitch Assigns 'B-sf' Rating on Class F Notes
----------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Cedar
Crest 2022-1 LLC.
Entity/Debt Rating
----------- ------
Cedar Crest 2022-1
LLC
A-FL LT AAAsf New Rating
A-FX LT AAAsf New Rating
B LT AAsf New Rating
C LT Asf New Rating
D LT BBB-sf New Rating
E LT BB-sf New Rating
F LT B-sf New Rating
Variable Dividend LT NRsf New Rating
TRANSACTION SUMMARY
Cedar Crest 2022-1 LLC (the issuer) is a middle-market (MM)
collateralized loan obligation (CLO) that will be managed by
Panagram Structured Asset Management, LLC. Net proceeds from the
issuance of the secured and variable dividend notes will provide
financing on a portfolio of approximately $861.0 million of
primarily first lien senior secured leveraged MM loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B'/'B-', which is in line with that of
recent MM CLOs. The weighted average rating factor of the
indicative portfolio is 28.13 versus a maximum covenant, in
accordance with the initial expected matrix point of 29.0. Issuers
rated in the 'B' rating category denote a highly speculative credit
quality; however, the notes benefit from appropriate credit
enhancement and standard U.S. CLO structural features.
Asset Security (Positive): The indicative portfolio consists of
96.6% first-lien senior secured loans. The weighted average
recovery rate of the indicative portfolio is 67.39% versus a
minimum covenant, in accordance with the initial expected matrix
point of 67.1%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 50.0% of the portfolio balance in aggregate while
the top five obligors can represent up to 17.0% of the portfolio
balance in aggregate. The level of diversity required by industry,
obligor and geographic concentrations is in line with other recent
U.S. MM CLOs.
Portfolio Management (Neutral): The transaction has a 3.9-year
reinvestment period and reinvestment criteria similar to other U.S.
MM CLOs. Fitch's analysis was based on a stressed portfolio created
by making adjustments to the indicative portfolio to reflect
permissible concentration limits and collateral quality test
levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction.
In Fitch's stress scenarios at the initial expected matrix point,
and all other matrix points, the rated notes can withstand default
and recovery assumptions consistent with their assigned ratings.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
The results under these sensitivity scenarios are between 'BBB+sf'
and 'AAAsf' for class A-FL, between 'BBB+sf' and 'AAAsf' for class
A-FX, between 'BB+sf' and 'AAAsf' for class B, between 'B+sf' and
'A+sf' for class C, between Less than 'B-sf' and 'BB+sf' for class
D, between Less than 'B-sf' and 'B+sf' for class E, and less than
'B-sf' for class F.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Upgrade scenarios are not applicable to the class A-FL and A-FX
notes, as these notes are in the highest rating category of
'AAAsf'. Variability in key model assumptions, such as increases in
recovery rates and decreases in default rates, could result in an
upgrade. Results under these sensitivity scenarios are 'AAAsf' for
class B notes, between 'A+sf' and 'AAAsf' for class C notes,
between 'A-sf' and 'A+sf' for class D notes, 'BBB+sf' for class E
notes, and 'BB+sf' for class F notes
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information. Overall, Fitch's assessment of the asset pool
information relied upon for its rating analysis according to its
applicable rating methodologies indicates that it is adequately
reliable.
CIFC FUNDING 2022-VII: Fitch Gives BB-(EXP)sf Rating on Cl. E Notes
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
CIFC Funding 2022-VII, Ltd.
Entity/Debt Rating
----------- ------
CIFC Funding
2022-VII, Ltd.
A-1 LT AAA(EXP)sf Expected Rating
A-2A LT AAA(EXP)sf Expected Rating
A-2B LT AAA(EXP)sf Expected Rating
B-1 LT AA(EXP)sf Expected Rating
B-2 LT AA(EXP)sf Expected Rating
C LT A(EXP)sf Expected Rating
D LT BBB-(EXP)sf Expected Rating
E LT BB-(EXP)sf Expected Rating
F LT NR(EXP)sf Expected Rating
Subordinated Notes LT NR(EXP)sf Expected Rating
TRANSACTION SUMMARY
CIFC Funding 2022-VII, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by CIFC
Asset Management LLC. Net proceeds from the issuance of the secured
and subordinated notes will provide financing on a portfolio of
approximately $500.0 million of primarily first lien senior secured
leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B/B-', which is in line with that of
recent CLOs. Issuers rated in the 'B' rating category denote a
highly speculative credit quality; however, the notes benefit from
credit enhancement and standard U.S. CLO structural features.
Asset Security (Positive): The indicative portfolio consists of
99.6% first lien senior secured loans and has a weighted average
recovery assumption of 76.64%. Fitch stressed the indicative
portfolio by assuming a higher portfolio concentration of assets
with lower recovery prospects and further reduced recovery
assumptions for higher rating stresses.
Portfolio Composition (Positive): The largest three industries may
constitute up to 39.0% of the portfolio balance in aggregate, while
the top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity required by industry,
obligor and geographic concentrations is in line with other recent
U.S. CLOs.
Portfolio Management (Neutral): The transaction has a 4.9-year
reinvestment period and reinvestment criteria similar to other U.S.
CLOs. Fitch's analysis was based on a stressed portfolio created by
making adjustments to the indicative portfolio to reflect
permissible concentration limits and collateral quality test
levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, each class of notes was
able to withstand appropriate default rates for their assigned
expected ratings.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics. The results under these sensitivity scenarios are between
'A-sf' and 'AAAsf' for class A-1, between 'BBB+sf' and 'AAAsf' for
class A-2A and A-2B, between 'BB+sf' and 'AA+sf' for class B-1 and
B-2, between 'Bsf' and 'A+sf' for class C, between less than 'B-sf'
and 'BBB-sf' for class D, and between less than 'B-sf' and 'BB-sf'
for class E.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Upgrade scenarios are not applicable to the class A-1, A-2A and
A-2B notes, as these notes are in the highest rating category of
'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics. Results under these sensitivity scenarios are 'AAAsf' for
class B-1 and B-2 notes, between 'A+sf' and 'AA+sf' for class C
notes, 'A+sf' for class D notes, and 'BBB+sf' for class E notes.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other Nationally
Recognized Statistical Rating Organizations and/or European
securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.
CIFC FUNDING 2022-VII: Moody's Gives (P)B3 Rating to $1MM F Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to two
classes of notes to be issued by CIFC Funding 2022-VII, Ltd. (the
"Issuer" or "CIFC 2022-VII").
Moody's rating action is as follows:
US$300,000,000 Class A-1 Senior Secured Floating Rate Notes due
2035, Assigned (P)Aaa (sf)
US$1,000,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2035, Assigned (P)B3 (sf)
The notes listed are referred to herein, collectively, as the
"Rated Notes."
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.
CIFC 2022-VII 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, cash, and eligible investments, and up to
10.0% of the portfolio may consist of assets that are not senior
secured loans or eligible investments. Moody's expect the portfolio
to be approximately 90% ramped as of the closing date.
CIFC Asset Management LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.
In addition to the Rated Notes, the Issuer will issue seven 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: $500,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2910
Weighted Average Spread (WAS): 3.60%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 8.15 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.
COLT MORTGAGE 2022-9: Fitch Assigns B(EXP)sf Rating on Cl. B2 Certs
-------------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates to be issued by COLT 2022-9 Mortgage Loan Trust (COLT
2022-9).
Entity/Debt Rating
----------- ------
COLT 2022-9
A1 LT AAA(EXP)sf Expected Rating
A2 LT AA(EXP)sf Expected Rating
A3 LT A(EXP)sf Expected Rating
AIOS LT NR(EXP)sf Expected Rating
B1 LT BB(EXP)sf Expected Rating
B2 LT B(EXP)sf Expected Rating
B3 LT NR(EXP)sf Expected Rating
M1 LT BBB(EXP)sf Expected Rating
R LT NR(EXP)sf Expected Rating
X LT NR(EXP)sf Expected Rating
TRANSACTION SUMMARY
The certificates are supported by 530 non-prime loans with a total
balance of approximately $268 million as of the cut-off date. Loans
in the pool were originated by multiple originators, including
Northpointe Bank, Lendsure Mortgage Corp and others. Loans were
aggregated by Hudson Americas L.P. Loans are currently serviced by
Select Portfolio Servicing, Inc. (SPS) or Northpointe Bank.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 13% above a long-term sustainable level (versus
12.2% on a national level as of October 2022, up 1.2% since last
quarter). Underlying fundamentals are not keeping pace with the
growth in prices. These trends have led to significant home price
increases over the past year, with home prices rising 13.1% yoy
nationally as of August 2022.
Non-QM Credit Quality (Negative): The collateral consists of 530
loans, totaling $268 million and seasoned approximately four months
in aggregate. The borrowers have a moderate credit profile — 736
model FICO and 41% model debt-to-income ratio (DTI) — and
leverage — 85.4% sustainable loan-to-value ratio (sLTV) and 74.4%
combined LTV (cLTV). The pool consists of 62.1% of loans where the
borrower maintains a primary residence, while 32.8% comprise an
investor property. Additionally, 66.8% are non-qualified mortgage
(non-QM) and less than 1% are QM; the QM rule does not apply to the
remainder.
Fitch's expected loss in the 'AAAsf' stress is 24.25%. This is
mostly driven by the non-QM collateral and the significant investor
cash flow product concentration.
Loan Documentation (Negative): Approximately 84.1% of the loans in
the pool were underwritten to less than full documentation and
60.6% were underwritten to a bank statement program for verifying
income, which is not consistent with Appendix Q standards and
Fitch's view of a full documentation program. A key distinction
between this pool and legacy Alt-A loans is that these loans adhere
to underwriting and documentation standards required under the
Consumer Financial Protections Bureau's (CFPB) Ability to Repay
(ATR) Rule (ATR Rule, or the Rule), which reduces the risk of
borrower default arising from lack of affordability,
misrepresentation or other operational quality risks due to rigor
of the Rule's mandates with respect to the underwriting and
documentation of the borrower's ATR.
Fitch's treatment of alternative loan documentation increased the
'AAAsf' expected loss by 675 bps relative to a fully documented
loan.
High Percentage of DSCR Loans (Negative): There are 167 debt
service coverage ratio (DSCR) products in the pool (32% by loan
count). These business purpose loans are available to real estate
investors that are qualified on a cash flow basis, rather than DTI,
and borrower income and employment are not verified. Compared to
standard investment properties, for DSCR loans, Fitch converts the
DSCR values to a DTI and treats as low documentation. Fitch's
treatment for DSCR loans results in a higher Fitch reported
non-zero DTI.
Fitch's expected loss for these loans is 33.3 % in the 'AAAsf'
stress, which is driving the higher pool expected losses due to the
19.9% WA concentration.
Modified Sequential-Payment Structure with Limited Advancing
(Mixed): The structure distributes principal pro rata among the
senior certificates while shutting out the subordinate bonds from
principal until all senior classes are reduced to zero. If a
cumulative loss trigger event, delinquency trigger event or credit
enhancement (CE) trigger event occurs in a given period, principal
will be distributed sequentially to class A-1, A-2 and A-3
certificates until they are reduced to zero.
Advances of delinquent principal and interest (P&I) will be made on
the mortgage loans for the first 180 days of delinquency, to the
extent such advances are deemed recoverable. If the P&I advancing
party fails to make a required advance, the master servicer and
then securities administrator will be obligated to make such
advance.
The limited advancing reduces loss severities, as a lower amount is
repaid to the servicer when a loan liquidates and liquidation
proceeds are prioritized to cover principal repayment over accrued
but unpaid interest. The downside to this is the additional stress
on the structure, as there is limited liquidity in the event of
large and extended delinquencies.
COLT 2022-9 has a step-up coupon for the senior classes (A-1, A-2
and A-3). After four years, the senior classes pay the lesser of a
100-bp increase to the fixed coupon or the net weighted average
coupon (WAC) rate. Fitch expects the senior classes to be capped by
the Net WAC. Additionally, the unrated class B-3 interest
allocation goes toward the senior cap carryover amount for as long
as the senior classes are outstanding. This increases the P&I
allocation for the senior classes.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. Sensitivity analysis was conducted at the
state and national level to assess the effect of higher MVDs for
the subject pool as well as lower MVDs, illustrated by a gain in
home prices.
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model projected 43.4% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analysis was conducted at the state and national level
to assess the effect of higher MVDs for the subject pool as well as
lower MVDs, illustrated by a gain in home prices.
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all of the rated classes.
Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated class excluding those assigned
'AAAsf' ratings.
DATA ADEQUACY
Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. The loan-level
information Fitch received was provided in the American
Securitization Forum's data layout format.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
COMM 2013-CCRE12: Moody's Downgrades Rating on Cl. C Certs to B2
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on four classes
and downgraded the ratings on four classes in COMM 2013-CCRE12
Mortgage Trust, Commercial Pass-Through Certificates as follows:
Cl. A-3, Affirmed Aaa (sf); previously on Mar 29, 2022 Affirmed Aaa
(sf)
Cl. A-4, Affirmed Aaa (sf); previously on Mar 29, 2022 Affirmed Aaa
(sf)
Cl. A-SB, Affirmed Aaa (sf); previously on Mar 29, 2022 Affirmed
Aaa (sf)
Cl. A-M, Downgraded to A1 (sf); previously on Mar 29, 2022
Downgraded to Aa2 (sf)
Cl. B, Downgraded to Baa3 (sf); previously on Mar 29, 2022
Downgraded to Baa1 (sf)
Cl. C, Downgraded to B2 (sf); previously on Mar 29, 2022 Downgraded
to Ba3 (sf)
Cl. X-A*, Affirmed Aa1 (sf); previously on Mar 29, 2022 Downgraded
to Aa1 (sf)
Cl. PEZ, Downgraded to Ba2 (sf); previously on Mar 29, 2022
Downgraded to Baa3 (sf)
Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings on three P&I classes were affirmed because of their
significant 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.
Additionally, defeasance now makes up 31.5% of the remaining pool
balance.
The ratings on three P&I classes were downgraded due to higher
anticipated losses and increased risk of interest shortfalls due to
the exposure to specially serviced and troubled loans and the
potential refinance challenges for certain poorly performing loans
with upcoming maturity dates. Six loans, representing 25% of the
pool, are in special servicing, including 175 West Jackson (15% of
the pool), which is suffering from low occupancy and was last paid
through December 2021. As of the October 2022 remittance statement
an aggregate appraisal reduction of $80 million has been recognized
on the specially serviced loans. Furthermore, the Oglethorpe Mall
loan (6% of the pool) has been identified as a troubled loan due to
NOI declines in recent years, and its 2021 NOI is down 19% from
2019. All the remaining loans mature by November 2023 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 IO class was affirmed based on the credit quality
of the referenced classes.
The rating on the exchangeable class, Cl. PEZ, was downgraded due
to the credit quality of its 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 16.0% of the
current pooled balance, compared to 14.4% at Moody's last review.
Moody's base expected loss plus realized losses is now 14.8% of the
original pooled balance, compared to 13.2% 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, 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 25% to $901 million
from $1.20 billion at securitization. The certificates are
collateralized by 49 mortgage loans ranging in size from less than
1% to 15% of the pool, with the top ten loans (excluding
defeasance) constituting 58% of the pool. Twenty-two loans,
constituting 31% of the pool, have defeased and are secured by US
government securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of eight, compared to a Herf of 10 at Moody's last
review.
Twelve loans, constituting 19% 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.
Six loans have been liquidated from the pool, resulting in an
aggregate realized loss of $32.7 million (for an average loss
severity of 54%). Six loans, constituting 25% of the pool, are
currently in special servicing.
The largest specially serviced loan is the 175 West Jackson Loan
($136.0 million – 15.1% of the pool), which represents a
pari-passu portion of a $254 million mortgage loan. The loan is
secured by a Class A, 22-story office building totaling 1.45
million square feet (SF) and located within the CBD of Chicago,
Illinois. The property performance has declined steadily since
2015, with occupancy declining to 64% in 2022 from 86% in 2015, and
the June 2022 net operating income (NOI) was 66% lower than
underwritten levels. The loan previously transferred to special
servicing in March 2018 for imminent monetary default and was
subsequently assumed by Brookfield Property Group as the new
sponsor, in connection with the purchase of the property for $305
million, and returned to the master servicer in August 2018.
However, in November 2021, the loan transferred to special
servicing and is last paid through its November 2021 remittance
date. As of the October 2022 remittance statement, the master
servicer has recognized a $37 million appraisal reduction on this
loan and special servicer commentary indicates they are in
discussions with the borrower about potential workout solutions and
in the process of requesting to put in a receiver.
The second largest specially serviced loan is the Harbourside North
Loan ($35.5 million – 3.9% of the pool), which is secured by the
leasehold interest in a Class A office building in the Georgetown
submarket of Washington D.C. The property operates subject to
ground lease payments. Ground lease payments have historically
represented a high share of the property's expenses. The loan
transferred to the special servicer in July 2018 due to delinquent
payments and became REO in March 2019. Property performance had
declined in 2018 due to reduced occupancy and rental revenues.
Property revenues have since increased in 2020 but were more than
offset by an increase in operating expenses causing the NOI DSCR to
remain below 1.00X. The property was appraised at $7.3 million in
December 2020, a significant decline from the securitization
appraisal of $53.9 million and as of the November 2022 remittance
statement, the loan has been deemed non-recoverable by the master
servicer.
The third largest specially serviced loan is the MAve Hotel Loan
($18.8 million – 2.1% of the pool), which is secured by an
independent limited-service 12-story boutique hotel with 2,200 SF
of ground floor retail space located at 27th and Madison Avenue in
New York, New York. The property operated as a homeless shelter for
three years with a month to month contract with the DHS to rent out
100% of the hotel. DHS left at the end of 2020 and the loan
transferred to special servicing in April 2021 due to delinquent
payments. The hotel remains closed and special servicer commentary
indicates a foreclosure action has been filed.
The remaining three specially serviced loans are secured by one
office and two retail properties. Moody's estimates an aggregate
$114 million loss for the specially serviced loans (52% expected
loss on average).
Moody's has also assumed a high default probability for two poorly
performing loans, constituting 7% of the pool, and has estimated an
aggregate loss of $23 million (a 40% expected loss on average) from
these troubled loans. The largest troubled loan is the Oglethorpe
Mall Loan ($56.0 million – 6.0% of the pool), which is secured by
a regional mall located in Savannah, Georgia. At securitization the
mall included four anchor tenants, Macy's, JC Penney, Belk and
Sears. Both the Belk and Sears space were non-collateral. However,
in 2018 Sears vacated and the anchor space remains vacant. The
property's historical performance generally improved through 2016,
but NOI has since declined annually due to both lower rental
revenue and higher expenses. The December 2020 NOI was 22% below
2018 and declined well below the property's underwritten NOI. The
property represents the dominant mall in the greater area of
Savannah, however, it faces competition from the Savannah Outlet
Mall, approximately 15 miles southeast of the subject. In-line
sales (
COMM 2013-LC6: Moody's Lowers Rating on Cl. E Certs to B1
---------------------------------------------------------
Moody's Investors Service has affirmed the ratings on seven classes
and downgraded the ratings on two classes in COMM 2013-LC6 Mortgage
Trust, Commercial Mortgage Pass-Through Certificates, Series
2013-LC6 as follows:
Cl. A-M, Affirmed Aaa (sf); previously on Jul 10, 2020 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa2 (sf); previously on Jul 10, 2020 Affirmed Aa2
(sf)
Cl. C, Affirmed A2 (sf); previously on Jul 10, 2020 Affirmed A2
(sf)
Cl. D, Affirmed Baa3 (sf); previously on Jul 10, 2020 Affirmed Baa3
(sf)
Cl. E, Downgraded to B1 (sf); previously on Jul 10, 2020 Confirmed
at Ba2 (sf)
Cl. F, Downgraded to Caa2 (sf); previously on Jul 10, 2020
Downgraded to B3 (sf)
Cl. X-A*, Affirmed Aaa (sf); previously on Jul 10, 2020 Affirmed
Aaa (sf)
Cl. X-B*, Affirmed A1 (sf); previously on Jul 10, 2020 Affirmed A1
(sf)
Cl. X-C*, Affirmed Caa2 (sf); previously on Jul 10, 2020 Downgraded
to Caa2 (sf)
* Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings on four P&I classes, Cl. A-M, Cl. B, Cl. C, and Cl. D,
were affirmed because of their significant 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 certain performing loans approach their
maturity dates by February 2023. The remaining loans have amortized
approximately 20% from their original balance and defeasance makes
up 7% of the pool.
The ratings on two P&I classes, Cl. E and Cl. F, were downgraded
due to potential risk of higher losses and interest shortfall from
the significant exposure to specially serviced loans (30% of the
pool) and troubled loans (5% of the pool) with upcoming maturity
dates that face increased refinance challenges due to their poor
performance and/or upcoming lease rollover risk. The largest
specially serviced loan (representing 28% of the pool) is secured
by a regional mall with declining performance in recent years and
has now passed its original maturity date in November 2022.
The ratings on the IO classes were affirmed based on the credit
quality of their referenced 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 12.6% of the
current pooled balance, compared to 5.7% at Moody's last review.
Moody's base expected loss plus realized losses is now 4.3% of the
original pooled balance, compared to 3.2% 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. Additionally, significant
changes in the 5-year rolling average of 10-year US Treasury rates
will impact the magnitude of the interest rate adjustment and may
lead to future rating actions.
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 a significant 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 November 14, 2022 distribution date, the transaction's
aggregate certificate balance has decreased by 75% to $372 million
from $1.49 billion at securitization. The certificates are
collateralized by 23 mortgage loans ranging in size from less than
1% to 28% of the pool. Four loans, constituting 7% of the pool,
have defeased and are secured by US government securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 7, compared to 18 at Moody's last review.
As of the November remittance report, all loans except one
specially serviced loan were current on their debt service
payments.
Fourteen loans, constituting 58% 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.
Three loans have been liquidated from the pool, resulting in an
aggregate realized loss of $17.0 million (for an average loss
severity of 53%). Two loans, constituting 30% of the pool, are
currently in special servicing.
The largest specially serviced loan is the Coastland Center Loan
($102.4 million -- 27.5% of the pool), which is secured by a
459,000 square feet (SF) portion of a 926,000 SF regional mall
located in Naples, Florida. The mall currently has two
non-collateral anchors, Dillard's and Macys and one collateral
anchor, J.C. Penney. A former non-collateral anchor, Sears, closed
its store in November 2018. The former Sears location has been
demolished and a luxury movie theater opened in October 2021. As of
July 2022, the mall had a total occupancy was 96% and inline
occupancy was 89% (including temporary tenants). Property
performance had improved from securitization through year-end 2016.
However, this was followed by annual declines in reported net
operating income (NOI) from 2018 through 2021. The NOI has been
below securitization levels since 2018. Despite the slight uptick
in 2022, the annualized NOI as of June 2022 is still 14% and 26%
below that of 2019 and 2016, respectively and the June 2022 NOI
DSCR was 1.45X. The loan recently transferred to special servicing
in July 2022 for imminent maturity default. The loan failed to
payoff at its scheduled maturity date in November 2022 and is
classified as non-performing maturity balance. As of the November
2022 remittance statement, the loan has amortized 21% since
securitization.
The second specially serviced loan is the Pathmark Castle Center
Loan ($8.4 million – 2.3% of the pool), which is secured by a
63,000 SF single tenant shopping center located in Bronx, New York.
The single tenant announced they will vacate at their lease
expiration in July 2023. The loan recently transferred to special
servicing in July 2022 due to imminent default. A pre-negotiation
letter has been executed and the special servicer is currently
evaluating the loan and the collateral. As of the November 2022
remittance statement, the loan has amortized 26% since
securitization.
Moody's has also assumed a high default probability for one poorly
performing loan, the 145 Mason Street Loan ($16.7 million – 4.5%
of the pool), which is secured by a 32,000 SF office building
located in Greenwich, Connecticut. At securitization, the property
was 100% leased to a single tenant with a lease expiration in
December 2027. The tenant exercised their early termination option,
and their lease will expire in December 2022. As of the November
2022 remittance statement, the loan has amortized nearly 13% since
securitization. Moody's has estimated an aggregate loss of $42.7
million (a 34% expected loss on average) from the specially
serviced loans and troubled loan.
As of the November 2022 remittance statement cumulative interest
shortfalls were $642,206. Moody's anticipates interest shortfalls
will continue because of the exposure to specially serviced loans
and troubled loan. Interest shortfalls are caused by special
servicing fees, including workout and liquidation fees, appraisal
entitlement reductions (ASERs), loan modifications and
extraordinary trust expenses.
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 or partial year 2021 operating results for
100% of the pool (excluding specially serviced and defeased loans)
and partial year 2022 operating results for 78% of the pool
(excluding specially serviced and defeased loans). Moody's weighted
average conduit LTV is 86%, compared to 93% at Moody's last review.
Moody's conduit component excludes loans with structured credit
assessments, defeased and CTL loans, and specially serviced and
troubled loans. Moody's net cash flow (NCF) reflects a weighted
average haircut of 27% to the most recently available NOI. Moody's
value reflects a weighted average capitalization rate of 9.8%.
Moody's actual and stressed conduit DSCRs are 1.73X and 1.33X,
respectively, compared to 1.67X and 1.22X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 30% of the pool balance. The
largest loan is the Innisfree Pensacola Beach Hotel Portfolio Loan
($56.7 million -- 15.3% of the pool), which is secured by two
adjacent full-service hotel properties located directly on the
beach in Pensacola, Florida. The larger hotel, The Hilton, is a
275-key, 17-story resort and conference center, built in 2003 with
an addition in 2007. The smaller hotel, The Holiday Inn, is a
206-key, 11-story resort built in 2011. The portfolio's NOI has
increased significantly since securitization. The 2021 NOI was 46%
above 2019 NOI and 86% above 2013 NOI. The loan also benefits from
amortization and has amortized nearly 18% since securitization. The
loan matures in December 2022 and Moody's LTV and stressed DSCR are
93% and 1.26X, respectively.
The second largest loan is the Eastern Beltway Loan ($34.1 million
– 9.2% of the pool), which is secured by a 525,225 SF portion of
a 633,866 SF, 12-building power center located in Las Vegas,
Nevada. The property is anchored by Wal-Mart and Sam's Club and
shadow anchored by Home Depot (non-owned and not part of the
collateral). As of August 2022, the collateral was 97% leased. The
loan matures in January 2023 and Moody's LTV and stressed DSCR are
80% and 1.2X, respectively.
The third largest loan is the Centerpoint Mall Loan ($21.7 million
– 5.8% of the pool), which is secured by a 379,970 SF retail
center located in Oxnard, California. Major tenants include
Wal-Mart and Superior Grocers, which make up approximately 43% of
the property NRA. Wal-Mart originally had a lease expiration in
November 2022, but recently extended their lease for an additional
10-years. Superior Grocers has a lease expiration in March 2026.
The loan also benefits from amortization and has amortized nearly
20% from securitization. The loan matures in January 2023 and
Moody's LTV and stressed DSCR are 77% and 1.30X, respectively.
COMM MORTGAGE 2014-UBS6: Fitch Affirms CCC Rating on 2 Tranches
---------------------------------------------------------------
Fitch Ratings has upgraded two classes and affirmed 12 classes of
COMM 2014-UBS6 Mortgage Trust pass-through certificates, which were
issued by Deutsche Bank Securities, Inc. The Rating Outlook on
class E has been revised to Stable from Negative, and the Rating
Outlooks on classes B and X-B have been revised to Positive from
Stable.
Entity/Debt Rating Prior
----------- ------ -----
COMM 2014-UBS6
A-4 12592PBE2 LT AAAsf Affirmed AAAsf
A-5 12592PBF9 LT AAAsf Affirmed AAAsf
A-M 12592PBH5 LT AAAsf Affirmed AAAsf
A-SB 12592PBD4 LT AAAsf Affirmed AAAsf
B 12592PBJ1 LT AAsf Upgrade AA-sf
C 12592PBL6 LT A-sf Affirmed A-sf
D 12592PAJ2 LT BBsf Affirmed BBsf
E 12592PAL7 LT Bsf Affirmed Bsf
F 12592PAN3 LT CCCsf Affirmed CCCsf
PEZ 12592PBK8 LT A-sf Affirmed A-sf
X-A 12592PBG7 LT AAAsf Affirmed AAAsf
X-B 12592PAA1 LT AAsf Upgrade AA-sf
X-C 12592PAC7 LT BBsf Affirmed BBsf
X-D 12592PAE3 LT CCCsf Affirmed CCCsf
KEY RATING DRIVERS
Increasing Credit Enhancement (CE): The upgrades and Positive
Outlooks on classes B and interest-only class X-B reflect
increasing CE and the potential for an additional 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 October 2022 distribution date, the pool's aggregate
principal balance has paid down by 24.4% to $964.4 million from
$1.30 billion at issuance. Since Fitch's prior rating action, two
loans totaling $27.2 million prepaid with yield maintenance or paid
in full post maturity. Two additional loans totaling $44.2 million
were disposed with a combined $22.4 million in realized losses
incurred. There has been $25.8 million in realized losses to date.
Twenty-three loans (18.1%) have been defeased. The majority of the
pool (83% of pool) is currently amortizing. Four loans (17%) are
full-term interest only. All of the remaining loans mature October
through December 2024.
Improved Loss Expectations: The Outlook revision to Stable from
Negative on class E reflects improved loss expectations for the
pool compared to the prior rating action due to stabilizing
performance of loans affected by the pandemic and better than
expected recoveries from the liquidation of two REO assets, mostly
notably from the University Village loan. There are eight FLOCs
(10.1% of pool), including four (7.5%) in special servicing.
However, the majority of the remaining pool continues to perform as
expected. Fitch's current ratings incorporate a base case loss of
4.6%.
The largest loan in special servicing and largest contributor to
losses is the University Edge loan (3.6%), which is secured by a
578-bed off-campus student housing project located in Akron, OH,
across the street from the University of Akron. The property opened
in 2014 with units ranging in size from two to four bedrooms, each
with two to four bathrooms, and includes ground-level retail leased
to tenants including Arby's, Amazon, Five Guys, Penn Station and
Chipotle. Community amenities include a fitness center, tanning
salon, computer lab, business center, grilling areas, fire pit,
sculpture park and a parking garage with 48 covered spaces
designated to serve retail traffic.
The loan transferred to special servicing in March 2022 for
imminent default, but it has remained current as of October 2022.
Per servicer reporting, the borrower has indicated that property
performance has been impacted by declining enrollment at the
University of Akron, declining market rents and increased
competition. The servicer has implemented cash management due to
the low debt service coverage ratio, which was reported to be 0.82x
as of YE 2021. However, current occupancy for the multi-family
portion has improved to 100% compared to 87% at YE 2021 and 83% at
YE 2020. Per the September 2022 rent roll, there is one vacancy for
the commercial portion, resulting in an 88% occupancy.
Fitch's loss expectations of approximately 50% are based on a 9.25%
cap rate and a 10% stress to the YE 2021 NOI. Despite the improved
occupancy, Fitch's analysis reflects the property's continued poor
cash flow.
The second and third largest loans in special servicing are secured
by limited service hotels (Wyndham Garden and Four Points by
Sheraton; combined 3.7% of the pool) located in San Jose, CA. Both
loans share the same sponsor and transferred to special servicing
in June 2020 for payment default as a result of pandemic related
performance declines.
A forbearance agreement was executed in November 2021 with terms
including waived default interest and use of reserves to pay past
due debt service. The loans' return to the master servicer has been
delayed due to issues with a cash management account and an unknown
change of a management entity. The most recent servicer provided
appraised values for the properties were in excess of the current
loans' exposures. Fitch's modeled a minimum loss of of 2.5% for
each loan to account for potential special servicing fees and
advances.
Alternative Loss Considerations: While CE and 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,
upgrade and 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-4, A-5, A-SB, A-M 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 X-B 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 and X-C may occur with further
performance deterioration of the FLOCs and/or should additional
loans default or transfer to special servicing. Downgrades to class
F would occur as losses are realized and/or become more certain.
Fitch has identified both a baseline and a worse-than-expected,
adverse stagflation scenario based on fallout from the
Russia-Ukraine war whereby growth is sharply lower amid higher
inflation and interest rates; even if the adverse scenario should
play out, Fitch expects virtually no impact on ratings performance,
indicating very few rating or Outlook changes. However, for some
transactions with concentrations in underperforming retail
exposure, the ratings impact may be mild to modest, indicating some
changes on sub-investment grade notes.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
The Positive Outlook on classes B and interest-only class X-B
reflect the potential for upgrade with stable to improved asset
performance, particularly on the FLOCs, coupled with additional
paydown and/or defeasance.
Upgrades to classes C, D, E and X-C 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 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.
COMMERCIAL EQUIPMENT 2021-A: DBRS Confirms BB(low) on D Notes
-------------------------------------------------------------
DBRS, Inc. (DBRS Morningstar) upgraded two ratings and confirmed
two ratings on the following classes of notes issued by Commercial
Equipment Finance 2021-A, LLC:
-- Class A Notes upgraded to AA (high) (sf) from AA (sf)
-- Class B Notes upgraded to A (high) (sf) from A (sf)
-- Class C Notes confirmed at BBB (sf)
-- Class D Notes confirmed at BB (low) (sf)
The rating actions are based on the following analytical
considerations:
-- The transaction assumptions consider DBRS Morningstar's baseline
macroeconomic scenarios for rated sovereign economies, available in
its commentary "Baseline Macroeconomic Scenarios for Rated
Sovereigns: September 2022 Update," published on September 19,
2022. These baseline macroeconomic scenarios replace DBRS
Morningstar's moderate and adverse Coronavirus Disease (COVID-19)
pandemic scenarios, which were first published in April 2020.
-- The currently available hard credit enhancement in the form of
overcollateralization, subordination (as applicable), and amounts
of deposit in the cash reserve account, as well as the change in
the level of protection afforded by each form of credit enhancement
since the closing of the transaction.
-- The collateral performance of the transaction, with performance
metrics within the expected range.
-- The transaction parties' capabilities with regard to
originating, underwriting, and servicing.
DANBY PARK: S&P Assigns BB- (sf) Rating on $12.40MM Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Danby Park CLO
Ltd./Danby Park CLO LLC's floating-rate notes.
The note issuance is a CLO securitization backed primarily by
broadly syndicated speculative-grade (rated 'BB+' and lower) senior
secured term loans. The transaction is managed by Blackstone Liquid
Credit Strategies LLC, an affiliate of Blackstone Inc.
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 notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Danby Park CLO Ltd./Danby Park CLO LLC
Class A-1a, $227.00 million: Not rated
Class A-1b, $25.00 million: Not rated
Class A-2, $12.00 million: AA+ (sf)
Class B, $36.00 million: AA (sf)
Class C (deferrable), $24.40 million: A (sf)
Class D (deferrable), $22.80 million: BBB- (sf)
Class E (deferrable), $12.40 million: BB- (sf)
Subordinated notes, $29.35 million: Not rated
DRYDEN 106: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes
--------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
Dryden 106 CLO, Ltd.
Entity/Debt Rating
----------- ------
Dryden 106 CLO, Ltd.
A LT NR(EXP)sf Expected Rating
B-1 LT AA(EXP)sf Expected Rating
B-2 LT AA(EXP)sf Expected Rating
C LT A(EXP)sf Expected Rating
D LT BBB-(EXP)sf Expected Rating
E LT BB-(EXP)sf Expected Rating
Subordinate Notes LT NR(EXP)sf Expected Rating
TRANSACTION SUMMARY
Dryden 106 CLO, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by PGIM,
Inc. Net proceeds from the issuance of the secured and subordinated
notes will provide financing on a portfolio of approximately
$500.00 million of primarily first lien senior secured leveraged
loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 23.7 versus a maximum covenant, in accordance with the
initial expected matrix point of 25.9. Issuers rated in the 'B'
rating category denote a highly speculative credit quality;
however, the notes benefit from appropriate credit enhancement and
standard U.S. CLO structural features.
Asset Security (Positive): The indicative portfolio consists of
97.5% first lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 75.79% versus a
minimum covenant, in accordance with the initial expected matrix
point of 73.57%.
Portfolio Composition (Positive): The largest three industries may
constitute up to 39.0% of the portfolio balance in aggregate, while
the top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity required by industry,
obligor and geographic concentrations is in line with other recent
U.S. CLOs.
Portfolio Management (Neutral): The transaction has a 4.9-year
reinvestment period and reinvestment criteria similar to other U.S.
CLOs. Fitch's analysis was based on a stressed portfolio created by
making adjustments to the indicative portfolio to reflect
permissible concentration limits and collateral quality test
levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In its stress scenarios at the initial expected matrix
point, the rated notes can withstand default rates and recovery
assumptions consistent with other recent Fitch-rated CLO notes. The
performance of all class at the other permitted matrix points is in
line with other recent CLOs.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are between
'BB+sf' and 'AA+sf' for class B-1 and B-2, between 'B-sf' and
'A+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class
D, and between less than 'B-sf' and 'B+sf' for class E.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; results under these sensitivity scenarios are 'AAAsf' for
class B-1 and B-2 notes, between 'A+sf' and 'AA-sf' for class C
notes, between 'Asf' and 'A+sf' for class D notes, and 'BBB+sf' for
class E notes.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other Nationally
Recognized Statistical Rating Organizations and/or European
Securities and Markets Authority registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, Fitch's assessment of the asset pool information relied
upon for the agency's rating analysis according to its applicable
rating methodologies indicates that it is adequately reliable.
ELMWOOD CLO 21: S&P Assigns Prelim B- (sf) Rating on Class F Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Elmwood CLO
21 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 preliminary ratings are based on information as of Nov. 21,
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
Elmwood CLO 21 Ltd. /Elmwood CLO 21 LLC
Class A-1, $180.00 million: AAA (sf)
Class A-2, $10.00 million: AAA (sf)
Class B-1, $18.00 million: AA (sf)
Class B-2, $20.00 million: AA (sf)
Class C (deferrable), $16.50 million: A (sf)
Class D (deferrable), $15.75 million: BBB- (sf)
Class E (deferrable), $10.50 million: BB- (sf)
Class F (deferrable), $4.50 million: B- (sf)
Subordinated notes, $25.00 million: Not rated
FIRST FRANKLIN 2006-FF18: Moody's Ups Rating on Cl. A-1 Debt to B3
------------------------------------------------------------------
Moody's Investors Service has upgraded the rating of Class A-1
issued by First Franklin Mortgage Loan Trust 2006-FF18. The
collateral backing this deal consists of subprime mortgages.
A List of Affected Credit Ratings is available at
https://bit.ly/3gzS1el
Complete rating actions is as follows:
Issuer: First Franklin Mortgage Loan Trust 2006-FF18
Cl. A-1, Upgraded to B3 (sf); previously on Feb 8, 2022 Upgraded to
Caa2 (sf)
RATING RATIONALE
The rating action reflects the recent performance as well as
Moody's updated loss expectations on the underlying pools. The
rating upgrade is a result of the improving performance of the
related pools and an increase in credit enhancement available to
the bonds.
In light of the current macroeconomic environment, Moody's revised
loss expectations based on forecast uncertainties. Moody's rating
action also takes into consideration the buildup in credit
enhancement of the bonds, which has helped offset the impact of the
increase in expected losses.
Moody's estimated the proportion of loans granted payment relief in
a pool based on a review of loan level cashflows. In Moody's
analysis, Moody's considered a loan to be enrolled in a payment
relief program if (1) the loan was not liquidated but took a loss
in the reporting period (to account for loans with monthly
deferrals that were reported as current), or (2) the actual balance
of the loan increased in the reporting period, or (3) the actual
balance of the loan remained unchanged in the last and current
reporting period, excluding interest-only loans and pay ahead
loans. Based on Moody's analysis, the proportion of borrowers that
are currently enrolled in payment relief plans varied greatly,
ranging between approximately 2% and 11% among RMBS transactions
issued before 2009. In Moody's analysis, Moody's assume these loans
to experience lifetime default rates that are 50% higher than
default rates on the performing loans.
In addition, for borrowers unable to make up missed payments
through a short-term repayment plan, servicers will generally defer
the forborne amount as a non-interest-bearing balance, due at
maturity of the loan as a balloon payment. Moody's analysis
considered the impact of six months of scheduled principal payments
on the loans enrolled in payment relief programs being passed to
the trust as a loss. The magnitude of this loss will depend on the
proportion of the borrowers in the pool subject to principal
deferral and the number of months of such deferral. The treatment
of deferred principal as a loss is credit negative for junior
bonds, which could incur write-downs on bonds when missed payments
are deferred.
Principal Methodologies
The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in July 2022.
Factors that would lead to an upgrade or downgrade of the rating:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
FLAGSTAR MORTGAGE 2020-1INV: Moody's Ups B-5 Bonds Rating to Ba1
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 6 classes
from three Flagstar Mortgage Trust (FSMT) transactions issued from
2017 to 2020. FSMT 2017-2 is a securitization of fixed rate,
first-lien prime jumbo mortgage loans. FSMT 2019-1INV and FSMT
2020-1INV are securitizations of fixed-rate, first lien investment
property mortgage loans. Wells Fargo Bank, N.A. is the master
servicer.
A List of Affected Credit Ratings is available at
https://bit.ly/3EUXuFP
Issuer: FLAGSTAR MORTGAGE TRUST 2017-2
Cl. B-3, Upgraded to Aa2 (sf); previously on Jan 21, 2022 Upgraded
to Aa3 (sf)
Cl. B-4, Upgraded to A2 (sf); previously on Jan 21, 2022 Upgraded
to A3 (sf)
Issuer: Flagstar Mortgage Trust 2019-1INV
Cl. B-4, Upgraded to A2 (sf); previously on Jan 21, 2022 Upgraded
to A3 (sf)
Issuer: Flagstar Mortgage Trust 2020-1INV
Cl. B-3, Upgraded to A1 (sf); previously on Jan 21, 2022 Upgraded
to A2 (sf)
Cl. B-4, Upgraded to Baa1 (sf); previously on Jan 21, 2022 Upgraded
to Baa2 (sf)
Cl. B-5, Upgraded to Ba1 (sf); previously on Jan 21, 2022 Upgraded
to Ba2 (sf)
RATINGS RATIONALE
The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying pools. In these
transactions, prepayment rates, averaging 9%-13% over the last six
months, have benefited the bonds by increasing the paydown and
building credit enhancement.
In Moody's analysis Moody's considered the additional risk posed by
borrowers enrolled in payment relief programs. Moody's increased
Moody's MILAN model-derived median expected losses by 15% and
Moody's Aaa losses by 5% to reflect the performance deterioration
observed following the COVID-19 outbreak.
Moody's also considered higher adjustments for transactions where
more than 10% of the pool is either currently enrolled or was
previously enrolled in a payment relief program. Specifically,
Moody's account for the marginally increased probability of default
for borrowers that have either been enrolled in a payment relief
program for more than 3 months or have already received a loan
modification, including a deferral, since the start of the
pandemic.
Moody's estimated the proportion of loans granted payment relief in
a pool based on a review of loan level cashflows. In Moody's
analysis, Moody's considered a loan to be enrolled in a payment
relief program if (1) the loan was not liquidated but took a loss
in the reporting period (to account for loans with monthly
deferrals that were reported as current), or (2) the actual balance
of the loan increased in the reporting period, or (3) the actual
balance of the loan remained unchanged in the last and current
reporting period, excluding interest-only loans and pay ahead
loans. Based on Moody's analysis, the proportion of borrowers that
are enrolled in payment relief plans in the underlying pools ranged
between 0%-4% over the last six months.
Moody's updated loss expectations on the pools incorporate, amongst
other factors, Moody's assessment of the representations and
warranties frameworks of the transactions, the due diligence
findings of the third-party reviews received at the time of
issuance, and the strength of the transaction's originators and
servicer.
Principal Methodologies
The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework" published in
July 2022.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
FORTRESS CREDIT XVI: Fitch Assigns 'BB-sf' Rating on Class E Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Fortress
Credit BSL XVI Limited.
Entity/Debt Rating Prior
----------- ------ -----
Fortress Credit
BSL XVI Limited
A-1L LT AAAsf New Rating AAA(EXP)sf
A-1N LT AAAsf New Rating AAA(EXP)sf
A-2 LT NRsf New Rating NR(EXP)sf
B LT AAsf New Rating AA(EXP)sf
C LT Asf New Rating A(EXP)sf
D-1 LT BBB+sf New Rating BBB+(EXP)sf
D-2 LT BBB-sf New Rating BBB-(EXP)sf
E LT BB-sf New Rating BB-(EXP)sf
F LT NRsf New Rating NR(EXP)sf
Subordinated Notes LT NRsf New Rating NR(EXP)sf
TRANSACTION SUMMARY
Fortress Credit BSL XVI Limited is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by FC BSL
CLO Manager II LLC. Net proceeds from the issuance of the secured
and subordinated notes will provide financing on a portfolio of
approximately $400.0 million of primarily first lien senior secured
leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B'/'B-', which is in line with that of
recent CLOs. Issuers rated in the 'B' rating category denote a
highly speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard U.S. CLO structural
features.
Asset Security (Positive): The indicative portfolio consists of
100.0% first-lien senior secured loans and has a weighted average
recovery assumption of 74.94%. Fitch stressed the indicative
portfolio by assuming a higher portfolio concentration of assets
with lower recovery prospects and further reduced recovery
assumptions for higher rating stresses.
Portfolio Composition (Positive): The largest three industries may
comprise up to 39.0% of the portfolio balance in aggregate while
the top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity required by industry,
obligor and geographic concentrations is in line with other recent
U.S. CLOs.
Portfolio Management (Neutral): The transaction has a 3.9-year
reinvestment period and reinvestment criteria similar to other U.S.
CLOs. Fitch's analysis was based on a stressed portfolio created by
making adjustments to the indicative portfolio to reflect
permissible concentration limits and collateral quality test
levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the class A-1 Loan and
A-1 notes, class B, C, D-1 and D-2 notes can withstand default
rates of up to 58.9%, 55.2%, 49.6%, 44.3%, 39.8% and 33.8%,
respectively, assuming recoveries of 37.5%, 46.4%, 55.8%, 65.5%,
65.3% and 70.7%, respectively.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are between
'BBB+sf' and 'AAAsf' for class A-1 Loans and class A-1 notes,
between 'BB+sf' and 'AA+sf' for class B, between 'B-sf' and 'A+sf'
for class C, between less than 'B-sf' and 'BBB+sf' for class D-1,
between less than 'B-sf' and 'BBB-sf' for class D-2, and between
less than 'B-sf' and 'BBsf' for class E.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Upgrade scenarios are not applicable to the class A-1 Loans and A-1
notes, as these notes are in the highest rating category of
'AAAsf'. At other rating levels, variability in key model
assumptions, such as increases in recovery rates and decreases in
default rates, could result in an upgrade. Fitch evaluated the
notes' sensitivity to potential changes in such metrics; results
under these sensitivity scenarios are 'AAAsf' for class B notes,
between 'AA-sf' and 'AA+sf' for class C notes, 'AA-sf' for class
D-1 notes, between 'Asf' and 'AA-sf' for class D-2 notes, and
'BBB+sf' for class E notes.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other Nationally
Recognized Statistical Rating Organizations and/or European
Securities and Markets Authority registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, Fitch's assessment of the asset pool information relied
upon for the agency's rating analysis according to its applicable
rating methodologies indicates that it is adequately reliable.
GS MORTGAGE 2012-BWTR: Moody's Lowers Rating on Cl. C Certs to Ba1
------------------------------------------------------------------
Moody's Investors Service has downgraded four classes in GS
Mortgage Securities Corporation Trust 2012-BWTR, Commercial
Pass-Through Certificates Series 2012-BWTR as follows:
Cl. B, Downgraded to Baa1 (sf); previously on Aug 18, 2022
Downgraded to A1 (sf)
Cl. C, Downgraded to Ba1 (sf); previously on Aug 18, 2022
Downgraded to Baa1 (sf)
Cl. D, Downgraded to Ba3 (sf); previously on Aug 18, 2022
Downgraded to Baa3 (sf)
Cl. X-B*, Downgraded to Baa1 (sf); previously on Aug 18, 2022
Downgraded to A1 (sf)
* Reflects interest-only classes
RATINGS RATIONALE
The ratings on three P&I classes were downgraded due to the decline
in loan performance and the inability of the loan to payoff at its
scheduled maturity date in November 2022. As of the November 2022
distribution date, the loan is last paid through its October 2022
payment date and special servicer commentary indicates the borrower
is no longer willing to provide additional equity to support the
property, and the special servicer is working with the borrower on
a potential Deed in Lieu foreclosure. As a result, the junior
classes are at an increased risk of interest shortfalls if the loan
continues to be delinquent.
Historically, the property's net cash flow (NCF) exhibited very
stable operating performance from securitization through 2019.
However, the 2021 and annualized 2022 NCFs are approximately 26%
lower than the average NCF between securitization and 2019.
In this credit rating action Moody's considered qualitative and
quantitative factors in relation to the senior-sequential structure
and trophy/dominant nature of the asset, and Moody's analyzed
multiple scenarios to reflect various levels of stress in property
values could impact loan proceeds at each rating level.
The rating on one interest-only (IO) class, Cl. X-B, was downgraded
due to decline in the credit quality of the referenced class, Cl.
B.
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.
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. Additionally, significant
changes in the 5-year rolling average of 10-year US Treasury rates
will impact the magnitude of the interest rate adjustment and may
lead to future rating actions.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization or a
significant improvement in the loan's performance.
Factors that could lead to a downgrade of the ratings include a
further decline in actual or expected performance of the loan or
interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating all classes except
interest-only classes was "Large Loan and Single Asset/Single
Borrower Commercial Mortgage-Backed Securitizations Methodology"
published in July 2022.
DEAL PERFORMANCE
As of the November 7, 2022 distribution date the transaction's
certificate balance was $300 million, the same as at
securitization. The 10-year, fixed rate loan is secured by fee
simple interest in Bridgewater Commons Mall and matured on November
1, 2022. The sponsor of the borrower is Four State Properties,
LLC; a joint venture between Fourmall Acquisition, LLC (65%) and
NYSTRS and JP Morgan & Chase Co. (35%). Fourmall Acquisition, LLC
is a joint venture between the New York State Teachers' Retirement
System (NYSTRS) and the Commingled Pension Trust Fund of JPMorgan
Chase Bank, National Association, which is managed by JPMorgan
Asset Management – Global Real Estate Assets.
The loan was transferred to special servicer in August 2022 due to
an imminent default at the upcoming balloon maturity date.
Specially servicer commentary indicates the borrower believes the
property's current value is insufficient to cover the loan, and is
no longer willing to provide additional equity to support the
asset.
The collateral for the loan is 546,511 square feet (SF) portion
within Bridgewater Commons Mall, an 898,762 SF super-regional mall
and an adjacent 93,799 SF lifestyle center (The Village at
Bridgewater Commons), located in Bridgewater, New Jersey. The
property was originally constructed in 1988 and renovated and
expanded between 2005 and 2010. The current mall anchors include
Macy's and Bloomingdales. Lord & Taylor closed its store at this
location in January 2022 and the space remains vacant. Macy's and
the former Lord & Taylor's improvements are not collateral for the
loan. As of the June 2022 rent roll the collateral (excluding
Macy's and former Lord & Taylor space) was 90% leased.
The property's NCF for the first half of 2022 was $11.9 million
compared to $25.3 million achieved in full year 2021. This showed
a marked decline from the 2020 NCF of $30.9 million. Prior to
2020, the performance for the loan has been very stable since
securitization with NCF having ranged between a low of $31.1MM (in
2014) and a high of $36.0 million (in 2017) between 2012 and 2019
period. Moody's stressed NCF is $25.0 million.
Moody's stressed loan to value (LTV) ratio is 99%, and Moody's
stressed debt service coverage ratio (DSCR) is 0.90x. The current
IO fixed rate loan has a coupon of 3.339% and the reported NCF DSCR
through June 2022 was 2.35X. There are no interest shortfalls
outstanding as of the current distribution date.
GS MORTGAGE 2017-GPTX: Moody's Lowers Rating on Cl. C Certs to Ba1
------------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on two classes
of bonds issued by GS Mortgage Securities Corporation Trust
2017-GPTX, Commercial Mortgage Pass-Through Certificates, Series
2017-GPTX. Moody's rating action is as follows:
Cl. B, Downgraded to A3 (sf); previously on Aug 25, 2022 Downgraded
to A1 (sf) and Placed Under Review for Possible Downgrade
Cl. C, Downgraded to Ba1 (sf); previously on Aug 25, 2022
Downgraded to Baa2 (sf) and Placed Under Review for Possible
Downgrade
RATINGS RATIONALE
The ratings on Cl. B and Cl. C were downgraded due to the weak loan
performance due to declines in property revenue and occupancy since
2019. The loan was unable to payoff at its initial maturity date in
May 2022 and transferred to special servicing after its initial
two-month forbearance period in July 2022. Subsequently, an
amendment to the forbearance agreement has been executed effective
as of July 6, 2022, which extends the forbearance period to July 6,
2023. The amendment provides a short term resolution, however, the
loan must refinance or request additional accommodations in eight
months. Due to the declines in cash flow in recent years and
higher interest rate environment the loan may continue to face
heightened refinance risk at its upcoming loan maturity date.
In this credit rating action Moody's considered qualitative and
quantitative factors in relation to the senior-sequential structure
and trophy/dominant nature of the asset, and Moody's analyzed
multiple scenarios to reflect various levels of stress in property
values could impact loan proceeds at each rating level.
The actions conclude the review for downgrade that was initiated on
August 25, 2022.
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. Additionally, significant
changes in the 5-year rolling average of 10-year US Treasury rates
will impact the magnitude of the interest rate adjustment and may
lead to future rating actions.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
defeasance or a significant improvement in loan performance.
Factors that could lead to a downgrade of the ratings include a
further decline in actual or expected performance of the loan or
interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION:
The principal methodology used in these ratings was "Large Loan and
Single Asset/Single Borrower Commercial Mortgage-Backed
Securitizations Methodology" published in July 2022.
DEAL PERFORMANCE
As of the November 14, 2022 payment date, the transaction's
aggregate certificate balance remains unchanged from securitization
at $465 million. The interest only, 5-year, fixed-rate loan failed
to payoff at its initial loan maturity date in May 2022. A
forbearance agreement was subsequently executed and expired in July
2022. An amendment to the forbearance agreement has been executed
effective as of July 6, 2022, which extends the forbearance period
to July 6, 2023.
The Greenway Plaza loan is secured by ten office buildings
(approximately 4.3 million SF), a food hall, a health and
recreation facility, two ground leased outparcels, a power facility
to heat and cool the complex plus four parking garages.
The 52-acre master planned community was developed between 1969 and
1981 and is located between the Houston CBD and the Galleria/Uptown
submarkets.
The portfolio benefits from its central location amongst the
Houston CBD submarket (to the east), the Galleria/Uptown submarkets
(to the west) and the River Oaks neighborhood (to the north).
Greenway Plaza is located north of I-69, south of Richmond Avenue,
and in between Buffalo Speedway and Timmons Lane from the east and
west, respectively.
According to CBRE, the Greenway Plaza submarket in Houston, TX
included 6.3 million square feet of Class A office space in Q3 2022
with a vacancy of 26%, similar to the Houston Class A market as a
whole, which according to CBRE reported a 24% vacancy during the
same period. Many tenants have downsized in the Houston office
market, which applied downward pressure on rental rates and pushed
availability to a record high.
The portfolio's weighted average occupancy as of September 2022
rent roll was approximately 71%, largely unchanged from those of
December 2021 and June 2022. The portfolio was approximately 87%
leased at securitization. Some of the larger tenants at the
complex include Occidental Petroleum Group, Invesco, CPL Retail
Energy, Gulf South Pipeline and Lifetime Fitness.
The sponsor is a joint venture comprised of affiliates of CPP
Investments, Nuveen Real Estate and Silverpeak Real Estate
Partners, and Parkway Property Investments, LLC. The portfolio's
net cash flow for the trailing twelve month period ending June 2022
was reported at $24.6 million compared to $37.6 million in 2021 and
$55.9 million for 2020, respectively.
Moody's LTV ratio for the first mortgage balance is 108% based on
Moody's Value. Adjusted Moody's LTV ratio for the first mortgage
balance is 94% based on Moody's Value using a cap rate adjusted for
the current interest rate environment. Moody's stressed debt
service coverage ratio (DSCR) is 0.93X. The original
interest-only fixed rate loan had a coupon of 3.753% and the
reported NCF DSCR through June 2022 was 1.39X. The loan is current
on its debt service payments through the November 2022 remittance
date and there are no interest shortfalls outstanding as of the
current payment date.
GUGGENHEIM CLO 2022-1: Fitch Assigns 'BB-sf' Rating on Cl. D Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to
Guggenheim CLO 2022-1 STAT, Ltd.
Entity/Debt Rating
----------- ------
Guggenheim CLO
2022-1 STAT, Ltd.
A-1a LT NRsf New Rating
A-1b LT AAAsf New Rating
A-2 LT AA+sf New Rating
B LT Asf New Rating
C LT BBB+sf New Rating
D LT BB-sf New Rating
Subordinated Notes LT NRsf New Rating
TRANSACTION SUMMARY
Guggenheim CLO 2022-1 STAT, Ltd., is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Guggenheim Partners Investment Management, LLC. Net proceeds from
the issuance of the secured and subordinated notes will provide
financing on a portfolio of approximately $400 million of primarily
first lien senior secured loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B/B-', which is in line with that of
recent CLOs. Issuers rated in the 'B' rating category denote a
highly speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard U.S. CLO structural
features.
Asset Security (Positive): The indicative portfolio consists of
99.8% first-lien senior secured loans and has a weighted average
recovery assumption of 74.75%.
Portfolio Composition (Positive): The largest three industries
comprise 32.4% of the portfolio balance in aggregate while the top
five obligors represent 5.0% of the portfolio balance in aggregate.
The level of diversity required by industry, obligor and geographic
concentrations is in line with other recent U.S. CLOs.
Portfolio Management (Neutral): The transaction does not have a
reinvestment period; however, the issuer has the ability to extend
the weighted average life (WAL) of the portfolio as a result of
maturity amendments. Fitch's analysis was based on a stressed
portfolio a one-notch downgrade on the Fitch IDR Equivalency Rating
for assets with a Negative Outlook on the driving rating of the
obligor. The shorter risk horizon means the transaction is less
vulnerable to underlying price movements, economic conditions and
asset performance.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, each class of notes was
able to withstand default rates in excess of the respective rating
hurdle. The recommended ratings are in line with the model-implied
ratings for each respective class.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are between
'BBB+sf' and 'AAAsf' for class A-1b, between 'BBB-sf' and 'AA+sf'
for class A-2, between 'B-sf' and 'A-sf' for class B, between less
than 'B-sf' and 'BBB-sf' for class C, and between less than 'B-sf'
and 'B+sf' for class D.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Upgrade scenarios are not applicable to the class A-1b notes, as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; results under these sensitivity scenarios are 'AAAsf' for
class A-2 notes, 'A+sf' for class B notes, 'A+sf' for class C
notes, and 'BBB+sf' for class D notes.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other Nationally
Recognized Statistical Rating Organizations and/or European
securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.
HOTWIRE FUNDING 2021-1: Fitch Affirms 'BBsf' Rating on Cl. B Notes
------------------------------------------------------------------
Fitch Ratings has affirmed Hotwire Funding LLC's Secured Fiber
Network Revenue Notes, Series 2021-1 as follows:
Entity/Debt Rating Prior
----------- ------ -----
Hotwire
Communications
Fiber Issuance
A-1 LT Asf Affirmed A
A-2 44148JAA7 LT Asf Affirmed A
B 44148JAC3 LT BBsf Affirmed BB
C 44148JAB5 LT BBBsf Affirmed BBB
- $240 million(a) 2021-1 class A-1-VFN 'A'; Outlook Stable;
- $895 million 2021-1 class A-2 'A'; Outlook Stable;
- $150 million 2021-1 class B 'BBB'; Outlook Stable;
- $295 million 2021-1 class C 'BB'; Outlook Stable.
(a) This note is a Variable Funding Note (VFN) and has a maximum
commitment of $240 million contingent on leverage consistent with
the class A-1 notes. This class reflected a zero balance at
issuance and reflects a current balance of $136,204,899.
TRANSACTION SUMMARY
The transaction is a securitization of the payments derived from an
existing Fiber-to-the-Home (FTTH) network. The collateral consists
of conduits, cables, network-level equipment, access rights,
customer contracts, transaction accounts and an equity pledge from
the asset entities. Debt is secured by the net revenue of
operations and benefits from a perfected security interest in the
securitized assets.
KEY RATING DRIVERS
Net Cash Flow and Trust Leverage: Net cash flow (NCF) on the pool
is $149.6 million, 17.3% up from the issuance. The debt multiple
relative to NCF on the rated classes is 9.87x compared to 10.0x at
issuance exclusive of the prefunding account.
Credit Risk Factors: The major factors impacting Fitch's
determination of cash flow and Maximum Potential Leverage (MPL)
include the high quality of the underlying collateral networks,
scale, creditworthiness and diversity of the customer base, market
position and penetration, capability of the operator, and strength
of the transaction structure.
Technology-Dependent Credit: Due to the specialized nature of the
collateral and potential for changes in technology to affect
long-term demand for digital infrastructure, the senior classes of
this transaction do not achieve ratings above 'Asf'. The securities
have a rated final payment date 30 years after closing, and the
long-term tenor of the securities increases the risk that an
alternative technology will be developed that renders obsolete the
current transmission of data through fiber optic cables. Fiber
optic cable networks are currently the fastest and most reliable
means to transmit information and data providers continue to invest
in and utilize this technology.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Higher site expenses or contract churn that lead to a reduction in
cash flow could result in downgrades;
Development of an alternative technology for digital transmission
or the creation of a competing network with similar capacity and
breadth of coverage that reduces Hotwire's offerings in the service
area, could result in downgrades.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Structural contract escalators or new contracts resulting in
increase in cash flow without an increase in corresponding debt
could lead to upgrades. However, the transaction is capped at the
'A' category, given the potential for technological obsolescence
and given the ability to issue additional notes, without the
benefit of additional collateral.
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.
JP MORGAN 2017-FL11: DBRS Confirms BB(low) Rating on Class E Certs
------------------------------------------------------------------
DBRS, Inc. (DBRS Morningstar) changed the trend to Stable from
Negative and confirmed the rating of BB (low) (sf) on Class E of
the Commercial Mortgage Pass-Through Certificates, Series 2017-FL11
issued by J.P. Morgan Chase Commercial Mortgage Securities Trust
2017-FL11.
The trend change reflects the significant collateral reduction from
last review, considering the former largest loan in the pool
(Prospectus ID#5; Hyatt Regency Riverfront Jacksonville) was repaid
with the September 2022 remittance. As of the November 2022
remittance, only one of the original six loans remains in the trust
with an outstanding principal balance of $42.5 million,
representing a collateral reduction of 91.8% since issuance.
Despite the considerable collateral reduction and increased credit
support to Class E, DBRS Morningstar confirmed its rating, given
the continued concerns about the only loan remaining in the pool,
which is currently in special servicing. The collateral for the
loan is an office property in Houston that has exhibited
performance declines and is in a soft submarket, as further
detailed below.
The One Westchase Center loan is secured by a 12-story Class A
office property and an adjacent six-story parking garage in the
Westchase submarket of Houston. The loan was previously in special
servicing in June 2020 after the borrower requested relief as a
result of the effects of the Coronavirus Disease pandemic. The
mezzanine lender foreclosed on its interest in the borrower,
forming a new borrowing entity on the senior note via a newly
created joint venture with Nitya Capital. The mezzanine lender (OWS
Commercial Mezz) retained a 25% stake in the new borrowing entity
with the remaining 75% interest held by Nitya Capital.
The loan transferred back to special servicing in October 2022 for
maturity default as the borrower was unsuccessful in refinancing
the loan prior to the fully-extended maturity date. However, a loan
modification was executed with a new maturity date in April 2023,
with a six-month extension option to October 2023. Other terms of
the agreement include an increase in the interest rate, the
continuation of cash management, and a $4.5 million principal
paydown to be applied at closing. The paydown was to be funded with
$3.2 million of new equity contributed by the borrower and another
$1.3 million from existing reserves. The paydown was reflected with
the November 2022 remittance report and, according to the
servicer's loan level reserve report, $3.7 million is currently
held in other reserves.
According to the September 2022 appraisal, the subject property was
valued at $50.2 million, a significant decline from the issuance
value of $85.2 million but above the outstanding loan amount of
$42.5 million. Based on the most recent financials, the loan
reported net cash flow of $2.7 million for the trailing 12-month
period ended March 31, 2022, compared with $3.1 million for YE2021,
$1.9 million for YE2020, and $4.0 million for YE2019. According to
the September 2022 appraisal, the occupancy rate at the property
has increased to 77.5% from 71.2% in June 2022 and 69.7% in
December 2021; however, it is still below the issuance occupancy
rate of 85.9%. There is tenant rollover risk as tenants
representing 14.5% of the net rentable area have leases scheduled
to expire in the next 12 months. In addition, Reis reports the
Westheimer/Westchase office submarket continues to be challenged by
persistently high vacancy rates, with the Q3 2022 rate at 26.0%
compared with the Q3 2021 rate at 26.8%.
The DBRS Morningstar rating assigned to Class E is lower than the
results implied by the loan-to-value sizing benchmarks. While Class
E could be protected from significant principal loss given the
September 2022 value of $50.2 million against the outstanding loan
balance of $42.5 million, the variance is warranted given that DBRS
Morningstar recognizes the elevated refinance risk in the face of
current market dynamics and investor appetite for Houston office
properties, compounded by the subject's performance declining from
expectations at issuance.
JP MORGAN 2022-DSC1: S&P Assigns Prelim B-(sf) on B-2 Certs
-----------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to J.P. Morgan
Mortgage Trust 2022-DSC1's mortgage-backed certificates series
2022-DSC1.
The certificate issuance is an RMBS transaction backed by
first-lien, fixed- and adjustable-rate, fully amortizing, and
interest-only residential mortgage loans secured by single-family
residences, planned-unit developments, two- to four-family homes,
condominiums, townhomes, and a site condo to both prime and
nonprime borrowers. The pool consists of 980 business-purpose
investor loans (including 88 cross-collateralized loans backed by
480 properties) that are exempt from the qualified mortgage and
ability-to-repay rules.
The preliminary ratings are based on information as of Nov. 22,
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, the mortgage aggregators and
mortgage originators, 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.
S&P said, "Extremely high home prices coupled with aggressive
interest rate increases are also weighing heavily on the demand for
housing. 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)
J.P. Morgan Mortgage Trust 2022-DSC1
Class A-1, $202,188,000: AAA (sf)
Class A-2, $27,585,000: AA- (sf)
Class A-3, $34,983,000: A- (sf)
Class M-1, $15,873,000: BBB- (sf)
Class B-1, $11,404,000: BB- (sf)
Class B-2, $8,476,000: B- (sf)
Class B-3, $7,705,406: NR
Class A-IO-S, notional(ii): NR
Class XS, notional(ii): NR
Class A-R, not applicable: NR
(i)The collateral and structural information in this report reflect
the private placement memorandum dated Nov. 18, 2022. The
preliminary ratings address the ultimate payment of interest and
principal and do not address payment of the cap carryover amounts.
(vii)The notional amount equals the loans' aggregate unpaid
principal balance.
NR--Not rated.
MADISON PARK LIV: S&P Assigns BB- (sf) Rating on Class E-2 Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Madison Park Funding LIV
Ltd./Madison Park Funding LIV LLC's fixed- and floating-rate
notes.
The note issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Credit Suisse 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
Madison Park Funding LIV Ltd./Madison Park Funding LIV LLC
Class A-1, $291.00 million: AAA (sf)
Class A-2, $12.13 million: Not rated
Class B-1, $53.35 million: AA (sf)
Class B-2, $9.70 million: AA (sf)
Class C (deferrable), $24.25 million: A (sf)
Class D (deferrable), $29.10 million: BBB- (sf)
Class E-1 (deferrable), $15.26 million: BB- (sf)
Class E-2 (deferrable), $0.50 million: BB- (sf)
Subordinated notes, $41.00 million: Not rated
MARANON LOAN 2022-1: S&P Assigns BB- (sf) Rating on Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Maranon Loan Funding
2022-1 LLC's floating-rate notes.
The note 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 Maranon Capital L.P.
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
Maranon Loan Funding 2022-1 LLC
Class X, $20.00 million: AAA (sf)
Class A, $230.00 million: AAA (sf)
Class B, $40.00 million: AA (sf)
Class C (deferrable), $31.50 million: A- (sf)
Class D (deferrable), $19.20 million: BBB- (sf)
Class E (deferrable), $23.00 million: BB- (sf)
Variable dividend notes, $57.50 million: Not rated
MARBLE POINT XXV: Fitch Assigns 'BB-sf' Rating on Class E Notes
---------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Marble
Point CLO XXV, Ltd.
Entity/Debt Rating
----------- ------
Marble Point XXV,
Ltd.
A-1A LT AAAsf New Rating
A-1B LT AAAsf New Rating
A-2 LT AAAsf New Rating
B LT AAsf New Rating
C LT Asf New Rating
D LT BBB-sf New Rating
E LT BB-sf New Rating
Subordinated Notes LT NRsf New Rating
TRANSACTION SUMMARY
Marble Point CLO XXV Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by Marble
Point CLO Management LLC. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $300 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B'/'B-', which is in line with that of
recent CLOs. The weighted average rating factor (WARF) of the
indicative portfolio is 24.6, versus a maximum covenant, in
accordance with the initial expected matrix point of 25.0. Issuers
rated in the 'B' rating category denote a highly speculative credit
quality; however, the notes benefit from appropriate credit
enhancement and standard U.S. CLO structural features.
Asset Security (Positive): The indicative portfolio consists of
97.7% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 74.97% versus a
minimum covenant, in accordance with the initial expected matrix
point of 74.25%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 40.0% of the portfolio balance in aggregate while
the top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity required by industry,
obligor and geographic concentrations is in line with other recent
U.S. CLOs.
Portfolio Management (Neutral): The transaction has a 2.9-year
reinvestment period and reinvestment criteria similar to other U.S.
CLOs. Fitch's analysis was based on a stressed portfolio created by
making adjustments to the indicative portfolio to reflect
permissible concentration limits and collateral quality test
levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios at the initial matrix
point, the rated notes can withstand default and recovery
assumptions consistent with their assigned ratings
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are between
'BBB+sf' and 'AAAsf' for class A-1A and A-1B, between 'BBB+sf' and
'AAAsf' for class A-2, between 'BB+sf' and 'AAAsf' for class B,
between 'B-sf' and 'A+sf' for class C, between less than 'B-sf' and
'BBB-sf' for class D, and between less than 'B-sf' and 'BB-sf' for
class E.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Upgrade scenarios are not applicable to the class A-1A, A-1B and
A-2 notes, as these notes are in the highest rating category of
'AAAsf'. Variability in key model assumptions, such as increases in
recovery rates and decreases in default rates, could result in an
upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; results under these sensitivity scenarios are 'AAAsf' for
class B notes, between 'A+sf' and 'AA+sf' for class C notes,
between 'Asf' and 'A+sf' for class D notes, and 'BBB+sf' for class
E notes.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or Credit Opinions from Fitch and/or other
nationally-recognized statistical rating organizations and/or
European Securities and Markets Authority-registered rating
agencies. Fitch has relied on the practices of the relevant groups
within Fitch and/or other rating agencies to assess the asset
portfolio information.
Overall, Fitch's assessment of the asset pool information relied
upon for its rating analysis, according to its applicable rating
methodologies, indicates that it is adequately reliable
MIDOCEAN CREDIT XI: Fitch Assigns 'BB-sf' Rating on Class E Notes
-----------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to MidOcean
Credit CLO XI Ltd.
Entity/Debt Rating
----------- ------
MidOcean Credit
CLO XI Ltd
A-1 LT AAAsf New Rating
A-2a LT AAAsf New Rating
A-2b LT AAAsf New Rating
B LT AAsf New Rating
C LT A+sf New Rating
D LT BBBsf New Rating
E LT BB-sf New Rating
Subordinated Notes LT NRsf New Rating
TRANSACTION SUMMARY
MidOcean Credit CLO XI Ltd, is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
MidOcean Credit RR Manager LLC. Net proceeds from the issuance of
the secured and subordinated notes will provide financing on a
portfolio of approximately $350 million of primarily first lien
senior secured loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 23.34 versus a maximum covenant, in accordance with
the initial expected matrix point of 24.8. Issuers rated in the 'B'
rating category denote a highly speculative credit quality;
however, the notes benefit from appropriate credit enhancement and
standard U.S. CLO structural features.
Asset Security (Positive): The indicative portfolio consists of
95.6% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 74.50% versus a
minimum covenant, in accordance with the initial expected matrix
point of 73.70%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 41.0% of the portfolio balance in aggregate, while
the top five obligors can represent up to 11.5% of the portfolio
balance in aggregate. The level of diversity required by industry,
obligor and geographic concentrations is in line with other recent
U.S. CLOs.
Portfolio Management (Neutral): The transaction has a 2.9-year
reinvestment period and reinvestment criteria similar to other U.S.
CLOs. Fitch's analysis was based on a stressed portfolio created by
making adjustments to the indicative portfolio to reflect
permissible concentration limits and collateral quality test
levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios at the initial expected
matrix point, and all other matrix points, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are between
'A-sf' and 'AAAsf' for class A-1, between 'BBB+sf' and 'AAAsf' for
class A-2a, between 'BBB+sf' and 'AAAsf' for class A-2b, between
'BBB-sf' and 'AA+sf' for class B, between 'B+sf' and 'A+sf' for
class C, between less than 'B-sf' and 'BBBsf' for class D, and
between less than 'B-sf' and 'B+sf' for class E.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Upgrade scenarios are not applicable to the class A-1, A-2a, and
A-2b notes, as these notes are in the highest rating category of
'AAAsf'. Variability in key model assumptions, such as increases in
recovery rates and decreases in default rates, could result in an
upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; results under these sensitivity scenarios are 'AAAsf' for
class B notes, 'AA-sf' for class C notes, between 'A+sf' and
'AA-sf' for class D notes, and 'BBB+sf' for class E notes.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other Nationally
Recognized Statistical Rating Organizations and/or European
securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.
MORGAN STANLEY 2014-C14: Fitch Affirms 'Bsf' Rating on Cl. G Certs
------------------------------------------------------------------
Fitch Ratings has upgraded three classes and affirmed nine classes
of Morgan Stanley Bank of America Merrill Lynch Trust, Series
2014-C14 (MSBAM 2014-C14) commercial mortgage pass-through
certificates. The Rating Outlook remains Positive for class E. All
other Outlooks are Stable.
Entity/Debt Rating Prior
----------- ------ -----
MSBAM 2014-C14
A-5 61690GAF8 LT AAAsf Affirmed AAAsf
A-S 61690GAH4 LT AAAsf Affirmed AAAsf
A-SB 61690GAC5 LT AAAsf Affirmed AAAsf
B 61690GAJ0 LT AAAsf Affirmed AAAsf
C 61690GAL5 LT AAAsf Upgrade AAsf
D 61690GAT8 LT Asf Upgrade BBBsf
E 61690GAW1 LT BB+sf Affirmed BB+sf
F 61690GAZ4 LT BBsf Affirmed BBsf
G 61690GBC4 LT Bsf Affirmed Bsf
PST 61690GAK7 LT AAAsf Upgrade AAsf
X-A 61690GAG6 LT AAAsf Affirmed AAAsf
X-B 61690GAM3 LT AAAsf Affirmed AAAsf
Classes X-A and X-B are interest only.
The class A-S, B and C certificates may be exchanged for class PST
certificates, and class PST certificates may be exchanged for the
class A-S, B and C certificates.
KEY RATING DRIVERS
Improved Loss Expectations/Increase in Credit Enhancement: The
upgrades and affirmations reflect lower expected losses on the
remaining pool in addition to paydown, defeasance and higher than
expected recoveries since Fitch's prior rating action. Fitch's
current ratings for the transaction reflect an improved base case
loss of 3.0%.
As of the October 2022 distribution date, the pool's aggregate
principal balance has been reduced by 57.2% to $632.5 million from
$1.48 billion at issuance. Seven loans are fully defeased (9.9% of
the pool). Since Fitch's last rating action, there has been a total
$116 million in paydown through loan payoffs and amortization with
no realized losses and an additional four loans defeased (4.5%). A
REO retail asset, which Fitch modeled losses on based on a discount
to a 2021 appraisal value, paid in full in March 2022.
Of the remaining pool, one loan (1.2%) is full term interest only;
all other loans are now amortizing. The majority of the pool is
scheduled to mature in 4Q 2023 (48.8%) and Q1 2024 (49.5%).
High Percentage of Fitch Loans of Concern: Fitch has designated 10
loans (49.4% of the pool) as Fitch Loans of Concern (FLOCs),
including two assets in special servicing (2.9%). The FLOCs include
hotel and retail properties that are exhibiting improved recent
performance; however, the reported cash flow and/or occupancy does
not reflect pre-pandemic performance. Fitch will continue to
monitor the performance as the loans approach their respective
maturity dates.
Larger FLOCs that have not fully rebounded to pre-pandemic levels
include Stonestown Galleria (7.4%) and Hilton San Francisco
Financial District (6.5%). The Stonestown Galleria collateral
totals 585,758 sf of an 853,546-sf, two-story regional mall located
in southwest San Francisco. The sponsor, Brookfield Properties, has
been working to increase occupancy after large anchors vacated.
Major tenants include Target, Whole Foods and Regal Cinemas. The
servicer reported occupancy as of the June 2022 rent roll was 67%,
compared to 98% at YE 2019.
Hilton San Francisco Financial District is a 543-room full-service
hotel located in downtown San Francisco within walking distance of
several iconic attractions including the Embarcadero, the Ferry
Building, and Chinatown. Per the June 2022 STR report, the subject
hotel had TTM occupancy, ADR and RevPAR rates of 79.7%, $168, and
$134, respectively with the TTM June 2022 RevPAR penetration at
134%. While improving, the reported TTM June 2022 NOI remains below
pre-pandemic levels.
Specially Serviced Loans: The largest contributor to base case loss
is the REO Pence Building (1.2% of the pool), which is a 91,446-sf
office building located in Minneapolis, MN. The property was built
in 1909 with recent renovations, including common area improvements
and roof replacement, completed in 2020. The loan transferred to
the special servicer in July 2018 for imminent monetary default
after losing its largest tenant. A foreclosure sale occurred in May
2019, and the property became REO in September 2019.
The servicer reported occupancy is approximately 51%. Per recent
reporting, the servicer expects to market the property for sale in
the next few months. Fitch's modeled loss reflects a value of $64
psf.
The other specially serviced loan is Fairfield Inn Portfolio (1.5%
of the pool). The loan is secured by two limited service hotels in
the western Chicago suburbs. The loan was transferred to specially
servicing in July 2020 due to imminent monetary default as a result
of the pandemic.
The larger portfolio property by allocated loan balance is the
92-key Fairfield Inn-St. Charles located in Saint Charles, IL. The
hotel was built in 2001 and last renovated in 2010. The second
hotel is the 105-key Fairfield Inn-Naperville is located in
Naperville, IL. The hotel was built in 1997 and last renovated in
2013.
The recent servicer reporting indicated the borrower is attempting
to sell the two hotels and the loan may be assumed. Based on recent
valuations, Fitch's analysis reflects a value of nearly $54,000 per
key.
Alternative Loss Scenarios: Due to the increasing concentration in
the pool due to paydown and the majority of loan maturities
scheduled within the next 12 to 15 months, Fitch further stressed
cap rates by an additional 1% and NOI haircuts by an additional 5%,
to test for upgrades, in addition to grouping the remaining loans
based on their current status and collateral quality and ranked
them by their perceived likelihood of repayment and/or loss
expectation.
Fitch also considered expected paydown from defeased loans, as well
as loans with sufficient cash flow for assumed ability to refinance
in a higher interest rate environment using Fitch's stressed
refinance constants. The ratings reflect these scenarios.
The Outlook on class E remains Positive and reflects the
possibility for upgrade as property performance continues to
stabilize and loans payoff at their respective maturities.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Downgrades to the 'AAAsf' classes are not likely due to their
position in the capital structure and the high CE, but may occur
should interest shortfalls impact these classes. Downgrades to
classes rated 'Asf' or 'BB+sf' and below may occur should pool
level losses increase significantly and/or loans that are
susceptible to the pandemic fail to fully stabilize or should
additional losses be realized.
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:
Factors that could lead to upgrades would include stable to
improved asset performance, coupled with additional paydown and/or
defeasance. Upgrades to the 'Asf' through 'BB+sf' rated classes may
occur with further increases in CE due to loan payoffs at maturity,
in addition to the continued stabilization of properties impacted
from the pandemic.
Upgrades to the 'BBsf' and 'Bsf' category rated classes are
considered unlikely, but may occur as the number of FLOCs are
reduced and as properties that have been vulnerable to the pandemic
return to pre-pandemic levels. Upgrades would be limited based on
the sensitivity to concentrations or the potential for future
concentrations. Classes will not be upgraded above 'Asf' if there
is a likelihood of interest shortfalls.
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 2015-C23: Fitch Affirms B- Rating on Class F Debt
----------------------------------------------------------------
Fitch Ratings has affirmed 12 classes of Morgan Stanley Bank of
America Merrill Lynch Trust (MSBAM) Commercial Mortgage
Pass-Through Certificates, series 2015-C23 and revised two Rating
Outlooks to Stable from Negative.
Entity/Debt Rating Prior
----------- ------ -----
MSBAM 2015-C23
A-3 61690QAD1 LT AAAsf Affirmed AAAsf
A-4 61690QAE9 LT AAAsf Affirmed AAAsf
A-S 61690QAG4 LT AAAsf Affirmed AAAsf
A-SB 61690QAC3 LT AAAsf Affirmed AAAsf
B 61690QAH2 LT AA-sf Affirmed AA-sf
C 61690QAK5 LT A-sf Affirmed A-sf
D 61690QAS8 LT BBB-sf Affirmed BBB-sf
E 61690QAU3 LT BB-sf Affirmed BB-sf
F 61690QAW9 LT B-sf Affirmed B-sf
PST 61690QAJ8 LT A-sf Affirmed A-sf
X-A 61690QAF6 LT AAAsf Affirmed AAAsf
X-B 61690QAL3 LT AAAsf Affirmed AAAsf
KEY RATING DRIVERS
Improved Loss Expectations: Overall pool performance remains
generally stable with an improvement in loss expectations since
Fitch's prior rating action. The Outlook revision reflects
continued performance stabilization of the majority of pandemic
affected loans. Fitch's current ratings reflect a base case loss of
4.80%. Six loans (14.5% of the pool) have been designated Fitch
Loans of Concern (FLOCs), including three specially serviced loans
(4.2%).
Largest Loss Contributors: The largest contributor to loss is the
Aviare Place Apartments loan (2.3%), which is secured by a 266-unit
garden style multifamily property located in Midland, TX. The loan
transferred to special servicing in December 2021 due to 60-day
payment delinquency. The property has historically reported high
vacancy and rent concessions which is attributed to the volatility
in the oil and gas sector coupled with competition from new supply
coming online in the market. Performance was further impacted by
disruption caused by the pandemic. According to the special
servicer, the loan was modified in May 2022 and is expected to
return to the master servicer in September 2023 after the deferred
amounts are paid in full.
Although occupancy has remained relatively stable, rents at the
property have declined dramatically from peak rent levels in 2019.
As of September 2022, the property reported average rents of $856
an improvement from the trough of $791 at YE 2021, but below rents
of $895 at YE 2020 and $1,351 at YE 2019. The decline in rents at
the subject is reflective of the broader Odessa-Midland market as
market rents have steadily declined from $1,016 in 2019 to $691 in
2020, and $733 in 2021. Rents have recently increased to $1,104 as
of YTD (October) 2022. Costar reported market vacancy spiking to
12.6% in 2019 from 3.5% in 2018; remaining elevated at 11.2% as of
November 2022.
The subject is a much older vintage and of lower quality than
nearby competing properties and the unit mix is predominantly
one-bedroom/one-bath configurations. Several newer properties have
been built in the last decade including 336-unit Oasis at Pavilion
Park built in 2016, 288-unit Mesquite Terraces and 210-unit Midway
Station, both built in 2014.
Fitch's modeled loss of 41% reflects a recovery value of
approximately $57,000 per unit and is based off a stress to the
most recent servicer provided appraised value.
The Hawthorne House Apartments loan (1.4%), which is secured by a
126-unit multifamily property shares the same sponsor as Aviare
Place and is also located in Midland, TX. The property is also in
special servicing and exhibiting comparable declines in performance
as the Aviare Place loan, with a loss expectation of approximately
36%. A similar loan modification was executed for this loan in May
2022, with a return to the master servicer anticipated.
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 of the 'AA-sf' and 'AAAsf' categories are not considered
likely due to the position in the capital structure and the
relatively stable performance of the pool, but may occur should
interest shortfalls affect these classes.
Downgrades of the 'A-sf' and 'BBB-sf' categories could occur if
expected losses increase significantly or the performance of the
FLOCs continue to decline further and/or fail to stabilize.
Downgrades to the 'B-sf' and 'BB-sf' categories would occur should
overall pool performance decline and/or loans of concern continue
to underperform.
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
coupled with paydown and/or defeasance.
Upgrades of the 'A-sf' and 'AA-sf' categories would likely occur
with significant improvement in credit enhancement (CE) and/or
defeasance; however, adverse selection, increased concentrations
and further underperformance of the FLOCs could cause this trend to
reverse.
An upgrade to the 'BBB-sf' category is considered unlikely and
would be limited based on sensitivity to concentrations or the
potential for future concentration. Classes would not be upgraded
above 'Asf' if there is likelihood for interest shortfalls.
Upgrades to the 'B-sf' and 'BB-sf' categories are not likely until
the later years in a transaction and only if the performance of the
remaining pool is stable and there is sufficient CE to the
classes.
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.
NATIXIS COMMERCIAL 2017-75B: S&P Cuts V2 Certs Rating to 'CCC(sf)'
------------------------------------------------------------------
S&P Global Ratings lowered its ratings on 11 classes of commercial
mortgage pass-through certificates from Natixis Commercial Mortgage
Securities Trust 2017-75B, a U.S. CMBS transaction. At the same
time, S&P affirmed its ratings on three classes from the
transaction.
This U.S. stand-alone (single-borrower) transaction is backed by a
portion of a 10-year, fixed-rate, interest-only (IO) mortgage whole
loan. The whole loan is secured by the borrower's fee-simple
interest in a 671,366-sq.-ft. class B+ office building located at
75 Broad Street in Manhattan's Financial District.
Rating Actions
The downgrades of classes B, C, D, and E and the affirmation of
class A reflect S&P's reevaluation of the office property that
secures the sole loan in the transaction.
S&P said, "Our current analysis considers that the borrower has not
been able to increase the property's occupancy and net cash flow
(NCF) to historical levels. Specifically, our rating actions
reflect our view that the property's NCF in unlikely to return to
the levels we assumed at issuance in the near term due to weakened
office submarket fundamentals from lower demand and longer
re-leasing timeframes as more companies adopt a hybrid work
arrangement, the property's class B+ quality, and increasing real
estate taxes that could continue to outpace expense reimbursements
revenue.
"While our current expected-case value of $184.9 million ($275 per
sq. ft.) is unchanged from our last review in April 2020, our
valuation remains 16.9% lower than at issuance. In our last review,
we lowered our NCF assumptions by 16.7% to $12.4 million from $14.8
million at issuance, based on an in-place occupancy rate of 77.9%,
base rent of $37.77 per sq. ft., gross rent of $45.76 per sq. ft.,
and operating expense ratio of 55.5%. At issuance, we assumed an
occupancy rate of 85.8%, base rent of $38.36 per sq. ft., gross
rent of $48.90 per sq. ft., and an operating expense ratio of
50.5%.
"The servicer-reported occupancy and NCF for the nine months ended
Sept. 30, 2022, and full-year 2020 and 2021 were generally in line
with our assumptions. But they remain depressed since issuance due
to tenant lease expiries, the slow pace of re-tenanting, and the
related decline in tenant expense reimbursements revenue. There is
also a risk that real estate taxes at the property will soon resume
their upward trend now that the lower reassessments due to the
COVID-19 pandemic have started climbing higher. While the sponsor
has increased occupancy to 80.6% (according to the June 2022 rent
roll) from 75.6% in 2021 and 77.5% in 2020, the servicer-reported
NCF remained relatively flat at $10.0 million as of the nine months
ended Sept. 30, 2022, $12.8 million in 2021, and $12.1 million in
2020.
"Using an occupancy rate of 77.0%, adjusted for tenants that are
dark and/or expected to vacate after the June 2022 rent roll (3.6%
of net rentable area [NRA]), a base rent of $38.05 per sq. ft.,
gross rent of $42.97 per sq. ft., and an operating expense ratio of
53.5%, we arrived at an S&P Global Ratings long-term sustainable
NCF of $12.4 million--the same as in our last review. Our
expected-case value of $184.9 million, based on an S&P Global
Ratings capitalization rate of 6.75% (unchanged since last review),
is 54.1% below the property's appraised value of $403.0 million at
issuance. This yielded an S&P Global Ratings loan-to-value (LTV)
ratio of 95.2% on the first mortgage balance, 124.4% on the whole
loan balance (including the subordinate B-note), and 135.2% on the
total debt (including the mezzanine loan)."
Although the model-indicated ratings were lower than the classes'
revised or current rating levels, S&P tempered its downgrades on
classes B, C, and D and affirmed our rating on class A because it
weighed certain qualitative considerations. These include the
following:
-- The potential that the property's operating performance could
improve above S&P's current expectations because master servicer
has informed it that the sponsor is currently negotiating with
potential tenants, which could increase the occupancy rate closer
to 85.0%;
-- The property is positioned near major transportation hubs in
the Financial District office submarket of Manhattan;
-- The high appraised land value of $195.5 million in 2017;
-- The significant market value decline that would need to occur
before these classes experience principal losses;
-- The liquidity support provided in the form of servicer
advancing; and
-- The relative position of the classes in the payment waterfall.
S&P said, "If the property's performance does not improve or if
there are reported negative changes in the performance beyond what
we have already considered, we may revisit our analysis and adjust
our ratings, as necessary.
"We lowered our rating on the class E certificates to 'CCC (sf)'
because, based on an S&P Global Ratings' LTV ratio greater than
100%, we believe the class is more susceptible to reduced liquidity
support and the risk of default and loss has increased based on
current market conditions.
"The downgrade of the class X-B IO certificates and the affirmation
of the class X-A IO certificates reflect our criteria for IO
securities, in which the ratings on the IO securities would not be
higher than that of the lowest-rated reference class. The notional
amount of class X-B references classes B and C, while class X-A
references class A.
"The ratings on the V1 and V2 exchangeable certificate classes,
which can be exchanged for certain principal and interest and/or IO
classes, reflect the lowest rating of the certificates for which
they can be exchanged. As a result, we lowered our ratings on the
V1-B, V1-C, V1-D, V1-E, V1-XB, and V2 exchangeable classes, which
are exchangeable for classes B, C, D, E, X-B, and classes A through
E, X-A, and X-B, respectively. Correspondingly, we affirmed our
rating on class V1-A because it is exchangeable for classes A and
X-A."
Property-Level Analysis
The property is a 35-story, 671,366-sq.-ft. class B+ office
building with ground floor retail space located at 75 Broad Street
in the Financial District office submarket of Manhattan. The
property was acquired by the sponsor, J.E.M.B. Realty Corp., in
1999. Floor plates at the property range from 6,000 sq. ft. to
30,000 sq. ft. and can accommodate both single- and multi-tenant
configurations. The building narrows at the higher floors: floors
1-22 generally range from 20,000 sq. ft. to 35,000 sq. ft., while
floors 23-31 generally range from 10,000 sq. ft. to 11,000 sq. ft.
and floors 32-34 generally range from 5,600 sq. ft. to 7,500 sq.
ft.
As of the June 2022 rent roll, the building was leased to over 60
tenants. The five largest tenants at the property (30.7% of NRA)
are:
-- New York City Board of Education/Millennium High School (16.1%
of NRA; 18.9% of in place base rent, as calculated by S&P Global
Ratings; September 2033 and January 2035 lease expirations). The
tenant has a no-cost termination option exercisable with 18 months'
notice).
-- AT&T Inc. (BBB/Stable/A-2; 4.4%; 4.8%; February 2034).
-- North South Production LLC (4.1%; 4.4%; April 2025).
-- Paetec Communications Inc. (3.4%; 6.0%; December 2027). The
tenant has a no-cost termination option exercisable after Dec. 31,
2024).
-- Human Rights First (2.7%; 3.0%; April 2025).
S&P said, "At the time of our April 2020 review, occupancy at the
property had declined to 80.8%, compared with an average of 92.0%
between 2011 and 2016, and 85.8% at closing in May 2017; and the
average in-place gross rent was $45.76 per sq. ft., as calculated
by S&P Global Ratings. The decrease in occupancy was largely due to
the departure of Internap (7.0% of NRA), which we anticipated at
issuance, as well as several smaller tenants. We also assumed
in-place occupancy and an average gross rent of $48.90 per sq. ft.,
which resulted in a revised and lower NCF of $12.4 million,
compared with our assumed NCF ($14.8 million) at issuance."
Although the property was 80.6% leased according to the June 2022
rent roll, according to the master servicer, KeyBank Real Estate
Capital, in addition to expected vacancies totaling 3.6% of NRA,
tenants comprising 8.7% of NRA have subleased their space and most
of these leases expire in 2024 or 2025. The property faces elevated
rollover risk in 2024 (11.3% of NRA and 15.1% of in-place base
rent, as calculated by S&P Global Ratings), 2025 (11.0% and 13.7%),
and 2027 (9.5% and 13.3%).
The Financial District office submarket has experienced high
vacancy and low absorption in recent years due to the prevalence of
remote and hybrid work. The submarket has also seen the departure
of a significant number of financial firms recently, although this
has been partially offset by tenants in the tech and media sectors
relocating to the area. However, the submarket's rents are still
lower than most Manhattan office submarkets, and large concession
packages are prevalent in the submarket. According to CoStar, the
market rent for 3-star office properties in the submarket declined
1.1% as of November 2022, 4.9% in 2021, and 6.8% in 2020. CoStar
noted that the 3-star office properties submarket had asking rent,
vacancy rate, and availability rate of $45.05 per sq. ft., 14.6%,
and 18.8%, respectively, as of November 2022. This compares to an
office submarket rent and vacancy rate of $47.89 per sq. ft. and
10.7%, respectively, in 2020 (at S&P's last review) and $48.00 per
sq. ft. and 9.0% in 2017 (at issuance). CoStar forecasts a
Financial District office submarket vacancy rate of 15.8% and
asking rent and $44.77 per sq. ft. in 2023. The properly currently
has an overall gross rental rent of $42.97 per sq. ft. and an
occupancy rate of 77.0%, as calculated by S&P Global Ratings.
In this review, we maintained the S&P Global Ratings' NCF derived
in our last review, which is on par with the servicer-reported NCF
of $10.0 million as of September 2022 and $12.8 million in 2021.
Transaction Summary
The IO mortgage whole loan had an initial and current balance of
$230.0 million, pays an annual fixed interest rate of 4.2935%, and
matures on April 5, 2027. The whole loan is bifurcated into two
senior pari passu A notes totaling $92.0 million, an $84.0 million
subordinate A-B note, and a $54.0 million subordinate B note. The
pari passu A notes are senior to the A-B and B notes. The A-B note
is senior to the B note and subordinate to the pari passu A notes.
The B note, which is held outside the trust, is subordinate to the
A and A-B notes.
According to the Nov. 14, 2022, trustee remittance report, the
trust has an initial and current balance of $143.0 million, which
consists of the $59.0 million senior A-A-1 note and $84.0 million
subordinate A-B note. The $33.0 million senior A-A-2 note is in UBS
Commercial Mortgage Trust 2017-C1 (not rated), a U.S. CMBS
transaction. In addition, there is a mezzanine loan totaling $20.0
million. To date, the trust has not incurred any principal losses.
The whole loan had a reported current payment status through its
November 2022 debt service payment date, and the borrower did not
receive COVID-19-related relief. Since issuance, the loan has not
been placed on the master servicer's watchlist or previously
transferred to special servicing. The servicer, KeyBank, reported a
debt service coverage of 1.33x for the nine months ended Sept. 30,
2022, up from 1.14x in 2021, 1.07x in 2020, and 1.23x in 2019.
Ratings Lowered
Natixis Commercial Mortgage Securities Trust 2017-75B
Class B to 'A (sf)' from 'AA- (sf)'
Class C to 'BBB (sf)' from 'A- (sf)'
Class D to 'BB- (sf)' from 'BB+ (sf)'
Class E to 'CCC (sf)' from 'B+ (sf)'
Class X-B to 'BBB (sf)' from 'A- (sf)'
Class V1-B to 'A (sf)' from 'AA- (sf)'
Class V1-C to 'BBB (sf)' from 'A- (sf)'
Class V1-D to 'BB- (sf)' from 'BB+ (sf)'
Class V1-E to 'CCC (sf)' from 'B+ (sf)'
Class V1-XB to 'BBB (sf)' from 'A- (sf)'
Class V2 to 'CCC (sf)' from 'B+ (sf)'
Ratings Affirmed
Natixis Commercial Mortgage Securities Trust 2017-75B
Class A: AAA (sf)
Class X-A: AAA (sf)
Class V1-A: AAA (sf)
NYMT LOAN 2022-INV1: DBRS Finalizes B Rating on Class B-2 Notes
---------------------------------------------------------------
DBRS, Inc. (DBRS Morningstar) finalized provisional ratings on the
Mortgage-Backed Notes, Series 2022-INV1 issued by NYMT Loan Trust
2022-INV1 (NYMT 2022-INV1 or the Trust) as follows:
-- $188.8 million Class A-1 at AAA (sf)
-- $24.8 million Class A-2 at AA (sf)
-- $36.5 million Class A-3 at A (sf)
-- $22.7 million Class M-1 at BBB (sf)
-- $16.9 million Class B-1 at BB (sf)
-- $16.9 million Class B-2 at B (sf)
The AAA (sf) rating on the Class A-1 certificates reflects 41.85%
of credit enhancement provided by subordinated certificates. The AA
(sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 34.20%,
22.95%, 15.95%, 10.75%, and 5.55% of credit enhancement,
respectively.
Other than the specified classes above, DBRS Morningstar does not
rate any other classes in this transaction.
This a securitization of a portfolio of fixed- and adjustable-rate,
investor debt service coverage ratio (DSCR), first-lien residential
mortgages funded by the issuance of the Mortgage-Backed Notes,
Series 2022-INV1 (the Notes). The Notes are backed by 1,140
mortgage loans with a total principal balance of $324,702,771 as of
the Cut-Off Date (September 30, 2022).
NYMT 2022-INV1 represents the first securitization issued by the
Sponsor, New York Mortgage Trust, Inc. (NYMT), backed by business
purpose investment loans underwritten using DSCR. The originators
for the mortgage pool are Constructive Loans, LLC (Constructive;
95.0%) and other originators, each comprising less than 15.0% of
the mortgage loans. Fay Servicing, LLC is the servicer of all the
loans in this transaction.
The mortgage loans were underwritten to program guidelines for
business-purpose loans that are designed to rely on property value,
the mortgagor's credit profile, and the DSCR, where applicable.
Because the loans were made to investors for business purposes,
they are exempt from the Consumer Financial Protection Bureau's
Ability-to-Repay (ATR) rules and TILA/RESPA Integrated Disclosure
rule.
The Sponsor, Representation Provider, and Servicing Administrator
are the same entity (NYMT), and the Depositor is its affiliate. The
initial Controlling Holder is expected to be the Depositor. The
Depositor will retain an eligible horizontal interest consisting of
the Class B-2, B-3 and XS Notes representing at least 5% of the
aggregate fair value of the Notes to satisfy the credit
risk-retention requirements under Section 15G of the Securities
Exchange Act of 1934 and the regulations promulgated thereunder.
Such retention aligns Sponsor and investor interest in the capital
structure. Additionally, the Depositor will initially own the Class
M-1, B-1 and Class A-IO-S Notes.
Computershare Trust Company, N.A. (Computershare; rated BBB with a
Stable trend by DBRS Morningstar) will act as the Master Servicer,
Paying Agent, Note Registrar, and Custodian. Wilmington Savings
Fund Society, FSB will act as the Indenture and Owner Trustee.
On or after the earlier of (1) the third anniversary of the Closing
Date or (2) the date when the aggregate unpaid principal balance
(UPB) of the mortgage loans is reduced to 30% of the Cut-Off Date
balance, the Issuer, at its option, may redeem all of the
outstanding Notes at a price equal to the class balances of the
related Notes plus accrued and unpaid interest, including any Cap
Carryover Amounts, and any post-closing deferred amounts (optional
redemption). An optional redemption will be followed by a qualified
liquidation, which requires (1) a complete liquidation of assets
within the trust and (2) proceeds to be distributed to the
appropriate holders of regular or residual interests.
On any date following the date on which the aggregate UPB of the
mortgage loans is less than or equal to 10% of the Cut-Off Date
balance, the Servicing Administrator will have the option to
terminate the Issuer by purchasing all of the mortgage loans and
any real estate owned (REO) property at a price equal to the sum of
the aggregate UPB of the mortgage loans (other than any REO
property) plus accrued interest, the lesser of the fair market
value of any REO property, and the stated principal balance of the
related loan, and any outstanding and unreimbursed servicing
advances, accrued and unpaid fees, any preclosing deferred amounts,
and expenses that are payable or reimbursable to the transaction
parties (optional termination). An optional termination is
conducted as a qualified liquidation.
For this transaction, the Servicer or any other transaction party
will not fund advances on delinquent principal and interest (P&I)
on any mortgage. However, the Servicer is obligated to make
advances in respect of taxes, insurance premiums, and reasonable
costs incurred in the course of servicing and disposing of
properties (servicing advances).
The transaction employs a sequential-pay cash flow structure with a
pro rata principal distribution among the Class A-1, A-2, and A-3
Notes (the Senior Classes) subject to certain performance triggers
related to cumulative losses or delinquencies exceeding a specified
threshold (Trigger Event). After a Trigger Event, principal
proceeds can be used to cover interest shortfalls on the Class A-1
Notes before being applied sequentially to amortize the balances of
the notes. For all other classes, principal proceeds can be used to
cover interest shortfalls after the more senior tranches are paid
in full (IPIP).
Excess spread can be used to cover realized losses before being
allocated to unpaid Cap Carryover Amounts due to Class A-1 down to
A-3. The Class A-1, A-2, and A-3 fixed rate coupons step up by
1.00% on and after the payment date in December 2026 (Step-Up
Date). Of note, interest and principal otherwise available to pay
the Class B-3 interest and interest shortfalls may be used to pay
any Class A Cap Carryover amounts not covered from excess spread
after the Step-Up Date. In addition, the fixed rate for Class B-2
will be 0.000% on and after the Step-Up Date.
On September 28, 2022, Hurricane Ian caused extensive flooding and
other substantial damage throughout Florida and parts of North
Carolina, South Carolina, and Virginia. As a result of Hurricane
Ian, a state of emergency was declared in Florida, Georgia, North
Carolina, South Carolina, and Virginia.
The issuer ordered post disaster inspections (PDIs) for properties
in zip codes that have been approved by FEMA for individual
assistance as a result of damage caused by the hurricane. Prior to
the closing date, to the extent the PDIs report material damage to
properties in the affected areas, the loans secured by those
mortgaged properties will be removed from the pool. For PDIs that
report material damage after the closing date, the Issuer will
assess the condition of the properties and the borrowers'
remediation plans at that time to determine whether the loans
secured by those properties need to be removed from the pool.
OBX TRUST 2022-INV5: Moody's Assigns B3 Rating to Cl. B-5 Debt
--------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 38
classes of residential mortgage-backed securities (RMBS) issued by
OBX 2022-INV5 Trust, and sponsored by Onslow Bay Financial LLC
(Onslow Bay).
The securities are backed by a pool of GSE-eligible (100% by
balance) residential mortgages aggregated by Onslow Bay, originated
by multiple entities and serviced by NewRez LLC d/b/a Shellpoint
Mortgage Servicing.
The definitive ratings on class B-2, class B-2A, and class B-IO2
are higher than the provisional ratings published on October 24,
2022. The issuer dropped 11 loans from the mortgage pool and the
weighted average seasoning of the pool increased to about seven
months from six months.
The complete rating actions are as follows:
Issuer: OBX 2022-INV5 Trust
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-5, Definitive Rating Assigned Aaa (sf)
Cl. A-6, Definitive Rating Assigned Aaa (sf)
Cl. A-7, Definitive Rating Assigned Aaa (sf)
Cl. A-8, Definitive Rating Assigned Aaa (sf)
Cl. A-9, Definitive Rating Assigned Aaa (sf)
Cl. A-10, Definitive Rating Assigned Aaa (sf)
Cl. A-11, Definitive Rating Assigned Aaa (sf)
Cl. A-12, Definitive Rating Assigned Aaa (sf)
Cl. A-13, Definitive Rating Assigned Aa1 (sf)
Cl. A-14, Definitive Rating Assigned Aa1 (sf)
Cl. A-15, Definitive Rating Assigned Aaa (sf)
Cl. A-16, Definitive Rating Assigned Aaa (sf)
Cl. A-IO1*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO2*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO4*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO6*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO8*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO10*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO12*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO14*, Definitive Rating Assigned Aa1 (sf)
Cl. A-IO16*, Definitive Rating Assigned Aaa (sf)
Cl. B-1, Definitive Rating Assigned Aa3 (sf)
Cl. B-1A, Definitive Rating Assigned Aa3 (sf)
Cl. B-IO1*, Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Definitive Rating Assigned A2 (sf)
Cl. B-2A, Definitive Rating Assigned A2 (sf)
Cl. B-IO2*, Definitive Rating Assigned A2 (sf)
Cl. B-3, Definitive Rating Assigned Baa2 (sf)
Cl. B-3A, Definitive Rating Assigned Baa2 (sf)
Cl. B-IO3*, Definitive Rating Assigned Baa2 (sf)
Cl. B-4, Definitive Rating Assigned Ba2 (sf)
Cl. B-5, Definitive Rating Assigned B3 (sf)
Cl. A-1A Loans, Definitive Rating Assigned Aaa (sf)
Cl. A-2A Loans, Definitive Rating Assigned Aaa (sf)
*Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings are based on the credit quality of the mortgage loans,
the structural features of the transaction, the origination quality
and the servicing arrangement, the third-party review, and the
representations and warranties framework.
Moody's expected loss for this pool in a baseline scenario-mean is
1.21%, in a baseline scenario-median is 0.88% and reaches 7.91% at
a stress level consistent with Moody's Aaa ratings.
PRINCIPAL METHODOLOGY
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in July 2022.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud. Finally, performance of RMBS continues to remain highly
dependent on servicer procedures. Any change resulting from
servicing transfers or other policy or regulatory change can impact
the performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
SATURNS TRUST 2003-7: S&P Raises Class B Units Rating to 'BB+'
--------------------------------------------------------------
S&P Global Ratings raised its rating on Structured Asset Trust Unit
Repackagings (SATURNS) Trust No. 2003-7's $25 million callable
class B units due Jan. 15, 2032, to 'BB+' from 'BB'.
S&P's rating on the class B units is dependent on its rating on the
underlying security, Macy's Retail Holdings LLC's 6.90% debentures
due Jan. 15, 2032 ('BB+').
The rating action reflects the Nov. 17, 2022, raising of S&P's
rating on the underlying security to 'BB+' from 'BB'.
S&P may take subsequent rating actions on this transaction if its
rating on the underlying security changes.
SCF EQUIPMENT 2022-2: Moody's Assigns B2 Rating to Class F-1 Notes
------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
Equipment Contract Backed Notes, Series 2022-2, Class A-1, Class
A-2, Class A-3, Class B, Class C, Class D, Class E and Class F-1
notes (Series 2022-2 notes or the notes) issued by SCF Equipment
Leasing 2022-2 LLC and SCF Equipment Leasing Canada 2022-2 Limited
Partnership. Stonebriar Commercial Finance LLC (Stonebriar) along
with its Canadian counterpart - Stonebriar Commercial Finance
Canada Inc. (Stonebriar Canada) are the originators and Stonebriar
alone is the servicer of the assets backing this transaction. The
issuers are wholly-owned, limited purpose subsidiaries of
Stonebriar and Stonebriar Canada. The assets in the pool consist of
loan and lease contracts, secured primarily by railcars, maritime
vessels, and a refinery. Stonebriar was founded in 2015 and is led
by a management team with an average of over 25 years of experience
in equipment financing.
The complete rating actions are as follows:
Issuer: SCF Equipment Leasing 2022-2 LLC/SCF Equipment Leasing
Canada 2022-2 Limited Partnership
Class A-1 Notes, Definitive Rating Assigned P-1 (sf)
Class A-2 Notes, Definitive Rating Assigned Aaa (sf)
Class A-3 Notes, Definitive Rating Assigned Aaa (sf)
Class B Notes, Definitive Rating Assigned Aa1 (sf)
Class C Notes, Definitive Rating Assigned A1 (sf)
Class D Notes, Definitive Rating Assigned Baa1 (sf)
Class E Notes, Definitive Rating Assigned Ba1 (sf)
Class F-1 Notes, Definitive Rating Assigned B2 (sf)
RATINGS RATIONALE
The definitive ratings are based on; (1) the experience of
Stonebriar's management team and the company as servicer; (2) U.S.
Bank National Association (long-term deposits Aa2/ long-term CR
assessment Aa3(cr), short-term deposits P-1, BCA a1) as backup
servicer for the contracts; (3) the weak credit quality and
concentration of the obligors backing the contracts in the pool;
(4) the assessed value of the collateral backing the contracts in
the pool; (5) the inclusion of about 30% participation agreements
in the pool; (6) the credit enhancement, including
overcollateralization, subordination, excess spread and a
non-declining reserve account and (7) the sequential pay structure.
Moody's also considered sensitivities to various factors such as
default rates and recovery rates in Moody's analysis.
Additionally, Moody's base Moody's P-1 (sf) rating of the Class A-1
notes on the cash flows that Moody's expect the underlying
receivables to generate during the collection periods prior to the
Class A-1 notes' legal final maturity date.
At closing the Class A, Class B, Class C, Class D, Class E and
Class F-1 notes benefit from 39.95%, 32.90%, 25.40%, 20.10%,
16.85%, and 9.75% of hard credit enhancement, respectively. Hard
credit enhancement for the notes consists of a combination of
initial overcollateralization of 4.00% which will build to a target
of 5.50% of the outstanding pool balance with a floor of 5.00% of
the initial pool balance, a 1.00% fully funded reserve account with
a floor of 1.00%, and subordination. The notes will also benefit
from excess spread.
The equipment contracts that back the notes were extended primarily
to middle market obligors and are secured by various types of
equipment including marine vessels, railcars, manufacturing and
assembly equipment, and corporate aircraft.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Equipment
Lease and Loan Securitizations Methodology" published in September
2022.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the ratings on the notes if levels of credit
protection are greater than necessary to protect investors against
current expectations of loss. Moody's updated expectations of loss
may be better than its original expectations because of lower
frequency of default by the underlying obligors or lower than
expected depreciation in the value of the equipment that secure the
obligor's promise of payment. As the primary drivers of
performance, positive changes in the US macro economy and the
performance of various sectors where the obligors operate could
also affect the ratings.
Down
Moody's could downgrade the notes if levels of credit protection
are insufficient to protect investors against current expectations
of portfolio losses. Losses could rise above Moody's original
expectations as a result of a higher number of obligor defaults or
greater than expected deterioration in the value of the equipment
that secure the obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy. Other
reasons for worse-than-expected performance include poor servicing,
error on the part of transaction parties, inadequate transaction
governance and fraud. Additionally, Moody's could downgrade the
Class A-1 short term rating following a significant slowdown in
principal collections that could result from, among other reasons,
high delinquencies or a servicer disruption that impacts obligor's
payments.
SECURITIZED TERM 2019-CRT: DBRS Confirms BB Rating on Class D Debt
------------------------------------------------------------------
DBRS Limited (DBRS Morningstar) confirmed its ratings on the Auto
Loan Receivables Backed Notes, Classes B, C, and D (collectively,
the Subordinated Notes) issued by Securitized Term Auto Receivables
Trust 2019-CRT (the Trust) at AA (low) (sf), A (low) (sf), and BB
(sf), respectively. The confirmations are part of DBRS
Morningstar's continued effort to provide timely credit rating
opinions and increased transparency to market participants.
The Trust also issued Auto Loan Receivables Backed Notes, Class A
(the Class A Notes; collectively with the Subordinated Notes, the
Notes), which are not rated. The Notes are supported by a portfolio
of prime retail auto loan contracts originated by The Bank of Nova
Scotia (rated AA with a Stable trend by DBRS Morningstar) and
secured by new and used light trucks (including sport-utility
vehicles, crossover-utility vehicles, and minivans) and passenger
cars (the Portfolio of Assets).
Repayment of the Notes is made from collections from the Portfolio
of Assets, which generally include scheduled monthly loan payments,
prepayments, and proceeds from vehicle sales in the case of
defaults. Principal repayment on the Notes is made pro rata until
the occurrence of a Sequential Principal Payment Trigger Event,
after which the Notes will be paid sequentially in the order of the
Class A Notes, Class B Notes, Class C Notes, and Class D Notes. The
ratings on the Subordinated Notes are based on their full repayment
by the Final Scheduled Payment Date.
The rating confirmations are based on the following factors as of
September 2022:
-- Credit protection is provided by a nonamortizing cash reserve
account funded at closing representing approximately 1.64% of the
outstanding Note balance as of September 2022 as well as
subordination of 6.50% and 2.75% (as a percentage of the Note
balance) to the Class B Notes and Class C Notes, respectively.
-- Excess spread net of cost of funds and replacement servicer fees
is available to offset collection shortfalls on a monthly basis. As
of September 2022, excess spread was equal to approximately 4.7%
(annualized).
-- To date, cumulative losses amount to 35 basis points and remain
well below DBRS Morningstar's expectations set at the time of the
initial ratings.
-- The Bank of Nova Scotia has a strong and well-diversified
banking franchise with a long history in banking and consumer
lending across multiple product lines.
SPRUCE HILL 2022-SH1: Fitch Assigns 'Bsf' Rating on Class B2 Certs
------------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed certificates to be issued by Spruce Hill 2022-SH1
Mortgage Loan Trust (Spruce Hill 2022-SH1).
Entity/Debt Rating Prior
----------- ------ -----
Spruce Hill
2022-SH1
A1A LT AAAsf New Rating AAA(EXP)sf
A1B LT AAAsf New Rating AAA(EXP)sf
A2 LT AAsf New Rating AA(EXP)sf
A3 LT Asf New Rating A(EXP)sf
M1 LT BBBsf New Rating BBB(EXP)sf
B1 LT BBsf New Rating BB(EXP)sf
B2 LT Bsf New Rating B(EXP)sf
B3 LT NRsf New Rating NR(EXP)sf
XS LT NRsf New Rating NR(EXP)sf
TRANSACTION SUMMARY
The certificates are supported by 622 non-prime loans with a total
balance of approximately $234 million as of the cutoff date. Loans
in the pool were originated and are currently serviced by
Carrington Mortgage Services, LLC.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 12.6% above a long-term sustainable level (versus
12.2% on a national level as of October 2022, up 1.2% since last
quarter). Underlying fundamentals are not keeping pace with the
growth in prices, resulting from a supply/demand imbalance driven
by low inventory, favorable mortgage rates and new buyers entering
the market. These trends have led to significant home price
increases over the past year, with home prices rising 13.1% yoy
nationally as of August 2022.
Non-QM Credit Quality (Negative): The collateral consists of 622
loans, totaling $234 million and seasoned approximately nine months
in aggregate. The borrowers have a moderate credit profile —
725.4 model FICO and 44.4% model debt-to-income ratio (DTI) — and
leverage — 70.2% sustainable loan-to-value ratio (sLTV) and 68%
combined LTV (cLTV). The pool consists of 54.2% of loans where the
borrower maintains a primary residence, while 43.8% comprise an
investor property. Additionally, 55.8% are nonqualified mortgage
(non-QM) and 0.35% are Safe Harbor (QM-QH); the QM rule does not
apply to the remainder.
Fitch's expected loss in the 'AAAsf' stress is 20.75%. This is
mostly driven by the non-QM collateral and the significant investor
cash flow product concentration.
Loan Documentation (Negative): Approximately 88% of the loans in
the pool were underwritten to less than full documentation and 45%
were underwritten to a bank statement program for verifying income,
which is not consistent with Appendix Q standards and Fitch's view
of a full documentation program. A key distinction between this
pool and legacy Alt-A loans is that these loans adhere to
underwriting and documentation standards required under the
Consumer Financial Protections Bureau's Ability to Repay (ATR) Rule
(ATR Rule), which reduces the risk of borrower default arising from
lack of affordability, misrepresentation or other operational
quality risks due to rigor of the rule's mandates with respect to
the underwriting and documentation of the borrower's ATR.
Fitch's treatment of alternative loan documentation increased the
'AAAsf' expected loss by 650 bps relative to a fully documented
loan.
High Percentage of DSCR Loans (Negative): There are 331 debt
service coverage ratio (DSCR) products in the pool (53% by loan
count). These business purpose loans are available to real estate
investors that are qualified on a cash flow basis, rather than DTI,
and borrower income and employment are not verified. Compared to
standard investment properties, for DSCR loans, Fitch converts the
DSCR values to a DTI and treats as low documentation.
Fitch's expected loss for these loans is 27.0% in the 'AAAsf'
stress, which is driving the higher pool expected losses due to the
42% weighted average (WA) concentration.
Modified Sequential-Payment Structure with Limited Advancing
(Mixed):
The structure distributes principal pro rata among the senior
certificates while shutting out the subordinate bonds from
principal until all senior classes are reduced to zero. If a
cumulative loss trigger event or delinquency trigger event occurs
in a given period, principal will be distributed sequentially to
class A-1A, A-1B, A-2 and A-3 certificates until they are reduced
to zero. Advances of delinquent P&I will be made on the mortgage
loans for the first 90 days of delinquency, to the extent such
advances are deemed recoverable. If the P&I advancing party fails
to make a required advance, the master servicer and then securities
administrator will be obligated to make such advance.
The limited advancing reduces loss severities, as a lower amount is
repaid to the servicer when a loan liquidates and liquidation
proceeds are prioritized to cover principal repayment over accrued
but unpaid interest. The downside to this is the additional stress
on the structure, as there is limited liquidity in the event of
large and extended delinquencies.
Spruce Hill 2022-SH1 has a step-up coupon for the senior classes
(A-1A, A-1B, A-2 and A-3). After four years, the senior classes pay
the lesser of a 100-bp increase to the fixed coupon or the net WA
coupon (WAC) rate. Fitch expects the senior classes to be capped by
the net WAC. Additionally, after the step-up date, the B-1 and B-2
classes will become PO classes. The unrated class B-3 interest
allocation goes toward the senior cap carryover amount for as long
as the senior classes are outstanding. The cashflow impact to the
subordinate classes increases the P&I allocation for the senior
classes after the step-up date as long as the subordinate classes
are not written down.
Ultimate Advancing Party Fails to Meet Counterparty Criteria
(Negative): The ultimate advancing party in the transaction is the
master servicer, Computershare (BBB/F3/Stable). Computershare does
not hold a rating from Fitch of at least 'A' or 'F1' and, as a
result, does not meet Fitch's counterparty criteria for advancing
delinquent P&I payments and servicing as a liquidity provider.
Fitch believes that as a liquidity provider, Computershare plays a
vital role to the transaction, and given their low rating, Fitch
feels there is increased risk that the counterparty will not
provide liquidity support during the life of the transaction. To
account for this risk, Fitch ran additional analysis to the
structure if it assumed no advancing of delinquent P&I.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. Sensitivity analysis was conducted at the
state and national level to assess the effect of higher MVDs for
the subject pool as well as lower MVDs, illustrated by a gain in
home prices.
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model projected 43.2% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analysis was conducted at the state and national level
to assess the effect of higher MVDs for the subject pool as well as
lower MVDs, illustrated by a gain in home prices.
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all of the rated classes.
Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated class excluding those assigned
'AAAsf' ratings.
SUMMARY OF FINANCIAL ADJUSTMENTS
International scale credit ratings for Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years.
The complete span of best- and worst-case scenario credit ratings
for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and
worst-case scenario credit ratings are based on historical
performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC and Consolidated Analytics. The third-party due
diligence described in Form 15E focused on credit, compliance and
property valuation review. Fitch considered this information in its
analysis and, as a result, Fitch made the following adjustment to
its analysis: a 5% credit at the loan level for each loan where
satisfactory due diligence was completed. This adjustment resulted
in a 45bps reduction to the 'AAAsf' expected loss.
DATA ADEQUACY
Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. The loan-level
information Fitch received was provided in the American
Securitization Forum's data layout format.
ESG CONSIDERATIONS
Spruce Hill 2022-SH1 has an ESG Relevance Score of '4' for
Governance due to transaction parties and operational risk, which
has a negative impact on the credit profile, and is relevant to the
ratings in conjunction with other factors.
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
SUMMIT ISSUER 2020-1: Fitch Affirms 'BB-sf' Rating on Class B Notes
-------------------------------------------------------------------
Fitch Ratings has affirmed Summit Issuer, LLC's Secured Dark Fiber
Network Revenue Notes, Series 2020-1 as follows:
Entity/Debt Rating Prior
----------- ------ -----
SummitIG Fiber ABS
A-1 LT A-sf Affirmed A-
A-2 86613XAA3 LT A-sf Affirmed A-
B 86613XAE5 LT BB-sf Affirmed BB-
C 86613XAC9 LT BBB-sf Affirmed BBB-
- $50 million(a) 2020-1 class A-1-VFN 'A-'; Outlook Stable;
- $122.7 million 2020-1 class A-2 'A-'; Outlook Stable;
- $18.9 million 2020-1 class B 'BBB-'; Outlook Stable;
- $33.6 million 2020-1 class C 'BB-'; Outlook Stable.
(a) This note is a Variable Funding Note (VFN) and has a maximum
commitment of $50 million contingent on leverage consistent with
the class A-1 notes. This class reflects a $21 million balance as
of September 2022.
TRANSACTION SUMMARY
The transaction is a securitization of SummitIG's high capacity
network of fiber optic cable assets. These assets include conduits,
cable, permits, rights and contracts, which support SummitIG's dark
fiber network, the collateral consists of mission-critical assets
which support one of the largest data center hubs in the U.S. The
Northern Virginia hub interconnects high-quality clients including
cloud providers, telecom companies, data center operators and large
enterprise customers.
SummitIG is the dominant market participant in the Northern
Virginia market and benefits from high barriers to entry including
that collateral assets and corresponding cash flows are protected
by first-mover advantage, which precludes another provider from
replicating its service offerings. This is further bolstered by
sustained growth in the usage of the internet and the supporting
data center infrastructure, for which this asset is a necessity and
the sponsor has deployed capacity to support, in anticipation of
further growth.
KEY RATING DRIVERS
Net Cash Flow and Trust Leverage: Net cash flow (NCF) on the pool
is $29.5 million, 73.4% up from the issuance. The debt multiple
relative to NCF on the rated classes is 6.6x compared to 9.5x at
issuance.
Credit Risk Factors: The primary factors informing Fitch's
determination of cash flow and Maximum Potential Leverage (MPL)
include the high quality of the underlying collateral networks,
scale and diversity of the customer base, market position,
creditworthiness, diversity, and length of customer contracts,
capability of the operator, and strength of the transaction
structure.
Technology-Dependent Credit: Due to the specialized nature of the
collateral and potential for changes in technology to affect
long-term demand for digital infrastructure, the senior classes of
this transaction do not achieve ratings above 'Asf'. The securities
have a rated final payment date 30 years after closing, and the
long-term tenor of the securities increases the risk that an
alternative technology will be developed that renders obsolete the
current transmission of data through fiber optic cables. Fiber
optic cable networks are currently the fastest and most reliable
means to transmit information and data providers continue to invest
in and utilize this technology.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Higher site expenses or contract churn that lead to a reduction in
cash flow could result in downgrades;
Development of an alternative technology for digital transmission
or the creation of a competing network with similar capacity and
breadth of coverage that reduces Summit's offerings in the service
area could also result in downgrades.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Structural contract escalators or new contracts resulting in an
increase in cash flow without an increase in corresponding debt
could lead to upgrades.
However, the transaction is capped at the 'A' category, given the
risk of technological obsolescence and the ability to issue
additional notes without the benefit of additional collateral.
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.
SYMPHONY CLO 37: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings and rating outlooks to
Symphony CLO 37, Ltd.
Entity/Debt Rating
----------- ------
Symphony CLO 37, Ltd.
A-1a Loans LT NR(EXP)sf Expected Rating
A-1a Notes LT NR(EXP)sf Expected Rating
A-1b Notes LT NR(EXP)sf Expected Rating
A-2 LT AAA(EXP)sf Expected Rating
B-1 LT AA(EXP)sf Expected Rating
B-2 LT AA(EXP)sf Expected Rating
C LT A(EXP)sf Expected Rating
D-1 LT BBB(EXP)sf Expected Rating
D-2 LT BBB-(EXP)sf Expected Rating
E LT BB-(EXP)sf Expected Rating
F LT NR(EXP)sf Expected Rating
Subordinated Notes LT NR(EXP)sf Expected Rating
TRANSACTION SUMMARY
Symphony CLO 37, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Symphony Alternative Asset Management LLC (SAAM), an affiliate of
Nuveen Asset Management, LLC. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $400.0 million of primarily first-lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard U.S. CLO structural
features.
Asset Security (Positive): The indicative portfolio consists of
96.5% first-lien senior secured loans and has a weighted average
recovery assumption of 76.59%. Fitch stressed the indicative
portfolio by assuming a higher portfolio concentration of assets
with lower recovery prospects and further reduced recovery
assumptions for higher rating stresses.
Portfolio Composition (Positive): The largest three industries may
comprise up to 41.0% of the portfolio balance in aggregate while
the top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity required by industry,
obligor and geographic concentrations is in line with other recent
U.S. CLOs.
Portfolio Management (Neutral): The transaction has a 3.1-year
reinvestment period and reinvestment criteria similar to other U.S.
CLOs. Fitch's analysis was based on a stressed portfolio created by
making adjustments to the indicative portfolio to reflect
permissible concentration limits and collateral quality test
levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction.
In Fitch's stress scenarios, the notes were able to withstand
respective default rates and recovery assumptions appropriate for
their recommended ratings.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics. The results under these sensitivity scenarios are between
'BBB+sf' and 'AAAsf' for class A-2; between 'BB+sf' and 'AAAsf' for
classes B-1 and B-2; between 'Bsf' and 'A+sf' for class C; between
less than 'B-sf' and 'BBB+sf' for class D-1; between less than
'B-sf' and 'BBB+sf' for class D-2; and between less than 'B-sf' and
'BB+sf' for class E.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the results under these sensitivity scenarios are 'AAAsf'
for class A-2, B-1 and B-2 notes; ; between 'A+sf' and 'AA+sf' for
class C notes; 'A+sf' for class D-1 notes; between 'Asf' and 'A+sf'
for class D-2 notes; and between 'BBB+sf' and 'A-sf' for class E
notes.
TABERNA PREFERRED I: Fitch Hikes Rating on 2 Tranches to BBsf
-------------------------------------------------------------
Fitch Ratings has affirmed its ratings on 35 classes, upgraded
three classes and assigned Rating Outlooks to nine classes from
four collateralized debt obligations (CDOs).
Entity/Debt Rating Prior
----------- ------ -----
Kodiak CDO I,
Ltd./Inc.
A-2 50011PAB2 LT A-sf Upgrade BBB+sf
B 50011PAC0 LT Dsf Affirmed Dsf
C 50011PAD8 LT CCsf Affirmed CCsf
D-1 50011PAE6 LT Csf Affirmed Csf
D-2 50011PAJ5 LT Csf Affirmed Csf
D-3 50011PAK2 LT Csf Affirmed Csf
E-1 50011PAF3 LT Csf Affirmed Csf
E-2 50011PAL0 LT Csf Affirmed Csf
F 50011PAG1 LT Csf Affirmed Csf
G 50011PAH9 LT Csf Affirmed Csf
H 50011NAC5 LT Csf Affirmed Csf
Taberna Preferred
Funding I, Ltd./Inc.
A-1A 87330PAA0 LT BBsf Upgrade BB-sf
A-1B 87330PAB8 LT BBsf Upgrade BB-sf
A-2 87330PAC6 LT CCCsf Affirmed CCCsf
B-1 87330PAD4 LT CCsf Affirmed CCsf
B-2 87330PAE2 LT CCsf Affirmed CCsf
C-1 87330PAF9 LT CCsf Affirmed CCsf
C-2 87330PAG7 LT CCsf Affirmed CCsf
C-3 87330PAH5 LT CCsf Affirmed CCsf
D 87330PAJ1 LT CCsf Affirmed CCsf
E 87330PAK8 LT Csf Affirmed Csf
Attentus CDO I,
Ltd./LLC
A-1 049730AA2 LT BB+sf Affirmed BB+sf
A-2 049730AB0 LT B+sf Affirmed B+sf
B 049730AC8 LT CCsf Affirmed CCsf
C-1 049730AD6 LT CCsf Affirmed CCsf
C-2A 049730AE4 LT Csf Affirmed Csf
C-2B 049730AF1 LT Csf Affirmed Csf
D 049730AG9 LT Csf Affirmed Csf
E 049730AH7 LT Csf Affirmed Csf
Kodiak CDO II, Ltd./Corp.
A-2 50011RAB8 LT A+sf Affirmed A+sf
A-3 50011RAC6 LT BB+sf Affirmed BB+sf
B-1 50011RAD4 LT B-sf Affirmed B-sf
B-2 50011RAE2 LT B-sf Affirmed B-sf
C-1 50011RAF9 LT CCsf Affirmed CCsf
C-2 50011RAG7 LT CCsf Affirmed CCsf
D 50011RAH5 LT CCsf Affirmed CCsf
E 50011RAJ1 LT Csf Affirmed Csf
F 50011QAA2 LT Csf Affirmed Csf
TRANSACTION SUMMARY
The CDOs are collateralized by trust preferred securities (TruPS),
senior and subordinated debt issued by real estate investment
trusts (REITs), corporate issuers, tranches of structured finance
CDOs and commercial mortgage-backed securities.
KEY RATING DRIVERS
All of the transactions experienced moderate deleveraging from
collateral redemptions and excess spread, which led to the senior
classes of notes receiving paydowns ranging from 6% to 27% of their
last review note balances. Such deleveraging led to the upgrades.
Upgrades were limited by the outcome of the sector wide migration
sensitivity analysis described in the TruPS CDO Criteria for most
notes. For class A-2 notes in Kodiak CDO I, Ltd./Inc. (Kodiak I),
class A-2 notes in Kodiak CDO II, Ltd./Corp. (Kodiak II), and class
A-1A and A-1B notes in Taberna Preferred Funding I, Ltd./Inc.,
ratings were limited by the results of the interest shortfall risk
analysis.
The Stable Outlooks on nine tranches in this review reflect the
outcome of Fitch's sector-wide sensitivity scenario as described in
the criteria.
Kodiak I is in acceleration, which diverts excess spread to the
most senior classes outstanding while cutting off interest due on
the class B notes that is currently rated 'Dsf'.
The rating for class A-2 in Kodiak II is one notch higher than its
model-implied rating, which was driven by the outcome of the
interest shortfall risk analysis.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Downgrades to the rated notes may occur if a significant share of
the portfolio issuers default and/or experience negative credit
migration, which would cause a deterioration in rating default
rates.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Future upgrades to the rated notes may occur if a transaction
experiences improvement in credit enhancement through deleveraging
from collateral redemptions and/or interest proceeds being used for
principal repayment.
TSTAT LTD 2022-2: Fitch Assigns 'BB-sf' Rating on Class E Notes
---------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to TSTAT
2022-2, Ltd.
Entity/Debt Rating
----------- ------
TSTAT 2022-2, Ltd.
A-1 LT NRsf New Rating
A-2 LT NRsf New Rating
B LT AA+sf New Rating
C LT Asf New Rating
D-1 LT BBB+sf New Rating
D-2 LT BBB+sf New Rating
E LT BB-sf New Rating
Subordinated LT NRsf New Rating
TRANSACTION SUMMARY
TSTAT 2022-2, Ltd. (the issuer) is a static arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Trinitas Capital Management, LLC. Net proceeds from the issuance of
the secured and subordinated notes will provide financing on a
portfolio of approximately $500 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard U.S. CLO structural
features.
Asset Security (Positive): The indicative portfolio consists of
97.1% first lien senior secured loans and has a weighted average
recovery assumption of 76.22%.
Portfolio Composition (Positive): The largest three industries
constitute 37.1% of the portfolio balance in aggregate, while the
top five obligors represent 3.9% of the portfolio balance in
aggregate. The level of diversity required by industry, obligor and
geographic concentrations is in line with that of other recent U.S.
CLOs.
Portfolio Management (Neutral): The transaction does not have a
reinvestment period; however, the issuer has the ability to extend
the weighted average life (WAL) of the portfolio as a result of
maturity amendments. Fitch's analysis was based on a stressed
portfolio incorporating potential maturity amendments on the
underlying loans, as well as a one-notch downgrade on the Fitch IDR
Equivalency Rating for assets with a Negative Rating Outlook on the
driving rating of the obligor. The shorter risk horizon means the
transaction is less vulnerable to underlying price movements,
economic conditions and asset performance.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls,
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the notes were able to
withstand respective default rates and recovery assumptions
appropriate for their assigned ratings.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are between
'BB+sf' and 'AA+sf' for class B, between 'B-sf' and 'A-sf' for
class C, between less than 'B-sf' and 'BBBsf' for class D, and
between less than 'B-sf' and 'B+sf' for class E.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; results under these sensitivity scenarios are 'AAAsf' for
class B notes, 'A+sf' for class C notes, 'A+sf' for class D notes,
and 'BBB+sf' for class E notes.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable
VOYA CLO 2015-3: Fitch Affirms 'B-sf' Rating on Class E-R Notes
---------------------------------------------------------------
Fitch Ratings has affirmed ratings for the class A-1-R, A-2A-R,
A-2B-RR, A-3-R and E-R notes in Voya CLO 2015-3, Ltd. (Voya
2015-3). The Rating Outlooks for all five rated classes remain
Stable.
Entity/Debt Rating Prior
----------- ------ -----
Voya CLO 2015-3, Ltd.
A-1-R 92913UAN6 LT AAAsf Affirmed AAAsf
A-2A-R 92913UAQ9 LT AAAsf Affirmed AAAsf
A-2B-RR 92913UBA3 LT AAAsf Affirmed AAAsf
A-3-R 92913UAS5 LT AA+sf Affirmed AA+sf
E-R 92913DAL8 LT B-sf Affirmed B-sf
TRANSACTION SUMMARY
Voya 2015-3 is a broadly syndicated collateralized loan obligation
(CLO) that is managed by Voya Alternative Asset Management LLC. The
transaction originally closed in September 2015, and subsequently
reset and partially refinanced in November 2018 and February 2021,
respectively. The CLO is currently in its reinvestment period until
October 2023 and secured primarily by first-lien, senior secured
leveraged loans.
KEY RATING DRIVERS
Cash Flow & FSP Analysis
The updated cash flow analysis was based on a newly run Fitch
Stressed Portfolio (FSP) since the transaction is still in its
reinvestment period. The ratings for the class A-1-R, A-2A-R,
A-2B-RR, A-3-R, and E-R notes were in line with their model-implied
ratings (MIRs).
The FSP analysis adjusts the current portfolio from the latest
trustee report to create an FSP to account for permissible
concentration limits and collateral quality tests (CQTs). Among
these assumptions, the weighted average life of the FSP was 5.25
years, 7.5% of the portfolio represented non-first lien loans and
the weighted average spread was modelled at the current covenanted
level of 3.00%.
The Stable Outlooks on all the rated notes reflect breakeven
cushions that Fitch views as adequate to withstand potential
deterioration in the credit quality of the portfolio in rating
stress scenarios commensurate with each class' rating.
Asset Credit Quality, Asset Security, and Portfolio Composition
The Fitch weighted average rating factor of the performing
portfolio was 24.9, equivalent to the 'B'/'B-' rating category.
Fitch considered 0.4% of the portfolio to be defaulted and exposure
to assets rated 'CCC' or lower (excluding non-rated assets) at
6.3%. Fitch calculated a portfolio weighted average recovery rate
of 75.2%. As of the October 2022 trustee report, approximately
98.2% of the portfolio consisted of first lien senior secured
loans. The portfolio is composed of 508 obligors, with the top 10
obligors comprising 7.3% of the portfolio. Additionally, all
coverage, CQTs and concentration limitations were in compliance.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Downgrades may occur if the buildup of the notes' credit
enhancement (CE) following amortization does not compensate for a
higher loss expectation than initially assumed due to defaults and
portfolio deterioration.
A 25% increase of the mean default rate across all ratings, along
with a 25% decrease of the recovery rate at all rating levels for
the current portfolio, would lead to a two notch lower rating of
the class A-3-R notes, and at least a rating category lower for the
class E-R notes, based on MIRs. There would be no rating impact for
the class A-1-R, A-2A-R and A-2B-RR notes.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Upgrades may occur in the event of a better-than-expected portfolio
credit quality and deal performance, leading to higher CE note
levels and excess spread available to cover for losses on the
remaining portfolio.
A 25% reduction of the mean default rate across all ratings, along
with a 25% increase of the recovery rate at all rating levels for
the current portfolio, would lead to a one notch higher rating of
the class A-3-R notes, and a five notch higher rating of the class
E-R notes, based on MIRs. Upgrade scenarios are not applicable for
the class A-1-R, A-2A-R and A-2B-RR notes as these tranches are
already at the highest rating level.
DATA ADEQUACY
Fitch has checked the consistency and plausibility of the
information it has received about the performance of the asset pool
and the transaction. Fitch has not reviewed the results of any
third-party assessment of the asset portfolio information or
conducted a review of origination files as part of its ongoing
monitoring.
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
securities and markets authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information or information on the risk-presenting entities.
Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.
WFRBS COMMERCIAL 2014-LC14: Fitch Affirms CCC Rating on F Certs
---------------------------------------------------------------
Fitch Ratings has affirmed 12 classes of WFRBS Commercial Mortgage
Trust 2014-LC14 commercial mortgage pass-through certificates. In
addition, Fitch has revised the Rating Outlook on class E to
Negative from Stable.
Entity/Debt Rating Prior
----------- ------ -----
WFRBS 2014-LC14
A-4 96221TAD9 LT AAAsf Affirmed AAAsf
A-5 96221TAE7 LT AAAsf Affirmed AAAsf
A-S 96221TAG2 LT AAAsf Affirmed AAAsf
A-SB 96221TAF4 LT AAAsf Affirmed AAAsf
B 96221TAK3 LT AA-sf Affirmed AA-sf
C 96221TAL1 LT A-sf Affirmed A-sf
D 96221TAQ0 LT BBB-sf Affirmed BBB-sf
E 96221TAS6 LT BBsf Affirmed BBsf
F 96221TAU1 LT CCCsf Affirmed CCCsf
PEX 96221TAM9 LT A-sf Affirmed A-sf
X-A 96221TAH0 LT AAAsf Affirmed AAAsf
X-B 96221TAJ6 LT BBB-sf Affirmed BBB-sf
KEY RATING DRIVERS
Increased Loss Expectations: Fitch's base case loss expectations
have increased since the prior rating action driven mainly by
higher expected losses on the Canadian Pacific Plaza and Penn Cap
Portfolio along with an anticipated increase in defaults as loans
approach maturity in 2023 and early 2024. Ten loans (43.5% of the
pool) are considered Fitch Loans of Concern (FLOCs), which includes
three specially serviced loans (9.6%). Fitch's current ratings
reflect a base case loss of 7.20%.
The Negative Outlook for class E reflects concerns with the larger
FLOCs including Penn Cap Portfolio and Canadian Pacific Plaza along
with uncertainty regarding the ultimate resolution of the specially
serviced loan, Williams Center Towers.
Fitch Loans of Concern/Specially Serviced Loans: The largest
contributor to Fitch's base case loss and largest increase in loss
since the prior rating action is Canadian Pacific Plaza (4.3% of
the pool), which is secured by a 393,902-sf office building located
in the CBD of Minneapolis, MN. Occupancy has remained low since
February 2020 following the lease expiration and vacancy of a major
tenant representing 19.6% of the NRA. Occupancy reported at 60.3%
as of September 2022, down from 87% as of YE 2019 and 93% for YE
2018. The only remaining large tenant is Soo Line Railroad (23.4%
NRA, August 2027 lease expiration) with no other tenant occupying
more than 3% of NRA.
NOI debt service coverage ratio (DSCR) has dropped to 0.76x as of
June 2022 and 0.79x as YE 2021 compared to 1.03x at YE 2020, 1.92x
at YE 2019 and 2.01x at YE 2018. Fitch's loss expectation of 46%
reflects 10% cap rate and 5% stress on the YE 2021 NOI.
The second largest contributor to Fitch's base case loss is
Williams Center Towers (5.3%), which is secured by two office
towers totaling 765,809 sf located within the CBD of Tulsa, OK.
Occupancy as of June 2022 was 70%, down from 91.6% at issuance and
79% as of September 2019. The largest tenant at issuance, Samson
Energy, first downsized and then completely left the building in
2017 after filing bankruptcy. The property suffered a further
occupancy drop in December 2019 when the Bank of Oklahoma
terminated its lease. Current largest tenants include Community
Care HMO (17.7% NRA, 2033 lease expiration), Doerner, Saunders,
Daniel and Anderson, LLP (6.4% NRA, 2027 lease expiration),
Southwest Power Administration (5.4% NRA, 2033 lease expiration),
and McAfee and Taft, PC (5.0% NRA, 2027 lease expiration).
The loan transferred to Special Servicing in April 2018 due to a
low DSCR but remains current with cash management in place. The YE
2021 NOI DSCR is 1.06x down from 1.15x at YE 2020, and 1.53x at
September 2019. Fitch's loss expectation of 33% reflects a 10%
stress to the value derived from a 10.25% cap rate on YE 2021 NOI.
The third largest contributor to Fitch's base case loss and second
largest increase in loss since the prior rating action is Penn Cap
Portfolio (9.8%), which is secured by 32 properties located within
five different office/industrial parks in the Lehigh Valley area of
Pennsylvania. The combined properties represent 1,386,780 sf and
are 64% office space and 36% flex/warehouse space by square
footage.
Occupancy has slightly improved to 82.1% as of August 2022 from 78%
as of December 2021, but remains below 90% at issuance. There is
significant lease rollover in 2023, which includes approximately
37% of NRA. This includes the largest tenant, Lehigh Valley Academy
(11.2% NRA), which is not expected to extend its lease at the
upcoming maturity in August 2023.
The loan has remained current since issuance, with NOI DSCR at
1.21x as of YTD June 2021 and 1.33x at YE 2021, compared to 1.45x
at YE 2020. Fitch's loss expectation of 9% reflects 9.5% cap rate
and 20% stress on the YE 2021 NOI.
Increasing Credit Enhancement (CE): CE has increased since the last
rating action due to continued amortization, prepayments, and
defeasance. As of the October 2022 distribution reporting, the
pool's balance has been reduced by 37.7% since issuance. Since the
last rating action, six loans ($53.4 million) were prepaid with
yield maintenance.
Defeasance has increased to 20 loans (27.1%) from 14 loans (16.6%)
at the last rating action. Of the current pool there are no
full-term IO loans and all partial term IO loans are amortizing.
Realized losses since issuance total $9.1 million and interest
shortfalls of approximately $1.9 million are impacting the
non-rated class. Fifty-three loans (99.7%) are scheduled to mature
from October 2023 through February 2024.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Sensitivity factors that lead to downgrades include an increase in
pool-level losses from underperforming or specially serviced
loans/assets.
Downgrades to the 'AAAsf' through 'AA-sf' categories are not
currently considered likely due to the expectation of continued
increase in CE from amortization and future dispositions, but may
occur if a high proportion of the pool defaults and expected losses
increase significantly or if interest shortfalls should occur to
classes rated 'AAAsf' or 'AA-sf'.
Downgrades to the 'A-sf' and 'BBB-sf' categories would likely occur
if a high proportion of the pool defaults and/or transfers to
special servicing and expected losses increase significantly.
Downgrades to the 'BBsf' category would occur should loss
expectations increase due to an increase in specially serviced
loans and/or the loans vulnerable to the pandemic do not
stabilize.
Downgrades to the 'CCCsf' rated class would occur with greater
certainty of loss or as losses are realized.
Fitch has identified both a baseline and a worse-than-expected,
adverse stagflation scenario based on fallout from the
Russia-Ukraine war whereby growth is sharply lower amid higher
inflation and interest rates; even if the adverse scenario should
play out, Fitch expects virtually no impact on ratings performance,
indicating very few rating or Outlook changes. However, for some
transactions with concentrations in underperforming retail
exposure, the ratings impact may be mild to modest, indicating some
changes on sub-investment grade notes.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Sensitivity factors that lead to upgrades would include stable to
improved asset performance coupled with pay down and/or
defeasance.
Upgrades to the 'A-sf'- and 'AA-sf'-rated classes are not expected
but would likely occur with significant improvement in CE and/or
defeasance.
Upgrades to the 'BBB-sf' and 'BBsf' rated classes are considered
unlikely and would be limited based on the sensitivity to
concentrations or the potential for future concentrations. Classes
would not be upgraded above 'Asf' if there is a likelihood of
interest shortfalls.
An upgrade to the 'CCCsf' rated class is not likely unless the
performance of the remaining pool stabilizes and the senior classes
pay off.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
WOODMONT 2022-10: S&P Assigns BB- (sf) Rating on Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to Woodmont 2022-10 Trust's
floating-rate notes.
The note 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 MidCap Financial Services Capital Management LLC.
The ratings reflect S&P's view of:
-- The collateral pool's diversification;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Woodmont 2022-10 Trust
Class A, $290.00 million: AAA (sf)
Class B, $45.00 million: AA (sf)
Class C (deferrable), $40.00 million: A (sf)
Class D (deferrable), $25.00 million: BBB- (sf)
Class E (deferrable), $35.00 million: BB- (sf)
Certificates, $76.14 million: Not rated
WOODMONT TRUST 2021-8: Fitch Affirms 'BB+sf' Rating on Cl. E Notes
------------------------------------------------------------------
Fitch Ratings has affirmed the ratings for the class A, B-1, B-2,
C, D and E notes of Woodmont 2021-8 Trust. The Rating Outlooks on
all rated tranches remain Stable.
Entity/Debt Rating Prior
----------- ------ -----
Woodmont 2021-8 Trust
A 97988MAA1 LT AAAsf Affirmed AAAsf
B-1 97988MAC7 LT AAsf Affirmed AAsf
B-2 97988MAN3 LT AAsf Affirmed AAsf
C 97988MAE3 LT Asf Affirmed Asf
D 97988MAG8 LT BBB+sf Affirmed BBB+sf
E 97988MAJ2 LT BB+sf Affirmed BB+sf
TRANSACTION SUMMARY
Woodmont 2021-8 Trust (Woodmont 2021-8) is a middle-market (MM)
collateralized loan obligation (CLO) that is managed by MidCap
Financial Services Capital Management, LLC. Woodmont 2021-8
originally closed in December 2021, and will exit its reinvestment
period in January 2026. The transaction is secured primarily by
first-lien, senior secured MM loans.
KEY RATING DRIVERS
Asset Credit Quality, Asset Security, Portfolio Management and
Portfolio Composition
The portfolio based on the October 2022 trustee report was composed
of 100 obligors and the largest 10 obligors represent 19.3% of the
portfolio (excluding cash). Exposure to assets with a Fitch-derived
rating of 'CCC+' and below (excluding non-rated assets) is at 9.3%.
Fitch's weighted average rating factor (WARF) of the invested
portfolio is currently at 29.7, equivalent to the 'B'/'B-' rating
level. Fitch calculated a portfolio weighted average recovery rate
(WARR) of 64.3%.
One defaulted asset (Disruptive Products, Inc.) representing 1.9%
of the portfolio and another deferring obligation (Healthtronics
Inc.) representing 1.2%, are both haircut to 65% recovery value for
overcollateralization ratio calculations. Permitted deferrable
obligations, which also includes the deferring obligation, were
reported at 3.2% of the portfolio. All coverage tests and
collateral quality tests (CQTs) remain in compliance.
Cash Flow Analysis
Since the transaction is still in its reinvestment period, the
analysis included an updated Fitch Stressed Portfolio (FSP)
analysis at the current Fitch Test Matrix point selected by the
manager, with a weighted average life of 6.2 years. In addition, an
assumption of 0% and 5% fixed rate assets in the portfolio was both
tested in the FSP modelling. The ratings for the class A, B-1, B-2,
C, D and E notes are in line with their model-implied ratings
(MIRs), as defined in Fitch's CLOs and Corporate CDOs Rating
Criteria.
The Stable Outlooks on all the rated notes reflect robust breakeven
cushions to withstand potential deterioration in the credit quality
of the portfolio in relevant rating stresses.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Downgrades may occur if the buildup of the notes' credit
enhancement following amortization does not compensate for a higher
loss expectation than initially assumed due to defaults and
portfolio deterioration.
A 25% increase of the mean default rate across all ratings, along
with a 25% decrease of the recovery rate at all rating levels for
the current portfolio, would lead to no rating change for class A
notes and downgrades (based on the MIRs) of up to one rating notch
for all other rated classes.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Except for the tranches already at the highest 'AAAsf' rating,
upgrades may occur in the event of better-than-expected portfolio
credit quality and transaction performance.
A 25% reduction of the mean default rate across all ratings, along
with a 25% increase of the recovery rate at all rating levels for
the current portfolio, would lead to upgrades (based on the MIR) of
two rating notches for the class B-1 and B-2 notes, one notch for
the class C notes, three notches for class D notes, and four
notches for class E notes.
SUMMARY OF FINANCIAL ADJUSTMENTS
Fitch has checked the consistency and plausibility of the
information it has received about the performance of the asset pool
and the transaction. Fitch has not reviewed the results of any
third-party assessment of the asset portfolio information or
conducted a review of origination files as part of its ongoing
monitoring.
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
securities and markets authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information or information on the risk-presenting entities.
Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.
[*] DBRS Confirms Ratings on 4 Single Borrower Deals Issued in 2021
-------------------------------------------------------------------
DBRS Limited (DBRS Morningstar) conducted its surveillance review
of 28 classes of Commercial Mortgage Pass-Through Certificates from
four single-asset/single-borrower commercial mortgage-backed
security (CMBS) transactions. DBRS Morningstar confirmed its
ratings on all 28 classes. All four transactions closed in November
and December 2021 and, given their recent vintage, there is limited
updated financial reporting. The rating confirmations reflect the
overall stable performance, based on the information made available
since issuance, and all trends are Stable.
The four transactions confirmed by DBRS Morningstar are:
- Morgan Stanley Capital I Trust 2021-ILP (MSC 2021-ILP),
- BX Trust 2021-RISE (BX 2021-RISE),
- COMM 2021-2400 Mortgage Trust (COMM 2021-2400), and
- GS Mortgage Securities Corporation Trust 2021-DM
(GSMS 2021-DM).
A list of the Affected Ratings is available at:
https://bit.ly/3EGp1JM
MSC 2021-ILP is secured by the borrower's fee-simple interest in a
portfolio of 61 industrial properties totalling approximately 6.9
million square feet (sf) across eight markets and five states.
Approximately 69.0% of the portfolio's net rentable area (NRA) is
in Chicago, Phoenix, Dallas-Fort Worth, Philadelphia, Houston, and
San Antonio, which are all in the top 10 largest cities in the U.S.
DBRS Morningstar continues to take a favourable view on the
long-term growth and stability of the logistics and industrial
sector. The portfolio benefits from tenant granularity, strong
sponsor strength, and strong leasing trends, all of which
contribute to potential cash flow stability over time. No updated
financial reporting has been made available ahead of this review.
As of June 2022, the weighted-average (WA) portfolio occupancy was
approximately 97.0%, up from 94.8% at issuance.
BX 2021-RISE is collateralized by the borrower's fee-simple
interest in 17 Class A and B suburban multifamily properties
totalling 6,410 units across seven states and 15 distinct
submarkets throughout the U.S. The portfolio is primarily
concentrated in Georgia (three properties, 1,497 units, 23.3% of
net cash flow (NCF)), Texas (four properties, 1,354 units, 17.6% of
NCF), and Florida (two properties, 872 units, 15.7% of NCF). The
servicer reported a WA portfolio occupancy rate of 94.6% and a WA
debt service coverage ratio (DSCR) of 2.95 times (x) as of June
2022, relatively unchanged from the issuance occupancy rate and
DSCR of 95.4% and 2.92x, respectively. At closing, one of the
properties, Cortland Mountain Vista in Mesa, Arizona, was
indirectly acquired by the guarantor and had a mortgage in place
that did not permit prepayment freely until after December 31,
2021. As a result, the property had its corresponding allocated
loan amount (ALA) of approximately $86.5 million (7.2% of the total
ALA) held back until the debt lockout expired. The property was
subsequently contributed to the portfolio as planned.
COMM 2021-2400 is secured by the first-lien mortgage of the 2400
Market Building, a Class A office and retail property that was
converted from a warehouse in 2019, located along the Schuylkill
River in Philadelphia. The property consists of 502,486 sf of
office space, 80,392 sf of retail space, and 9,598 sf of storage
space. As of the year-to-date (YTD) ended June 30, 2022, the
annualized NCF of $14.3 million is relatively in line with the
YE2021 figure of $13.3 million. According to the July 2022 rent
roll, the top three tenants occupy 75.1% of the property's NRA and
hold long-term leases at the property, with the earliest
termination option available in 2031. The largest tenant is Aramark
Services, occupying 50.1% of the NRA, with a lease expiration in
October 2034. There are no lease rollovers during the initial
two-year term of the loan, and only 4.1% of the NRA is scheduled to
roll over prior to the loan's final maturity in 2026. Given the
property's favourable quality, relatively stable tenancy, and
strong location, DBRS Morningstar expects cash flow to remain
stable over time.
GSMS 2021-DM is secured by the borrower's fee-simple and leasehold
interests in 18 Class A and B multifamily properties, which are in
Florida (58.6% of ALA), Utah (19.3% of ALA), and Massachusetts
(22.1% of ALA). Sixteen of the 18 properties are affordable-housing
properties in Florida, five of which are age-restricted properties.
Per the June 2022 rent rolls, the collateral had a WA occupancy of
96.3%, which is relatively in line with the issuance occupancy rate
of 98.7%. The portfolio reported a consolidated DSCR of 2.76x for
the trailing six months ended June 2022, compared with the DBRS
Morningstar DSCR of 2.84x at issuance. DBRS Morningstar generally
views the underlying markets as highly desirable for multifamily
assets, with strong growth potential and favourable population
statistics.
[*] Moody's Takes Action on $197MM of US RMBS Issued 2004-2007
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of six bonds and
downgraded the ratings of four bonds from five US residential
mortgage backed transactions (RMBS), backed by option ARM and
subprime mortgages issued by multiple issuers.
A list of Affected Credit Ratings is available at
https://bit.ly/3VtHfoD
Complete rating actions are as follows:
Issuer: CWABS Asset-Backed Certificates Trust 2006-11
Cl. 3-AV-2, Upgraded to Baa2 (sf); previously on Feb 16, 2022
Upgraded to Ba1 (sf)
Cl. 3-AV-3, Upgraded to Ba3 (sf); previously on Feb 16, 2022
Upgraded to B2 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-13
Cl. 2-AV, Upgraded to Aaa (sf); previously on May 28, 2021
Confirmed at Aa2 (sf)
Cl. 3-AV-3, Upgraded to Aa3 (sf); previously on May 28, 2021
Confirmed at A2 (sf)
Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2004-2
Cl. 1-A, Downgraded to Aa3 (sf); previously on Oct 12, 2016
Confirmed at Aa1 (sf)
Cl. 3-A-3, Downgraded to Aa2 (sf); previously on May 28, 2004
Assigned Aaa (sf)
Cl. 3-A-4, Downgraded to Aa2 (sf); previously on May 28, 2004
Assigned Aaa (sf)
Issuer: DSLA Mortgage Loan Trust 2005-AR2
Cl. 2-A1A, Downgraded to B2 (sf); previously on May 28, 2021
Downgraded to Ba3 (sf)
Issuer: J.P. Morgan Mortgage Acquisition Trust 2007-CH1,
Asset-Backed Pass-Through Certificates, Series 2007-CH1
Cl. AF-5, Upgraded to Baa2 (sf); previously on Feb 9, 2022 Upgraded
to Ba1 (sf)
Cl. AF-6, Upgraded to Baa1 (sf); previously on Feb 9, 2022 Upgraded
to Baa3 (sf)
RATINGS RATIONALE
The rating actions reflect the recent performance as well as
Moody's updated loss expectations on the underlying pools. The
rating upgrades are a result of the improving performance of the
related pools and/or an increase in credit enhancement available to
the bonds. The rating downgrades are primarily due to a
deterioration in collateral performance and/or decline in credit
enhancement available to the bonds.
In light of the current environment, Moody's revised loss
expectations based on forecast uncertainties with regard to key
macroeconomic variables.
Moody's estimated the proportion of loans granted payment relief in
a pool based on a review of loan level cashflows. In Moody's
analysis, Moody's considered a loan to be enrolled in a payment
relief program if (1) the loan was not liquidated but took a loss
in the reporting period (to account for loans with monthly
deferrals that were reported as current), or (2) the actual balance
of the loan increased in the reporting period, or (3) the actual
balance of the loan remained unchanged in the last and current
reporting period, excluding interest-only loans and pay ahead
loans. Based on Moody's analysis, the proportion of borrowers that
are currently enrolled in payment relief plans varied greatly,
ranging between approximately 2% and 11% among RMBS transactions
issued before 2009. In Moody's analysis, Moody's assume these loans
to experience lifetime default rates that are 50% higher than
default rates on the performing loans.
In addition, for borrowers unable to make up missed payments
through a short-term repayment plan, servicers will generally defer
the forborne amount as a non-interest-bearing balance, due at
maturity of the loan as a balloon payment. Moody's analysis
considered the impact of six months of scheduled principal payments
on the loans enrolled in payment relief programs being passed to
the trust as a loss. The magnitude of this loss will depend on the
proportion of the borrowers in the pool subject to principal
deferral and the number of months of such deferral. The treatment
of deferred principal as a loss is credit negative for junior
bonds, which could incur write-downs on bonds when missed payments
are deferred.
Principal Methodologies
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in July 2022.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
[*] S&P Affirms 48 Ratings From 10 U.S. RMBS Transactions
---------------------------------------------------------
S&P Global Ratings completed its review of 58 classes from 10 U.S.
RMBS transactions issued between 1997 and 2005. The review yielded
48 affirmations and 10 withdrawals.
A list of Affected Ratings can be viewed at:
https://bit.ly/3TSwhbj
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance and/or structural
characteristics and their potential effects on certain classes.
Some of these considerations may include:
-- Collateral performance or delinquency trends;
-- Available subordination and/or overcollateralization; 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.
"We withdrew our ratings on 10 classes from three transactions due
to the small number of loans remaining in the related group. Once a
pool has declined to a de minimis amount, its future performance
becomes more difficult to project. As such, we believe there is a
high degree of credit instability that is incompatible with any
rating level."
[*] S&P Takes Various Actions on 63 Classes From Nine US RMBS Deals
-------------------------------------------------------------------
S&P Global Ratings completed its review of its ratings on 63
classes from nine U.S. RMBS transactions issued between 2002 and
2005. The review yielded five upgrades, 20 downgrades, 33
affirmations, and five withdrawals.
A list of Affected Ratings can be viewed at:
https://bit.ly/3GHmVvR
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:
-- The assessment of reduced interest payments due to loan
modifications and other credit-related events;
-- Collateral performance or delinquency trends;
-- Available subordination and/or overcollateralization;
-- Erosion of, or increases, in credit support;
-- Historical and/or outstanding missed interest payments/interest
shortfalls;
-- Principal-only criteria; and
-- Small loan count.
Rating Actions
S&P said, "The rating changes reflect our opinion regarding the
associated transaction-specific collateral performance and/or
structural characteristics, as well as the application of specific
criteria applicable to these classes. See the ratings list below
for the specific rationales associated with each of the classes
with rating transitions.
"The rating affirmations reflect our opinion that our projected
credit support, collateral performance, and credit-related
reductions in interest on these classes has remained relatively
consistent with our prior projections.
"We withdrew our ratings on five classes from two transactions due
to the small number of loans remaining within the related group or
structure. Once a pool has declined to a de minimis amount, we
believe there is a high degree of credit instability that is
incompatible with any rating level."
[*] S&P Takes Various Actions on 98 Classes from 31 U.S. RMBS Deals
-------------------------------------------------------------------
S&P Global Ratings completed its review of 98 classes from 31 U.S.
RMBS transactions issued between 2002 and 2007. All of these
transactions are backed by subprime collateral. The review yielded
32 upgrades, six downgrades, and 60 affirmations.
A list of Affected Ratings can be viewed at:
https://bit.ly/3OuDIo8
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; 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 ability 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 our 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."
*********
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