/raid1/www/Hosts/bankrupt/TCR_Public/221225.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, December 25, 2022, Vol. 26, No. 358
Headlines
720 EAST 2022-I: S&P Assigns BB- (sf) Rating on Class E Notes
ACC AUTO 2022-1: Moody's Puts B2 Rating on D Notes Under Review
BATTALION CLO XXIV: Fitch Assigns 'BB-sf' Rating on Class E Notes
BENEFIT STREET XXIX: S&P Assigns BB- (sf) Rating on Cl. E Notes
BLACK DIAMOND 2022-1: S&P Assigns Prelim BB+(sf) Rating on E Notes
COMM 2013-GAM: Fitch Hikes Rating on Class F Notes to 'BB-sf'
CSMC 2022-NQM6: S&P Assigns Prelim B- (sf) Rating on Cl. B-2 Notes
CWHEQ REVOLVING 2005-L: Moody's Raises Rating on Cl. A Bonds to B1
EFMT 2002-4: Fitch Affirms 'B(EXP)sf' Rating on Class B-2 Certs
GS MORTGAGE 2013-GC13: Fitch Affirms 'Csf' Rating on 2 Tranches
LCM 40: Fitch Gives BB-sf Rating on Cl. E Notes, Outlook Stable
MIDOCEAN CREDIT V: Moody's Cuts Rating on $8MM Cl. F Notes to Caa3
MOSAIC SOLAR 2022-3: Fitch Assigns 'BBsf' Rating on Class D Notes
NEUBERGER BERMAN 52: Moody's Assigns (P)B3 Rating to Class F Notes
ROCKFORD TOWER 2022-3: S&P Assigns Prelim 'BB-' Rating on E Notes
STRATUS CLO 2021-3: Fitch Affirms 'BB+sf' Rating on Class F Notes
TRIMARAN CAVU 2022-2: S&P Assigns BB- (sf) Rating on Class E Notes
UBS COMMERCIAL 2018-C9: Fitch Affirms B-sf Rating on Cl. E-RR Certs
WELLS FARGO 2011-C5: Fitch Affirms Bsf Rating on Class G Debt
[*] Moody's Takes Action on $90.7MM of US RMBS Issued 2006-2007
[*] S&P Lowers Ratings on Five Classes From Five U.S. RMBS Deals
[*] S&P Takes Various Actions on 10 Classes from Seven US RMBS Deal
[*] S&P Takes Various Actions on 145 Classes From 26 US RMBS Deals
[*] S&P Takes Various Actions on 78 Classes From 29 US RMBS Deals
[*] S&P Takes Various Actions on 86 Classes From 25 U.S. RMBS Deals
[*] S&P Takes Various Actions on 96 Classes From 32 US RMBS Deals
*********
720 EAST 2022-I: S&P Assigns BB- (sf) Rating on Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to 720 East CLO 2022-I
Ltd./720 East CLO 2022-I LLC's floating-rate notes.
The note issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Northwestern Mutual Investment
Management Co. LLC, a subsidiary of The Northwestern Mutual Life
Insurance Co.
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
720 East CLO 2022-I Ltd./720 East CLO 2022-I LLC
Class A, $272.00 million: AAA (sf)
Class B, $51.00 million: AA (sf)
Class C (deferrable), $25.50 million: A (sf)
Class D (deferrable), $25.50 million: BBB- (sf)
Class E (deferrable)(i), $12.75 million: BB- (sf)
Subordinated notes, $51.10 million: Not rated
(i)The class E notes are issued as delayed funding notes. The
notional balance represents the maximum principal amount permitted
under those notes, and the amount is undrawn as of the closing
date. The interest rate on the class E notes will be negotiated at
the time of the one-time funding, and it is not expected to be
greater than the interest rate S&P considered in its rating
analysis.
ACC AUTO 2022-1: Moody's Puts B2 Rating on D Notes Under Review
---------------------------------------------------------------
Moody's Investors Service has placed five tranches from four
asset-backed securitizations backed by non-prime auto loans and
leases on review for downgrade. The bonds are backed by pools of
non-prime retail automobile loan and lease contracts originated and
serviced by multiple parties.
The complete rating actions are as follows:
Issuer: ACC Auto Trust 2022-A
Class D Notes, B2 (sf) Placed Under Review for Possible Downgrade;
previously on May 11, 2022 Definitive Rating Assigned B2 (sf)
Issuer: ACC Trust 2022-1
Class D Notes, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 9, 2022 Definitive Rating Assigned B3 (sf)
Issuer: American Credit Acceptance Receivables Trust 2022-2
Class D Asset Backed Notes, Baa3 (sf) Placed Under Review for
Possible Downgrade; previously on Apr 29, 2022 Definitive Rating
Assigned Baa3 (sf)
Issuer: U.S. Auto Funding Trust 2022-1
Class C Notes, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 28, 2022 Definitive Rating Assigned Ba1 (sf)
Class E Notes, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 28, 2022 Definitive Rating Assigned B3 (sf)
RATINGS RATIONALE
The rating actions reflect deteriorating pool performance in recent
months with higher borrower defaults driven by high inflation and
declining borrower excess savings, as well as lower recoveries due
to softening used vehicle prices. Non-prime auto loans and leases
are more susceptible to weak macroeconomic conditions due to the
relatively weak credit quality of the underlying obligors. The
rating actions also reflect the declining overcollateralization
levels on the deals due to higher than expected loss rates in
recent months.
In Moody's analysis, Moody's considered up to a 15% increase in
remaining expected losses on the underlying pools to evaluate the
resiliency of the ratings amid the uncertainty surrounding the
pools' performance. The affected tranches are subordinate notes
that have lower credit enhancement available to protect them,
making them more vulnerable to any increase in defaults relative to
the senior tranches in the deals, which have greater credit
protections. The higher expected loss reflects the increased
volatility caused by weakening macroeconomic conditions, which
negatively affect consumer credit performance, especially for
non-prime obligors. Last month, Moody's lowered Moody's baseline
growth forecast for 2023 to 0.4% from 1.3% and now expect the US
economy to enter a recession in Q2 2023.
During the review period, Moody's will evaluate effects of ongoing
and projected macroeconomic conditions, as well as the performance
of underlying pools to update Moody's cumulative net loss
projection on the pools and final rating action on the bonds.
Unemployment and used vehicle values are key indicators of
performance for auto ABS. Weaknesses in these factors are likely to
have a negative impact on the future performance of non-prime loans
and leases. Additionally, Moody's will evaluate changes in credit
enhancement available for the notes, including
overcollateralization, subordination, excess spread, and reserve
funds. Rating actions on the bonds will vary for the different
shelves and reflect individual transaction considerations.
Moody's lifetime cumulative net loss expectations are noted below
for the transaction pools. The loss expectations reflect updated
performance trends on the underlying pools. The lifetime cumulative
net loss expectations are higher than the expectations at closing,
reflecting rising borrower defaults driven by high inflation and
declining borrower excess savings, as well as lower recoveries
driven by softening used vehicle prices.
ACC Auto Trust 2022-A: 23.00%
ACC Trust 2022-1: 40.00%
American Credit Acceptance Receivables Trust 2022-2: 33.00%
U.S. Auto Funding Trust 2022-1: 36.00%
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
November 2022.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are greater than necessary to
protect investors against current expectations of loss could lead
to an upgrade of the ratings. Losses could decline from Moody's
original expectations as a result of a lower number of obligor
defaults or greater recoveries from the value of the vehicles
securing the obligors promise of payment. The US job market and the
market for used vehicles are also primary drivers of the
transaction's performance. Other reasons for better-than-expected
performance include changes in servicing practices to maximize
collections on the loans or refinancing opportunities that result
in a prepayment of the loan.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could lead to a
downgrade of the ratings. Losses could increase from Moody's
original expectations as a result of a higher number of obligor
defaults or a deterioration in the value of the vehicles securing
the obligors promise of payment. The US job market and the market
for used vehicles are also primary drivers of the transaction's
performance. Other reasons for worse-than-expected performance
include poor servicing, error on the part of transaction parties,
lack of transactional governance and fraud.
BATTALION CLO XXIV: Fitch Assigns 'BB-sf' Rating on Class E Notes
-----------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Battalion
CLO XXIV, Ltd.
Entity/Debt Rating
----------- ------
Battalion CLO
XXIV Ltd.
A 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 LT NRsf New Rating
TRANSACTION SUMMARY
Battalion CLO XXIV, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Brigade Capital Management, LP. 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', which is in line with that of recent
CLOs. The weighted average rating factor of the indicative
portfolio is 23.9 versus a maximum covenant, in accordance with the
initial matrix point of 25.5. Issuers rated in the 'B' rating
category denote a highly speculative credit quality; however, the
notes benefit from appropriate credit enhancement and standard U.S.
CLO structural features.
Asset Security (Positive): The indicative portfolio consists of
100.0% first-lien senior secured loans and has a weighted average
recovery assumption of 75.97%, versus a minimum covenant, in
accordance with the initial matrix point of 75.80%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 45.0% 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, each class of notes are
able to withstand appropriate default rates for their respective
rating scenarios. The performance of all classes of rated notes at
the other permitted matrix points is in line with other recent
CLOs.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are between
'BBB+sf' and 'AAAsf' for class A, between 'BB+sf' and 'AA-sf' for
class B, between 'B-sf' and 'Asf' 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:
Upgrade scenarios are not applicable to the class A notes, as these
notes are in the highest rating category of 'AAAsf'.
At other rating levels, variability in key model assumptions, such
as increases in recovery rates and decreases in default rates,
could result in an upgrade. Fitch evaluated the notes' sensitivity
to potential changes in such metrics; results under these
sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf'
and 'AA-sf' for class C notes, '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.
BENEFIT STREET XXIX: S&P Assigns BB- (sf) Rating on Cl. E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to Benefit Street Partners
CLO XXIX Ltd./Benefit Street Partners CLO XXIX 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 BSP CLO Management LLC, a subsidiary
of Franklin Templeton.
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
Benefit Street Partners CLO XXIX Ltd./
Benefit Street Partners CLO XXIX LLC
Class A, $300.00 million: AAA (sf)
Class B-1, $63.75 million: AA (sf)
Class B-2, $15.00 million: AA (sf)
Class C (deferrable), $26.25 million: A (sf)
Class D (deferrable), $28.25 million: BBB- (sf)
Class E (deferrable), $17.25 million: BB- (sf)
Subordinated notes, $32.25 million: Not rated
BLACK DIAMOND 2022-1: S&P Assigns Prelim BB+(sf) Rating on E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Black
Diamond CLO 2022-1 Ltd./Black Diamond CLO 2022-1 LLC's fixed- and
floating-rate notes.
The note issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Black Diamond CLO 2022-1 Adviser LLC,
which is a special purpose investment management affiliate of Black
Diamond Capital Management LLC.
The preliminary ratings are based on information as of Dec. 19,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- 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
Black Diamond CLO 2022-1 Ltd./Black Diamond CLO 2022-1 LLC
Class X, $2.01 million: Not rated
Class A-1a, $135.00 million: AAA (sf)
Class A-1b, $95.00 million: AAA (sf)
Class B, $51.25 million: AA (sf)
Class C (deferrable), $22.50 million: A- (sf)
Class D-1a (deferrable), $3.00 million: BBB+ (sf)
Class D-1b (deferrable), $5.00 million: BBB+ (sf)
Class D-2 (deferrable), $8.75 million: BBB- (sf)
Class E (deferrable), $7.00 million: BB+ (sf)
Subordinated notes, $42.50 million: Not rated
COMM 2013-GAM: Fitch Hikes Rating on Class F Notes to 'BB-sf'
-------------------------------------------------------------
Fitch Ratings has upgraded and assigned Stable Outlooks to seven
classes of COMM 2013-GAM Mortgage Trust.
Entity/Debt Rating Prior
----------- ------ -----
COMM 2013-GAM
Mortgage Trust
A-2 12624UAC8 LT AAAsf Upgrade AAsf
B 12624UAJ3 LT AA-sf Upgrade Asf
C 12624UAL8 LT Asf Upgrade BBBsf
D 12624UAN4 LT BBBsf Upgrade BBsf
E 12624UAQ7 LT BBB-sf Upgrade BB-sf
F 12624UAS3 LT BB-sf Upgrade B-sf
X-A 12624UAE4 LT AAAsf Upgrade AAsf
KEY RATING DRIVERS
Improved Performance; Cash Flow, Occupancy and Sales: The upgrades
and Stable Outlooks are the result of post-pandemic performance
improvement and greater clarity on the sponsor's longer-term
business plan that is expected to increase the refinanceability of
the loan. Since the prior rating action, Fitch's net cash flow
(NCF) has improved to expectations at issuance, sales now exceed
issuance levels, the loan has continued to amortize and the sponsor
has successfully leased or renewed two of the three anchor spaces:
Primark leased 49k sf of the former JCPenney's vacant space and
Sears extended their lease for five years to 2028. Per the
servicer, the borrower has leasing prospects for additional vacant
space. The Fitch NCF is $26.9 million compared to $25.8 million at
the last rating action and is considered in-line with the Fitch NCF
at issuance of $27.9 million. Fitch's NCF is based on the
annualized September 2022 income adjusted to remove rental income
from the vacant Kohl's and Sears space. The servicer reported YE
2021 NCF was $26.4 million compared to $27.5 million at YE 2020,
and $31.9 million at YE 2019.
Total mall physical occupancy has improved to 79.2% (including
Primark which is expected to open in early 2023) from 73.4% as of
September 2021, 77.1% in April 2021, 86% in May 2020, and 97.8% in
March 2019. The decline in physical occupancy since 2019 is due to
the departure of Kohl's in April 2019, JC Penney in April 2020 and
Sears in April 2021. Kohl's and Sears continue to pay rent with
lease expirations in January 2031 and October 2028, respectively.
Sears recently extended their lease and, per the servicer, is
considering subleasing the space. The former 72,795 sf Century 21
space has been tenanted by Shoppers World on a lease that commenced
June 2021; however, at an annual rental rate of $8.24psf which is
lower than the former Century 21 lease payment. Economic occupancy
is now 90.8%.
Post-pandemic sales at the property have rebounded to above
issuance levels. Comparable in- line sales were $727psf as of TTM
September 2022 compared to $453psf as of TTM February 2021 (which
includes pandemic-related closures), $672psf as of TTM February
2020, $650psf as of TTM March 2019, $635psf as of TTM March 2018,
and $501psf at issuance. Macy's sales increased to $201 psf as of
September 2022 from $113psf as of February 2021, $186psf in 2019,
$177psf as of TTM September 2018, $204psf at YE 2015 and $225psf at
issuance, while Macy's Men's & Furniture also increased to $160psf
from $82psf as of February 2021, $143psf in 2019, $140psf as of TTM
September 2018, and $173psf at issuance.
Maturity Date Extension: The loan transferred to special servicing
in December 2020 due to the imminent loan maturity in February 2021
and the borrower's initial request for relief due to the pandemic.
The borrower rescinded the relief request but negotiated a maturity
extension to February 2022 with one additional extension until
February 2023 which the borrower previously exercised. The loan is
set to mature in February 2023.
Amortization: As of the December 2022 distribution date, the pool's
aggregate certificate balance has paid down approximately 26.8% as
a result of scheduled amortization and a principal curtailment of
$9 million prior to the loan extension.
Fitch Leverage: The Fitch debt service coverage ratio (DSCR) and
loan to value (LTV) for the asset is 1.08x and 83.7%, respectively.
The Fitch debt yield is 11.3%.
Single Asset Concentration: The Green Acres Mall loan was
originally an eight-year amortizing, fixed-rate loan (3.4325%)
secured by a 1,811,441-sf enclosed two-level regional mall located
in a densely populated area on Sunrise Highway in Valley Stream,
NY. The mall was built in 1956 and has been expanded several times
with the latest in 2007 and 2015. The transaction is secured by the
single property and, therefore, is more susceptible to single-event
risk related to the market, sponsor, or the largest tenants
occupying the property. The loan sponsor is an entity controlled by
Macerich Company, an experienced owner of regional shopping centers
and malls. The sponsor acquired the property in January 2013 at a
cost of $507 million.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Downgrades to all classes would occur with declines in occupancy,
cash flow and sales, and/or a default at the upcoming maturity in
February 2023 combined with lack of favorable resolution
information. Downgrades to the senior classes A-2 and X-A would be
downgraded to 'Asf' should interest shortfalls be incurred.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Upgrades are not expected; however, factors that lead to upgrades
would include significantly improved asset performance.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
CSMC 2022-NQM6: S&P Assigns Prelim B- (sf) Rating on Cl. B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to CSMC
2022-NQM6 Trust's mortgage-backed notes.
The note issuance is an RMBS securitization backed by First-lien,
fixed- and adjustable-rate residential mortgage loans, including
mortgage loans with initial interest-only periods, to both prime
and nonprime borrowers. The loans are secured by single-family
residential properties, planned-unit developments, condominiums,
and two- to four-family residential properties.
The preliminary ratings are based on information as of Dec. 16,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The pool's collateral composition;
-- The transaction's credit enhancement;
-- The transaction's associated structural mechanics;
-- The transaction's representation and warranty framework;
-- The transaction's geographic concentration;
-- The transaction's mortgage originator, Athas Capital Group
Inc.;
-- The potential impact current and near-term macroeconomic
conditions may have on the performance of the mortgage borrowers in
the pool. S&P said, "Per our latest macroeconomic update, we
continue to expect that the U.S. will fall into recession in 2023.
Recent indicators support our view, as rising prices and interest
rates eat away at private-sector purchasing power. Indeed, of the
leading indicators we track in our Business Cycle Barometer, only
one of the nine indicators was in positive territory through
October--seven were negative and one was neutral. Although our
10-year/three-month term spread indicator remained neutral in
September, daily readings have been inverted since Oct. 25, 2022.
Moreover, both the 10-year/one-year and 10-year/two-year have been
inverted, on average, for three straight months, which signals a
recession. The average 10-year/three-month is headed for an
inversion in November, with the average through Nov. 22, 2022 at
(0.35)%. If it is inverted for the second straight month, that
would also be a recession signal. While economic momentum has
protected the U.S. economy this year, what's around the bend in
2023 is the bigger worry. Extremely high prices and aggressive rate
hikes will weigh on affordability and aggregate demand. With the
Russia-Ukraine conflict ongoing, tensions over Taiwan escalating,
and the China slowdown exacerbating supply-chain and pricing
pressures, the U.S. economy appears to be teetering toward
recession. As a result, we continue to maintain the revised outlook
per the April 2020 update to the guidance to our RMBS criteria
(which increased the archetypal 'B' projected foreclosure frequency
to 3.25% from 2.50%)."
Preliminary Ratings Assigned
CSMC 2022-NQM6 Trust
Class A-1A, $36,868,000: AAA (sf)
Class A-1B, $9,416,000: AAA (sf)
Class A-1, $46,284,000: AAA (sf)
Class A-2, $9,417,000: AA (sf)
Class A-3, $13,419,000: A (sf)
Class M-1, $6,309,000: BBB (sf)
Class B-1, $5,980,000: BB (sf)
Class B-2, $6,686,000: B- (sf)
Class B-3, $6,074,388: NR
Class A-IO-S, Notional(i): NR
Class XS, Notional(i): NR
Class PT,$94,169,388: NR
Class R, N/A: NR
(i)The notional amount will equal the aggregate balance of the
mortgage loans as of the first day of the related due period.
(ix)This class will receive certain excess amounts, including
prepayment premiums.
NR--Not rated.
N/A--Not applicable.
CWHEQ REVOLVING 2005-L: Moody's Raises Rating on Cl. A Bonds to B1
------------------------------------------------------------------
Moody's Investors Service has upgraded the rating of Class A issued
by CWHEQ Revolving Home Equity Loan Trust, Series 2005-L. The
collateral backing this deal consists of second lien mortgage
loans.
Complete rating action is as follows:
Issuer: CWHEQ Revolving Home Equity Loan Trust, Series 2005-L
Cl. A, Upgraded to B1 (sf); previously on Aug 13, 2010 Confirmed at
B3 (sf)
RATINGS RATIONALE
The rating action reflects the recent performance as well as
Moody's updated loss expectations on the underlying pool. The
rating upgrade is a result of the improving performance of the
related pool and an increase in credit enhancement available to the
bond.
Principal Methodology
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.
EFMT 2002-4: Fitch Affirms 'B(EXP)sf' Rating on Class B-2 Certs
---------------------------------------------------------------
Fitch Ratings has affirmed the expected ratings that were
previously assigned to EFMT 2022-4 on Sept. 14, 2022. The
affirmation of expected ratings is based on updated collateral and
transaction structure. Fitch was not asked to rate the following
classes: B-3, A-IO-S, X, and R.
Entity/Debt Rating Prior
----------- ------ -----
EFMT 2022-4
A-1 LT AAA(EXP)sf Affirmed AAA(EXP)sf
A-2 LT AA(EXP)sf Affirmed AA(EXP)sf
A-3 LT A(EXP)sf Affirmed A(EXP)sf
M-1 LT BBB(EXP)sf Affirmed BBB(EXP)sf
B-1 LT BB(EXP)sf Affirmed BB(EXP)sf
B-2 LT B(EXP)sf Affirmed B(EXP)sf
TRANSACTION SUMMARY
Fitch has affirmed the expected ratings previously assigned to the
residential mortgage-backed certificates to be issued by EFMT
2022-4, Mortgage Pass-Through Certificates, Series 2022-4 (EFMT
2022-4), as indicated above. The certificates are supported by 897
loans with a balance of $365.26 million as of the cutoff date. This
will be the seventh EFMT rated by Fitch and the fourth EFMT
transaction in 2022.
The certificates are secured mainly by non-qualified mortgages
(non-QM) as defined by the Ability to Repay (ATR) rule (the Rule).
Approximately 60.6% of the loans were originated by LendSure
Mortgage Corporation, a joint venture between LendSure Financial
Services, Inc. (LFS) and Ellington Financial, Inc. (EFC).
Approximately 13.2% of the loans were originated by American
Heritage Lending, and 11.6% of the loans were originated by
HomeXpress Mortgage Corp. The remaining 14.6% of the loans were
originated by various other third-party originators.
Of the pool, 50% of the loans are designated as non-QM, and the
remaining 50% are investment properties not subject to ATR.
Rushmore Loan Management Services LLC (Rushmore) will be the
servicer and Nationstar Mortgage LLC (Nationstar) will be the
master servicer for the transaction.
There is no Libor exposure in this transaction. While the majority
of the loans in the collateral pool comprise fixed-rate mortgages,
0.14% of the pool comprises loans with an adjustable rate. These
two ARM loans are based on SOFR. The offered certificates have the
following coupon rates: classes A-1, A-2 and A-3 are fixed rate
with a step-up coupon at year four and capped at the net weighted
average coupon (WAC), while classes M-1, B-1, B-2 and B-3 pay the
net WAC.
There is an updated presale for EFMT 2022-4 and replaces the prior
presale that was published on Sept. 14, 2022. This presale reflects
the current loan attributes of the pool that remain largely
unchanged as well as the current structure. The losses have
increased since the prior presale due to Fitch's updated sMVD
assumptions that are revised quarterly and reflects Fitch's current
home price view. The structure remains consistent with the prior
structure that used a modified sequential structure with the step-
up coupons for A-1, A-2, and A-3, and interest payments on the B-3
class diverted to cover interest on the Class A Notes.
The affirmation of the ratings reflect the analysis of the current
collateral pool and the current transaction structure.
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 12.5% above a long-term sustainable level (vs.
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 15.8% YoY
nationally as of July 2022.
Nonprime Credit Quality (Mixed): Collateral consists mainly of
30-year fully amortizing loans, either fixed rate or adjustable
rate, and 26% of the loans have an interest-only (IO) period. The
pool is seasoned at about eight months in aggregate, as determined
by Fitch. The borrowers in this pool have relatively strong credit
profiles with a 735 weighted average (WA) FICO score (737 WA FICO
per the transaction documents) and a 45.6% debt-to-income ratio
(DTI), both as determined by Fitch, as well as moderate leverage,
with an original combined loan-to-value ratio (CLTV) of 71.1%,
translating to a Fitch-calculated sustainable loan-to-value ratio
(sLTV) of 78.7%.
Fitch considered 42.4% of the pool to consist of loans where the
borrower maintains a primary residence, while 50.3% comprises
investor property and 7.2% represents second homes.
There were 4 loans made to foreign nationals in the pool. If the
co-borrower is a U.S. citizen or permanent resident, Fitch does not
count those loans as loans to foreign nationals. Fitch does not
make adjustments for loans to nonpermanent residents since
historical performance has shown they perform the same or better
than those to U.S. citizens. For foreign nationals, Fitch treated
them as investor occupied, and made no documentation for income and
employment. If a FICO was not provided for the foreign national, a
FICO of 650 was assumed.
Approximately, 99% of the loans were originated through a nonretail
channel. Additionally, 50% of the loans are designated as non-QM,
while the remaining 50% are exempt from QM status. The pool
contains 50 loans over $1.0 million, with the largest loan at $2.85
million. The largest loan in the pool is a purchase loan for an
owner occupied planned unit development home in Rancho Santa Fe, CA
and has the following collateral attributes: 724 borrower FICO and
75% LTV.
Fitch's analysis of the pool determined that self-employed,
non-debt service coverage ratio (non-DSCR) borrowers make up 43.0%
of the pool; salaried non-DSCR borrowers make up 17.3%; and 39.7%
comprises investor cash flow DSCR loans. About 50.3% of the pool
comprises loans for investor properties (10.6% underwritten to
borrowers' credit profiles and 39.7% comprising investor cash flow
loans). There are no second liens in the pool, and three loans have
subordinate financing.
Around 30% of the pool is concentrated in California with
relatively low MSA concentration. The largest MSA concentration is
in the Los Angeles MSA (10.1%), followed by the Miami MSA (6.4%)
and the San Diego MSA (4.8%). The top three MSAs account for 21.3%
of the pool. As a result, there was no adjustment for geographic
concentration.
All loans are current as of Dec. 1, 2022. Overall, the pool
characteristics resemble nonprime collateral; therefore, the pool
was analyzed using Fitch's nonprime model.
Loan Documentation: Bank Statement, Asset Depletion, DSCR Loans
(Negative): Fitch determined that about 79.6% of the pool was
underwritten to less than full documentation and 35.8% was
underwritten to a 12- or 24-month bank statement program for
verifying income, which is not consistent with appendix Q standards
and Fitch's view of a full documentation program. A key distinction
between this pool and legacy Alt-A loans is these loans adhere to
underwriting and documentation standards required under the
Consumer Financial Protection Bureau's (CFPB) ATR Rule. This
reduces the risk of borrower default arising from lack of
affordability, misrepresentation or other operational quality risks
due to the rigor of the rule's mandates with respect to
underwriting and documentation of the borrower's ATR.
Additionally, 4.1% comprises an asset depletion product, 0.0% is a
CPA or P&L product and 39.7% is a DSCR product. Fitch increased the
PD on the non-full documentation loans to reflect the additional
risk.
Limited Advancing (Mixed): The deal is structured to six months of
servicer advances for delinquent principal and interest (P&I). 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 is additional stress on the
structure, as liquidity is limited in the event of large and
extended delinquencies.
Modified Sequential Payment Structure (Neutral): The structure
distributes collected principal pro rata among the class A notes
while excluding subordinate bonds from principal until classes A-1,
A-2 and A-3 are reduced to zero. To the extent that either a
cumulative loss trigger event or delinquency trigger event occurs
in a given period, principal will be distributed sequentially to
classes A-1, A-2 and A-3 until they are reduced to zero.
The transaction has excess spread that will be available to
reimburse the certificates for losses or interest shortfalls. The
excess spread may be reduced on and after January 2027, since
classes A-1, A-2 and A-3 have a step-up coupon feature that goes
into effect on that distribution date. To mitigate the impact of
the step-up feature, interest payments are redirected from class
B-3 to pay any cap carryover interest for the A-1, A-2 and A-3
classes on and after January 2027.
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 analyses was conducted at the
state and national levels to assess the effect of higher MVDs for
the subject pool as well as lower MVDs, illustrated by a gain in
home prices.
This defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model-projected 43.1% 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 analyses was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool as well as
lower MVDs, illustrated by a gain in home prices.
This defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all of the rated classes.
Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated class excluding those being assigned
'AAAsf' ratings.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review
performed on 100% of the pool. The third-party due diligence was
generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC,
Canopy, Clayton, Evolve, Infinity, Opus, and Selene were engaged to
perform the review. Loans reviewed under this engagement were given
compliance, credit and valuation grades, and assigned initial
grades for each subcategory. Minimal exceptions and waivers were
noted in the due diligence reports. Refer to the Third-Party Due
Diligence section for more detail.
Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. Fitch received
loan-level information based on the American Securitization Forum's
(ASF) data layout format, and the data are considered to be
comprehensive. The ASF data tape layout was established with input
from various industry participants, including rating agencies,
issuers, originators, investors and others to produce an industry
standard for the pool-level data in support of the U.S. RMBS
securitization market. The data contained in the ASF layout data
tape were reviewed by the due diligence companies, and no material
discrepancies were noted.
ESG CONSIDERATIONS
EFMT 2022-4 has an ESG Relevance Score of '4' [+] for Transaction
Parties & Operational Risk. Operational risk is well controlled for
in EFMT 2022-4, including strong transaction due diligence as well
as 'RPS1-' Fitch-rated servicer, which resulted in a reduction in
expected losses. This has a positive 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.
GS MORTGAGE 2013-GC13: Fitch Affirms 'Csf' Rating on 2 Tranches
---------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of GS Mortgage Securities
Trust 2013-GC13 (GSMS 2013-GC13) commercial mortgage pass-through
certificates. In addition, the Rating Outlooks on two classes have
been revised to Stable from Negative.
Entity/Debt Rating Prior
----------- ------ -----
GS Mortgage
Securities Trust
2013-GC13
A-3 36198EAC9 LT AAAsf Affirmed AAAsf
A-4 36198EAD7 LT AAAsf Affirmed AAAsf
A-5 36198EAE5 LT AAAsf Affirmed AAAsf
A-AB 36198EAF2 LT AAAsf Affirmed AAAsf
A-S 36198EAP0 LT AA-sf Affirmed AA-sf
B 36198EAS4 LT A-sf Affirmed A-sf
C 36198EAY1 LT BBsf Affirmed BBsf
D 36198EBB0 LT CCsf Affirmed CCsf
E 36198EBE4 LT Csf Affirmed Csf
F 36198EBH7 LT Csf Affirmed Csf
PEZ 36198EAV7 LT BBsf Affirmed BBsf
X-A 36198EAG0 LT AAAsf Affirmed AAAsf
X-B 36198EAH8 LT Csf Affirmed Csf
Classes X-A and X-B are IO.
Class A-S, class B, and class C certificates may be exchanged for
class PEZ certificates, and class PEZ certificates may be exchanged
for up to the full certificate principal amount of the class A-S,
class B and class C certificates.
KEY RATING DRIVERS
Stable Loss Expectations: The affirmations reflects the stable
overall loss expectations on the pool. There is a substantial
concentration of Fitch Loans of Concern (FLOCs; 37.1% of the pool),
including two specially serviced loans (9.3% of the pool) and two
former specially serviced loans that have been modified and are
current (17.7% of the pool). These FLOCs include two regional mall
loans (18.7%) and are the primary driver of Fitch's modeled losses.
Fitch's current ratings incorporate a base case loss of 13.4%.
Fitch Loans of Concern/Largest Contributors to Loss: The largest
contributor to base case loss is the modified Mall St. Matthews
loan (10.9% of the pool). The FLOC is current after being modified
and returned to the master servicer in July 2022. The loan had
previously transferred to special servicing in June 2020 after it
failed to pay off at its June 2020 maturity date. The sponsor,
Brookfield Properties, provided additional equity and the loan
maturity has been extended to June 2025.
The loan is secured by a 670,376-sf portion of a 1.0 million-sf
regional mall located in Louisville, KY. The property is anchored
by JCPenney, and non-collateral Dillard's and Dillard's Men's &
Home. Other mall tenants include a 10-screen Cinemark movie
theater, Ulta, Forever 21, The Cheesecake Factory and Dave &
Buster's. The property was originally constructed in 1962, with
recent renovations in 2013 and 2017, when the food court was
upgraded.
As of the September 2022 rent roll, the collateral was
approximately 94% leased. The mall was subject to temporary closure
and reduced capacity rules during the pandemic, and many tenants
received rent relief. The largest collateral tenant is JCPenney
(25% of NRA, extended to August 2027). Tenant Forever 21 (4.4% of
NRA) has a December 2022 lease expiration. Fitch requested a
leasing update for the property.
Per the TTM September 2022 tenant sales report, comparable in line
sales (less than 10k sf) were $507 psf compared to $328 psf as of
March 2021, $334 psf at YE 2020 and $422 at YE 2019. The property's
closest competitor is another Brookfield mall, Oxmoor Center, which
is located only a half mile from the property and is considered by
Fitch to have a superior tenant base.
The loan was previously in special servicing, was modified and
returned to the master servicer in July 2022. Modification terms
included a loan extension to June 2025, $7 million in equity from
the sponsor and a minimum repayment amount of $75 million. Fitch's
base case modeled loss of approximately 49% considers the minimum
repayment and reflects an implied cap rate of 18.5% on a total of
10% stress to YE 2021 NOI.
The next largest contributor to base case loss is the specially
serviced Crossroads Center loan (7.9% of the pool). The loan is
also sponsored by Brookfield Properties. The loan originally
transferred to special servicing in October 2020 for imminent
default related to the pandemic. The loan subsequently became 90+
days delinquent and remains delinquent. Per the recent servicer
commentary, negotiations are ongoing with the borrower with a
possible loan modification or foreclosure.
The loan is secured by a 766,213-sf portion of an 895,488-sf
regional mall located in the tertiary market of St. Cloud, MN. The
property was originally built in 1964 and has been renovated
periodically. The property is the largest shopping center in
Minnesota outside Minneapolis and St. Paul. The mall has long been
the main retail hub in the market, and there are no other enclosed
malls in the area. The closest regional mall is 45 miles southeast
of the subject.
The property is anchored by a non-collateral Target as well as
collateral JCPenney (21.9% of NRA, exp. January 2024), Scheels All
Sports (10.7% of NRA, exp. February 2024) and Macy's, which leases
its space under a ground lease and owns its own improvements. A
former Sears went dark in January 2018; its space has since been
divided into four separate tenant spaces, currently leased to Ulta,
DSW and HomeGoods. The rear of the Sears store was decommissioned
and remains dark.
As of the September 2022 rent roll, the property was approximately
87% leased. The property occupancy has been declining since 2016.
The servicer reported YE 2021 debt service coverage ratio (DSCR)
was 1.31x compared with pre-pandemic YE 2019 NOI DSCR of 1.99x.
Per the September 2022 sales report, comparable in-line sales were
reported at $419 psf, an increase compared with November 2021 of
$413 psf, YE 2020 sales of $310 psf, and the YE 2019 pre-pandemic
sales of $358 psf. JCPenney TTM sales were reported at $65 psf as
of September 2022, compared with $47 psf for TTM as of September
2021, $92 for YE 2020 and $98 psf for TTM September 2019. Macy's
TTM sales were at $79 psf as of September 2022 compared with $71
psf as of September 2021, $57 as of YE 2020 and $96 psf for TTM
September 2019. The TTM sales for Scheels All Sports as of
September 2022 was $976 psf compared with $899 psf at TTM September
2021, $717 for YE 2020 and $608 psf for TTM September 2019.
Fitch's base case modeled loss of 69% reflects a discount to recent
servicer reported valuations and an implied cap rate of
approximately 25% on YE 2021 NOI.
Additional FLOCs include the second specially serviced 643-647
Ninth Avenue loan (1.5% of pool) and the modified Holiday Inn-6th
Avenue loan (6.8% of the pool). The 643-647 Ninth Avenue loan
transferred to special servicing in May 2020. The initial borrower
was unable to refinance the loan at maturity in June 2020. The loan
is secured by two buildings located west of Times Square in NYC's
Clinton neighborhood. There are 24 apartment units and two retail
units contained within the buildings. As of May 2022, only the
corner retail space was vacant. Recent servicer commentary
indicated that cash flow is minimal and foreclosure is scheduled
for January 2023.
The former specially serviced Holiday Inn-6th Avenue loan returned
to the master servicer in August 2022 after the loan was modified
and assumed. The loan is secured by a 226-room full-service hotel
located in the Chelsea neighborhood of Manhattan. The 24-story
hotel was constructed in 2008 and last renovated in 2013. Hotel
amenities include a small gym and a wired business center. Per the
August 2022 STR report, the subject hotel had TTM occupancy, ADR
and RevPAR rates of 77.5%, $168 and $130, respectively; RevPAR was
up significantly yoy. The loan is scheduled to mature in June 2023;
however, the new borrower has extension options to 2025 and 2026
under certain conditions.
Alternative Loss Considerations: Due to the large concentration of
loan maturities in 2023, Fitch performed a sensitivity and
liquidation analysis, which grouped 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 considered a scenario where only the specially serviced loans
(Crossroads Center and 643-647 Ninth Avenue) and certain modified
loans (Mall St. Matthews and Holiday Inn-6th Avenue) remain in the
pool. Fitch also considered a scenario where only the two regional
mall loans remain. Fitch assumed 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 and Outlooks
reflect these scenarios.
Improved Credit Enhancement (CE) and Defeasance: As of the November
2022 distribution date, the pool's aggregate principal balance has
paid down by 17.8% to $1.1 billion from $1.33 billion at issuance.
There have been no realized losses to date. Approximately 87.6% of
the pool is scheduled to mature in 2023. There are 30 loans (31.2%
of the pool) that are fully defeased.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
The Negative Outlooks on class C and PEZ reflects the reliance on
regional mall loans that are expected to remain outstanding in
addition to other FLOCs to pay in full.
Downgrades would occur with an increase in pool-level losses from
underperforming or specially serviced loans. Downgrades to the
'AAAsf' and 'AA-sf' classes are not likely due to the increasing
CE, defeasance, expected paydown and overall stable performance,
but may occur should interest shortfalls affect these classes.
Downgrades to classes B, C and PEZ may occur should loans fail to
pay off at their respective loan maturities and/or pool loss
expectations increase. The distressed classes could be further
downgraded should losses be realized or become more certain.
Fitch has identified both a baseline and a worse-than-expected,
adverse stagflation scenario based on fallout from the
Russia-Ukraine war whereby growth is sharply lower amid higher
inflation and interest rates; even if the adverse scenario should
play out, Fitch expects virtually no impact on ratings performance,
indicating very few rating or Outlook changes. However, for some
transactions with concentrations in underperforming retail
exposure, the ratings impact may be mild to modest, indicating some
changes on sub-investment grade notes.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Upgrades to the 'AA-sf' and 'A-sf' classes could occur with
continued stable to improved asset performance coupled with further
pay down due to loan payoffs in 2023. An upgrade to the 'BBsf'
category classes and below is not expected but may be possible
should the regional mall loans and previously modified loans
liquidate with higher than expected recoveries. Classes would not
be upgraded above 'Asf' if there were 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.
LCM 40: Fitch Gives BB-sf Rating on Cl. E Notes, Outlook Stable
---------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to LCM 40
Ltd.
Entity/Debt Rating
----------- ------
LCM 40 Ltd.
A LT NRsf New Rating
B-1 LT AAsf New Rating
B-2 LT AAsf 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
LCM 40 Ltd. (the issuer) is an arbitrage cash flow collateralized
loan obligation (CLO) that will be managed by LCM EURO II LLC. Net
proceeds from the issuance of the secured and subordinated notes
will provide financing on a portfolio of approximately $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. The weighted average rating factor (WARF) of the indicative
portfolio is 23.5, versus a maximum covenant, in accordance with
the initial expected matrix point, of 25.5. Issuers 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. The weighted average
recovery rate (WARR) of the indicative portfolio is 76.41% versus a
minimum covenant, in accordance with the initial expected matrix
point of 76.40%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 39.0% of the portfolio balance in aggregate while
the top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity required by industry,
obligor and geographic concentrations is in line with other recent
U.S. CLOs.
Portfolio Management (Neutral): The transaction has a 5.1-year
reinvestment period and reinvestment criteria similar to other U.S.
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In its stress scenarios at the initial expected matrix
point, the rated notes can withstand default rates and recovery
assumptions consistent with other recent Fitch-rated CLO notes. The
performance of all classes of rated notes at the other permitted
matrix points is in line with other recent CLOs.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics. The results under these sensitivity scenarios are between
'BB+sf' and 'AA+sf' for class B-1, between 'BB+sf' and 'AA+sf' for
class 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. Results under these sensitivity scenarios are 'AAAsf' for
class B-1 notes, 'AAAsf' for class B-2 notes, between 'A+sf' and
'AA+sf' for class C notes, 'A+sf' for class D-1 notes, 'A+sf' for
class D-2 notes, and between 'BBB+sf' and 'A+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.
MIDOCEAN CREDIT V: Moody's Cuts Rating on $8MM Cl. F Notes to Caa3
------------------------------------------------------------------
Moody's Investors Service has upgraded the rating on the following
notes issued by MidOcean Credit CLO V:
US$31,000,000 Class C Deferrable Floating Rate Notes due 2028 (the
"Class C Notes"), Upgraded to Aa1 (sf); previously on March 1, 2022
Upgraded to Aa2 (sf)
Moody's has also downgraded the rating on the following notes:
US$8,000,000 Class F Deferrable Floating Rate Notes due 2028 (the
"Class F Notes") (current outstanding balance of $8,205,212.54),
Downgraded to Caa3 (sf); previously on August 21, 2020 Downgraded
to Caa2 (sf)
MidOcean Credit CLO V, originally issued in June 2016 and partially
refinanced in September 2018, is a managed cashflow CLO. The notes
are collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period ended in July 2020.
RATINGS RATIONALE
The upgrade rating action on the Class C notes is primarily a
result of deleveraging of the senior notes and an increase in the
transaction's over-collateralization (OC) ratios since March 2022.
The Class A-R notes have been paid down by approximately 40.1% or
$33.4 million since then. Based on Moody's calculation, the OC
ratios for the Class A/B and Class C notes are currently 196.50%
and 146.54%, respectively versus March 2022 levels of 173.83% and
139.14%, respectively.
The downgrade rating action on the Class F notes reflects the
specific risks to the junior notes posed by par loss observed in
the underlying CLO portfolio. Based on Moody's calculation, the OC
ratio for the Class F notes is currently 105% versus March 2022
level of 106.29%. Furthermore, the trustee-reported weighted
average spread (WAS) has deteriorated to the current level[1] of
3.19% compared to 3.46% in March 2022[2], and the Class F notes
interest payments were deferred on October 2022 payment date.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on its
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:
Performing par and principal proceeds balance: $177,818,819
Defaulted par: $4,378,736
Diversity Score: 40
Weighted Average Rating Factor (WARF): 3000
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.21%
Weighted Average Recovery Rate (WARR): 48.85%
Weighted Average Life (WAL): 2.6 years
In addition to base case analysis, Moody's considered additional
scenarios where outcomes could diverge from the base case. These
additional scenarios include, among others, near term defaults by
companies facing liquidity pressure, deterioration in credit
quality of the underlying portfolio, decrease in overall WAS and
lower recoveries on defaulted assets.
Methodology Used for the Rating Action
The principal methodology used in 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.
MOSAIC SOLAR 2022-3: Fitch Assigns 'BBsf' Rating on Class D Notes
-----------------------------------------------------------------
Fitch Ratings has converted expected ratings into final ratings on
the notes issued by Mosaic Solar Loan Trust 2022-3 (Mosaic
2022-3).
Entity/Debt Rating Prior
----------- ------ -----
Mosaic Solar Loan
Trust 2022-3
A LT AA-sf New Rating AA-(EXP)sf
B LT A-sf New Rating A-(EXP)sf
C LT BBBsf New Rating BBB(EXP)sf
D LT BBsf New Rating BB(EXP)sf
R LT NRsf New Rating NR(EXP)sf
TRANSACTION SUMMARY
Mosaic 2022-3 is a securitization of consumer loans backed by
residential solar equipment. The originator is Solar Mosaic, LLC,
one of the longest-established solar lenders in the U.S.; it has
advanced solar loans since 2014 and financed them through public
securitizations since 2017.
KEY RATING DRIVERS
LIMITED HISTORY DETERMINES 'AAsf' CAP
Residential solar loans in the U.S. have long terms, many of which
are now at 25 years (and a small portion at 30 years). For Mosaic,
more than seven years of performance data are available, which
compares favorably with the other solar ABS that Fitch currently
rates and the solar industry at large.
EXTRAPOLATED ASSET ASSUMPTIONS
Fitch considered both originator-wide data and previous Mosaic
transactions to set a lifetime default expectation of 8.3%. Fitch
has also assumed a 30% base case recovery rate. Fitch's Rating
Default Rates (RDRs) for 'AA-sf', 'A-sf', 'BBBsf', 'BBsf' are,
respectively, 33.5%, 24.9%, 20% and 13.7%. Fitch's Rating Recovery
Rates (RRRs) for 'AA-sf', 'A-sf', 'BBBsf', 'BBsf' are,
respectively, 19%, 21.8%, 23.3% and 25.5%.
TARGET OC AND AMORTIZATION TRIGGER
The class A and B notes will amortize based on target
overcollateralization (OC) percentages. The target OC is 100% of
the outstanding adjusted balance for the first 16 months, ensuring
that there is no leakage of funds initially, irrespective of the
collateral performance; then it falls to 10.5%. Should the asset
performance deteriorate and the escalating cumulative loss trigger
be breached, the payment waterfall will switch to turbo sequential,
deferring any interest payments for class C and D and thus
accelerating the senior note deleveraging. The repayment timings of
classes C and D are highly sensitive to the timing of a trigger
breach.
STANDARD, REPUTABLE COUNTERPARTIES; NO SWAP
The transaction accounts are with Wilmington Trust (A/Negative/F1),
and the servicer's collection account is with Wells Fargo Bank
(AA-/Stable/F1+). Commingling risk with regard to the latter is
mitigated by transfer of collections within two business days, the
high initial ACH share and Wells Fargo's ratings. A reserve fund
can be used, in certain cases, to cover defaults and provides the
notes with liquidity, although it would not be replenished, if
used, as long as the cumulative loss trigger is breached. As both
assets and liabilities pay a fixed coupon, there is no need for an
interest rate hedge and, thus, no exposure to swap counterparties.
ESTABLISHED SPECIALIZED LENDER
Mosaic is one of the first-movers among U.S. solar loan lenders,
with the longest track record among the originators of the solar
ABS that Fitch rates. Underwriting is mostly automated and in line
with that of other U.S. ABS originators.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Asset performance that indicates an implied annualized default rate
(ADR) above 1.2% and a simultaneous fall in prepayments activity
may put pressure on the rating or lead to a Negative Rating
Outlook.
Material changes in policy support, the economics of purchasing and
financing PV panels and batteries, and/or ground-breaking
technological advances that make the existing equipment obsolete
may also negatively affect the rating.
Below, Fitch shows model-implied rating sensitivities to changes in
default and/or recovery assumptions. As the notes have priced at
virtually identical levels than those modeled, the cash flow model
has not been re-run.
Increase of defaults (Class A / B / C / D):
+10%: 'AA-sf' / 'Asf' / 'A-sf'/ 'BBB-sf';
+25%: 'A+sf' / 'A-sf' / 'BBB+sf' / 'BBBsf';
+50%: 'Asf' / 'BBB+sf' / 'BBBsf' / 'BBB-sf'.
Decrease of recoveries (Class A / B / C / D):
-10%: 'AAsf' / 'A+sf' / 'Asf' / 'A-sf';
-25%: 'AAsf' / 'Asf' / 'Asf' / 'BBB+sf';
-50%: 'AA-sf' / 'Asf' / 'A-sf' / 'BBB+sf'.
Increase of defaults and decrease of recoveries (Class A / B / C /
D):
+10% / -10%: 'AA-sf' / 'Asf' / 'A-sf' / 'BBB+sf';
+25% / -25%: 'A+sf' / 'A-sf' / 'BBB+sf' / 'BBBsf';
+50% / -50%: 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB+sf'.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Fitch currently caps ratings in the 'AAsf' category due to limited
performance history, while the assigned rating of 'AA-sf' is
further constrained by the sensitivity of model results. As a
result, a positive rating action could result from an increase in
CE due to class A deleveraging, underpinned by good transaction
performance, for example, through high prepayments and ADR below
1.2%.
Below Fitch shows model-implied rating sensitivities, capped at
'AA+sf', to changes in default and/or recovery assumptions. As the
notes have priced at virtually identical levels than those modeled,
the cash flow model has not been re-run.
Decrease of defaults (Class A / B / C / D):
-10%: 'AA+sf' / 'A+f' / 'A+sf' / 'Asf';
-25%: 'AA+sf' / 'AAsf' / 'A+sf' / 'A+sf';
-50%: 'AA+sf' / 'AA+sf' / 'AA-sf' / 'AA-sf'.
Increase of recoveries (Class A / B / C / D):
+10%: 'AAsf' / 'A+sf' / 'Asf' / 'A-sf';
+25%: 'AA+sf' / 'A+sf' / 'A+sf' / 'A-sf';
+50%: 'AA+sf' / 'AA-sf' / 'A+sf' / 'Asf'.
Decrease of defaults and increase of recoveries (Class A / B / C /
D):
-10% / +10%: 'AA+sf' / 'AA-sf' / 'A+sf' / 'Asf';
-25% / +25%: 'AA+sf' / 'AAsf' / 'A+sf' / 'A+sf';
-50% / +50%: 'AA+sf' / 'AA+sf' / 'AA-sf' / 'AA-sf'.
CRITERIA VARIATION
This analysis includes a criteria variation due to model-implied
rating (MIR) variations in excess of the limit stated in the
consumer ABS criteria report for new ratings. According to the
criteria, the committee can decide to deviate from the MIRs, but,
if the MIR variation is greater than one notch, this will be a
criteria variation. The MIR variations for classes B to D are
greater than one notch.
Given the sensitivity of ratings to model assumptions and
conventions, repayment timing, and tranche thickness, the ultimate
ratings were constrained by sensitivity analysis.
DATA ADEQUACY
The historical information available for this originator did not
cover the asset tenor of up to 30 years, as originations began in
2014. Fitch applied a rating cap at the 'AAsf' category to address
this limitation.
The amortizing nature of the assets, the data available from
previous Mosaic transactions and the application of an ADR to the
static portfolio allowed us to determine lifetime default
assumptions. Taking into account this analytical approach, the
rating committee considered the available data sufficient to
support a rating in the 'AAsf' category.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
NEUBERGER BERMAN 52: Moody's Assigns (P)B3 Rating to Class F Notes
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to three
classes of notes to be issued by Neuberger Berman Loan Advisers
NBLA CLO 52, Ltd. (the "Issuer" or "NBLA CLO 52").
Moody's rating action is as follows:
US$285,700,000 Class A-1A Senior Secured Floating Rate Notes due
2035, Assigned (P)Aaa (sf)
US$15,000,000 Class A-1B Senior Secured Fixed Rate Notes due 2035,
Assigned (P)Aaa (sf)
US$600,000 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.
NBLA CLO 52 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90.0% of the portfolio must consist of
first-lien senior secured loans, cash and eligible investments, and
up to 10.0% of the portfolio may consist of second lien loans,
unsecured loans and bonds. Moody's expect the portfolio to be
approximately 97% ramped as of the closing date.
Neuberger Berman Loan Advisers II LLC (the "Manager") will direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.
In addition to the Rated Notes, the Issuer will issue five 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: $485,000,000
Diversity Score: 75
Weighted Average Rating Factor (WARF): 3045
Weighted Average Spread (WAS): SOFR+3.60%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 47.00%
Weighted Average Life (WAL): 7.10 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.
ROCKFORD TOWER 2022-3: S&P Assigns Prelim 'BB-' Rating on E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Rockford
Tower CLO 2022-3 Ltd./Rockford Tower CLO 2022-3 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 Rockford Tower Capital Management
LLC.
The preliminary ratings are based on information as of Dec. 19,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- 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
Rockford Tower CLO 2022-3 Ltd./Rockford Tower CLO 2022-3 LLC
Class A, $248.00 million: AAA (sf)
Class B-1, $41.00 million: AA (sf)
Class B-2, $15.00 million: AA (sf)
Class C (deferrable), $18.00 million: A (sf)
Class D (deferrable), $26.00 million: BBB- (sf)
Class E (deferrable), $12.00 million: BB- (sf)
Subordinated notes, $35.50 million: Not rated
STRATUS CLO 2021-3: Fitch Affirms 'BB+sf' Rating on Class F Notes
-----------------------------------------------------------------
Fitch Ratings has affirmed 12 tranches from two static U.S.
collateralized loan obligations (CLOs) managed by Blackstone Liquid
Credit Strategies LLC. (Blackstone). The Rating Outlooks for all
the rated classes remain Stable.
Entity/Debt Rating Prior
----------- ------ -----
Stratus CLO
2021-3, Ltd.
A 86315WAA6 LT AAAsf Affirmed AAAsf
B 86315WAC2 LT AA+sf Affirmed AA+sf
C 86315WAE8 LT A+sf Affirmed A+sf
D 86315WAG3 LT BBB+sf Affirmed BBB+sf
E 86315XAC0 LT BBB-sf Affirmed BBB-sf
F 86315XAE6 LT BB+sf Affirmed BB+sf
Stratus CLO 2021-2, Ltd.
A 86315TAA3 LT AAAsf Affirmed AAAsf
B 86315TAC9 LT AA+sf Affirmed AA+sf
C 86315TAE5 LT A+sf Affirmed A+sf
D 86315TAG0 LT BBB+sf Affirmed BBB+sf
E 86315VAA8 LT BBB-sf Affirmed BBB-sf
F 86315VAC4 LT BB+sf Affirmed BB+sf
TRANSACTION SUMMARY
Stratus CLO 2021-2, Ltd. (Stratus 2021-2) and Stratus CLO 2021-3
(Stratus 2021-3) are broadly syndicated CLOs managed by Blackstone.
Both static transactions closed in December 2021.
KEY RATING DRIVERS
Asset Credit Quality, Asset Security, and Portfolio Composition:
The rating actions were driven by the transactions' stable
performance since closing. Approximately 11.0% and 9.5% of the
class A notes in each transaction have amortized since closing. The
Fitch calculated weighted average rating factor were 24.7 for
Stratus 2021-2 and 24.1 for Stratus 2021-3, equivalent to the
'B'/'B-' and 'B' rating categories, respectively, compared to 24.6
and 24.2 at closing, respectively. The Fitch weighted-average
recovery rate of the current portfolios are 75.6% for Stratus
2021-2 and 75.9% for Stratus 2021-3 from 75.4% and 75.8%,
respectively.
The portfolios remain fairly diversified, with obligor counts of
236 for Stratus 2021-2 and 199 for Stratus 2021-3, and the weight
of top 10 obligors were 5.99% to 6.39%, respectively. Since
closing, the aggregate portfolio amounts for Stratus 2021-2 and
Stratus 2021-3 decreased by 7.5% and 6.6%, respectively, from the
original portfolio par amounts.
All coverage tests and portfolio limitations remain in compliance
for both transactions.
Cash Flow Analysis
The cash flow analysis was based on the current portfolios,
accounting for actual asset spreads, including interest rate
floors. The assigned ratings are in line with the model-implied
ratings (MIRs) as defined in the criteria.
The Stable Outlooks on all the rated notes reflect sufficient
levels of credit protection to withstand potential deterioration in
the credit quality of the portfolio in stress scenarios
commensurate with the classes' respective ratings.
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 unexpected
high level of default 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 impact for each of
the class A notes in Stratus 2021-2 and Stratus 2021-3, and a
three-notch downgrade for all other rated notes in both CLOs (based
on MIRs).
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 deal 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 an upgrade of one to three
notches for the rated notes of Stratus 2021-2 and Stratus 2021-3
(based on MIRs).
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.
TRIMARAN CAVU 2022-2: S&P Assigns BB- (sf) Rating on Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Trimaran CAVU 2022-2
Ltd./Trimaran CAVU 2022-2 LLC's floating- and fixed-rate notes.
The note issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Trimaran Advisors LLC.
The ratings reflect S&P's view of:
-- The collateral pool's diversification;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Trimaran CAVU 2022-2 Ltd./Trimaran CAVU 2022-2 LLC
Class A, $248 million: AAA (sf)
Class B-1, $47 million: AA (sf)
Class B-2, $5 million: AA (sf)
Class C (deferrable), $22 million: A (sf)
Class D (deferrable), $24 million: BBB- (sf)
Class E (deferrable), $11 million: BB- (sf)
Subordinated notes, $43 million: Not rated
UBS COMMERCIAL 2018-C9: Fitch Affirms B-sf Rating on Cl. E-RR Certs
-------------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of UBS Commercial Mortgage
Trust (UBSCM) 2018-C9 Commercial Mortgage Pass-Through
Certificates.
Entity/Debt Rating Prior
----------- ------ -----
UBS 2018-C9
A2 90291JAT4 LT AAAsf Affirmed AAAsf
A3 90291JAV9 LT AAAsf Affirmed AAAsf
A4 90291JAW7 LT AAAsf Affirmed AAAsf
AS 90291JAZ0 LT AAAsf Affirmed AAAsf
ASB 90291JAU1 LT AAAsf Affirmed AAAsf
B 90291JBA4 LT AA-sf Affirmed AA-sf
C 90291JBB2 LT A-sf Affirmed A-sf
D 90291JAC1 LT BBB-sf Affirmed BBB-sf
D-RR 90291JAE7 LT BBB-sf Affirmed BBB-sf
E-RR 90291JAG2 LT B-sf Affirmed B-sf
F-RR 90291JAJ6 LT CCCsf Affirmed CCCsf
XA 90291JAX5 LT AAAsf Affirmed AAAsf
XB 90291JAY3 LT AA-sf Affirmed AA-sf
KEY RATING DRIVERS
Stable Loss Expectations; Office Performance Declines: Fitch's loss
expectations for the overall pool are relatively in line with
Fitch's prior rating action. Fitch's current ratings reflect a base
case loss of 6.60%. Fitch has identified 14 loans (40.66% of the
pool) as Fitch Loans of Concern (FLOCs), including four loans
(13.2%) in special servicing.
While loss expectations have improved for specially serviced and
non-specially serviced hotel loans, loss expectations have
increased for loans secured by office and mixed-use properties,
namely the Aspen Lake Portfolio (8.2% of the pool) and City Square
and Clay Street (5.7%), due to performance declines including lower
occupancy. The Negative Rating Outlooks on classes D-RR and E-RR
reflect the potential for downgrades should performance of these
loans continue to deteriorate and/or transfer to special
servicing.
Largest Increase in Losses: The largest increase in losses since
Fitch's prior rating action is the Aspen Lake Portfolio (FLOC; 8.2%
of the pool), the largest loan in the pool, which is secured by
three adjacent office properties totaling 381,588-sf located in
northwest Austin, TX. The portfolio has experienced occupancy
declines since issuance, including Q2 Software (previously 17% of
the NRA) which vacated at their April 2021 lease expiration. A
cashflow sweep has been in place since April 2020 as result of the
Q2 vacancy. Occupancy had fallen to a low of 59% by June 2022,
compared to pre-pandemic occupancy of 94% at YE 2019.
The property has seen recent leasing momentum with 20% of the NRA
leased to 12 different tenants in the second half of 2022,
increasing occupancy to 79% as of September 2022.
The loan has remained current with NOI DSCR at 1.68x as of YE 2021.
Fitch's base case loss of 5.7% reflects a 10% stress to the YE 2021
NOI to account for the occupancy declines.
The second largest increase in losses since Fitch's last rating
action, and largest contributor to losses is the City Square and
Clay Street (FLOC; 7.6% of the pool), which is secured by a
246,136-sf mixed-use property consisting of 151,304 sf of office
space, 94,832 sf of retail space and a 1,154-stall parking garage
in Oakland, CA.
The collateral has experienced occupancy declines, falling to 77%
as of June 2022 from 78% at YE 2021 and 84.6% as of YE 2020. With
the increased vacancies, the TTM June 2022 NOI DSCR has decline to
1.26x from 1.44x at YE 2021 and 1.57x at YE 2020. Upcoming rollover
includes 15% of the NRA in 2022 and 5.2% in 2023.
Fitch's base case loss of 29% reflects a 10% cap rate and a 10%
stress to the YE 2021 NOI, and accounts for the occupancy declines
and near-term rollover risks.
Specially Serviced Loans: The largest loan in special servicing,
and largest decrease in loss expectations since Fitch's prior
rating action is the Midwest Hotel Portfolio loan (5.9% of the
pool), secured by a portfolio of eight limited service hotels
located in secondary and tertiary markets of Montana, Illinois, and
Indiana. The loan transferred to special servicing in October 2020
for imminent payment default as a result of the pandemic.
Occupancy remains low at 48% as of June 2022, down from 73.9% as of
YE 2021. Cash flow remains low, with NOI DSCR at 0.97x as of YTD
June 2022 compared to 1.05x at YE 2021 and 0.67x at YE 2020.
According to the most recent servicer commentary, the borrower is
complying with financial reporting and other due diligence
requests. A reinstatement agreement has been executed and the loan
is being brought current.
Fitch's loss expectation of 7% reflects a value of $66,383/key
based off a stress to the May 2022 servicer provided appraised
value, which has increased from the prior reported servicer
valuations.
The third largest specially serviced loan, and second largest
contributor to losses is the IMG Building loan (2.0%), which is
secured by a 232,908-sf office property located downtown Cleveland,
OH. The loan transferred to special servicing in March 2019 after
cash management was not established and a receiver was assigned in
November 2019. Per the master servicer's watchlist commentary, the
lender is awaiting court approval for summary judgement of
foreclosure.
It was noted at the prior review that MAI Wealth Advisors and RE
Capital (combined 20.1% of the NRA), would be vacating their spaces
in July 2022 and December 2022, respectively. With the expected
rollover, occupancy is expected to drop to about 54%. Other large
tenants include IMG Worldwide (14.3%) who had a lease expiration in
November 2022. The collateral reported negative NOI for the YTD
June 2022 reporting period.
Fitch's loss expectations of 78% includes a 10% stress to the March
2022 appraised value to account for the occupancy declines and
tenant rollover.
Increasing Credit Enhancement and Defeasance: Credit Enhancement
(CE) has improved since Fitch's prior rating action, with pool
paydown accelerated by the prepayment of the $25.0 million
DreamWorks Campus loan (3.0% of the original pool). In addition,
four loans are fully defeased (10.9% of the current pool balance),
of which two loans (4.8%) defeased over the past 12 months.
As of the November 2022 distribution date, the pool's aggregate
balance has been paid down by 5.7% to $792.3 million from $839.9
million. There are 14 loans (48% of the pool) that are
interest-only (IO); 12 loans (23.1%) that are currently amortizing;
and 15 loans (28.9%) that are partial IO. Interest shortfalls of
$1.94 million are currently impacting the non-rated NR-RR class.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Downgrades to classes A-1, A-2, A-3, A-4, A-SB, A-S, B, X-A and X-B
are not likely due to their position in the capital structure, but
may occur should interest shortfalls affect these classes.
Downgrades to classes C and D are possible should expected losses
for the pool increase significantly, and/or performing loans begin
to experience performance declines.
Downgrades to class D-RR and E-RR would occur should loss
expectations increase from continued performance decline of the
FLOCs, primarily the office/mixed-use FLOCs, additional loans
default or transfer to special servicing and/or higher losses are
incurred on the specially serviced loans than expected. A further
downgrade to class F-RR would occur with increased certainty of
losses or as losses are realized.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Upgrades to classes B, C and X-B would only occur with significant
improvement in CE, defeasance, and/or performance stabilization of
FLOCs. Classes would not be upgraded above 'Asf' if there were
likelihood of interest shortfalls.
Upgrades to classes D and D-RR may occur as the number of FLOCs are
reduced, and/or loss expectations for specially-serviced loans
improve.
Upgrades to classes E-RR and F-RR are not likely until the later
years of the transaction and only if the performance of the
remaining pool stabilizes 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.
WELLS FARGO 2011-C5: Fitch Affirms Bsf Rating on Class G Debt
-------------------------------------------------------------
Fitch Ratings has affirmed three classes of Wells Fargo Bank, N.A.
Commercial Mortgage Trust commercial mortgage pass-through
certificates series 2011-C5 (WFRBS 2011-C5). In addition, the
Rating Outlooks were revised for class E to Positive from Stable
and for classes F and G to Stable from Negative.
Entity/Debt Rating Prior
----------- ------ -----
WFRBS 2011-C5
E 92936JAN4 LT BBB-sf Affirmed BBB-sf
F 92936JAQ7 LT BBsf Affirmed BBsf
G 92936JAS3 LT Bsf Affirmed Bsf
KEY RATING DRIVERS
Pool Concentration; Adverse Selection: Four specially serviced
loans remain, with the largest representing 74% of the pool. All of
these loans had matured in 2021 without repayment. Due to the
concentrated nature of the pool, Fitch performed a sensitivity
analysis that grouped the remaining loans based on the likelihood
of repayment and recovery prospects.
Improved Loss Expectations: The Outlook revisions for class E to
Positive from Stable and for classes F and G to Stable from
Negative reflect lower loss expectations for the pool since the
last rating action as a result of improved property performance,
cash flows and/or valuations.
While credit enhancement (CE) has improved since the prior rating
action and recovery expectations are high, the Positive Outlook on
class E addresses possible upgrade with further improvement of
performance and greater clarity on refinancing for the largest
loan.
The largest loan, Arbor Walk and Palms Crossing (74% of pool), is
secured by two retail centers, Arbor Walk and Palms Crossing,
located in Austin, TX and McAllen, TX, respectively. The loan
transferred to the special servicer again for a second time in July
2022 for imminent monetary default. The borrower did not repay the
loan at its extended August 2022 maturity date, as it was unable to
refinance the loan due to the impact of the pandemic.
The borrower requested a second maturity extension, which was
granted in December 2022. The loan was extended for an additional
year to Aug. 1, 2023. Hard cash management and excess cash flow
sweep remain in place. The borrower may request an additional
12-month extension, providing no event of default has occurred and
an additional fee equal to 1% of the loan's unpaid principal
balance is paid to the lender.
The loan was first transferred to special servicing in April 2021
due to imminent monetary default, ahead of its initial August 2021
scheduled maturity. The borrower had previously been granted a
maturity extension and forbearance agreement in July 2021, allowing
for a one-year maturity extension through August 2022 and
forbearance from exercising remedies with respect to the
guarantor's (Washington Prime Group, L.P.) bankruptcy filing. The
loan returned to the master servicer in April 2022 as corrected.
Total occupancy of the combined properties improved to 85.6% as of
June 2022, from 79.6% as of June 2021, 80.8% as of December 2020
and 91.3% as of September 2020. Occupancy at Palms Crossing
significantly improved to 71% as of June 2022 from 55% as of June
2021 and 65% as of December 2020. Two new leases with Big Lots
(35,000 sf; lease expiry in January 2032) and Nike Clearance Store
(18,000 sf; October 2026) commenced during 4Q2021.
Other major tenants at Palms Crossing include Hobby Lobby (536,250
sf; lease expiry in June 2026), Barnes & Noble (475,200 sf;
February 2023) and DSW (273,192 sf; January 2023). Gordman's
(15,038 sf) was reported as leased but unoccupied as of the June
2022 rent roll and the store has permanently closed per a web
search. Fitch has an outstanding inquiry to the servicer for an
update on this space and regarding the tenant's remaining rent
obligations through its January 2023 scheduled lease expiration.
The property also has a 50,617-sf space previously occupied by
Sports Authority that has remained vacant since the tenant left in
November 2017.
Arbor Walk was 96% occupied as of June 2022, compared with 97.2% as
of June 2021, 96.4% as of December 2020 and 97.9% as of September
2020. The largest tenants at Arbor Walk include Home Depot (lease
expiry in January 2037), Marshalls (October 2026), Jo-Ann Fabrics
(extended to January 2028 from January 2023), PGA Tour Superstore
(January 2030), Spec's Wines (April 2027) and DSW (January 2027).
The most recent appraisal indicates a value in excess of the
outstanding debt. Fitch's loss expectation reflects a stressed
value of $84 psf.
Performance of the Marriott Courtyard Monroeville loan (8.4%),
secured by a 98-key limited service hotel in Monroeville, PA, has
improved from the pandemic trough with occupancy, ADR and RevPAR
stabilizing to near pre-pandemic levels; however, NOI DSCR remains
under 1.0x. The property is currently under contract for sale.
Fitch's loss expectation reflects a stressed value of $68,878 per
key.
The other two specially serviced loans include SpringHill Suites
Wheeling (8.6%), secured by a 115-key select service hotel located
in Wheeling, WV, and Poughkeepsie Galleria II (7.8%), secured by an
81,999-sf neighborhood retail center located in Poughkeepsie, NY
that is anchored by Best Buy, Old Navy and H&M. Performance of the
SpringHill Suites Wheeling loan has declined further, with YE 2021
NOI falling an additional 17% from 2020. Fitch's loss expectation
reflects a stressed value of $76,867 per key.
Increased CE: As of the November 2022 distribution date, the pool's
aggregate principal balance has been reduced by 91.9% to $989
million from $1.1 billion at issuance. The pool has experienced
$2.1 million (0.2% of original pool balance) in realized losses to
date. Cumulative interest shortfalls totaling $1 million are
currently affecting the non-rated class H.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Downgrades would occur should performance of the remaining loan
deteriorate significantly, with a greater certainty of loss and/or
realized losses exceed Fitch's expectations.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
An upgrade to class E may occur with further improvement of
performance and greater clarity on refinancing for the largest
loan. Upgrades to classes F and G are unlikely but may occur if
ultimate recoveries on the specially serviced hotel and retail
loans are better than expected.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
[*] Moody's Takes Action on $90.7MM of US RMBS Issued 2006-2007
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of six tranches
and downgraded the ratings of three tranches from five US
residential mortgage-backed transaction (RMBS), backed by subprime,
Alt-A and prime jumbo mortgages issued by multiple issuers.
A list of the Affected Ratings is available at
https://bit.ly/3hFFMgM
Complete rating actions are as follows:
Issuer: Bear Stearns ARM Trust 2006-1
Cl. A-1, Downgraded to B2 (sf); previously on Jul 29, 2013 Upgraded
to B1 (sf)
Cl. A-2, Downgraded to B1 (sf); previously on Apr 8, 2020
Downgraded to Ba3 (sf)
Cl. A-3, Downgraded to B2 (sf); previously on Jul 9, 2018 Upgraded
to B1 (sf)
Issuer: Nationstar Home Equity Loan Trust 2007-A
Cl. M-3, Upgraded to Caa2 (sf); previously on Jun 6, 2019 Upgraded
to Ca (sf)
Issuer: Nomura Home Equity Loan Trust 2006-WF1
Cl. M-2, Upgraded to Aaa (sf); previously on Sep 13, 2021 Upgraded
to Aa2 (sf)
Cl. M-3, Upgraded to Baa2 (sf); previously on Sep 13, 2021 Upgraded
to Ba1 (sf)
Issuer: Ownit Mortgage Loan Trust 2006-3
Cl. A-2D, Upgraded to A2 (sf); previously on Jan 3, 2020 Upgraded
to Baa1 (sf)
Issuer: PHH Alternative Mortgage Trust, Series 2007-3
Cl. A-3, Upgraded to Ba1 (sf); previously on Jan 13, 2020 Upgraded
to Ba3 (sf)
Cl. A-4, Upgraded to B2 (sf); previously on Jan 13, 2020 Upgraded
to Caa1 (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 performance and the assessment of the level of
credit enhancement available to the bonds relative to the updated
loss expectations.
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 Lowers Ratings on Five Classes From Five U.S. RMBS Deals
----------------------------------------------------------------
S&P Global Ratings lowered its ratings on five classes of mortgage
pass-through certificates from five U.S. RMBS transactions issued
between 2004 and 2007 to 'D (sf)'. These transactions are backed by
alternative-A, negative amortization, prime jumbo, or subprime
collateral.
A list of Affected Rating can be viewed at:
https://bit.ly/3Wg59ow
The downgrades reflect S&P's assessment of the principal
write-downs' impact on the affected classes during recent
remittance periods. The classes with ratings lowered to 'D (sf)'
were rated either 'CCC (sf)' or 'CC (sf)' prior to the rating
actions.
All of the transactions in this review receive credit enhancement
from a combination of subordination, excess spread, and
overcollateralization (where applicable).
S&P will continue to monitor its ratings on securities that
experience principal write-downs, and S&P will further adjust its
ratings as it considers appropriate according to its criteria.
[*] S&P Takes Various Actions on 10 Classes from Seven US RMBS Deal
-------------------------------------------------------------------
S&P Global Ratings completed its review of 10 classes from seven
U.S. RMBS transactions backed by reverse mortgages, including two
re-securitized reverse mortgage real estate mortgage investment
conduit (re-REMIC) transactions, issued between 2007 and 2010. All
of these transactions are backed by either home equity conversion
mortgages (HECM) or jumbo reverse mortgage loan collateral. The
review yielded four upgrades and six affirmations.
A list of Affected Ratings can be viewed at:
https://bit.ly/3G0lmZq
Analytical Considerations
S&P said, "We incorporate various considerations into our decisions
to raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by our projected cash flows. These considerations
are based on transaction-specific performance and/or structural
characteristics, and their potential effects on certain classes. We
performed credit analysis using liquidation timelines, broker
commission and rating-level foreclosure cost assumptions, combined
tax and insurance rates, and market value decline assumptions to
include an assessment of the level of overvaluation or
undervaluation in the prevailing property market. We also used
updated constant prepayment rate (CPR) assumptions.
"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."
CPR Assumptions
S&P said, "Our analysis contemplated both fast and slow CPR
assumptions and further segmented those assumptions by the
borrower's gender and age. According to our reverse mortgage
criteria, if the observed CPRs are considerably different from
those in the criteria, we may use updated CPR vectors.
"During this review, we updated our slow CPR assumptions due to
observed CPR data for the pool's weighted average borrower age. Our
'AAA' slow CPR assumptions reflect the most recent published
mortality tables. However, we believe that our fast CPR assumptions
remain accurate, and we used those as stated in our reverse
mortgage surveillance criteria."
Mortgage Equity Conversion Asset Trust 2007-FF2 and Mortgage Equity
Conversion Asset Trust 2010-1 are backed by HECM reverse mortgage
loan collateral. S&P said, "For these transactions, we updated our
base-case assumption to a level that equates to the 'BB' slow CPR
assumptions for male and to a level that equates to the 'B' slow
CPR assumptions for female, as published in Appendix Table 4: HECM
Reverse Mortgage Annual CPR Assumptions (%) of our reverse mortgage
criteria. We then linearly interpolated the CPRs for the 'BB'
through 'AA' rating categories."
Reverse Mortgage Loan Trust's series REV 2007-2 and Riverview HECM
Trust 2007-1 are also backed by HECM reverse mortgage loan
collateral. S&P said, "For this transaction, we updated our
base-case assumption to a level that equates to the 'B' slow CPR
assumptions for male and to a level that equates to the 'B' slow
CPR assumptions for female, as published in Appendix Table 4 of our
reverse mortgage criteria. We then linearly interpolated the CPRs
for the 'BB' through 'AA' rating categories.
S&P said, "Lastly, for Structured Asset Securities Corp.'s series
2007-RM1, which is backed by jumbo reverse mortgage loan
collateral, we updated our base-case assumption to a level that
equates to the 'BB' slow CPR assumptions for male and to a level
that equates to the 'B' slow CPR assumptions for female, as
published in Appendix Table 3 of our reverse mortgage criteria. We
then linearly interpolated the CPRs for the 'BB' through 'AA'
rating categories."
[*] S&P Takes Various Actions on 145 Classes From 26 US RMBS Deals
------------------------------------------------------------------
S&P Global Ratings completed its review of 145 ratings from 26 U.S.
RMBS transactions issued between 2000 and 2007. The review yielded
52 affirmations and 93 withdrawals.
A list of Affected Ratings can be viewed at:
https://bit.ly/3BI1vM9
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance and/or structural
characteristics and their potential effects on certain classes.
Some of these considerations may include:
-- Collateral performance or delinquency trends;
-- Increase or decrease in available credit support;
-- Small loan count;
-- Tail risk; and
-- Payment priority.
Rating Actions
S&P said, "The rating affirmations reflect our view that our
projected credit support, collateral performance, and
credit-related reductions in interest on these classes have
remained relatively consistent with our prior projections.
"We withdrew our ratings on 88 classes from 21 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. In addition, we applied our interest-only criteria,
"Global Methodology For Rating Interest-Only Securities" published
April 15, 2010, and our principal-only criteria, "Methodology For
Surveilling U.S. RMBS Principal-Only Strip Securities For Pre-2009
Originations" published Oct. 11, 2016, which resulted in
withdrawing five ratings from five transactions."
[*] S&P Takes Various Actions on 78 Classes From 29 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 78 classes from 29 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2001 and 2007. All of these transactions are backed by
subprime collateral. The review yielded 28 upgrades, 11 downgrades,
38 affirmations, and one withdrawal.
A list of Affected Ratings can be viewed at:
https://bit.ly/3G0YwB0
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance and/or structural
characteristics and their potential effects on certain classes.
Some of these considerations may include:
-- Collateral performance or delinquency trends;
-- Erosion of or increases in credit support;
-- An expected short duration;
-- Payment priority;
-- Small loan count; and
-- Historical and/or outstanding missed interest payments.
Rating Actions
S&P said, "The rating changes reflect our opinion regarding the
associated transaction-specific collateral performance and/or
structural characteristics, as well as the application of specific
criteria applicable to these classes. 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.
"The upgrades are primarily due to increased credit support. The
majority of these transactions have failed their cumulative loss
triggers which provide 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.
"Our upgrade on class A-1 from First Franklin Mortgage Loan Trust's
series 2006-FF18 to 'BB (sf)' from 'CC (sf)' reflects the class'
ability to withstand a higher level of projected losses than
previously anticipated due to increased credit support. The credit
support for class A-1 increased from -8.89% in July 2019 to 21.62%
in August 2019 due to settlement payments received by the
transaction in August 2019 related to the alleged breach of certain
representations and warranties in the governing agreements. We
believe the current credit support of 40.85% as of November 2022
will be sufficient to withstand higher level of projected losses
commensurate with the rating level.
"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."
[*] S&P Takes Various Actions on 86 Classes From 25 U.S. RMBS Deals
-------------------------------------------------------------------
S&P Global Ratings completed a review of its ratings on 86 classes
from 25 U.S. RMBS transactions issued between 2002 and 2007. The
review yielded 18 upgrades, 22 downgrades, and 46 affirmations.
A list of Affected Ratings can be viewed at:
https://bit.ly/3WIqqHc
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.
These considerations may include:
-- Collateral performance or delinquency trends,
-- Available subordination and/or overcollateralization,
-- Erosion of or increases in credit support,
-- Historical and/or outstanding missed interest payments or
interest shortfalls,
-- Assessment of reduced interest payments due to loan
modifications and other credit-related events, and
-- Small loan count.
Rating Actions
The rating actions reflect S&P's view regarding the associated
transaction-specific collateral performance and/or structural
characteristics, as well as the application of specific criteria
applicable to these classes.
The upgrades primarily reflect the classes increased credit
support. Most of these transactions have failed their cumulative
loss triggers, which resulted in a permanent sequential principal
payment mechanism. This prevents credit support from eroding and
limits the affected classes' exposure to losses. As a result, the
upgrades reflect the classes' ability to withstand a higher level
of projected losses than S&P'd previously anticipated. In addition,
most of these classes are receiving all of the principal payments
or are next in the payment priority when the more senior class pays
down.
The downgrades are mostly due to the payment allocation triggers
passing, which allows principal payments to be made to more
subordinate classes and thus eroding the projected credit support
for the downgraded classes.
The downgrade of the class AF-2 certificates from Ownit Mortgage
Loan Asset-Backed Certificates Series 2006-1 reflects the impact of
interest payment reductions to security holders that have been
realized (the realized cumulative interest reduction amount [CIRA])
due to loan modifications and other credit-related events. S&P
said, "To determine the maximum potential rating (MPR) for this
class, we consider the interest amount the security has received to
date versus how much it would have received absent these
credit-related events, as well as the interest reduction amounts we
expect over the security's remaining term (the expected CIRA).
However, when the realized CIRA exceeds 4.5% of the original
security balance, we consider the MPR to be 'D' (default)
irrespective of the expected CIRA. The class AF-2 certificates have
a realized CIRA that exceeds 4.5%, which corresponds to an MPR of
'D'."
The affirmations reflect S&P's view that its projected credit
support, collateral performance, and credit-related reductions in
interest on the affected classes have remained relatively
consistent with our prior projections.
[*] S&P Takes Various Actions on 96 Classes From 32 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 96 classes from 32 U.S.
RMBS transactions issued between 2003 and 2007. The review yielded
13 upgrades, two downgrades, 78 affirmations, one withdrawal, and
two discontinuances.
A list of Affected Ratings can be viewed at:
https://bit.ly/3hw4Bfb
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance and/or structural
characteristics and their potential effects on certain classes.
Some of these considerations may include:
-- Collateral performance or delinquency trends,
-- Available subordination and/or overcollateralization,
-- Erosion of or increases in credit support,
-- Historical and/or outstanding missed interest payments or
interest shortfalls,
-- Reduced interest payments due to loan modifications, and
-- Small loan count.
Rating Actions
S&P said, "The rating changes reflect our view 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 view that our projected credit
support, collateral performance, and credit-related interest
reductions on these classes have remained relatively consistent
with our prior projections.
"We withdrew our rating on the class A certificates from Terwin
Mortgage Trust Series TMTS 2004-11HE due to the small number of
loans remaining within the related group or structure. Once a pool
has declined to a de minimis amount, we believe there is a high
degree of credit instability that is incompatible with any rating
level."
*********
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