/raid1/www/Hosts/bankrupt/TCR_Public/230521.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, May 21, 2023, Vol. 27, No. 140
Headlines
37 CAPITAL 3: Fitch Gives 'BB+' Rating on E Notes, Outlook Stable
37 CAPITAL 3: Moody's Assigns B3 Rating to $1MM Class F Notes
A&D MORTGAGE 2023-NQM2: DBRS Gives Prov. B(low) Rating on B2 Certs
AGL CLO 24: Fitch Gives BB-sf Rating on Cl. E Notes, Outlook Stable
ALLEGRO CLO II-S: Moody's Lowers Rating on $5.5MM E Notes to Caa3
ALLEGRO CLO VII: Moody's Cuts Rating on $20.4MM Cl. E Notes to B1
APIDOS CLO XLV: Fitch Assigns 'BB(EXP)' Rating on Class E Notes
ARES LXVIII: Fitch Assigns BB-sf Rating on E Notes, Outlook Stable
ARES LXVIII: S&P Assigns B- (sf) Rating on $0.50MM Class F Notes
BALLYROCK CLO 24: S&P Assigns Prelim BB-(sf) Rating on Cl. D Notes
BAMLL 2015-200P: S&P Affirms 'BB- (sf)' Rating on Class F Certs
BBCMS 2021-AGW: DBRS Confirms B(low) Rating on Class G Certs
BLACKROCK MT. HOOD X: S&P Assigns Prelim BB-(sf) Rating on E Notes
BX TRUST 2021-VIEW: DBRS Confirms B(high) Rating on Class G Certs
BXMT 2020-FL2: DBRS Confirms B(low) Rating on Class G Notes
CARVANA AUTO 2023-N1: DBRS Gives Prov. BB(high) Rating on E Notes
CARVANA AUTO 2023-P2: S&P Assigns Prelim BB+(sf) Rating on N Notes
CFMT 2023-HB12: DBRS Finalizes B Rating on Class M6 Notes
CHASE HOME 2023-RPL1: DBRS Gives Prov. BB Rating on Class B2 Certs
CIM TRUST 2023-R4: DBRS Gives Prov. B Rating on Class B3 Notes
CITIGROUP 2023-SMRT: Moody's Affirms (P)Ba2 Rating on Cl. E Certs
CITIGROUP 2023-SMRT: Moody's Assigns (P)Ba2 Rating to E Certs
COMM 2014-CCRE18: DBRS Confirms CCC Rating on Class F Certs
COMM 2014-CCRE20: DBRS Cut Rating on 2 Classes of Certs to D
COMM 2019-521F: DBRS Confirms B Rating on Class F Certs
CORNHUSKER FUNDING 1C: DBRS Confirms BB Rating on Class B Notes
CPS AUTO 2022-A: S&P Affirms BB- (sf) Rating on Class E Notes
CPS AUTO 2023-B: DBRS Gives Prov. BB Rating on Class E Notes
CSAIL 2017-C8: DBRS Confirms B(low) Rating on Class F Certs
DT AUTO 2023-2: DBRS Finalizes BB Rating on Class E Notes
EXETER AUTOMOBILE 2023-2: S&P Assigns BB(sf) Rating on Cl. E Notes
FLAGSHIP CREDIT 2023-2: DBRS Gives Prov. BB Rating on E Notes
FREDDIE MAC 2023-HQA1: Moody's Gives (P)Ba3 Rating to 16 Tranches
GLS AUTO 2023-2: S&P Assigns BB- (sf) Rating on Class E Notes
GS MORTGAGE 2023-RPL1: DBRS Gives B Rating on Class B-3 Notes
HOTWIRE FUNDING 2023-1: Fitch to Rate Class C Notes 'BBsf'
JP MORGAN 2019-ICON: DBRS Confirms B(low) Rating on Class G Certs
JP MORGAN 2023-3: DBRS Finalizes B(low) Rating on Class B-5 Certs
JPMBB COMMERCIAL 2015-C28: DBRS Confirms CCC Rating on F Certs
LOANCORE 2019-CRE2: DBRS Confirms BB Rating on Class G Notes
LOANCORE 2019-CRE3: DBRS Confirms BB(high) Rating on Class F Notes
LOBEL AUTOMOBILE 2023-1: DBRS Gives Prov. BB Rating on D Notes
MADISON PARK LXIII: Fitch Assigns Final BB Rating on Cl. E Notes
MADISON PARK LXIII: Moody's Assigns B3 Rating to $250,000 F Notes
MFA 2023-NQM2: S&P Assigns B+(sf) Rating on Class B-2 Certificates
MOFT TRUST 2020-ABC: DBRS Confirms B(low) Rating on Class D Certs
MORGAN STANLEY 2014-C18: DBRS Confirms CCC Rating on Class F Certs
MORGAN STANLEY 2016-C28: DBRS Confirms C Rating on 4 Classes
MORGAN STANLEY 2018-BOP: DBRS Cut Rating on Class F Certs to B
MSWF COMMERCIAL 2023-1: Fitch Gives B-(EXP) Rating on G-RR Certs
NEW RESIDENTIAL 2023-1: Fitch Assigns 'Bsf' Rating on Two Tranches
ONDECK ASSET III: DBRS Confirms BB Rating on Class D Notes
OPORTUN FUNDING 2022-1: DBRS Cut Rating on C Notes to BB(low)
PALMER SQUARE 2023-2: S&P Assigns Prelim 'BB-' Rating on E Notes
PMT LOAN 2021-INV1: Moody's Upgrades Rating on Cl. B-5 Bonds to B1
PRESTIGE AUTO 2023-1: DBRS Gives Prov. BB Rating on Class E Notes
PRESTIGE AUTO 2023-1: S&P Assigns BB- (sf) Rating on Class E Notes
PRIMA CAPITAL 2019-RK1: DBRS Confirms BB(high) Rating on C-G Certs
SILVER POINT 2: Fitch Gives BBsf Rating on E Notes, Outlook Stable
SILVER POINT 2: Moody's Assigns B3 Rating to $250,000 Cl. F Notes
SLG OFFICE 2021-OVA: DBRS Confirms B Rating on Class G Certs
SOUND POINT XIV: Moody's Ups Rating on $35MM Class E Notes to Ba2
TAUBMAN CENTERS 2022-DPM: DBRS Confirms BB(high) on HRR Certs
TRINITAS CLO XXII: S&P Assigns BB- (sf) Rating on Class E Notes
VIBRANT CLO XVI: Fitch Assigns 'BB-sf' Final Rating on Cl. D Notes
WFRBS COMMERCIAL 2014-C21: DBRS Confirms B Rating on X-C Certs
WFRBS COMMERCIAL 2014-LC14: DBRS Confirms B Rating on F Certs
WIND RIVER 2014-2: Moody's Cuts Rating on $27.9MM E-R Notes to B1
[*] DBRS Reviews 61 Classes From 21 U.S. RMBS Transactions
[*] Moody's Upgrades $115MM of US RMBS Issued 2005-2006
[*] Moody's Upgrades $85.80MM of US RMBS Issued 2004-2007
[*] S&P Takes Actions on 23 Classes From 9 Aircraft ABS Deals
*********
37 CAPITAL 3: Fitch Gives 'BB+' Rating on E Notes, Outlook Stable
-----------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to 37
Capital CLO 3, Ltd.
Entity/Debt Rating
----------- ------
37 Capital CLO 3,
Ltd.
A-1 LT NRsf New Rating
A-1L LT NRsf New Rating
A-2 LT NRsf New Rating
B LT AA+sf New Rating
C LT Asf New Rating
D LT BBB-sf New Rating
E LT BB+sf New Rating
F LT NRsf New Rating
Subordinated Notes LT NRsf New Rating
TRANSACTION SUMMARY
37 Capital CLO 3, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by Putnam
Advisory Company, LLC. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of about $350.0 million of primarily first-lien senior
secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B+'/'B', which is in line with that of
recent CLOs. Issuers rated in the 'B' rating category denote a
highly speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard U.S. CLO structural
features.
Asset Security (Positive): The indicative portfolio consists of
100.0% first-lien senior secured loans and has a weighted average
recovery assumption of 78.08%. Fitch stressed the indicative
portfolio by assuming a higher portfolio concentration of assets
with lower recovery prospects and further reduced recovery
assumptions for higher rating stresses.
Portfolio Composition (Positive): The largest three industries may
constitute up to 39.0% of the portfolio balance in aggregate, while
the top-five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity required by industry,
obligor and geographic concentrations is in line with other recent
U.S. CLOs.
Portfolio Management (Neutral): The transaction has a 4.9-year
reinvestment period and reinvestment criteria similar to other U.S.
CLOs. Fitch's analysis was based on a stressed portfolio created by
making adjustments to the indicative portfolio to reflect
permissible concentration limits and collateral quality test
levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In its stress scenarios, the rated notes can withstand
default and recovery assumptions consistent with the assigned
ratings.
The weighted average life (WAL) used for the transaction stress
portfolio is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In its opinion, these conditions would limit the effective
risk horizon of the portfolio in stress periods.
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 as
severe as between 'BB+sf' and 'A+sf' for class B, between 'B+sf'
and 'BBB+sf' for class C, between 'less than B-sf' and 'BB+sf' for
class D, and between 'less than B-sf' and 'B+sf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics. The minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'A+sf' for class C, 'Asf' for
class D and 'BBB+sf' for class E.
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.
37 CAPITAL 3: Moody's Assigns B3 Rating to $1MM Class F Notes
-------------------------------------------------------------
Moody's Investors Service has assigned ratings to three classes of
notes issued and one class of loans incurred by 37 Capital CLO 3,
Ltd. (the "Issuer" or "37 Capital CLO 3").
Moody's rating action is as follows:
US$183,500,000 Class A-1 Senior Secured Floating Rate Notes due
2036, Assigned Aaa (sf)
US$30,000,000 Class A-1 Loans maturing 2036, Assigned Aaa (sf)
US$7,000,000 Class A-2 Senior Secured Floating Rate Notes due 2036,
Assigned Aaa (sf)
US$1,000,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2036, Assigned B3 (sf)
The notes and loans listed are referred to herein, collectively, as
the "Rated Debt."
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.
37 Capital CLO 3 is a managed cash flow CLO. The issued debt will
be collateralized primarily by broadly syndicated senior secured
corporate loans. At least 92.5% of the portfolio must consist of
first lien senior secured loans, cash, and eligible investments,
and up to 7.5% of the portfolio may consist of second lien loans,
unsecured loans, permitted non-loan assets, and first-lien last-out
loans. The portfolio is approximately 99% ramped as of the closing
date.
The Putnam Advisory Company, LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.
In addition to the Rated Debt, the Issuer issued four other classes
of secured notes and one class of subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the debt in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2021.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $350,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2900
Weighted Average Spread (WAS): 3.70%
Weighted Average Coupon (WAC): 5.75%
Weighted Average Recovery Rate (WARR): 47.50%
Weighted Average Life (WAL): 8.0 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2021.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Debt is subject to uncertainty. The
performance of the Rated Debt is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Debt.
A&D MORTGAGE 2023-NQM2: DBRS Gives Prov. B(low) Rating on B2 Certs
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following Mortgage
Pass-Through Certificates, Series 2023-NQM2 (the Certificates) to
be issued by A&D Mortgage Trust 2023-NQM2 (the Trust):
-- $240.5 million Class A-1 at AAA (sf)
-- $44.5 million Class A-2 at AA (low) (sf)
-- $30.7 million Class A-3 at A (low) (sf)
-- $17.1 million Class M-1 at BBB (low) (sf)
-- $21.0 million Class B-1 at BB (low) (sf)
-- $14.2 million Class B-2 at B (low) (sf)
The AAA (sf) rating on the Class A-1 Certificates reflects 36.55%
of credit enhancement provided by subordinated Certificates. The AA
(low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B
(low) (sf) ratings reflect 24.80%, 16.70%, 12.20%, 6.65%, and 2.90%
of credit enhancement, respectively.
Other than the specified classes above, DBRS Morningstar does not
rate any other classes in this transaction.
This transaction is a securitization of a portfolio of fixed-rate
and adjustable-rate prime and nonprime first-lien residential
mortgages funded by the issuance of the Certificates. The
Certificates are backed by 985 loans with a total principal balance
of approximately $379,030,482 as of the Cut-Off Date (April 1,
2023).
The originators for the mortgage pool are A&D Mortgage LLC (ADM;
91.5%) and others (8.5%). ADM originated the mortgages under the
following five programs:
-- Super Prime
-- Prime
-- Debt Service Coverage Ratio (DSCR)
-- Foreign National – Full Doc
-- Foreign National – DSCR
A&D Mortgage LLC (ADM) will act as the Sponsor and the Servicer for
all loans.
Nationstar Mortgage LLC (Nationstar) will act as the Master
Servicer and Citibank, N.A. (rated AA (low) with a Stable trend by
DBRS Morningstar) will act as the Securities Administrator and
Certificate Registrar. Wilmington Trust, National Association
(rated AA (low) with a Stable trend by DBRS Morningstar) will serve
as the Custodian, and Wilmington Savings Fund Society, FSB will act
as the Trustee.
The pool is about three months seasoned on a weighted-average
basis, although seasoning may span from zero to 106 months.
In accordance with U.S. credit risk retention requirements, ADM as
the Sponsor, either directly or through a Majority-Owned Affiliate,
will retain an eligible horizontal residual interest consisting of
the Class X Certificates and a portion of the Class B-3
Certificates (together, the Risk Retained Certificates),
representing not less than 5% economic interest in the transaction,
to satisfy the requirements under Section 15G of the Securities and
Exchange Act of 1934 and the regulations promulgated thereunder.
Such retention aligns Sponsor and investor interest in the capital
structure.
Although the applicable mortgage loans were originated to satisfy
the Consumer Financial Protection Bureau (CFPB) ability-to-repay
(ATR) rules, they were made to borrowers who generally do not
qualify for the agency, government, or private-label nonagency
prime products for various reasons described above. In accordance
with the CFPB Qualified Mortgage (QM)/ATR rules, 46.9% of the loans
are designated as non-QM. Approximately 53.0% of the loans are made
to investors for business purposes and are thus not subject to the
QM/ATR rules. Also, two loans (0.1% of the pool) are a qualified
mortgage with a conclusive presumption of compliance with the ATR
rules and is designated as QM Safe Harbor.
The Servicer will generally fund advances of delinquent principal
and interest (P&I) on any mortgage until such loan becomes 90 days
delinquent under the Mortgage Bankers Association (MBA) method,
contingent upon recoverability determination. The Servicer is also
obligated to make advances in respect of taxes, insurance premiums,
and reasonable costs incurred in the course of servicing and
disposing of properties. If the Servicer fails in its obligation to
make P&I advances, Nationstar, as the Master Servicer, will be
obligated to fund such advances. In addition, if the Master
Servicer fails in its obligation to make P&I advances, Citibank,
N.A., as the Securities Administrator, will be obligated to fund
such advances. The Master Servicer and Securities Administrator are
only responsible for P&I Advances; the Servicer is responsible for
P&I and advances with respect to taxes, insurance premiums, and
reasonable costs incurred in the course of servicing and disposing
of properties (Servicing Advances). If the Servicer fails to make
the Servicing Advances on a delinquent loan, the recovery amount
upon liquidation may be reduced.
The Sponsor (ADM) will have the option, but not the obligation, to
repurchase any mortgage loan that is 90 or more days delinquent
under the MBA method (or, in the case of any Coronavirus Disease
(COVID-19) forbearance loan, such mortgage loan becomes 90 or more
days delinquent under the MBA method after the related forbearance
period ends) at the Repurchase Price, provided that such
repurchases in aggregate do not exceed 7.5% of the total principal
balance as of the Cut-Off Date.
The Depositor (A&D Mortgage Depositor LLC) may, at its option, on
any date that is the later of (1) the two year anniversary of the
Closing Date, and (2) the earlier of (A) the three year anniversary
of the Closing Date and (B) the date on which the total loan
balance is less than or equal to 30% of the loan balance as of the
Cut-Off Date, purchase all outstanding certificates at a price
equal to the outstanding class balance plus accrued and unpaid
interest, including any cap carryover amounts (Optional
Redemption). An Optional Redemption will be followed by a qualified
liquidation, which requires a complete liquidation of assets within
the Trust and the distribution of proceeds to the appropriate
holders of regular or residual interests.
The transaction employs a sequential-pay cash flow structure with a
pro rata principal distribution among the senior tranches subject
to certain performance triggers related to cumulative losses or
delinquencies exceeding a specified threshold (Credit Event).
Principal proceeds can be used to cover interest shortfalls on the
Class A-1 and Class A-2 Certificates (IIPP) before being applied
sequentially to amortize the balances of the senior and
subordinated certificates. For the Class A-3 Certificates (only
after a Credit Event) and for the mezzanine and subordinate classes
of certificates (both before and after a Credit Event), principal
proceeds will be available to cover interest shortfalls only after
the more senior certificates have been paid off in full. Also, the
excess spread can be used to cover realized losses first before
being allocated to unpaid Cap Carryover Amounts due to Class A-1,
Class A-2, Class A-3 and Class M-1 Certificates.
Of note, the Class A-1, Class A-2, and Class A-3 Certificates'
coupon rates step up by 100 basis points on and after the payment
date in May 2027 (Step-Up Certificates). Also, the interest and
principal otherwise payable to the Class B-3 Certificates as
accrued and unpaid interest may be used to pay the Class A-1, Class
A-2, Class A-3, and Class M-1 Certificates' Cap Carryover Amounts
after the Class A coupons step up.
Notes: All figures are in U.S. dollars unless otherwise noted.
AGL CLO 24: Fitch Gives BB-sf Rating on Cl. E Notes, Outlook Stable
-------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to AGL CLO
24 Ltd.
Entity/Debt Rating
----------- ------
AGL CLO 24 Ltd.
A-1 LT NRsf New Rating
A-2 LT AAAsf New Rating
B LT AAsf New Rating
C LT Asf New Rating
D LT BBB-sf New Rating
E LT BB-sf New Rating
Subordinated Notes LT NRsf New Rating
TRANSACTION SUMMARY
AGL CLO 24 Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by AGL
CLO Credit Management LLC. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $400 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 24.09 versus a maximum covenant, in accordance with
the initial expected matrix point, of 26.01. Issuers rated in the
'B' rating category denote highly speculative credit quality;
however, the notes benefit from appropriate credit enhancement and
standard U.S. CLO structural features.
Asset Security (Positive): The indicative portfolio consists of
99.69% first lien senior secured loans. The weighted average
recovery rate of the indicative portfolio is 74.6% versus a minimum
covenant, in accordance with the initial expected matrix point, of
72.8%.
Portfolio Composition (Positive): The largest three industries may
constitute up to 40.0% of the portfolio balance in aggregate, while
the top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity required by industry,
obligor and geographic concentration is in line with other recent
U.S. CLOs.
Portfolio Management (Neutral): The transaction has a 5.2-year
reinvestment period and reinvestment criteria similar to other U.S.
CLOs. Fitch's analysis was based on a stressed portfolio created by
making adjustments to the indicative portfolio to reflect
permissible concentration limits and collateral quality test
levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In its stress scenarios, the rated notes can withstand
default and recovery assumptions consistent with their assigned
ratings. The performance of the rated class at the other permitted
matrix points is in line with other recent CLOs.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBBsf' and 'AA+sf' for class A-2, between
'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for
class C, between less than 'B-sf' and 'BB+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-2 notes, as
these notes are in the highest rating category of 'AAAsf'. At other
rating levels, variability in key model assumptions, such as
increases in recovery rates and decreases in default rates, could
result in an upgrade. Fitch evaluated the notes' sensitivity to
potential changes in such metrics; the minimum rating results under
these sensitivity scenarios are 'AAAsf' for class B, 'A+sf' for
class C, 'Asf' for class D; and 'BBB+sf' for class E.
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.
ALLEGRO CLO II-S: Moody's Lowers Rating on $5.5MM E Notes to Caa3
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Allegro CLO II-S, Ltd.:
US$19,600,000 Class B Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class B Notes"), Upgraded to Aa2 (sf);
previously on June 9, 2022 Upgraded to Aa3 (sf)
US$26,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class C Notes"), Upgraded to Baa2 (sf);
previously on August 10, 2020 Confirmed at Baa3 (sf)
Moody's has also downgraded the rating on the following notes:
US$5,500,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2028 (the "Class E Notes"), Downgraded to Caa3 (sf); previously
on August 10, 2020 Downgraded to Caa2 (sf)
Allegro CLO II-S, Ltd., issued 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 October 2020.
RATINGS RATIONALE
The upgrade rating actions are primarily a result of deleveraging
of the senior notes and an increase in the transaction's
over-collateralization (OC) ratios since June 2022. The Class A-1
notes have been paid down by approximately 26.33% or $55.7 million
since then. Based on Moody's calculation, the OC ratios for the
Class A, Class B, and Class C notes are currently 140.70%, 128.16%,
and 114.61%, respectively, versus June 2022 levels of 134.47%,
124.91%, and 114.14%, respectively.
The downgrade rating action on the Class E notes reflects the
specific risks to the junior notes posed by par loss observed in
the underlying CLO portfolio and deterioration in the Class E OC
ratio. Based on Moody's calculation, the OC ratio for the Class E
notes is currently 103.08% versus June 2022 level of 104.61%.
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: $280,767,382
Defaulted par: $5,281,323
Diversity Score: 57
Weighted Average Rating Factor (WARF): 2693
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.21%
Weighted Average Recovery Rate (WARR): 47.67%
Weighted Average Life (WAL): 3.09 years
In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio, decrease in overall WAS or net interest
income, 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.
ALLEGRO CLO VII: Moody's Cuts Rating on $20.4MM Cl. E Notes to B1
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Allegro CLO VII, Ltd.:
US$41,600,000 Class B Senior Secured Floating Rate Notes due 2031
(the "Class B Notes"), Upgraded to Aa1 (sf); previously on June 14,
2018 Assigned Aa2 (sf)
US$20,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C Notes"), Upgraded to A1 (sf);
previously on June 14, 2018 Assigned A2 (sf)
Moody's has also downgraded the rating on the following notes:
US$20,400,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class E Notes"), Downgraded to B1 (sf); previously
on August 13, 2020 Confirmed at Ba3 (sf)
Allegro CLO VII, Ltd., issued in June 2018, is a managed cashflow
CLO. The notes are collateralized primarily by a portfolio of
broadly syndicated senior secured corporate loans. The
transaction's reinvestment period will end in July 2023.
RATINGS RATIONALE
The upgrade rating actions reflect the benefit of the short period
of time remaining before the end of the deal's reinvestment period
in July 2023. In light of the reinvestment restrictions during the
amortization period which limit the ability of the manager to
effect significant changes to the current collateral pool, Moody's
analyzed the deal assuming a higher likelihood that the collateral
pool characteristics will be maintained and continue to satisfy
certain covenant requirements. In particular, Moody's assumed that
the deal will benefit from lower weighted average rating factor
(WARF) and higher weighted average spread (WAS) compared to their
respective covenant levels. Moody's modeled a WARF of 2791 and a
WAS of 3.49% compared to their current covenant levels of 2996 and
3.40%.
The downgrade rating action on the Class E notes reflects the
specific risks to the junior notes posed by par loss observed in
the underlying CLO portfolio. Based on the trustee's April 2023 [1]
report, the OC ratio for the Class E notes is reported at 104.80%
versus April 2022 [2] level of 106.22%. Additionally, based on
Moody's calculation, the total collateral balance, including
principal collections and recoveries from defaulted securities, is
$385.7 million, or $14.3 million less than the $400 million initial
par amount targeted during the deal's ramp-up.
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: $384,701,996
Defaulted par: $3,799,413
Diversity Score: 85
Weighted Average Rating Factor (WARF): 2791
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.49%
Weighted Average Recovery Rate (WARR): 47.35%
Weighted Average Life (WAL): 4.30 years
In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio, decrease in overall WAS or net interest
income, 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.
APIDOS CLO XLV: Fitch Assigns 'BB(EXP)' Rating on Class E Notes
---------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
Apidos CLO XLV.
Entity/Debt Rating
----------- ------
Apidos CLO XLV
Ltd.
A-1 LT NR(EXP)sf Expected Rating
A-2 LT AAA(EXP)sf Expected Rating
B LT AA(EXP)sf Expected Rating
C LT A(EXP)sf Expected Rating
D LT BBB-(EXP)sf Expected Rating
E LT BB(EXP)sf Expected Rating
F LT NR(EXP)sf Expected Rating
Surbodinated Notes LT NR(EXP)sf Expected Rating
TRANSACTION SUMMARY
Apidos CLO XLV Ltd (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by CVC
Credit Partners, LLC. Net proceeds from the issuance of the secured
and subordinated notes will provide financing on a portfolio of
approximately $500.00 million of primarily first lien senior
secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B/B-', which is in line with that of
recent CLOs. Issuers rated in the 'B' rating category denote a
highly speculative credit quality; however, the notes benefit from
appropriate credit enhancement (CE) and standard CLO structural
features.
Asset Security (Positive): The indicative portfolio consists of
97.25% first lien senior secured loans and has a weighted average
(WA) recovery assumption of 74.96%. Fitch stressed the indicative
portfolio by assuming a higher portfolio concentration of assets
with lower recovery prospects and further reduced recovery
assumptions for higher rating stresses.
Portfolio Composition (Positive): The largest three industries may
comprise up to 39% 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 resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a 4.9-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting to the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The weighted average life (WAL) used for the transaction stress
portfolio is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
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 as
severe as between 'BBBsf' and 'AA+sf' for class A-2, between
'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for
class C, between less than 'B-sf' and 'BB+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-2 notes as
these notes are already in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'A+sf' for class C, 'Asf' for
class D; and 'BBB+sf' for class E.
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.
ARES LXVIII: Fitch Assigns BB-sf Rating on E Notes, Outlook Stable
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Ares
LXVIII CLO Ltd.
Entity/Debt Rating Prior
----------- ------ -----
Ares LXVIII
CLO Ltd.
A-1 LT AAAsf New Rating AAA(EXP)sf
A-2a LT AAAsf New Rating AAA(EXP)sf
A-2b LT AAAsf New Rating
B-1 LT NRsf New Rating NR(EXP)sf
B-2 LT NRsf New Rating NR(EXP)sf
C LT A+sf New Rating NR(EXP)sf
D LT BBB-sf New Rating BBB-(EXP)sf
E LT BB-sf New Rating BB(EXP)sf
F LT NRsf New Rating NR(EXP)sf
Subordinated LT NRsf New Rating NR(EXP)sf
The final ratings on the class E notes differ from the expected
ratings assigned on March 13, 2023. Following a review structural
changes that occurred between the assignment of the expected rating
and the pricing of the transaction, Fitch views the class E notes
robust enough to be assigned a 'BB-sf' rating. Fitch has also
assigned ratings to the class C notes. The class C and E notes can
withstand a default rate of 48.9% and 34.4%, respectively, versus
the 'A+sf' of 48.6% and the 'BB-sf' default stress of 32.5%,
assuming 57.6% and 72.6% recovery given default, respectively.
Ares LXVIII CLO Ltd. has issued class A-2a and A-2b notes, rather
than the class A-2 notes that were anticipated when the expected
ratings were assigned in March. The notional amounts on the class
B-1, B-2, C, and E notes have also changed.
TRANSACTION SUMMARY
Ares LXVIII CLO Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by Ares
U.S. CLO Management III LLC-Series A. Net proceeds from the
issuance of the secured and subordinated notes will provide
financing on a portfolio of approximately $500 million of primarily
first lien senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B/B-', which is in line with that of
recent CLOs. Issuers rated in the 'B' rating category denote a
highly speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard CLO structural
features.
Asset Security (Positive): The indicative portfolio consists of 98%
first-lien senior secured loans and has a weighted average recovery
assumption of 74.86%. Fitch stressed the indicative portfolio by
assuming a higher portfolio concentration of assets with lower
recovery prospects and further reduced recovery assumptions for
higher rating stresses.
Portfolio Composition (Positive): The largest three industries may
comprise up to 37% 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
CLOs.
Portfolio Management (Neutral): The transaction has a five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting to the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings. The WAL used for the transaction stress portfolio
is 12 months less than the WAL covenant to account for structural
and reinvestment conditions after the reinvestment period. In
Fitch's opinion, these conditions would reduce the effective risk
horizon of the portfolio during stress periods.
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 as
severe as between 'BBB+sf' and 'AA+sf' for class A-1, between
'BBB+sf' and 'AA+sf' for class A-2, between 'B-sf' and 'BBB+sf' for
class C, between less than 'B-sf' and 'BB+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 for the class A-1 and A-2
notes, as their notes are in the highest rating category of
'AAAsf'. Variability in key model assumptions, such as increases in
recovery rates and decreases in default rates, could result in an
upgrade. Fitch evaluated the notes' sensitivity to potential
changes in such metrics; the minimum rating results under these
sensitivity scenarios are 'A+sf' for class D; and 'BBB+sf' for
class E.
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.
ARES LXVIII: S&P Assigns B- (sf) Rating on $0.50MM Class F Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Ares LXVIII CLO
Ltd./Ares LXVIII CLO LLC's floating- and fixed-rate notes. The
transaction is managed by Ares U.S. CLO Management III LLC-Series
A.
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.
Post-pricing, the class A-2 notes were split into class A-2a and
A-2b notes. In addition, the class C notes had a preliminary rating
of 'A (sf)' but will no longer be rated by S&P Global Ratings.
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
Ares LXVIII CLO Ltd./Ares LXVIII CLO LLC
Class A-1, $307.50 million: AAA (sf)
Class A-2a, $17.50 million: Not rated
Class A-2b, $5.00 million: Not rated
Class B-1, $42.50 million: AA (sf)
Class B-2, $5.00 million: AA (sf)
Class C (deferrable), $28.75 million: Not rated
Class D (deferrable), $31.25 million: Not rated
Class E (deferrable), $16.25 million: Not rated
Class F (deferrable), $0.50 million: B- (sf)
Subordinated notes, $35.90 million: Not rated
BALLYROCK CLO 24: S&P Assigns Prelim BB-(sf) Rating on Cl. D Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Ballyrock
CLO 24 Ltd./Ballyrock CLO 24 LLC's floating-rate notes. The
transaction is managed by Ballyrock Investment Advisors LLC.
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 preliminary ratings are based on information as of May 16,
2023. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- S&P's view of the collateral pool's diversification;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Ballyrock CLO 24 Ltd./Ballyrock CLO 24 LLC
Class A-1, $283.50 million: AAA (sf)
Class A-2, $58.50 million: AA (sf)
Class B (deferrable), $22.50 million: A (sf)
Class C (deferrable), $27.00 million: BBB (sf)
Class D (deferrable), $15.75 million: BB- (sf)
Subordinated notes, $42.95 million: Not rated
BAMLL 2015-200P: S&P Affirms 'BB- (sf)' Rating on Class F Certs
---------------------------------------------------------------
S&P Global Ratings affirmed its ratings on eight classes of
commercial mortgage pass-through certificates from BAMLL Commercial
Mortgage Securities Trust 2015-200P, a U.S. CMBS transaction.
This U.S. stand-alone (single-borrower) CMBS transaction is backed
by a fixed-rate, interest-only (IO) mortgage loan secured by the
borrower's fee, grant-of-term, and leasehold interests in a class A
office property located at 200 Park Avenue in midtown Manhattan.
Rating Actions
S&P said, "The affirmations of classes A, B, C, D, E, and F reflect
our expected-case value, which is unchanged since our last review
in July 2020 and from issuance. We maintain our position that the
property will continue to perform as expected, a belief further
reinforced by the considerable additional capital invested by
Tishman Speyer Properties L.P. and the Irvine Co. LLC affiliated
sponsors to improve and enhance the property, as well as the recent
opening of the Metropolitan Transportation Authority's Long Island
Rail Road service to Manhattan's east side. We believe the asset
will continue to attract office and retail tenants, despite the
pressures facing the wider New York City market.
"Since our last review in July 2020, the servicer reported that
occupancy declined to 85.9% in 2022--down from 92.7% in 2021 and
98.5% in 2020--due in large part to the departure of Greenberg
Traurig, a law firm. Greenberg Traurig had leased approximately
6.6% of net rentable area (NRA) at the property but vacated in
November 2021 to move to the neighboring One Vanderbilt office
building.
"According to the March 31, 2023, rent roll, the property was 85.9%
occupied; however, we expect the occupancy rate to increase to
approximately 93.9% once tenants with leases that begin later in
2023 and in early 2024 formally take their space. Golub Capital and
CBRE Inc. partially backfilled the space formerly rented by
Greenberg Traurig by expanding their existing footprints, while a
new tenant, BDO USA LLP, whose lease commences in January 2024,
took an additional 4.6% of NRA. We were not provided with the
financial terms of these leases but when determining our long-term
sustainable net cash flow (NCF), assumed that rental rates for
these tenants is in line with the property's current and submarket
asking rents.
"While our property-level analysis considered the weakened office
submarket fundamentals driven by the prevailing hybrid work
environment, we believe institutional quality, class A office
properties like 200 Park Avenue, with their locational and physical
advantages, will continue to outperform the wider office market in
terms of achievable rents and occupancy. As such, using an 11.5%
vacancy rate, S&P Global Ratings calculated that 200 Park Avenue's
NCF is $109.8 million (assuming in place rent of $81.87 per sq.
ft., gross rent of $91.24 per sq. ft., and 52.3% operating expense
ratio), which is in line with what we derived in our last review
and at issuance. Using the same S&P Global Ratings capitalization
rate of 6.25%, as at our last review as well as at issuance, we
arrived at an expected-case valuation of $1.76 billion ($582 per
sq. ft.), 39.4% lower than the $2.9 billion appraisal at issuance.
This yields a loan-to-value ratio of 79.7% based on the $1.4
billion loan balance, the same as in our last review and at
issuance.
"While the servicer-reported debt service coverage (DSC) is 1.85x
as of year-end 2022 and 2.27x as of year-end 2021, we note that the
existing mortgage interest rate of 3.60% is well below prevailing
rates for office properties, even for institutional quality, class
A office buildings like the subject. We will continue to monitor
interest rates in tandem with the property's cash flows and value,
as DSC considerations may constrain the size of a refinance
mortgage at the loan maturity in 2025.
"The affirmations on the class X-A and X-B IO certificates reflect
our criteria for rating IO securities, in which the ratings on the
IO securities would not be higher than that of the lowest-rated
reference class. The notional balance of class X-A references class
A, while class X-B references class B."
Property-Level Analysis
The loan collateral is a 58-story, approximately 3.0 million
sq.-ft. building located at 200 Park Avenue in Midtown Manhattan.
Approximately 2.9 million sq. ft. of the collateral is office space
with the balance being retail, storage, and miscellaneous space.
The property, built in 1963, is situated above the Grand Central
Terminal on Park Avenue and East 45th Street. It offers direct
access to various transportation options: Metro-North Railroad,
Long Island Rail Road, and subway and bus lines.
The sponsor, an investment venture managed and controlled by an
affiliate of Tishman Speyer Properties L.P. and majority owned by
an affiliate of The Irvine Co. LLC, both experienced real estate
owners, acquired the property in 2005. In addition to its fee
simple interest in the mortgaged property, it holds legal interests
in the property in the form of a leasehold and grant-of-term
estate. The property does not have subsurface rights, which are
held by several railroad companies responsible for maintaining the
railroads and other support systems underneath the premises and the
adjacent terminal. However, there are no ground lease payments or
other fees associated with the grant-of-term or leasehold
interests.
During the past three years, the sponsor has improved and
reconfigured the property, most notably the two-level 50,000
sq.-ft. lobby. Much of the lobby work focused on facilitating
better pedestrian access and retail visibility, upgrading the
turnstiles for increased security, and introducing further
sustainability initiatives as a LEED certified building. The master
servicer, Wells Fargo Bank N.A., did not provide to us the total
amount spent to date, but S&P notes the servicer-provided 2023
budget included $66.0 million in capital expenditures. The
reconfigured lobby, which provides direct access to Grand Central
Terminal via escalators, has helped the sponsor attract high-end
dining tenants like The Capital Grille and a new 10,000 sq. ft.
seafood restaurant run by the Hospitality Department, a group of
experienced New York City-based operators in the restaurant and
hotel industry.
From 2006 to 2021, the property reported occupancy at or above
91.0%, except for 2015 (82.8%). As of March 31, 2023, the property
was 85.9% occupied, per the rent roll; however, S&P expects
occupancy to climb to approximately 93.9% by January 2024 after
including future tenants.
As of the March 31, 2023, rent roll, the five largest tenants
comprised 41.4% of NRA, as calculated by S&P Global Ratings:
-- Metlife Services and Solutions, LLC (16.8% of NRA; $67.04 per
sq. ft. in place base rent, as calculated by S&P Global Ratings;
September 2027 lease expiration, except 0.6% of NRA expires in June
2024 or March 2025);
-- Gibson Dunn & Crutcher LLP (10.1% NRA; $83.13 per sq. ft. base
rent; lease expires October 2031);
-- Paul Hastings LLP (7.7% NRA; $86.74 per sq. ft. base rent;
lease expires June 2032);
-- Winston & Strawn LLP (6.8% NRA; $82.91 per sq. ft. base rent;
lease expires August 2027); and
-- CBRE Inc. (6.4% NRA; $78.94 per sq. ft. base rent; lease
expires June 2026, except 0.3% of NRA expires in June 2031).
While the property has minimal tenant rollover through the loan's
maturity in 2025, it faces concentrated rollover in 2026 (11.9% of
NRA) and 2027 (23.1%). The rollover in 2026 is primarily associated
with the lease expiration of the fifth-largest tenant, CBRE Inc.,
and Merrill Lynch, Pierce, Fenner & Smith Inc. (2.9% of NRA). The
2027 rollovers are largely attributable to the lease expirations of
Metlife and Winston & Strawn LLP.
According to CoStar, the Grand Central office submarket where 200
Park Avenue is located serves as home to numerous Fortune 500
tenants. Tenants remain attracted to buildings near Grand Central
Terminal, which provides easy commuter access via the subway, bus,
the Long Island Rail Road, and the Metro-North commuter rail line
that services Westchester County, as well as the Fairfield and New
Haven counties in Connecticut. While there are no large-scale
projects currently under construction, demand remains depressed as
office utilization continues to be far below pre-pandemic levels,
leading to flat to declining rents and negative net absorption
since 2021. However, CoStar noted that quality office spaces like
that offered by 200 Park Avenue still generate sizable premiums,
with class A rents reaching above $100 per sq. ft. for some spaces.
As of the year-to-date (May 2023), four- and five-star office
properties had a 16.5% vacancy rate, 20.8% availability rate, and
$78.53 per sq. ft. gross asking rent--an increase from the 7.2%
vacancy rate and $80.30 per sq. ft. asking rent in 2019. CoStar
projects vacancy to remain elevated through 2027 at 19.6% and
asking rent to flatten to $78.73 per sq. ft. for four- and
five-star office properties. S&P believes that the vacancy rate is
skewed higher by three properties of quality it considers inferior
to 200 Park Avenue.
CoStar also noted that tenants comprising 157,000 sq. ft. or 5.2%
of NRA have marketed their space for subleasing at the subject
property. While the property generally exhibits high occupancy
rates and S&P expects occupancy to be about 93.9%, it used a 11.5%
vacancy assumption to account for the subleasing activity at the
property when determining S&P's NCF.
Transaction Summary
The IO mortgage loan had an initial and current balance of $1.4
billion (as of the May 16, 2023, trustee remittance report), pays
an annual fixed interest rate of 3.60%, and matures on April 10,
2025.
In addition, the borrower has the ability to incur mezzanine debt
as long as certain performance hurdles are met. The master servicer
confirmed that there is no outstanding mezzanine debt at this
time.
The loan has a reported current payment status through its May 2023
payment date. To date, the trust has not incurred any principal
losses.
Ratings Affirmed
BAMLL Commercial Mortgage Securities Trust 2015-200P
Class A: AAA (sf)
Class B: AA- (sf)
Class C: A- (sf)
Class D: BBB- (sf)
Class E: BBB- (sf)
Class F: BB- (sf)
Class X-A: AAA (sf)
Class X-B: AA- (sf)
BBCMS 2021-AGW: DBRS Confirms B(low) Rating on Class G Certs
------------------------------------------------------------
DBRS Limited confirmed its ratings on the following classes of
Commercial Pass-Through Certificates issued by BBCMS 2021-AGW
Mortgage Trust, Series 2021-AGW:
-- Class A at AAA (sf)
-- Class B at AAA (sf)
-- Class C at AA (high) (sf)
-- Class X-NCP at AA (low) (sf)
-- Class D at A (high) (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction since issuance. Despite slowdowns in the broader
office market, the collateral continues to perform in line with
issuance expectations. The collateral is expected to continue to
benefit from its high proportion of medical tenants, which
comprised 53.8% of the DBRS Morningstar base rent and had a
weighted-average lease term of 16.3 years at issuance.
Additionally, approximately 50.6% of the DBRS Morningstar base rent
is derived from investment-grade tenants and/or tenants with
investment-grade parent entities.
The loan is secured by the leasehold interest in 16
cross-collateralized suburban office buildings totaling
approximately 2.0 million square feet on the North Shore of Long
Island, New York. Sponsorship is provided through a joint venture
between Angelo Gordon and the WE'RE Group. Angelo Gordon purchased
a 95.5% leasehold interest in the portfolio from the WE'RE Group,
which retained the remaining 4.5% leasehold interest and 100% of
the leased fee interest.
Loan proceeds of $350.0 million were primarily used to refinance
$234.6 million of existing debt, return $98.1 million of borrower
equity, cover closing costs, and fund approximately $5.3 million in
upfront reserves to be used for certain outstanding free rent,
unfunded tenant improvement allowances, landlord work, and/or
leasing commissions, as well as required repairs as identified in
the mortgage loan agreement. Based on the appraiser's as-is
valuation of $458.7 million, the sponsor has approximately $108.7
million of unencumbered market equity remaining in the transaction.
The interest-only (IO) loan has an initial two-year term, with an
upcoming maturity in June 2023. The loan is structured with three
one-year extension options available and a fully extended loan
maturity in June 2026. The extension options do not have any
performance triggers or financial covenant conditions, however, the
options must be exercised at least 10 days prior to the loan's
maturity date and the borrower must purchase a replacement interest
rate cap. Given the current environment, DBRS Morningstar has
inquired about whether an interest rate cap has been purchased, but
notes the minimal upcoming tenant roll, stable performance
expectations, and investment-grade tenancy as factors mitigating
the uncertainty surrounding the loan's upcoming maturity.
The proximity of the properties to the major hospitals on Long
Island's North Shore makes the portfolio a highly desirable
location for medical tenants, which comprise 53.8% of the DBRS
Morningstar base rent. Medical tenants tend to receive above-market
allocations for tenant improvements but will often spend additional
capital on the build-out of their spaces. This larger upfront
investment substantially increases potential relocation costs upon
lease expiration and increases probability of renewal. Rollover is
also limited through the fully extended term, with tenants
representing no more than 12.0% of net rentable area (NRA) expected
to roll in any single year. According to servicer commentary,
tenants representing 6.6% of NRA are scheduled to roll in the next
12 months.
Individual properties are permitted to be released at 105% of the
allocated loan amount (ALA) for the applicable property up to 10%
of the original principal balance, 110% of the ALA for the
applicable property up to 20%, and 115% thereafter. With regard to
the individual assets located within the Lake Success Quadrangle,
the release price shall equal 115% at any given time for seven
properties, representing approximately 35.5% of the current pool
balance, and 120% at any given time for four properties,
representing approximately 19.1% of the current pool balance. DBRS
Morningstar elected not to apply a penalty to the transaction's
capital structure as 63.5% of the portfolio by ALA is subject to a
release price of 115% or greater, which DBRS Morningstar considers
to be credit neutral. The loan allows for pro rata paydowns
associated with property releases for the first 20% of the unpaid
principal balance, and DBRS Morningstar applied a penalty to the
capital stack as the deleveraging of the senior notes through the
release of individual properties occurs at a slower pace compared
with a sequential-pay structure. As of the March 2023 remittance,
no properties have been released from the collateral.
As of the February 2023 rent roll, the portfolio was 84.5% occupied
compared with the issuance rate of 86.8%. At issuance, the
portfolio featured a diverse and granular roster of tenants in the
medical, finance, and law industries. According to the February
2023 rent roll, the largest tenants are ProHealth Corp. (18.2% of
the NRA; various lease expiries), Newsday (6.4% of the NRA; lease
expiring in June 2035), and GEICO (3.7% of the NRA; lease expiring
in October 2027). Leases of tenants representing 50.9% of base rent
and 40.3% of leased area expire during the fully extended loan
term. The YE2022 net cash flow (NCF) was reported at $30.3 million,
in line with the DBRS Morningstar NCF of $30.0 million.
Notes: All figures are in U.S. dollars unless otherwise noted.
BLACKROCK MT. HOOD X: S&P Assigns Prelim BB-(sf) Rating on E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to BlackRock
Mt. Hood CLO X LLC's delayed draw and fixed- and floating-rate
debt. The transaction is managed by BlackRock Capital Investment
Advisors LLC.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by middle market speculative-grade
(rated 'BB+' or lower) senior secured term loans.
The preliminary ratings are based on information as of May 11,
2023. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- S&P's view of the collateral pool's diversification;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
BlackRock Mt. Hood CLO X LLC
Class X(i), $21.250 million: AAA (sf)
Class A-1, $158.250 million: AAA (sf)
Class A-2, $22.000 million: AAA (sf)
Class A-L1 loans, $30.000 million: AAA (sf)
Class A-L2b loans(ii), $30.000 million: AAA (sf)
Class B-1, $22.125 million: AA (sf)
Class B-2, $20.375 million: AA (sf)
Class C (deferrable), $42.500 million: A- (sf)
Class D (deferrable), $21.250 million: BBB- (sf)
Class E (deferrable)(iii), $29.000 million: BB- (sf)
Variable dividend notes, $57.000 million: Not rated
(i)The class X notes are expected to be paid down using interest
proceeds during the first 14 payment dates in equal installments of
$1.52 million.
(ii)The class A-L2b loans are delayed draw loans. The amount shown
represents the commitment amount. At closing, the issuer does not
expect to have drawn down on the loans, which can remain undrawn
for up to nine months after closing, at which point they will fully
fund if they haven't already.
(iii)The class E notes can be paid down before other more senior
classes of debt due to a turbo feature that allows for paydowns
with excess spread that would otherwise flow out to the variable
dividend notes. The excess spread used to de-lever the E notes is
made available below the transaction's coverage tests, as well as
capped subordinated expenses, in the payment waterfall.
BX TRUST 2021-VIEW: DBRS Confirms B(high) Rating on Class G Certs
-----------------------------------------------------------------
DBRS Inc., confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2021-VIEW issued by BX Trust
2021-VIEW as follows:
-- Class A at AAA (sf)
-- Class B at AAA (sf)
-- Class C at AA (high) (sf)
-- Class X-NCP at AA (sf)
-- Class D at AA (low) (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (high) (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction, which has remained in line with DBRS Morningstar's
expectations since issuance.
The collateral is a first mortgage loan secured by the fee-simple
interest in a 509,500-square-foot (sf) portion of The Shops at
Skyview, a retail complex in downtown Flushing, Queens. The
property, constructed in 2010, consists of two retail buildings,
the West Retail building and the East Retail building, and a
parking garage. The West Retail building is anchored by BJ's
Wholesale Club (BJ's), and the East Retail building is anchored by
a noncollateral tenant, Target. The borrower used whole loan
proceeds to refinance existing debt of $306.0 million and
contributed approximately $44.8 million of cash equity,
demonstrating a strong commitment to the property.
The loan has a two-year initial term, with three 12-month extension
options, and pays interest only (IO) through the fully extended
maturity date of June 2026. The loan documents also stipulate the
borrower maintain an interest rate protection agreement with a
strike price of 2.50%, and as of the commencement date of any
extension, equal to the greater of 2.50% and the yearly rate of
interest that yields a debt service coverage ratio (DSCR) of no
less than 1.10 times (x). According to the servicer, the borrower
has not yet provided notice to extend the loan and the servicer is
currently awaiting the borrower's determination regarding the
upcoming June 2023 maturity. The loan sponsors are two Delaware
LLCs, BRE SkyView Retail Owner LLC and BRE SkyView Parking Owner
LLC, which are affiliates of The Blackstone Group, Inc.
(Blackstone), a real estate investment group with approximately
$196.3 billion in assets under management. Since 2018, the sponsors
have invested more than $5.9 million of capital into the property
for leasing allowances and landlord work.
The property's two largest collateral tenants are BJ's (23.7% of
the net rentable area (NRA)) and Best Buy (8.8% of the NRA),
respectively, both original tenants since construction in 2010,
with leases expiring in January 2030 and January 2024,
respectively. Combined, these tenants represent more than 30% of
the in-place annual rent. Approximately 23.5% of the subject's NRA
is occupied by investment-grade tenants, including Best Buy,
Marshalls, Nike, JPMorgan Chase Bank, OshKosh, and Starbucks. In
total, the largest eight tenants represent 60.8% of NRA, six of
which have leases that expire beyond 2025.
As of YE2022, the servicer reported net cash flow (NCF) of $20.2
million is up 7.9% from the YE2021 NCF of $18.7 million but
represents a -16.2% variance from the Issuer's NCF of $24.2 million
and a -9.6% variance from DBRS Morningstar's NCF of $22.3 million
at issuance, primarily due to an increase in expenses. Servicer
reported effective gross income as of YE2022 is stable to
improving. The property is 88.4% leased and 87.4% physically
occupied, as of YE2022, up from an occupancy rate of 79.9% at
issuance. Since issuance, Burlington (6.4% of NRA) has taken
occupancy as a new tenant.
Prior to issuance, the sponsor exercised the early termination
option for Nordstrom Rack in February 2020 to begin construction
and plans for an upscale food hall that was slated to be delivered
in 2022, converting approximately 33,000 sf of vacant retail space
to fast casual dining options on two levels of the mall; however,
the servicer has confirmed that the food hall project is no longer
underway, and the space is being actively marketed for lease on the
property's website.
The DBRS Morningstar ratings assigned to classes E through G are
higher than the results implied by the loan-to-value ratio sizing
benchmarks given a stressed analysis with an updated NCF of $19.7
million, reflecting the increased expenses since issuance. These
variances are warranted given property occupancy, and revenues have
continued to exhibit stable to improving performance. DBRS
Morningstar will continue to monitor expenses and gather additional
information related to the increases.
Notes: All figures are in U.S. dollars unless otherwise noted.
BXMT 2020-FL2: DBRS Confirms B(low) Rating on Class G Notes
-----------------------------------------------------------
DBRS, Inc. confirmed its ratings on all classes of notes issued by
BXMT 2020-FL2, Ltd. as follows:
-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)
All trends are Stable.
The rating confirmations reflect the increased credit support to
the bonds as a result of successful loan repayment, resulting in a
collateral reduction of 12.3% since issuance. The increased credit
support to the bonds serves as a mitigant to potential adverse
selection in the transaction as seven loans are secured by office
properties (43.1% of the current trust balance). As a result of
complications initially arising from impacts of the Coronavirus
Disease (COVID-19) pandemic and the ongoing challenges with leasing
available space, the borrowers of these loans have generally been
unable to increase occupancy and rental rates to initially
projected levels, resulting in lower-than-expected cash flows.
While all loans remain current, given the decline in desirability
for office product across tenants, investors, and lenders alike,
there is greater uncertainty regarding the borrowers' exit
strategies upon loan maturity. In conjunction with this press
release, DBRS Morningstar has published a Surveillance Performance
Update report with in-depth analysis and credit metrics for the
transaction and with business plan updates on select loans.
As of the April 2023 remittance, the trust reported an outstanding
balance of $1.3 billion with 17 loans remaining in the trust. The
transaction included a Permitted Funded Companion Participation
Acquisition Period that ended in February 2022. Since the previous
DBRS Morningstar rating action in November 2022, there has been
collateral reduction of $217.8 million, including the full
repayment of two loans. The remaining loans in the transaction
beyond the office concentration noted above include four loans
secured by a mixed-use property (32.7% of the current trust
balance) and six loans secured by a portfolio of hospitality
properties (24.2% of the current trust balance). The transaction's
property type concentration has remained relatively stable since
January 2022 when 57.5% of the trust balance was secured by office
collateral, 24.1% of the trust balance was secured by mixed use,
and 18.4% of the trust balance was secured by hospitality
properties.
The remaining loans are primarily secured by properties in urban
and suburban markets. Seven loans, representing 73.0% of the pool,
are secured by properties in urban markets, as defined by DBRS
Morningstar, with a DBRS Morningstar Market Rank of 6, 7, or 8, and
four loans representing 18.4% of the pool are secured by properties
with a DBRS Morningstar Market Rank of 4 or 5, which denotes a
suburban market. In comparison with the pool composition in January
2022, properties in urban markets represented 75.4% of the
collateral, and properties in suburban markets was unchanged at
18.4% of the collateral. The location of the assets within urban
markets potentially serves as a mitigant to loan maturity risk, as
urban markets have historically shown greater liquidity and
investor demand.
In total, the lender has advanced $275.1 million in loan future
funding to 15 of the remaining individual borrowers to aid in
property stabilization efforts, with the largest advances made to
the borrowers of the Colony Square ($61.9 million), Industrial City
($40.3 million), and One South Wacker ($36.9 million) loans. The
funds helped to pay for capital improvements and leasing costs at
the properties. An additional $192.9 million of loan future funding
allocated to 12 borrowers remains outstanding. The largest portion
of available dollars ($56.0 million) is allocated to the borrower
of the Liberty View loan for leasing costs. The loan is secured by
a mixed-use property in Brooklyn, New York.
No loans are in special servicing; however, seven loans,
representing 28.8% of the current trust balance, are on the
servicer's watchlist for upcoming maturity or performance issues.
The largest loan on the servicer's watchlist, Falchi Building
(Prospectus ID#17; 8.0% of the current pool balance), is secured by
a five-story, mixed-use building in Long Island City, New York. The
loan is on the servicer's watchlist for the upcoming June 2023
maturity. The loan had an initial maturity of January 2022 and was
modified to extend the maturity date to December 2022 pursuant to a
$2.8 million principal payment. The loan was subsequently modified
prior to the December 2022 maturity with terms including three
90-day extension options to a potential final maturity in December
2023, the reduction of the floating interest rate spread to 2.00%
from 2.90%, and the waiver of the performance based debt yield
test. According to the December 2022 rent roll, the property was
73.2% occupied, a marginal improvement from the 70.6% occupancy
rate at YE2021. According to the collateral manager, the property
generated a net cash flow of $6.4 million at YE2022, lower than
$7.8 million in 2021, which resulted in a debt service coverage
ratio (DSCR) of 0.63 times (x).
While not on the servicer's watchlist, the largest loan in the
pool, One South Wacker (Prospectus ID#19; 12.0% of the current pool
balance), also remains of concern. The loan is secured by a 1.2
million-square-foot, 43-story office building within the Central
Loop submarket of downtown Chicago. Occupancy decreased to 63.8% as
of YE2022 from 75.8% at issuance after a number of tenants vacated.
The collateral manager reported a YE2022 net operating income of
$10.0 million based on trailing 12-month revenue and trailing
12-month expenses, equating to a 0.80x DSCR. The loan has a final
loan maturity of December 2023.
Notes: All figures are in U.S. dollars unless otherwise noted.
CARVANA AUTO 2023-N1: DBRS Gives Prov. BB(high) Rating on E Notes
-----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by Carvana Auto Receivables Trust 2023-N1 (the
Issuer or CRVNA 2023-N1):
-- $245,850,000 Class A Notes at AAA (sf)
-- $59,980,000 Class B Notes at AA (high) (sf)
-- $55,580,000 Class C Notes at A (high) (sf)
-- $60,750,000 Class D Notes at BBB (high) (sf)
-- $56,630,000 Class E Notes at BB (high) (sf)
The provisional ratings are based on DBRS Morningstar's review of
the following analytical considerations:
(1) Transaction capital structure, proposed ratings, and form and
sufficiency of available credit enhancement.
-- Credit enhancement is in the form of overcollateralization,
subordination, a fully funded reserve fund, and excess spread.
Credit enhancement levels are sufficient to support the DBRS
Morningstar-projected cumulative net loss (CNL) assumption under
various stress scenarios.
(2) The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms in which
they have invested. For this transaction, the ratings address the
payment of timely interest on a monthly basis and principal by the
legal final maturity date.
(3) The transaction parties' capabilities with regard to
originations, underwriting, and servicing.
-- DBRS Morningstar performed an operational review of Carvana,
LLC (Carvana) and Bridgecrest Credit Company, LLC and considers the
entities to be an acceptable originator and servicer, respectively,
of auto loans.
(4) The operational history of Carvana and the strength of the
overall company and its management team.
-- Company management has considerable experience in the consumer
lending business.
-- Carvana has a technology-driven platform that focuses on
providing the customer with high-level experience, selection, and
value. Its website and smartphone app provide the consumer with
vehicle search and discovery (currently showing more than 60,000
vehicles online); the ability to trade or sell vehicles almost
instantaneously; and real-time, personalized financing. Carvana has
developed underwriting policies and procedures for use across the
lending platform that leverages technology where appropriate to
validate customer identity, income, employment, residency,
creditworthiness, and proper insurance coverage.
-- Carvana has developed multiple proprietary risk models to
support various aspects of its vertically integrated automotive
lending business. All proprietary risk models used in Carvana's
lending business are regularly monitored and tested. The risk
models are updated from time to time to adjust for new performance
data, changes in customer and economic trends, and additional
sources of third-party data.
(5) The credit quality of the collateral, which includes
Carvana-originated loans with Deal Scores of 49 or lower.
-- As of the April 15, 2023 cut-off date, the collateral pool for
the transaction is primarily composed of receivables due from
nonprime obligors with a weighted-average (WA) FICO score of 578,
WA annual percentage rate of 20.92%, and WA loan-to-value ratio of
100.77%. Approximately 47.77%, 30.50%, and 21.72% of the pool
include loans with Carvana Deal Scores greater than or equal to 30,
between 10 and 29, and between 0 and 9, respectively. Additionally,
1.10% of the collateral balance is composed of obligors with FICO
scores greater than 750, 35.26% consists of FICO scores between 601
to 750, and 63.64% is from obligors with FICO scores less than or
equal to 600 or with no FICO score.
-- DBRS Morningstar analyzed the performance of Carvana's auto
loan and retail installment contract originations and static pool
vintage loss data broken down by Deal Score to determine a
projected CNL expectation for the CRVNA 2023-N1 pool.
(6) The DBRS Morningstar CNL assumption is 15.00% based on the
cut-off date pool composition.
-- The transaction assumptions consider DBRS Morningstar's
baseline macroeconomic scenarios for rated sovereign economies,
available in its commentary "Baseline Macroeconomic Scenarios for
Rated Sovereigns: December 2022 Update," published on December 21,
2022. These baseline macroeconomic scenarios replace DBRS
Morningstar's moderate and adverse Coronavirus Disease (COVID-19)
pandemic scenarios, which were first published in April 2020.
(7) Carvana's financial condition as reported in its annual report
on Form 10-K filed as of February 23, 2023.
(8) The legal structure and expected presence of legal opinions,
which will address the true sale of the assets to the Issuer, the
nonconsolidation of the special-purpose vehicle with Carvana, that
the trust has a valid first-priority security interest in the
assets, and consistency with the DBRS Morningstar "Legal Criteria
for U.S. Structured Finance."
The rating on the Class A Notes reflects 53.70% of initial hard
credit enhancement provided by subordinated notes in the pool
(45.05%), overcollateralization (7.40%) and the reserve account
(1.25%). The ratings on the Class B, C, D, and E Notes reflect
42.10%, 31.35%, 19.60%, and 8.65% of initial hard credit
enhancement, respectively.
Notes: All figures are in U.S. dollars unless otherwise noted.
CARVANA AUTO 2023-P2: S&P Assigns Prelim BB+(sf) Rating on N Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Carvana Auto
Receivables Trust 2023-P2's automobile asset-backed notes.
The note issuance is an ABS securitization backed by prime auto
loan receivables.
The preliminary ratings are based on information as of May 18,
2023. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The availability of 15.14%, 12.31%, 9.82%, 6.27%, and 6.80%
credit support (hard credit enhancement and haircut to excess
spread) for the class A (class A-1, A-2, A-3, and A-4), B, C, D,
and N notes, respectively, based on stressed cash flow scenarios.
These credit support levels provide over 5.00x, 4.00x, 3.00x,
2.00x, and 1.73x coverage of our expected cumulative net loss of
2.75% for the class A, B, C, D, and N notes, respectively.
-- The expectation that under a moderate ('BBB') stress scenario
(2.00x our expected loss level), all else being equal, S&P's
preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB+
(sf)' ratings on the class A, B, C, D, and N notes, respectively,
are within its credit stability limits.
-- The timely interest and principal payments by the designated
legal final maturity dates under S&P's stressed cash flow modeling
scenarios, which S&P believes are appropriate for the assigned
preliminary ratings.
-- The collateral characteristics of the series' prime automobile
loans, S&P's view of the credit risk of the collateral, and its
updated macroeconomic forecast and forward-looking view of the auto
finance sector.
-- The series' bank accounts at Wells Fargo Bank N.A., which do
not constrain the preliminary ratings.
-- S&P's operational risk assessment of Bridgecrest Credit Co. LLC
as servicer, as well as the backup servicing agreement with Vervent
Inc.
-- S&P's assessment of the transaction's potential exposure to
environmental, social, and governance credit factors that are in
line with our sector benchmark.
-- The transaction's payment and legal structures.
Preliminary Ratings Assigned
Carvana Auto Receivables Trust 2023-P2(i)
Class A-1, $47.00 million: A-1+ (sf)
Class A-2, $126.33 million: AAA (sf)
Class A-3, $126.32 million: AAA (sf)
Class A-4, $78.86 million: AAA (sf)
Class B, $14.03 million: AA (sf)
Class C, $11.56 million: A (sf)
Class D, $8.67 million: BBB (sf)
Class N(ii), $11.00 million: BB+ (sf)
(i)The actual interest rate and amount for each class will be
determined on the pricing date.
(ii)The class N notes will be paid to the extent funds are
available after the overcollateralization target is achieved, and
they will not provide any enhancement to the senior classes.
CFMT 2023-HB12: DBRS Finalizes B Rating on Class M6 Notes
---------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Asset-Backed Notes, Series 2023-2 issued by CFMT 2023-HB12, LLC:
-- $326.6 million Class A at AAA (sf)
-- $48.5 million Class M1 at AA (low) (sf)
-- $36.6 million Class M2 at A (low) (sf)
-- $38.3 million Class M3 at BBB (low) (sf)
-- $24.5 million Class M4 at BB (sf)
-- $12.3 million Class M5 at BB (low) (sf)
-- $21.8 million Class M6 at B (sf)
The AAA (sf) rating reflects 34.9% of credit enhancement. The AA
(low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), BB (low) (sf),
and B (sf) ratings reflect 25.2%, 17.9%, 10.3%, 5.4%, 2.9%, and
-1.4% of credit enhancement, respectively.
Other than the specified classes above, DBRS Morningstar did not
rate any other classes in this transaction.
Lenders typically offer reverse mortgage loans to people who are at
least 62 years old. Through reverse mortgage loans, borrowers have
access to home equity through a lump sum amount or a stream of
payments without periodically repaying principal or interest,
allowing the loan balance to accumulate over time until a maturity
event occurs. Loan repayment is required (1) if the borrower dies,
(2) if the borrower sells the related residence, (3) if the
borrower no longer occupies the related residence for a period
(usually a year), (4) if it is no longer the borrower's primary
residence, (5) if a tax or insurance default occurs, or (6) if the
borrower fails to properly maintain the related residence. In
addition, borrowers must be current on any homeowner's association
dues if applicable. Reverse mortgages are typically nonrecourse;
borrowers don't have to provide additional assets in cases where
the outstanding loan amount exceeds the property's value (the
crossover point). As a result, liquidation proceeds will fall below
the loan amount in cases where the outstanding balance reaches the
crossover point, contributing to higher loss severities for these
loans.
As of the Cut-Off Date (January 31, 2023), the collateral had
approximately $499.5 million in unpaid principal balance from 1,863
nonperforming home equity conversion mortgage reverse mortgage
loans and real estate owned properties secured by first liens
typically on single-family residential properties, condominiums,
multifamily (two- to four-family) properties, manufactured homes,
and planned unit developments. The mortgage assets were originated
between 1993 and 2016. Of the total assets, 131 have a fixed
interest rate (7.3% of the balance), with a 5.0% weighted-average
coupon (WAC). The remaining 1,732 assets have floating-rate
interest (92.7% of the balance) with a 6.3% WAC, bringing the
entire collateral pool to a 6.2% WAC.
A majority of the mortgage assets (52.7% of the balance) were
previously securitized in the CFMT 2020-HB4 transaction. In
addition to the mortgage assets, the transaction will benefit from
a REO Trust Account from the previous securitization totaling
approximately $2.0 million.
The transaction uses a sequential structure. No subordinate note
shall receive any principal payments until the senior notes (Class
A notes) have been reduced to zero. This structure provides credit
enhancement in the form of subordinate classes and reduces the
effect of realized losses. These features increase the likelihood
that holders of the most senior class of notes will receive regular
distributions of interest and/or principal. All note classes have
available fund caps.
Classes M1, M2, M3, M4, M5, and M6 have principal lockout terms
insofar as they are not entitled to principal payments prior to a
Redemption Date, unless an Acceleration Event or Auction Failure
Event occurs. Available cash will be trapped until these dates, at
which stage the notes will start to receive payments. Note that the
DBRS Morningstar cash flow as it pertains to each note models the
first payment being received after these dates for each of the
respective notes; hence, at the time of issuance, these rules are
not likely to affect the natural cash flow waterfall.
A failure to pay the notes in full on the Mandatory Call Date
(April 2027) will trigger a mandatory auction of all assets. If the
auction fails to elicit sufficient proceeds to pay off the notes,
another auction will follow every three months for up to a year
after the Mandatory Call Date. If these have failed to pay off the
notes, this is deemed an Auction Failure, and subsequent auctions
will proceed every six months.
If the Class M5 and M6 Notes have not been redeemed or paid in full
by the Mandatory Call Date, these notes will accrue Additional
Accrued Amounts
Notes: All figures are in U.S. dollars unless otherwise noted.
CHASE HOME 2023-RPL1: DBRS Gives Prov. BB Rating on Class B2 Certs
------------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage Certificates, Series 2023-RPL1 (the Certificates) to be
issued by Chase Home Lending Mortgage Trust 2023-RPL1 (CHASE
2023-RPL1 or the Trust):
-- $400.1 million Class A-1-A at AAA (sf)
-- $20.5 million Class A-1-B at AAA (sf)
-- $420.6 million Class A-1 at AAA (sf)
-- $24.3 million Class A-2 at AA (high) (sf)
-- $15.5 million Class M-1 at A (high) (sf)
-- $11.0 million Class M-2 at BBB (high) (sf)
-- $7.8 million Class B-1 at BBB (low) (sf)
-- $5.0 million Class B-2 at BB (sf)
The AAA (sf) rating on the Class A-1-A, Class A-1-B, and Class A-1
Certificates reflects 15.90% of credit enhancement, provided by
subordinated notes in the transaction. The AA (high) (sf), A (high)
(sf), BBB (high) (sf), BBB (low) (sf), and BB (sf) ratings reflect
11.05%, 7.95%, 5.75%, 4.20%, and 3.20% of credit enhancement,
respectively.
Other than the classes specified above, DBRS Morningstar does not
rate any other classes in this transaction.
This transaction is a securitization of a portfolio of primarily
seasoned performing and reperforming first-lien residential
mortgages and funded by the issuance of mortgage certificates (the
Certificates). The Certificates are backed by 2,565 loans with a
total principal balance of $526,395,515 as of the Cut-Off Date
(March 31, 2023).
J.P. Morgan Mortgage Acquisition Corp. will serve as the Sponsor
and Mortgage Loan Seller of the transaction. JPMorgan Chase Bank,
National Association (JPMCB) will act as the Representing Party,
Servicer, and Custodian. DBRS Morningstar rates JPMCB's Long-Term
Issuer and Long-Term Senior Debt at AA with a stable trend and its
Short-Term Instruments at R-1 (high) with a stable trend.
The loans are approximately 202 months seasoned on average. As of
the Cut-Off Date, 99.5% of the pool is current under the Mortgage
Bankers Association (MBA) delinquency method, and 0.5% is in
bankruptcy. All the bankruptcy loans are currently performing.
Approximately 97.6% and 91.4% of the mortgage loans have been zero
times (x) 30 days delinquent for the past 12 months and 24 months,
respectively, under the MBA delinquency method.
Within the portfolio, 98.4% of the loans are modified. The
modifications happened more than two years ago for 99.1% of the
modified loans. Within the pool, 949 mortgages have
non-interest-bearing deferred amounts, which equate to 9.4% of the
total principal balance. Unless specified otherwise, all statistics
on the mortgage loans in the related report are based on the
current balance, including the applicable non-interest-bearing
deferred amounts.
One of the Sponsor's majority-owned affiliates will acquire and
retain a 5% vertical interest in the transaction, consisting of an
uncertificated interest in the issuing entity, to satisfy the
credit risk retention requirements. Such uncertificated interest
represents the right to receive at least 5% of the amounts
collected on the mortgage loans (net of fees, expenses, and
reimbursements).
There will not be any advancing of delinquent principal or interest
on any mortgage by the Servicer or any other party to the
transaction; however, the Servicer is generally obligated to make
advances in respect of taxes and insurance as well as reasonable
costs and expenses incurred in the course of servicing and
disposing properties.
For this transaction, the servicing fee payable for the mortgage
loans is composed of three separate components: the base servicing
fee, the delinquent servicing fee, and the additional servicing
fee. These fees vary based on the delinquency status of the related
loan and will be paid from interest collections before distribution
to the securities.
On any Distribution Date when the aggregate unpaid principal
balance (UPB) of the mortgage loans is less than 10% of the
aggregate Cut-Off Date UPB, the Servicer (and it's successors and
assigns) will have the option to purchase all of the mortgage loans
at a purchase price equal to the sum of the unpaid principal
balance of the mortgage loans, accrued interest, the appraised
value of the real estate owned properties, and any unpaid expenses
and reimbursement amounts.
The transaction employs a sequential-pay cash flow structure.
Principal proceeds can be used to cover interest shortfalls on the
Certificates, but such shortfalls on Class M-1 and more subordinate
bonds will not be paid from principal proceeds until Class A-1-A,
Class A-1-B, and Class A-2 are retired.
Notes: All figures are in U.S. dollars unless otherwise noted.
CIM TRUST 2023-R4: DBRS Gives Prov. B Rating on Class B3 Notes
--------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage-Backed Notes, Series 2023-R4 (the Notes) to be issued by
CIM Trust 2023-R4 (CIM 2023-R4 or the Trust):
-- $297.3 million Class A1 at AAA (sf)
-- $26.2 million Class A2 at AAA (sf)
-- $19.9 million Class M1 at A (high) (sf)
-- $16.0 million Class M2 at BBB (high) (sf)
-- $8.3 million Class B1 at BB (high) (sf)
-- $6.1 million Class B2 at BB (sf)
-- $7.3 million Class B3 at B (sf)
The AAA (sf) rating on the Notes reflects 17.90% of credit
enhancement provided by subordinated notes in the transaction. The
A (high) (sf), BBB (high) (sf), BB (high) (sf), BB (sf), and B (sf)
ratings reflect 12.85%, 8.80%, 6.70%, 5.15%, and 3.30% of credit
enhancement, respectively.
Other than the classes specified above, DBRS Morningstar does not
rate any other classes in this transaction.
This transaction is a securitization of a portfolio of primarily
seasoned performing and reperforming first-lien residential
mortgages funded by the issuance of mortgage-backed notes (the
Notes). The Notes are backed by 3,744 loans with a total principal
balance of $393,996,728 as of the Cut-Off Date (March 31, 2023).
The loans are approximately 158 months seasoned on average. As of
the Cut-Off Date, 95.8% of the pool is current, 3.6% is 30 days
delinquent under the Mortgage Bankers Association (MBA) delinquency
method, and 0.6% is in bankruptcy (all except two of the bankruptcy
loans are performing). Approximately 77.8% and 42.9% of the
mortgage loans have been zero times (x) 30 days delinquent for the
past 12 months and 24 months, respectively, under the MBA
delinquency method.
In the portfolio, 60.4% of the loans are modified. The
modifications happened more than two years ago for 64.1% of the
modified loans. Within the pool, 1,586 mortgages have
non-interest-bearing deferred amounts that equate to 4.6% of the
total principal balance. Unless specified otherwise, all statistics
on the mortgage loans in this report are based on the current
balance, including the applicable non-interest-bearing deferred
amounts.
The majority of the pool (79.5%) is exempt from the Consumer
Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified
Mortgage (QM) rules. The loans subject to the ATR rules are
designated as QM Safe Harbor (14.0%), Non-QM (6.3%), and QM
Rebuttable (0.2%) by unpaid principal balance.
Fifth Avenue Trust (the Seller) acquired the mortgage loans prior
to the Cut-Off Date and, through a wholly owned subsidiary, Funding
Depositor LLC (the Depositor), will contribute the loans to the
Trust. As the Sponsor, Chimera Investment Corporation (Chimera) or
one of its majority-owned affiliates will acquire and retain a 5%
eligible horizontal residual interest in the Notes, consisting of a
portion of the Class B1 Notes and all of the Class B2, B3, B4, and
C Notes, in the aggregate, to satisfy the credit risk retention
requirements. Various entities originated and previously serviced
the loans through purchases in the secondary market.
Prior to CIM 2023-R4, Chimera had issued 51 seasoned
securitizations under the CIM shelf since 2014, all of which were
backed by subprime, reperforming, or nonperforming loans. DBRS
Morningstar has rated 11 of the previously issued CIM reperforming
loan deals. Similar to the CIM 2023-R2 deal, this transaction
exhibits much stronger credit characteristics than previously
issued transactions under the CIM shelf. DBRS Morningstar reviewed
the historical performance of both the rated and unrated
transactions issued under the CIM shelf, particularly with respect
to the reperforming transactions, which may not have collateral
attributes similar to CIM 2023-R4. The reperforming CIM
transactions generally have delinquencies and losses in line with
expectations for previously distressed assets.
The loans will all be serviced by Fay Servicing, LLC (Fay). There
will not be any advancing of delinquent principal or interest on
any mortgages by the Servicer or any other party to the
transaction; however, the related Servicer is obligated to make
advances in respect of homeowner's association fees, taxes, and
insurance as well as reasonable costs and expenses incurred in the
course of servicing and disposing of properties.
On the earlier of the Payment Date occurring in April 2028, or
after the Payment Date when the aggregate note amount of the
offered Notes is reduced to 10% of the Closing Date note amount,
the Call Option Holder (the Depositor or any successor or assignee)
has the option to purchase all of the mortgage loans and any real
estate owned (REO) properties at a certain purchase price equal to
the unpaid principal balance of the mortgage loans, plus the fair
market value of the REO properties and any unpaid expenses and
reimbursement amounts.
The transaction employs a sequential-pay cash flow structure.
Principal proceeds can be used to cover interest shortfalls on the
Notes, but such shortfalls on Class M1 and more subordinate bonds
will not be paid from principal proceeds until the Class A1 and A2
Notes are retired.
Notes: All figures are in U.S. dollars unless otherwise noted.
CITIGROUP 2023-SMRT: Moody's Affirms (P)Ba2 Rating on Cl. E Certs
-----------------------------------------------------------------
Moody's Investors Service has affirmed provisional ratings on six
classes and has upgraded one class of CMBS securities, issued by
Citigroup Commercial Mortgage Trust 2023-SMRT, Commercial Mortgage
Pass-Through Certificates, Series 2023-SMRT:
Cl. A Affirmed (P)Aaa (sf), previously on May 8, 2023 Assigned
(P)Aaa (sf)
Cl. B Affirmed (P)Aa3 (sf), previously on May 8, 2023 Assigned
(P)Aa3 (sf)
Cl. C Affirmed (P)A3 (sf), previously on May 8, 2023 Assigned (P)A3
(sf)
Cl. D Affirmed (P)Baa3 (sf), previously on May 8, 2023 Assigned
(P)Baa3 (sf)
Cl. E Affirmed (P)Ba2 (sf), previously on May 8, 2023 Assigned
(P)Ba2 (sf)
Cl. HRR Affirmed (P)Ba3 (sf), previously on May 8, 2023 Assigned
(P)Ba3 (sf)
Cl. X* Upgraded to (P)Aaa (sf), previously on May 8, 2023 Assigned
(P)Aa1 (sf)
*Reflects Interest-Only Classes
Note: Moody's previously assigned provisional ratings to Class A of
(P)Aaa (sf), Class B (P)Aa3 (sf), Class C (P)A3 (sf), Class D
(P)Baa3 (sf), Class E (P)Ba2 (sf), Class HRR (P)Ba3 (sf) and Class
X (P)Aa1 (sf), described in the prior press release, dated May 8,
2023. Subsequent to the provisional ratings release, the structure
of the transaction was modified. Class balances for Class A, Class
B, Class C, Class D, and Class X were updated. Additionally, Class
X was updated to reference only Class A, whereas previously both
Class A and Class B were referenced. Based on the current
structure, Moody's has affirmed provisional ratings for Class A,
Class B, Class C, Class D, Class E, and Class HRR. Class X has been
upgraded.
RATINGS RATIONALE
Moody's originally published ratings along with a pre-sale report
for the Citigroup Commercial Mortgage Trust 2023-SMRT transaction
on May 8, 2023. Subsequent to that publication, the structure of
the transaction was modified. Moody's are publishing this revised
press release to disclose Moody's opinion of the new structure.
The certificates are collateralized by the borrower's fee simple or
fee simple/leasehold interests in 136 self-storage properties
located across 19 states. Moody's ratings are based on the credit
quality of the loans and the strength of the securitization
structure.
Moody's approach to rating this transaction involved the
application of Moody's Large Loan and Single Asset/Single Borrower
Commercial Mortgage-Backed Securitization methodology and Moody's
IO Rating Methodology. The rating approach for securities backed by
a single loan compares the credit risk inherent in the underlying
collateral with the credit protection offered by the structure. The
structure's credit enhancement is quantified by the maximum
deterioration in property value that the securities are able to
withstand under various stress scenarios without causing an
increase in the expected loss for various rating levels. In
assigning single borrower ratings, Moody's also consider a range of
qualitative issues as well as the transaction's structural and
legal aspects.
The portfolio contains 78,198 self-storage units offering
approximately 10.1 million SF of combined rentable area. The
portfolio is geographically diverse as the properties are located
across 19 states and 34 markets. As of April 23, 2023, the
portfolio net rentable area was approximately 87.8% occupied. The
top five states by net cash flow are Missouri (22.2%), Kansas
(10.0%), Florida (9.1%), Iowa (8.2%), and Illinois (7.2%). Trade
areas for the respective property markets are generally dense and
affluent as the weighted average population and median household
income are approximately 96,315 people and $82,960, respectively,
within a three-mile radius.
The portfolio is also granular at the property level, with no
individual property accounting for more than 2.5% of the
portfolio's net cash flow.
The credit risk of loans is determined primarily by two factors: 1)
Moody's assessment of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessment of the
severity of loss upon a default, which is largely driven by each
loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV.
As described in the CMBS methodology used to rate this transaction,
Moody's make various adjustments to the MLTV. Moody's adjust the
MLTV for each loan using a value that reflects capitalization (cap)
rates that are between Moody's sustainable cap rates and market cap
rates. Moody's also use an adjusted loan balance that reflects each
loan's amortization profile.
The Moody's first mortgage actual DSCR is 1.38X and Moody's first
mortgage actual stressed DSCR is 0.90X. Moody's DSCR is based on
Moody's stabilized net cash flow.
Moody's LTV ratio for the first mortgage balance is 111.6% based on
Moody's Value. Adjusted Moody's LTV ratio for the first mortgage
balance is 98.2% based on Moody's Value using a cap rate adjusted
for the current interest rate environment.
Moody's also grades properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The property's quality
grade is 2.25.
Notable strengths of the transaction include the portfolio's strong
historical operating performance, geographic diversity, demographic
profile, and experienced sponsorship.
Notable concerns of the transaction include the portfolio's
property age, low climate-control profile, high Moody's loan to
value ratio, cash-out refinancing, and credit negative legal
features.
The principal methodology used in rating all classes except
interest-only classes was "Large Loan and Single Asset/Single
Borrower Commercial Mortgage-Backed Securitizations Methodology"
published in July 2022.
Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from Moody's
loan level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.
Moody's analysis considers the following inputs to calculate the
proposed IO rating based on the published methodology: original and
current bond ratings and credit estimates; original and current
bond balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology.
Factors that would lead to an upgrade or downgrade of the ratings:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
CITIGROUP 2023-SMRT: Moody's Assigns (P)Ba2 Rating to E Certs
-------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to seven
classes of CMBS securities, issued by Citigroup Commercial Mortgage
Trust 2023-SMRT, Commercial Mortgage Pass-Through Certificates,
Series 2023-SMRT:
Cl. A Assigned (P)Aaa (sf)
Cl. B Assigned (P)Aa3 (sf)
Cl. C Assigned (P)A3 (sf)
Cl. D Assigned (P)Baa3 (sf)
Cl. E Assigned (P)Ba2 (sf)
Cl. HRR Assigned (P)Ba3 (sf)
Cl. X* Assigned (P)Aa1 (sf)
*Reflects Interest-Only Classes
RATINGS RATIONALE
The certificates are collateralized by the borrower's fee simple or
fee simple/leasehold interests in 136 self-storage properties
located across 19 states. Moody's ratings are based on the credit
quality of the loans and the strength of the securitization
structure.
Moody's approach to rating this transaction involved the
application of Moody's Large Loan and Single Asset/Single Borrower
Commercial Mortgage-Backed Securitization methodology and Moody's
IO Rating Methodology. The rating approach for securities backed by
a single loan compares the credit risk inherent in the underlying
collateral with the credit protection offered by the structure. The
structure's credit enhancement is quantified by the maximum
deterioration in property value that the securities are able to
withstand under various stress scenarios without causing an
increase in the expected loss for various rating levels. In
assigning single borrower ratings, Moody's also consider a range of
qualitative issues as well as the transaction's structural and
legal aspects.
The portfolio contains 78,198 self-storage units offering
approximately 10.1 million SF of combined rentable area. The
portfolio is geographically diverse as the properties are located
across 19 states and 34 markets. As of April 23, 2023, the
portfolio net rentable area was approximately 87.8% occupied. The
top five states by net cash flow are Missouri (22.2%), Kansas
(10.0%), Florida (9.1%), Iowa (8.2%), and Illinois (7.2%). Trade
areas for the respective property markets are generally dense and
affluent as the weighted average population and median household
income are approximately 96,315 people and $82,960, respectively,
within a three-mile radius. The portfolio is also granular at the
property level, with no individual property accounting for more
than 2.5% of the portfolio's net cash flow.
The credit risk of loans is determined primarily by two factors: 1)
Moody's assessment of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessment of the
severity of loss upon a default, which is largely driven by each
loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV.
As described in the CMBS methodology used to rate this
transaction, Moody's make various adjustments to the MLTV. Moody's
adjust the MLTV for each loan using a value that reflects
capitalization (cap) rates that are between Moody's sustainable cap
rates and market cap rates. Moody's also use an adjusted loan
balance that reflects each loan's amortization profile.
The Moody's first mortgage actual DSCR is 1.33X and Moody's first
mortgage actual stressed DSCR is 0.90X. Moody's DSCR is based on
Moody's stabilized net cash flow.
Moody's LTV ratio for the first mortgage balance is 111.6% based on
Moody's Value. Adjusted Moody's LTV ratio for the first mortgage
balance is 98.1% based on Moody's Value using a cap rate adjusted
for the current interest rate environment.
Moody's also grades properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The property's quality
grade is 2.25.
Notable strengths of the transaction include the portfolio's strong
historical operating performance, geographic diversity, demographic
profile, and experienced sponsorship.
Notable concerns of the transaction include the portfolio's
property age, low climate-control profile, high Moody's loan to
value ratio, cash-out refinancing, and credit negative legal
features.
The principal methodology used in rating all classes except
interest-only classes was "Large Loan and Single Asset/Single
Borrower Commercial Mortgage-Backed Securitizations Methodology"
published in July 2022.
Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from Moody's
loan level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.
Moody's analysis considers the following inputs to calculate the
proposed IO rating based on the published methodology: original and
current bond ratings and credit estimates; original and current
bond balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology.
Factors that would lead to an upgrade or downgrade of the ratings:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
COMM 2014-CCRE18: DBRS Confirms CCC Rating on Class F Certs
-----------------------------------------------------------
DBRS Limited confirmed all classes of Commercial Mortgage
Pass-Through Certificates, Series 2014-CCRE18 issued by COMM
2014-CCRE18 Mortgage Trust as follows:
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-M at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (high) (sf)
-- Class PEZ at A (high) (sf)
-- Class X-B at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class E at B (high) (sf)
-- Class F at CCC (sf)
All trends are Stable with the exception of Class F, which has a
rating which does not typically carry a trend in commercial
mortgage-backed securities (CMBS) ratings. The rating confirmations
reflect the overall stable performance of the underlying
collateral, which remains in line with DBRS Morningstar's
expectations since the last review. At issuance, the transaction
consisted of 49 loans with an original trust balance of $996
million. As of the April 2023 remittance report, 35 loans remained
in the transaction with a current trust balance of $589 million,
representing a collateral reduction of approximately 40.9% since
issuance. In addition to significant paydown from issuance, the
transaction also benefits from defeasance, as 11 loans, totaling
30.0% of the pool, are fully defeased. Five loans, representing
9.9% of the pool, are currently monitored on the servicer's
watchlist, and there are no loans currently in special servicing.
The pool benefits from the relatively low concentration of loans
backed by office properties (15.9%): however, these loans are
generally significantly weaker than the pool as a whole, with the
weighted-average expected loss (EL) at approximately 150% of the
pool average EL.
The second-largest loan in the pool, Southfield Town Center
(Prospectus ID#4, 9.5% of the pool), is secured by a 2.15 million
square-foot (sf), five-building suburban office property located in
the Detroit suburb of Southfield, Michigan. The loan was previously
added to the servicer's watchlist in March 2020 due to cash flow
declines, but performance has since improved. According to the
year-end (YE) 2022 financials, net cash flow (NCF) was reported at
$17.8 million (representing a debt service coverage ratio (DSCR) of
2.00 times(x)), an increase of 6.1% from YE2021 when NCF was
reported at $15.7 million (a DSCR of 1.77x), and above the issuance
figure of $16.4 million (a DSCR of 1.85x). Occupancy remains stable
at 79.6%, with 13 new leases signed throughout 2022 at an average
rental rate of $16.20 per square foot (psf). Additionally, leases
representing 11.5% of total net rentable area (NRA) will expire in
2023. Although the collateral is performing, the suburban location
and relatively high loan-to-value (LTV) of 78.5% on the issuance
balance pushes the loan's baseline EL up significantly, with the
resulting figure 168.0% higher than the pool average.
The largest loan on the servicer's watchlist, 399 Thornall Street
(Prospectus ID#8, 5.6% of the pool), is secured by a 335,000 sf
suburban office property in Edison, New Jersey. The loan was first
added to the watchlist in 2017 when the occupancy fell to 39.0% in
2019 due to the former largest and second-largest tenants, Daiichi
Sankyo, Ltd. (Daiichi Sankyo) and Oracle Corp. (Oracle),
respectively, downsizing. Daiichi Sankyo now occupies 7.2% of the
NRA with a lease expiring in May 2024, while Oracle exercised its
termination option and vacated the property in 2021. Following
these moves, the physical occupancy rate fell to 39.0%.
Additionally, it was confirmed that four new leases were signed
throughout 2021 and 2022 representing 11.8% of NRA which brought
the average rental rate at the property up to $32.40 psf as of
September 2022. As of Q3 2022, the property was 43.6% occupied with
leases representing 11.4% of NRA scheduled to expire throughout
2023. Additionally, according to Reis, the Metropark submarket had
average rental and vacancy rates of $28.20 psf and 12.5%,
respectively, at YE2022.
As of Q3 2022, the loan reported a DSCR of 0.56x, down from 1.39x
at YE2021, and cash flows were down 44.0% from the DBRS Morningstar
NCF derived at issuance. The loan remains current and the borrower
appears committed to the property as of now. However, there are
significant challenges for the property given the very low in-place
occupancy rate. As a result, DBRS Morningstar applied a stressed
LTV for this loan that resulted in an EL that was 153.0% higher
than the pool EL.
Notes: All figures are in U.S. dollars unless otherwise noted.
COMM 2014-CCRE20: DBRS Cut Rating on 2 Classes of Certs to D
------------------------------------------------------------
DBRS Limited downgraded its ratings on two classes of the
Commercial Mortgage Pass-Through Certificates, Series 2014-CCRE20
issued by COMM 2014-CCRE20 Commercial Mortgage Trust as follows:
-- Class F to D (sf) from C (sf)
-- Class G to D (sf) from C (sf)
The rating downgrades were due to losses to the trust, resulting
from the liquidation of the Crowne Plaza Houston Katy Freeway
(Prospectus ID#9) loan with the March 2023 remittance report. The
loan was liquidated from the trust with a $24.3 million loss that
took out the nonrated Class H, the entirety of Class G, and
approximately $520,000 of Class F. In addition, the April 2023
remittance reported approximately $15,000 of additional loss to
Class F, which was due to an adjustment related to nonrecoverable
amounts tied to the Crowne Plaza Houston Katy Freeway and
DoubleTree Beachwood loans. As such, the Class F balance has been
reduced to $11.3 million. In accordance with DBRS Morningstar's
policies and procedures, the ratings on both classes were
simultaneously discontinued and withdrawn as there is no benefit to
investors to maintain the ratings.
Notes: All figures are in U.S. dollars unless otherwise noted.
COMM 2019-521F: DBRS Confirms B Rating on Class F Certs
-------------------------------------------------------
DBRS Limited confirmed its ratings on all classes of COMM 2019-521F
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
issued by COMM 2019-521F Trust as follows:
-- Class A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (high) (sf)
-- Class D at BBB (high) (sf)
-- Class E at BB (sf)
-- Class F at B (sf)
All trends are Stable.
Although the collateral for the underlying loan has seen a
contraction in occupancy and cash flow, which may be further
exacerbated by challenging office market fundamentals and continued
uncertainty related to end-user demand, the subject property is a
high-quality office building, positioned in a prime location on the
corner of Fifth Avenue and East 43rd Street, in New York City.
Further, the transaction benefits from strong institutional
sponsorship provided by Savanna Capital Partners who acquired the
property in May 2019 for $381.0 million, using a $242.0 million
first-lien mortgage loan and equity capital of $139.0 million. DBRS
Morningstar also notes that there has been recent positive leasing
momentum at the property, with several transactions closed
throughout 2022.
The transaction is secured by the borrower's fee-simple interest in
521 Fifth Avenue, a 495,636-square foot (sf), 39-story Class A
office property built in 1929. The sponsor spent approximately $4.0
million to upgrade the façade of the building which includes three
underground levels and multilevel retail space, which represents
10.1% of the subject's total net rentable area (NRA). The property
is well located, close to Grand Central Terminal, Bryant Park, and
the New York City Public Library. The building offers efficient and
flexible floorplates ranging from 3,000 sf to 22,500 sf with
outdoor terraces that appeal to both large and boutique tenants.
Tenants can enter the office space using the main office lobby
along 43rd Street, which provides additional access to the two side
street retail tenants within the property. The property also has
eight setback outdoor terraces on multiple floors. Urban Outfitters
occupies the prime Fifth Avenue retail space on the ground floor,
with Equinox and Cazzolina Restaurant occupying the side street
retail suites.
The loan is floating rate and had an initial term of two years with
a maturity date in June 2021, in addition to three one-year
extension options that are not subject to any performance hurdles.
The borrower has exercised two out of the three extension options,
pushing the current maturity date to June 2023. At issuance, the
borrower entered into, and assigned to the lender, an interest rate
cap agreement that was valid through June 2022. In connection with
the exercise of each 12-month extension option, the borrower is
required to extend the rate cap agreement until the extended
maturity date occurs. DBRS Morningstar received confirmation that
the borrower has entered into a revised interest rate cap agreement
expiring in June 2023 with SMBC Capital Markets, Inc. at a LIBOR
strike price equal to 4.5%, mirroring the terms of the original
agreement. DBRS Morningstar believes it is likely that the borrower
will exercise the fourth extension option; however, to date, DBRS
Morningstar has not received confirmation from the servicer.
Occupancy at the property has trended downward in recent years,
slipping from 93.0% at issuance to 80.8% at YE2021 and 74.3% at
YE2022. Occupancy declines began after Modis (formerly 4.4% of the
NRA) and BMO Capital Markets (formerly 4.5% of the NRA) vacated the
subject upon their November 2021 and May 2022 lease expirations,
respectively. A September 2022 "Real Estate Weekly" article noted
upward of five leases that were signed in 2022, including two
tenants, Tethys Technology (5,979 sf) and Averon Energy (8,600 sf)
that are not reflected in the December 2022 rent roll, suggesting
the physical occupancy rate could increase to approximately 77.3%
in the near term. In addition, average rental rates at the property
have increased to $70.94 per square foot (psf) from $64.83 psf at
issuance with rental rates for new leases signed in 2022 ranging
from $72.00 psf to $84.00 psf. According to Reis, comparable Class
A office properties within a one-mile radius from the subject
reported average vacancy rates of 13.9% with effective rental rates
of $70.62.
The largest tenant, Urban Outfitters (5.2% of the NRA) has a lease
that expires in February 2026 with two five-year extension options.
The second-largest tenant is Equinox (5.2% of the NRA through
January 2035), which occupies 25,735 sf of primarily
below-ground-level retail space. The remainder of the rent roll is
relatively granular with no other tenant representing more than
5.0% of the NRA. The three largest office tenants at the property
include Major, Lindsey & Africa (4.4% of the NRA through January
2024), Laidlaw & Company (4.2% of NRA through February 2029), and
CTBC Bank Co. (4.2% of the NRA through January 2029). Lease
rollover within the next 12 months is moderately concentrated with
tenant leases representing approximately 11.5% of NRA set to roll,
including the largest office tenant.
According to the YE2022 financial reporting, the property generated
net cash flow (NCF) of $11.2 million, with a debt service coverage
ratio (DSCR) of 2.7 times (x), compared with the YE2021 figures of
$16.1 million and 4.5x., respectively. The YE2021 and YE2022 NCF
figures are 5.9% and 34.4% lower than the DBRS Morningstar NCF
figure of $17.1 million, which was derived in 2020 when ratings
were assigned. The cash flow declines since that time are largely
attributable to declining rental revenue and expense
reimbursements. The DSCR has fallen in turn, with coverage also
stressed given the increase in the debt service obligation, which
increased approximately 17.0% between YE2021 and YE2022.
DBRS Morningstar's analysis for this review considered a NCF of
$15.8 million, which was derived by applying a 2.0% haircut to the
YE2021 NCF. A 6.5% cap rate was applied to that value, resulting in
a DBRS Morningstar value of $242.2 million. The updated DBRS
Morningstar value is a -7.5% variance from the value derived when
the ratings were assigned in March 2020 and a -38.6% variance from
the appraised as-is value at issuance of $395 million. The DBRS
Morningstar value implies a loan-to-value ratio (LTV) of 99.8%
compared with a LTV of 61.3% on the as-is appraised value at
issuance. Although property performance has faced headwinds in
recent years, DBRS Morningstar notes that the collateral appears
relatively well positioned for a near-to-moderate term recovery
given its prime location, recent leasing momentum, flexible floor
plates and strong institutional sponsorship. The sponsor maintains
a significant amount of equity within the transaction, and has
experience owning and operating numerous office properties in
Manhattan.
Notes: All figures are in U.S. dollars unless otherwise noted.
CORNHUSKER FUNDING 1C: DBRS Confirms BB Rating on Class B Notes
---------------------------------------------------------------
DBRS, Inc. confirmed the following provisional ratings on the Class
X Notes, the Class A Notes, and the Class B Notes issued by
Cornhusker Funding 1C LLC (the Issuer) pursuant to the terms of the
Indenture dated as of April 22, 2022, between the Issuer and U.S.
Bank Trust Company, National Association:
-- Class X Notes at AAA (sf)
-- Class A Notes at BBB (sf)
-- Class B Notes at BB (sf)
DBRS Morningstar also placed its rating of B (sf) on the Class C
Notes (together with the Class X Notes, the Class A Notes, and the
Class B Notes, the Notes) issued by Cornhusker Funding 1C LLC Under
Review with Negative Implications.
The provisional rating on the Class X Notes addresses the timely
payment of interest and ultimate payment of principal on or before
the Stated Maturity (as defined in the Indenture). The provisional
ratings on the Class A Notes, the Class B Notes, and the Class C
Notes address the ultimate payment of interest and ultimate payment
of principal on or before the Stated Maturity (as defined in the
Indenture).
DBRS Morningstar's ratings on the Notes are provisional. The
provisional ratings reflect the fact that the finalization of the
provisional ratings is subject to satisfaction of certain
conditions after the Closing Date, such as compliance with
Effective Date conditions (as defined in the Indenture).
The Notes are collateralized primarily by a portfolio of U.S.
middle-market corporate loans. The Issuer is managed by Mount Logan
Management, LLC, which is a subsidiary of Mount Logan Capital Inc.
DBRS Morningstar considers Mount Logan Management, LLC an
acceptable collateralized loan obligation (CLO) manager. The
Reinvestment Period ends on April 8, 2030. The Stated Maturity Date
is September 15, 2036.
RATING RATIONALE
The rating actions are a result of the annual review of the
transaction. The rating confirmations are a result of the Class X
Notes, the Class A Notes, and the Class B Notes performing within
DBRS Morningstar's expectations. The rating on the Class C Notes
was placed Under Review with Negative Implications as a result of
the Class C Notes' current performance, including the failing Class
C Interest Coverage (IC) Test and the failing Diversity Score Test,
as well as a slower than expected ramp-up and reinvestment of
principal proceeds.
In its analysis, DBRS Morningstar considered the following aspects
of the transaction:
(1) The transaction's capital structure and the form and
sufficiency of available credit enhancement.
(2) Relevant credit enhancement in the form of subordination and
excess spread.
(3) The ability of the Notes to withstand projected collateral loss
rates under various cash flow stress scenarios.
(4) The credit quality of the underlying collateral and the ability
of the transaction to reinvest Principal Proceeds into new
Collateral Obligations, subject to the Eligibility Criteria, which
include testing the Concentration Limitations, Collateral Quality
Tests, and Coverage Tests.
(5) DBRS Morningstar's assessment of the origination, servicing,
and CLO management capabilities of Mount Logan as the Collateral
Manager.
(6) The legal structure as well as legal opinions addressing
certain matters of the Borrower and the consistency with the DBRS
Morningstar "Legal Criteria for U.S. Structured Finance"
methodology.
The transaction has a dynamic structural configuration that is used
to determine which of the row/column combinations (each a Matrix
Case) are applicable for the purpose of determining compliance with
the matrix, as set forth in the Indenture. Depending on a given
Diversity Score, DBRS Morningstar selects the following metrics
accordingly from the applicable row of the Collateral Quality
Matrix: DBRS Morningstar Risk Score and Weighted-Average Spread
Level. DBRS Morningstar analyzed each structural configuration as a
unique transaction, and all Matrix Cases passed the applicable DBRS
Morningstar rating stress levels. The Coverage Tests and triggers
as well as the Collateral Quality Tests that DBRS Morningstar
modeled in its base-case analysis are presented below.
Coverage Tests:
Class A Overcollateralization (OC) Ratio: 124.50%
Class B OC Ratio: 116.80%
Class C OC Ratio: 113.40%
Class A IC Ratio: 115.00%
Class B IC Ratio: 110.00%
Class C IC Ratio: 105.00%
Collateral Quality Tests:
Maximum Weighted-Average Life: 8 years
Maximum Diversity Score: 25
Maximum DBRS Morningstar Risk Score: 32.40%
Minimum Weighted-Average Spread: 4.70%
Some strengths of the transaction are (1) collateral quality that
consists of at least 95% senior-secured middle-market loans and (2)
the expected adequate diversification of the portfolio of
collateral obligations (matrix-driven Diversity Score).
Some challenges are (1) up to 5% of the portfolio pool may consist
of long-dated assets and (2) the underlying collateral portfolio
may be insufficient to redeem the Notes in an Event of Default.
DBRS Morningstar modeled the transaction using the DBRS Morningstar
CLO Asset model and its proprietary cash flow engine, which
incorporated assumptions regarding principal amortization, the
amount of interest generated, default timings, and recovery rates,
among other credit considerations referenced in the DBRS
Morningstar rating methodology "Cash Flow Assumptions for Corporate
Credit Securitizations." Model-based analysis produced satisfactory
results for the Class X Notes, the Class A Notes, and the Class B
Notes, which supported the confirmation of their provisional
ratings.
To assess portfolio credit quality, DBRS Morningstar may provide a
credit estimate or internal assessment for each nonfinancial
corporate obligor in the portfolio that is not rated by DBRS
Morningstar. Credit estimates are not ratings; rather, they
represent an abbreviated analysis, including model-driven or
statistical components of default probability for each obligor that
is used in assigning a rating to a facility sufficient to assess
portfolio credit quality.
CPS AUTO 2022-A: S&P Affirms BB- (sf) Rating on Class E Notes
-------------------------------------------------------------
S&P Global Ratings raised its ratings on six classes of notes from
CPS Auto Receivables Trust's series 2021-C and 2022-A
transactions. At the same time, S&P affirmed its ratings on three
classes.
S&P said, "The rating actions reflect each transaction's collateral
performance to date, our expectations regarding its future
collateral performance and our view of its structure and the
respective credit enhancement levels. We also incorporated
secondary credit factors (such as credit stability, payment
priorities under various scenarios) and sector- and issuer-specific
analyses, including our most recent macroeconomic outlook, which
incorporates a baseline forecast for U.S. GDP and unemployment.
Considering these factors, we believe the notes' creditworthiness
is consistent with the raised and affirmed ratings.
"The series 2021-C notes' performance is trending better than our
original cumulative net loss (CNL) expectations, while the series
2022-A performance is trending worse. As a result, we revised our
lifetime loss expectations accordingly."
Table 1
Collateral Performance (%)(i)
Pool Current 60+ day
Series Mo. factor CNL CRR delinq.
2021-C 21 49.18 6.25 46.25 6.17
2022-A 15 66.71 5.03 35.85 5.66
(i)As of the April 2023 distribution date.
Mo.--Month.
CNL--Cumulative net loss.
CRR--Cumulative recovery rate.
Delinq.--Delinquencies.
Table 2
CNL Expectations (%)
Original Revised
lifetime lifetime
Series CNL exp. CNL exp.
2021-C 19.25 16.00
2022-A 17.50 19.50
CNL exp.--Cumulative net loss expectations. Each transaction has a
sequential principal payment structure in which the notes are paid
principal by seniority. Each transaction also has credit
enhancement in the form of a nonamortizing reserve account,
overcollateralization, subordination for the higher-rated tranches,
and excess spread. As of the April 2023 distribution date, the
hard credit enhancement for each transaction is at the specified
target. The affirmed and raised ratings reflect S&P's view that
the total credit support as a percentage of the current pool
balance, compared with its expected remaining losses, is
commensurate with each raised or affirmed rating.
Table 3
Hard Credit Support (%)(i)
Total hard Current total hard
credit support credit support
Series Class at issuance(ii) % of current)(ii)
2021-C B 41.85 94.76
2021-C C 26.80 64.16
2021-C D 12.10 34.26
2021-C E 4.00 17.79
2022-A A 53.20 86.34
2022-A B 39.05 65.13
2022-A C 24.10 42.72
2022-A D 13.00 26.08
2022-A E 5.00 14.09
(i)As of the April 2023 distribution date.
(ii)Calculated as a percentage of the total gross receivable pool
balance, which consists of a reserve account,
overcollateralization, and, if applicable, subordination. Excess
spread can also provide additional enhancement, though it is not
included in the hard credit support calculation.
S&P said, "We analyzed the current hard credit enhancement versus
the remaining expected cumulative net loss expectations for the
classes where hard credit enhancement alone--without credit to the
expected excess spread--was sufficient, in our view, to upgrade or
affirm the ratings at 'AAA (sf)'. For the other classes, we
incorporated a cash flow analysis to assess the loss coverage
levels, giving credit to stressed excess spread. Our various cash
flow scenarios included forward-looking assumptions on recoveries,
the timing of losses, and voluntary absolute prepayment speeds
that we believe are appropriate, given each transaction's
performance to date and our current economic outlook.
"We also conducted sensitivity analyses to determine the impact
that a moderate ('BBB') stress level scenario would have on our
ratings if losses trended higher than our revised base-case loss
expectations. The results demonstrated that the raised and
affirmed ratings on the classes all meet our credit stability
limits at their respective levels.
"We will continue to monitor the performance of the outstanding
transactions to ensure that the credit enhancement remains
sufficient, in our view, to cover our cumulative net loss
expectations under our stress scenarios for each rated classes."
RATINGS RAISED
CPS Auto Receivables Trust 2021-C
Class B to 'AAA (sf)' from 'AA (sf)'
Class C to 'AAA (sf)' from 'A (sf)'
Class D to 'A (sf)' from 'BBB (sf)'
Class E to 'BBB (sf)' from 'BB- (sf)'
CPS Auto Receivables Trust 2022-A
Class B to 'AAA (sf)' from 'AA (sf)'
Class C to 'A+ (sf)' from 'A (sf)'
RATINGS AFFIRMED
CPS Auto Receivables Trust 2022-A
Class A: AAA (sf)
Class D: BBB (sf)
Class E: BB- (sf)
CPS AUTO 2023-B: DBRS Gives Prov. BB Rating on Class E Notes
------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the classes of notes to
be issued by CPS Auto Receivables Trust 2023-B (the Issuer) as
follows:
-- $198,251,000 Class A Notes at AAA (sf)
-- $25,150,000 Class B Notes at AA (sf)
-- $46,606,000 Class C Notes at A (sf)
-- $25,891,000 Class D Notes at BBB (high) (sf)
-- $36,987,000 Class E Notes at BB (sf)
The provisional ratings are based on DBRS Morningstar's review of
the following analytical considerations:
(1) Transaction capital structure, proposed ratings, and form and
sufficiency of available credit enhancement.
-- Credit enhancement is in the form of overcollateralization
(OC), subordination, amounts held in the reserve fund, and excess
spread. Credit enhancement levels are sufficient to support the
DBRS Morningstar-projected cumulative net loss (CNL) assumption
under various stress scenarios.
-- The DBRS Morningstar CNL assumption is 15.80% based on the
expected pool composition.
-- The transaction assumptions consider DBRS Morningstar's
baseline macroeconomic scenarios for rated sovereign economies,
available in its commentary "Baseline Macroeconomic Scenarios for
Rated Sovereigns: December 2022 Update," published on December 21,
2022. These baseline macroeconomic scenarios replace DBRS
Morningstar's moderate and adverse Coronavirus Disease (COVID-19)
pandemic scenarios, which were first published in April 2020.
(2) The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the ratings address the
timely payment of interest on a monthly basis and the payment of
principal by the legal final maturity date.
(3) The consistent operational history of Consumer Portfolio
Services, Inc. (CPS or the Company) and the strength of the overall
Company and its management team.
-- The CPS senior management team has considerable experience and
a successful track record within the auto finance industry.
(4) The capabilities of CPS with regard to originations,
underwriting, and servicing.
-- DBRS Morningstar performed an operational review of CPS and
considers the Company to be an acceptable originator and servicer
of subprime automobile loan contracts with an acceptable backup
servicer.
(5) DBRS Morningstar exclusively used the static pool approach
because CPS has enough data to generate a sufficient amount of
static pool projected losses.
-- DBRS Morningstar was conservative in the loss forecast analysis
that it performed on the static pool data.
(6) The Company indicated that there is no material pending or
threatened litigation.
(7) The legal structure and presence of legal opinions that address
the true sale of the assets to the Issuer, the nonconsolidation of
the special-purpose vehicle with CPS, that the trust has a valid
first-priority security interest in the assets, and the consistency
with DBRS Morningstar's "Legal Criteria for U.S. Structured
Finance."
CPS is an independent full-service automotive financing and
servicing company that provides (1) financing to borrowers who do
not typically have access to prime credit-lending terms for the
purchase of late-model vehicles and (2) refinancing of existing
automotive financing.
The rating on the Class A Notes reflects 47.40% of initial hard
credit enhancement provided by the subordinated notes in the pool
(36.40%), the reserve account (1.00%), and OC (10.00%). The ratings
on the Class B, C, D, and E Notes reflect 40.60%, 28.00%, 21.00%,
and 11.00% of initial hard credit enhancement, respectively.
Additional credit support may be provided from excess spread
available in the structure.
Notes: All figures are in U.S. dollars unless otherwise noted.
CSAIL 2017-C8: DBRS Confirms B(low) Rating on Class F Certs
-----------------------------------------------------------
DBRS, Inc. confirmed its ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2017-C8
issued by CSAIL 2017-C8 Commercial Mortgage Trust:
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class V1-A at AAA (sf)
-- Class B at AA (sf)
-- Class X-B at A (high) (sf)
-- Class C at A (sf)
-- Class V1-B at A (sf)
-- Class D at BBB (sf)
-- Class V1-D at BBB (sf)
-- Class E at B (high) (sf)
-- Class F at B (low) (sf)
In addition, DBRS Morningstar confirmed its ratings on the
following rake bonds, which are secured by the beneficial interest
in the subordinate debt placed on the 85 Broad Street loan:
-- Class 85BD-A at AA (low) (sf)
-- Class V1-85A at AA (low) (sf)
-- Class 85BD-B at A (low) (sf)
-- Class V1-85B at A (low) (sf)
-- Class 85BD-C at BBB (low) (sf)
-- Class V1-85C at BBB (low) (sf)
-- Class V2-85 at BBB (low) (sf)
All trends are Stable.
The rating confirmations reflect the stable performance of the
transaction, which is in line with DBRS Morningstar's expectations
since its last review. As of the April 2023 remittance, 28 of the
original 32 loans remain in the pool, with an aggregate principal
balance of $689.0 million, representing a collateral reduction of
22.0% since issuance. An additional four loans, representing 5.3%
of the current trust balance, are fully defeased. There is one loan
in special servicing and there are six loans on the servicer's
watchlist, representing 2.5% and 21.0% of the current trust
balance, respectively. The transaction is concentrated by property
type as seven loans, representing 41.0% of the current trust
balance, are secured by office properties with a relatively healthy
weighted-average debt yield and debt service coverage ratio (DSCR)
of 8.2% and 1.62 times (x), respectively, for the whole-loan debt.
The largest loan in the pool, 85 Broad Street (Prospectus ID#1,
14.5% of the pool), is secured by a 1.1 million-square-foot (sf)
Class A office property in downtown Manhattan, New York, and is
sponsored by Ivanhoe Cambridge, which contributed $308.8 million of
equity at closing. The nonpooled rake bonds are backed by the
nonpooled $72.0 million 85 Broad Street A-B Note. The loan's
nonpooled $58.8 million B-A Note and $58.8 million B-B Note are
subordinate to both the rake bonds and the $169.0 million pooled A
Note. The property experienced a dip in occupancy after the former
largest tenant, WeWork, downsized to 195,704 sf (17.5% of the net
rentable area (NRA)) from 370,359 sf (33.1% of NRA) in April 2021,
bringing occupancy down to 79.5%; however, this has rebounded
slightly to 83.1% as of YE2022. According to the most recent
amendment, WeWork was required to deposit $5.0 million to the
borrower, equating to 12 months of prepaid rent for January through
December 2021, and another $3.9 million stemming from a guaranty,
which was to be deposited into the rollover reserve. As of the
April 2023 loan-level reserve report, the loan reported $4.9
million in tenant reserves. According to the YE2022 financial
reporting, the loan had a net cash flow (NCF) of $18.2 million (a
whole-loan DSCR of 1.32x), an improvement from the YE2021 NCF of
$16.1 million (whole-loan DSCR of 1.17x) but below the DBRS
Morningstar NCF of $21.6 million (whole-loan DSCR of 1.57x). The
year-over-year NCF improvement was primarily driven by an increase
in base rental revenue and expense reimbursement. At issuance, the
senior trust debt was shadow-rated as investment grade because of
the property's high quality, excellent location, and sponsorship
strength. These factors continue to be mitigating factors to the
dip in NCF from DBRS Morningstar's expectations, in addition to the
significant equity contributed at issuance and the improvement in
occupancy. With this review, DBRS Morningstar confirmed that the
performance of this loan remains consistent with investment-grade
loan characteristics.
The second-largest loan in the pool, 245 Park Avenue (Prospectus
ID#2, 13.0% of the pool), is secured by a high-rise Class A office
tower in Midtown Manhattan. The loan was recently returned to the
master servicer following a loan assumption. It previously
transferred to special servicing in November 2021 after the
original sponsor (PWM Property Management LLC, an affiliate of HNA
Group Co.) filed for Chapter 11 bankruptcy. According to servicer
documents, SL Green Realty Corp. purchased the property and assumed
the debt in late 2022. There had been occupancy declines prior to
this, specifically with major tenant Major League Baseball (MLB;
previously 12.7% of NRA) vacating in January 2020 prior to its
October 2022 lease expiration and the subsequent challenges in
backfilling the space. DBRS Morningstar has requested the most
recent rent roll but has not received it yet. The property was 79%
occupied as of December 2022, down from 83% at YE2021 and 93% at
YE2020, according to servicer reporting. Rollover risk was a
primary concern throughout 2022, with J.P. Morgan's lease (45.4% of
NRA) and MLB's lease (12.7% of NRA) both expiring in October 2022.
The sponsor's website suggests 112,000 sf of space in total is
currently available for lease, representing 6.5% of NRA, with
approximately 4.0% of NRA scheduled to become available throughout
2023. DBRS Morningstar expects performance to continue improving as
the remaining space is backfilled.
Hilton Garden Inn – Fort Washington (Prospectus ID#17, 2.2% of
the pool) is secured by a 146-key hotel in Fort Washington,
Pennsylvania, that transferred to special servicing in August 2020
because of monetary default. After undergoing $2.0 million in
property renovations, the property was severely damaged by
Hurricane Ida in September 2021, and DBRS Morningstar confirmed
that the property remains closed. The lender is currently working
with local counsel to schedule a foreclosure sale date. According
to the August 2022 appraisal, the property was valued at $16.4
million, down from the issuance value of $24.4 million. In its
analysis, DBRS Morningstar analyzed the loan with a liquidation
scenario, resulting in a loss severity in excess of 40% with the
projected loss well contained in the first loss piece.
The 71 Fifth Avenue loan (Prospectus ID#12, 4.1% of the pool) was
also shadow-rated as investment grade at issuance. With this
review, DBRS Morningstar confirmed that the performance of the loan
remains consistent with investment-grade loan characteristics.
Notes: All figures are in U.S. dollars unless otherwise noted.
DT AUTO 2023-2: DBRS Finalizes BB Rating on Class E Notes
---------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes (the Notes) issued by DT Auto Owner Trust 2023-2
(the Issuer or DTAOT 2023-2):
-- $293,880,000 Class A Notes at AAA (sf)
-- $62,620,000 Class B Notes at AA (sf)
-- $69,540,000 Class C Notes at A (sf)
-- $94,710,000 Class D Notes at BBB (sf)
-- $29,270,000 Class E Notes at BB (sf)
The ratings are based on DBRS Morningstar's review of the following
analytical considerations:
(1) Transaction capital structure, proposed ratings, and form and
sufficiency of available credit enhancement.
-- Credit enhancement is in the form of overcollateralization,
subordination, amounts held in the reserve fund, and excess spread.
Credit enhancement levels are sufficient to support the DBRS
Morningstar-projected cumulative net loss (CNL) assumption under
various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms in which
they have invested. For this transaction, the ratings address the
payment of timely interest on a monthly basis and principal by the
legal final maturity date.
(2) DTAOT 2023-2 provides for the Notes' coverage multiples that
are slightly below the DBRS Morningstar range of multiples set
forth in the criteria for this asset class. DBRS Morningstar
believes that this is warranted, given the magnitude of expected
loss, company history, and structural features of the transaction.
(3) The DBRS Morningstar CNL assumption is 24.55% based on the pool
composition.
(4) The transaction assumptions consider DBRS Morningstar's
baseline macroeconomic scenarios for rated sovereign economies,
available in its commentary "Baseline Macroeconomic Scenarios for
Rated Sovereigns: December 2022 Update," published on December 21,
2022. These baseline macroeconomic scenarios replace DBRS
Morningstar's moderate and adverse Coronavirus Disease (COVID-19)
pandemic scenarios, which were first published in April 2020.
(5) The transaction parties' capabilities with regard to
originations, underwriting, and servicing.
(6) The quality and consistency of historical static pool data for
DriveTime originations and performance of the DriveTime auto loan
portfolio.
(7) The legal structure and presence of legal opinions that address
the true sale of the assets to the Issuer, the nonconsolidation of
the special-purpose vehicle with DriveTime, that the trust has a
valid first-priority security interest in the assets, and the
consistency with the DBRS Morningstar "Legal Criteria for U.S.
Structured Finance."
The transaction represents a securitization of a portfolio of motor
vehicle retail installment sales contracts originated by DriveTime
Car Sales Company, LLC (the Originator). The Originator is a
direct, wholly owned subsidiary of DriveTime, a leading
used-vehicle retailer in the United States that focuses primarily
on the sale and financing of vehicles to the subprime market.
The rating on the Class A Notes reflects 54.80% of initial hard
credit enhancement provided by the subordinated Notes in the pool,
the reserve account (1.50%), and overcollateralization (12.60%).
The ratings on the Class B, C, D, and E Notes reflect 44.85%,
33.80%, 18.75%, and 14.10% of initial hard credit enhancement,
respectively. Additional credit support may be provided from excess
spread available in the structure.
Notes: All figures are in U.S. dollars unless otherwise noted.
EXETER AUTOMOBILE 2023-2: S&P Assigns BB(sf) Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned ratings to Exeter Automobile
Receivables Trust 2023-2's automobile receivables-backed notes.
The note issuance is an ABS transaction backed by subprime auto
loan receivables.
The ratings reflect S&P's view of:
-- The availability of approximately 61.96%, 52.93%, 44.12%,
33.07% and 27.58% credit support--hard credit enhancement and
haircut to excess spread--for the class A (collectively, classes
A-1, A-2, and A-3), B, C, D, and E notes, respectively, based on
stressed cash flow scenarios. These credit support levels provide
at least 2.70x, 2.40x, 2.00x, 1.50x, and 1.25x coverage of S&P's
expected cumulative net loss of 22.00% for classes A, B, C, D, and
E, respectively.
-- The expectation that under a moderate ('BBB') stress scenario
(1.50x S&P's expected loss level), all else being equal, its 'AAA
(sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on
the class A, B, C, D, and E notes, respectively, are within its
credit stability limits.
-- The timely payment of interest and principal by the designated
legal final maturity dates under our stressed cash flow modeling
scenarios, which S&P believes are appropriate for the assigned
ratings.
-- The collateral characteristics of the series' subprime
automobile loans, S&P's view of the collateral's credit risk, its
updated macroeconomic forecast, and forward-looking view of the
auto finance sector.
-- The series' bank accounts at Citibank N.A. (Citibank), which do
not constrain the ratings.
-- S&P's operational risk assessment of Exeter Finance LLC as
servicer, along with our view of the company's underwriting and the
backup servicing arrangement with Citibank.
-- S&P's assessment of the transaction's potential exposure to
environmental, social, and governance credit factors, which are in
line with its sector benchmark.
-- The transaction's payment and legal structures.
Ratings Assigned
Exeter Automobile Receivables Trust 2023-2
Class A-1, $53.700 million: A-1+ (sf)
Class A-2, $150.000 million: AAA (sf)
Class A-3, $59.741 million: AAA (sf)
Class B, $109.256 million: AA (sf)
Class C, $91.218 million: A (sf)
Class D, $95.982 million: BBB (sf)
Class E, $62.967 million: BB (sf)
FLAGSHIP CREDIT 2023-2: DBRS Gives Prov. BB Rating on E Notes
-------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by Flagship Credit Auto Trust 2023-2 (FCAT
2023-2 or the Issuer):
-- $42,000,000 Class A-1 Notes at R-1 (high) (sf)
-- $188,000,000 Class A-2 Notes at AAA (sf)
-- $58,760,000 Class A-3 Notes at AAA (sf)
-- $37,770,000 Class B Notes at AA (sf)
-- $51,100,000 Class C Notes at A (sf)
-- $36,180,000 Class D Notes at BBB (sf)
-- $36,190,000 Class E Notes at BB (sf)
The provisional ratings are based on DBRS Morningstar's review of
the following analytical considerations:
(1) Transaction capital structure, proposed ratings, and form and
sufficiency of available credit enhancement.
-- Credit enhancement is in the form of overcollateralization
(OC), subordination, amounts held in the reserve account, and
excess spread. Credit enhancement levels are sufficient to support
the DBRS Morningstar-projected cumulative net loss (CNL) assumption
under various stress scenarios.
(2) The DBRS Morningstar CNL assumption is 10.75%, based on the
expected Cut-Off Date pool composition.
(3) The transaction assumptions consider DBRS Morningstar's
baseline macroeconomic scenarios for rated sovereign economies,
available in its commentary "Baseline Macroeconomic Scenarios for
Rated Sovereigns: December 2022 Update," published on December 21,
2022. These baseline macroeconomic scenarios replace DBRS
Morningstar's moderate and adverse Coronavirus Disease (COVID-19)
pandemic scenarios, which were first published in April 2020.
(4) The consistent operational history of Flagship Credit
Acceptance, LLC (Flagship or the Company) and the strength of the
overall Company and its management team.
-- The Flagship senior management team has considerable experience
and a successful track record within the auto finance industry.
(5) The capabilities of Flagship with regard to originations,
underwriting, and servicing.
-- DBRS Morningstar performed an operational review of Flagship
and considers the entity an acceptable originator and servicer of
subprime automobile loan contracts with an acceptable backup
servicer.
(6) The Company indicated it may be subject to various consumer
claims and litigation seeking damages and statutory penalties. Some
litigation against Flagship could take the form of class-action
complaints by consumers; however, the Company indicated there is no
material pending or threatened litigation.
(7) The legal structure and presence of legal opinions that will
address the true sale of the assets to the Issuer, the
nonconsolidation of the special-purpose vehicle with Flagship, that
the trust has a valid first-priority security interest in the
assets, and the consistency with the DBRS Morningstar "Legal
Criteria for U.S. Structured Finance."
Flagship is an independent, full-service automotive financing and
servicing company that provides (1) financing to borrowers who do
not typically have access to prime credit-lending terms to purchase
late-model vehicles and (2) refinancing of existing automotive
financing.
This transaction is being structured as a Rule 144A transaction of
the Securities Act of 1933. There will be seven classes of
Notes—Class A-1, Class A-2, Class A-3, Class B, Class C, Class D,
and Class E—included in FCAT 2023-2. Initial credit enhancement
for the Class A-1, Class A-2, and Class A-3 Notes is expected to be
37.15% and will include a 1.00% reserve account (funded at
inception and nondeclining), initial OC of 0.50%, and subordination
of 35.65% of the initial pool balance. Initial Class B enhancement
is expected to be 28.80% and will include a 1.00% reserve account
(funded at inception and nondeclining), initial OC of 0.50%, and
subordination of 27.30% of the initial pool balance. Initial Class
C enhancement is expected to be 17.50% and will include a 1.00%
reserve account (funded at inception and nondeclining), initial OC
of 0.50%, and subordination of 16.00% of the initial pool balance.
Initial Class D enhancement is expected to be 9.50% and will
include a 1.00% reserve account (funded at inception and
nondeclining), initial OC of 0.50%, and subordination of 8.00% of
the initial pool balance. Initial Class E enhancement is expected
to be 1.50% and will include a 1.00% reserve account (funded at
inception and nondeclining) and initial OC of 0.50%.
Notes: All figures are in U.S. dollars unless otherwise noted.
FREDDIE MAC 2023-HQA1: Moody's Gives (P)Ba3 Rating to 16 Tranches
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 24
classes of credit risk transfer (CRT) residential mortgage-backed
securities (RMBS) to be issued by Freddie Mac STACR Remic Trust
2023-HQA1, and sponsored by Federal Home Loan Mortgage Corp.
(Freddie Mac).
The securities reference a pool of mortgage loans acquired by
Freddie Mac, and originated and serviced by multiple entities.
The complete rating actions are as follows:
Issuer: Freddie Mac STACR Remic Trust 2023-HQA1
CI. M-1A, Assigned (P)A3 (sf)
CI. M-1B, Assigned (P)Baa3 (sf)
CI. M-2, Assigned (P)Ba3 (sf)
CI. M-2A, Assigned (P)Ba2 (sf)
CI. M-2AI*, Assigned (P)Ba2 (sf)
CI. M-2AR, Assigned (P)Ba2 (sf)
CI. M-2AS, Assigned (P)Ba2 (sf)
CI. M-2AT, Assigned (P)Ba2 (sf)
CI. M-2AU, Assigned (P)Ba2 (sf)
CI. M-2B, Assigned (P)Ba3 (sf)
CI. M-2BI*, Assigned (P)Ba3 (sf)
CI. M-2BR, Assigned (P)Ba3 (sf)
CI. M-2BS, Assigned (P)Ba3 (sf)
CI. M-2BT, Assigned (P)Ba3 (sf)
CI. M-2BU, Assigned (P)Ba3 (sf)
CI. M-2I*, Assigned (P)Ba3 (sf)
CI. M-2R, Assigned (P)Ba3 (sf)
CI. M-2RB, Assigned (P)Ba3 (sf)
CI. M-2S, Assigned (P)Ba3 (sf)
CI. M-2SB, Assigned (P)Ba3 (sf)
CI. M-2T, Assigned (P)Ba3 (sf)
CI. M-2TB, Assigned (P)Ba3 (sf)
CI. M-2U, Assigned (P)Ba3 (sf)
CI. M-2UB, Assigned (P)Ba3 (sf)
*Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings are based on the credit quality of the mortgage loans,
the structural features of the transaction, the GSE's oversight of
originators and servicers, and the third-party review.
Moody's expected loss for this pool in a baseline scenario-mean is
1.04%, in a baseline scenario-median is 0.83% and reaches 4.88% at
a stress level consistent with Moody's Aaa rating.
PRINCIPAL METHODOLOGY
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in April 2023.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
GLS AUTO 2023-2: S&P Assigns BB- (sf) Rating on Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to GLS Auto Receivables
Issuer Trust 2023-2's (GCAR 2023-2) automobile receivables-backed
notes.
The note issuance is an ABS transaction backed by subprime auto
loan receivables.
The ratings reflect S&P's view of:
-- The availability of approximately 56.24%, 47.62%, 37.24%,
27.73%, and 22.83% of credit support (hard credit enhancement and
haircut to excess spread) for the class A (A-1 and A-2), B, C, D
and E notes, respectively, based on final post-pricing stressed
cash flow scenarios (including excess spread). These credit support
levels provide at least 3.20x, 2.70x, 2.10x, 1.55x, and 1.27x our
17.50% expected cumulative net loss (ECNL) for the class A, B, C,
D, and E notes, respectively.
-- The expectation that under a moderate ('BBB') stress scenario
(1.60x S&P's expected loss level), all else being equal, its 'AAA
(sf)', 'AA (sf)', 'A (sf)', 'BBB- (sf)', and 'BB- (sf)' ratings on
the class A, B, C, D, and E notes, respectively, are within its
credit stability limits.
-- The timely payment of interest and principal by the designated
legal final maturity dates under S&P's stressed cash flow modeling
scenarios, which it believes are appropriate for the assigned
ratings.
-- The collateral characteristics of the subprime automobile
loans, including the representation in the transaction documents
that all contracts in the pool have made at least one payment, our
view of the credit risk of the collateral, and S&P's updated
macroeconomic forecast and forward-looking view of the auto finance
sector.
-- The series' bank accounts at Wilmington Trust N.A., which do
not constrain the ratings.
-- S&P's operational risk assessment of Global Lending Services
LLC as servicer, and our view of the company's underwriting and
backup servicing arrangement with Wilmington Trust N.A.
-- S&P's assessment of the transaction's potential exposure to
environmental, social, and governance credit factors that are in
line with our sector benchmark.
-- The transaction's payment and legal structures.
S&P's ECNL for GCAR 2023-2 is 17.50%, which is unchanged from GCAR
2023-1. It reflects:
-- GCAR's more recent outstanding series, which are showing signs
of performance deterioration with higher losses and delinquencies
and lower recovery rates compared with the more seasoned
transactions;
-- S&P's view that the GCAR 2023-2 collateral characteristics are
slightly stronger than those of GCAR 2023-1; and
-- S&P's forward-looking view of the auto finance sector,
including our outlook for a shallow recession for the first half of
this year and lower recovery rates.
Ratings Assigned
GLS Auto Receivables Issuer Trust 2023-2
Class A-1, $31.50 million: A-1+ (sf)
Class A-2, $120.54 million: AAA (sf)
Class B, $46.80 million: AA (sf)
Class C, $42.86 million: A (sf)
Class D, $44.82 million: BBB- (sf)
Class E, $24.80 million: BB- (sf)
GS MORTGAGE 2023-RPL1: DBRS Gives B Rating on Class B-3 Notes
-------------------------------------------------------------
DBRS, Inc. assigned ratings to the Mortgaged-Backed Securities,
Series 2023-RPL1 (the Notes) issued by GS Mortgage-Backed
Securities Trust 2023-RPL1 (GSMBS 2023-RPL1 or the Trust), as
follows:
-- $294.7 million Class A-1 at AAA (sf)
-- $27.2 million Class A-2 at AA (high) (sf)
-- $321.9 million Class A-3 at AA (high) (sf)
-- $341.7 million Class A-4 at A (high) (sf)
-- $356.5 million Class A-5 at BBB (high) (sf)
-- $19.7 million Class M-1 at A (high) (sf)
-- $14.8 million Class M-2 at BBB (high) (sf)
-- $10.1 million Class B-1 at BB (high) (sf)
-- $6.9 million Class B-2 at B (high) (sf)
-- $6.9 million Class B-3 at B (sf)
The Class A-3, Class A-4, and Class A-5 Notes are exchangeable.
These classes can be exchanged for combinations of initial
exchangeable notes as specified in the offering documents.
The AAA (sf) rating on the Notes reflects 25.35% of credit
enhancement provided by subordinated notes. The AA (high) (sf), A
(high) (sf), BBB (high) (sf), BB (high) (sf), B (high) (sf), and B
(sf) ratings reflect 18.45%, 13.45%, 9.70%, 7.15%, 5.40%, and 3.65%
of credit enhancement, respectively.
Other than the specified classes above, DBRS Morningstar does not
rate any other classes in this transaction.
DBRS, Inc. (DBRS Morningstar) assigned ratings to GS
Mortgage-Backed Securities Trust 2023-RPL1 (GSMBS 2023-RPL1 or the
Trust), a securitization of a portfolio of seasoned performing and
reperforming, primarily first-lien residential mortgages funded by
the issuance of mortgage-backed notes (the Notes). The Notes are
backed by 2,834 loans with a total principal balance of
$415,559,596 as of the Cut-Off Date (February 28, 2023).
The portfolio is approximately 189 months seasoned and contains
86.0% modified loans. The modifications happened more than two
years ago for 77.3% of the modified loans. Within the pool, 974
mortgages have non-interest-bearing deferred amounts, which equate
to approximately 9.8% of the total principal balance. There are no
Government-Sponsored Enterprise Home Affordable Modification
Program and proprietary principal forgiveness amounts included in
the deferred amounts.
As of the Cut-Off Date, 98.9% of the loans in the pool are current.
Approximately 1.1% of the loans are in bankruptcy. (All bankruptcy
loans are performing.) Approximately 59.6% of the mortgage loans
have been zero times 30 days delinquent (0 x 30) for at least the
past 24 months under the Mortgage Bankers Association (MBA)
delinquency method, and 99.2% have been 0 x 30 for at least the
past 12 months under the MBA delinquency method.
The majority of the pool (92.8%) is exempt from the Consumer
Financial Protection Bureau Ability-to-Repay (ATR)/Qualified
Mortgage (QM) rules because the loans were originated as investor
property loans or were originated prior to January 10, 2014, the
date on which the rules became applicable. The loans subject to the
ATR rules are designated as non-QM (7.2%).
The Mortgage Loan Sellers, Goldman Sachs Mortgage Company (GSMC;
98.71%) and MCLP Asset Company, Inc. (MCLP; 1.29%), acquired the
mortgage loans in various transactions prior to the Closing Date
from various mortgage loan sellers or from an affiliate. GS
Mortgage Securities Corp. (the Depositor) will contribute the loans
to the Trust. These loans were originated and previously serviced
by various entities through purchases in the secondary market.
The Sponsor, GSMC, or a majority-owned affiliate, will retain an
eligible vertical interest in the transaction consisting of an
uncertificated interest (the Retained Interest) in the Trust
representing the right to receive at least 5.0% of the amounts
collected on the mortgage loans, net of the Trust's fees, expenses,
and reimbursements and paid on the Notes (other than the Class R
Notes) and the Retained Interest to satisfy the credit risk
retention requirements under Section 15G of the Securities Exchange
Act of 1934 and the regulations promulgated thereunder.
As of the Cut-Off Date, approximately 74.0% of the loans are
serviced by an Interim Servicer. All servicing will be transferred
to NewRez LLC (NewRez) doing business as Shellpoint Mortgage
Servicing (Shellpoint; 100.0%) by May 1, 2023.
Similar to previous GSMBS RPL securitizations, the servicing fee
payable for GSMBS 2023-RPL1 will be calculated using a dollar
servicing fee construct. The monthly servicing fee charged per loan
will be determined based on the delinquency status of each mortgage
loan with a maximum servicing fee of 0.35%. In its analysis, DBRS
Morningstar assumed a fixed aggregate servicing fee rate higher
than suggested by the dollar servicing fee construct.
There will not be any advancing of delinquent principal or interest
on any mortgages by the Servicer or any other party to the
transaction; however, the Servicer is obligated to make advances in
respect to the preservation, inspection, restoration, protection,
and repair of a mortgaged property, which includes delinquent tax
and insurance payments, the enforcement or judicial proceedings
associated with a mortgage loan, and the management and liquidation
of properties (to the extent that the related Servicer deems such
advances recoverable).
When the aggregate pool balance of the mortgage loans is reduced to
less than 25% of the Cut-Off Date balance, the Controlling
Noteholder will have the option to purchase all remaining loans and
other property of the Issuer at a specified minimum price. The
Controlling Noteholder will be the beneficial owner of more than
50% of the Class B-5 Notes (if no longer outstanding, the next most
subordinate Class of Notes, other than Class X).
As a loss-mitigation alternative, the Controlling Noteholder may
direct the Servicer to sell mortgage loans that are in an early or
advanced stage of default or for which foreclosure or default is
imminent to unaffiliated third-party investors in the secondary
whole-loan market on arm's-length terms and at fair market value to
maximize proceeds on such loans on a net present value basis.
The transaction employs a sequential-pay cash flow structure.
Principal proceeds and excess interest can be used to cover
interest shortfalls on the Notes, but such shortfalls on the Class
M-1 Notes and more subordinate bonds will not be paid from
principal proceeds until the more senior classes are retired.
Excess interest can be used to amortize the principal of the notes
after paying transaction parties' fees, Net Weighted-Average Coupon
(WAC) shortfalls, and making deposits to the breach reserve
account.
Notes: All figures are in U.S. dollars unless otherwise noted.
HOTWIRE FUNDING 2023-1: Fitch to Rate Class C Notes 'BBsf'
----------------------------------------------------------
Fitch Ratings has issued a presale report for Hotwire Funding LLC's
Secured Fiber Network Revenue Notes, Series 2023-1.
Fitch Ratings expects to rate Hotwire Funding LLC's Secured Fiber
Network Revenue Notes, Series 2023-1 as follows:
- $416.3 million 2023-1 class A-2 'Asf'; Outlook Stable;
- $38 million 2023-1 class B 'BBBsf'; Outlook Stable;
- $80 million 2023-1 class C 'BBsf'; Outlook Stable.
The following class is not expected to be rated by Fitch:
- $28,200,000(a) series 2023-1, class R.
(a) Horizontal credit risk retention interest representing 5% of
the 2023-1 notes.
The note balances include $100 million of prefunding, which is
allocated between classes A-2, B and C. This amount may be
increased to $275 million. Fitch's expected ratings take into
account the range of prefunding amounts that may be issued in
connection with the transaction.
TRANSACTION SUMMARY
The transaction is a securitization of the contract payments
derived from an existing Fiber to the Home (FTTH) network. The
collateral consists of conduits, cables, network-level equipment,
access rights, customer contracts, transaction accounts and an
equity pledge from the asset entities. Debt is secured by the net
revenue of operations and benefits from a perfected security
interest in the securitized assets.
The collateral consists of best-in-class fiber lines that support
the provision of internet, cable and telephony services to a
portfolio of homeowners' associations (HOAs) and condominium
owners' associations (COAs), located predominantly in Florida
(95.9% ARR). These agreements are governed by long-term contracts
with the associations directly.
Transaction proceeds will be utilized to fund the Series 2023-1
Prefunding Account, fund the applicable securitization transaction
reserves, pay transaction fees and expenses, pay the outstanding
principal balance of the Series 2021-1 Class A-1-V Notes and for
general corporate purposes.
The ratings reflect a structured finance analysis of the cash flows
from the ownership interest in the underlying fiber optic network,
not an assessment of the corporate default risk of the ultimate
parent, Hotwire Communications, LLC.
KEY RATING DRIVERS
Net Cash Flow and Trust Leverage: Fitch's base case net cash flow
(NCF) on the pool is $154.5 million, implying a 12.9% haircut to
issuer base case NCF. The debt multiple relative to Fitch's NCF on
the rated classes is 11.5x based on the base case cash flow and
minimum debt balances, versus the debt/issuer NCF leverage of
10.0x.
Inclusive of the cash flow required to draw upon the $240 million
VFN and the $100 million expected prefunding account balance, Fitch
net cash flow is $194.8 million, implying a 12.1% haircut to the
implied issuer net cash flow.
Credit Risk Factors: The major factors affecting Fitch's
determination of cash flow and Maximum Potential Leverage (MPL)
include the high quality of the underlying collateral networks,
scale, creditworthiness and diversity of the customer base,
long-term contractual cash flow, market position of the sponsor,
capability of the operator, limited operational requirements and
strength of the transaction structure.
Technology-Dependent Credit: Due to the specialized nature of the
collateral and potential for changes in technology to affect
long-term demand for digital infrastructure, the senior classes of
this transaction do not achieve ratings above 'Asf'. The securities
have a rated final payment date 30 years after closing, and the
long-term tenor of the securities increases the risk that an
alternative technology will be developed that renders obsolete the
current transmission of data through fiber optic cables. Fiber
optic cable networks are currently the fastest and most reliable
means to transmit information, and data providers continue to
invest in and utilize this technology.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Declining cash flow as a result of higher expenses, contract
churn, or the development of an alternative technology for the
transmission of data could lead to downgrades;
- Fitch's NCF was 12.9% below the issuer's underwritten cash flow
as of May 2023. A further 10% decline in Fitch's NCF indicates the
following ratings based on Fitch's determination of Maximum
Potential Leverage: Class A to 'BBBsf' from 'Asf'; class B to
'BBB-sf' from 'BBBsf'; class C to 'B-sf' from 'BBsf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Increasing cash flow without an increase in corresponding debt,
from rate increases, additional contracts, or contract amendments
could lead to upgrades;
- A 10% increase in Fitch's NCF indicates the following ratings
based on Fitch's determination of Maximum Potential Leverage: Class
A to 'Asf' from 'Asf'; class B to 'Asf' from 'BBBsf'; class C to
'BBB-sf' from 'BBsf';
- Upgrades are unlikely for these transactions given the provision
for the issuer to issue additional notes, which rank pari passu or
subordinate to existing notes, without the benefit of additional
collateral. In addition, the transaction is capped in the 'Asf'
category, given the risk of technological obsolescence.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Deloitte & Touche LLP. The third-party due diligence
described in Form 15E focused on comparison of certain
characteristics with respect to the portfolio of fiber assets and
related contracts in the data file. Fitch considered this
information in its analysis and it did not have an effect on
Fitch's analysis or conclusions.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
JP MORGAN 2019-ICON: DBRS Confirms B(low) Rating on Class G Certs
-----------------------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2019 - ICON issued by J.P. Morgan
Chase Commercial Mortgage Securities Trust 2019-ICON as follows:
-- Class A at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at A (high) (sf)
-- Class X-B at BBB (high) (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)
All trends are Stable.
The rating confirmations reflect DBRS Morningstar's stable
performance expectations, which remain unchanged since issuance.
The portfolio's performance has continued to restabilize following
a dip in occupancy and cash flows, which troughed in 2020. As of Q3
2022, both occupancy and cash flow are generally in line with DBRS
Morningstar's issuance expectations.
The trust is secured by 18 separate nonrecourse, first-lien
mortgage loans totaling $174.7 million, including 10 multifamily
properties and eight mixed-use properties with 352 residential and
17 commercial units in Manhattan and Brooklyn, New York. The
sponsor gradually acquired the 18-property portfolio at a total
cost of $160.5 million and invested an additional $55.6 million in
capital improvements for a total cost basis of $216.0 million at
the time of loan closing. The properties have potential for
additional revenue bumps if rent-restricted units are legally
vacated and converted into market-rate units. The loans, which are
not cross-collateralized or cross-defaulted, all have five-year,
interest-only (IO) loan terms and are scheduled to mature in
January 2024. Each borrower is a special-purpose entity sponsored
by Icon Realty Management, LLC, a real estate investment and
management firm headquartered in New York.
As of April 2023, there are 11 loans, representing 58.4% of the
current trust, on the servicer's watchlist mainly because of low
debt service coverage ratios (DSCR) and the initiation of cash
traps. Many of the loans being monitored for low DSCR were
initially added in 2020 or 2021 and have since reported
improvements in performance. The weighted-average net-cash-flow
improvement for loans on the servicer's watchlist was 17.6% from
YE2021. For the portfolio as a whole, financial reporting for the
trailing 12 months ended September 30, 2022, indicates the combined
portfolio cash flow increased 10.2% over the YE2021 figures to
$10.4 million, which is relatively in line with the DBRS
Morningstar net cash flow of $10.8 million. As of September 2022,
the portfolio's weighted average occupancy was 90.7%, compared with
96.3% at YE2021 and 78.9% at YE2020, with individual property
occupancies ranging from 55.0% to 100.0%. A-note DSCRs remain
healthy, with the portfolio reporting a weighted average A-note
DSCR of 2.17 times (x). DBRS Morningstar anticipates the portfolio
will continue to perform in line with issuance expectations through
to its maturity in 2024.
The trust consists of $60.7 million of Trust A Notes, which are
pari passu with companion notes, and $83.9 million of Trust B
Notes. Additionally, $30.0 million of companion notes were
securitized in the JPMCC 2019-COR5 transaction (not rated by DBRS
Morningstar).
Notes: All figures are in U.S. dollars unless otherwise noted.
JP MORGAN 2023-3: DBRS Finalizes B(low) Rating on Class B-5 Certs
-----------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Mortgage Pass-Through Certificates, Series 2023-3 issued by J.P.
Morgan Mortgage Trust 2023-3 (JPMMT 2023-3):
-- $397.2 million Class A-1 at AA (high) (sf)
-- $297.9 million Class A-1-A at AA (high) (sf)
-- $99.3 million Class A-1-B at AA (high) (sf)
-- $99.3 million Class A-1-C at AA (high) (sf)
-- $99.3 million Class A-1-X at AA (high) (sf)
-- $90.2 million Class A-2 at AAA (sf)
-- $360.7 million Class A-3 at AAA (sf)
-- $270.5 million Class A-3-A at AAA (sf)
-- $90.2 million Class A-3-C at AAA (sf)
-- $90.2 million Class A-3-X at AAA (sf)
-- $270.5 million Class A-4 at AAA (sf)
-- $202.9 million Class A-4-A at AAA (sf)
-- $67.6 million Class A-4-B at AAA (sf)
-- $67.6 million Class A-4-C at AAA (sf)
-- $67.6 million Class A-4-X at AAA (sf)
-- $90.2 million Class A-5 at AAA (sf)
-- $67.6 million Class A-5-A at AAA (sf)
-- $22.5 million Class A-5-B at AAA (sf)
-- $22.5 million Class A-5-C at AAA (sf)
-- $22.5 million Class A-5-X at AAA (sf)
-- $216.4 million Class A-6 at AAA (sf)
-- $162.3 million Class A-6-A at AAA (sf)
-- $54.1 million Class A-6-B at AAA (sf)
-- $54.1 million Class A-6-C at AAA (sf)
-- $54.1 million Class A-6-X at AAA (sf)
-- $144.3 million Class A-7 at AAA (sf)
-- $108.2 million Class A-7-A at AAA (sf)
-- $36.1 million Class A-7-B at AAA (sf)
-- $36.1 million Class A-7-C at AAA (sf)
-- $36.1 million Class A-7-X at AAA (sf)
-- $108.2 million Class A-8 at AAA (sf)
-- $81.2 million Class A-8-A at AAA (sf)
-- $27.1 million Class A-8-B at AAA (sf)
-- $27.1 million Class A-8-C at AAA (sf)
-- $27.1 million Class A-8-X at AAA (sf)
-- $198.4 million Class A-9 at AAA (sf)
-- $148.8 million Class A-9-A at AAA (sf)
-- $49.6 million Class A-9-B at AAA (sf)
-- $49.6 million Class A-9-C at AAA (sf)
-- $49.6 million Class A-9-X at AAA (sf)
-- $162.3 million Class A-10 at AAA (sf)
-- $121.7 million Class A-10-A at AAA (sf)
-- $40.6 million Class A-10-B at AAA (sf)
-- $40.6 million Class A-10-C at AAA (sf)
-- $40.6 million Class A-10-X at AAA (sf)
-- $54.1 million Class A-11 at AAA (sf)
-- $40.6 million Class A-11-A at AAA (sf)
-- $13.5 million Class A-11-B at AAA (sf)
-- $13.5 million Class A-11-C at AAA (sf)
-- $13.5 million Class A-11-X at AAA (sf)
-- $54.1 million Class A-12 at AAA (sf)
-- $40.6 million Class A-12-A at AAA (sf)
-- $13.5 million Class A-12-B at AAA (sf)
-- $13.5 million Class A-12-C at AAA (sf)
-- $13.5 million Class A-12-X at AAA (sf)
-- $27.4 million Class A-13 at AA (high) (sf)
-- $20.5 million Class A-13-A at AA (high) (sf)
-- $6.8 million Class A-13-B at AA (high) (sf)
-- $6.8 million Class A-13-C at AA (high) (sf)
-- $6.8 million Class A-13-X at AA (high) (sf)
-- $9.1 million Class A-14 at AA (high) (sf)
-- $6.8 million Class A-14-A at AA (high) (sf)
-- $2.3 million Class A-14-B at AA (high) (sf)
-- $2.3 million Class A-14-C at AA (high) (sf)
-- $2.3 million Class A-14-X at AA (high) (sf)
-- $36.5 million Class A-15 at AA (high) (sf)
-- $27.4 million Class A-15-A at AA (high) (sf)
-- $9.1 million Class A-15-B at AA (high) (sf)
-- $9.1 million Class A-15-C at AA (high) (sf)
-- $9.1 million Class A-15-X at AA (high) (sf)
-- $397.2 million Class A-X-1 at AA (high) (sf)
-- $397.2 million Class A-X-2 at AA (high) (sf)
-- $397.2 million Class A-X-3 at AA (high) (sf)
-- $397.2 million Class A-X-4 at AA (high) (sf)
-- $397.2 million Class A-X-5 at AA (high) (sf)
-- $7.4 million Class B-1 at AA (low) (sf)
-- $7.9 million Class B-2 at A (low) (sf)
-- $4.9 million Class B-3 at BBB (low) (sf)
-- $3.4 million Class B-4 at BB (low) (sf)
-- $1.7 million Class B-5 at B (low) (sf)
Classes A-1-X, A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X,
A-10-X, A-11-X, A-12-X, A-13-X, A-14-X, A-15-X, A-X-1, A-X-2,
A-X-3, A-X-4, and A-X-5 are interest-only (IO) certificates. The
class balances represent notional amounts.
Classes A-1, A-1-A, A-1-B, A-1-C, A-1-X, A-2, A-3, A-3-A, A-3-C,
A-3-X, A-4, A-4-A, A-4-B, A-4-C,A-4-X, A-5, A-5-B, A-6, A-6-A,
A-6-B, A-6-C, A-6-X, A-7, A-7-A, A-7-B, A-7-C, A-7-X, A-8, A-8-A,
A-8-B, A-8-C, A-8-X, A-9, A-9-A, A-9-B, A-9-C, A-9-X, A-10, A-10-B,
A-11, A-11-B, A-12, A-12-B, A-13, A-13-B, A-14, A-14-B, A-15,
A-15-A, A-15-B, A-15-C, A-15-X, A-X-3, A-X-4, and A-X-5 are
exchangeable certificates. These classes can be exchanged for
combinations of exchange certificates as specified in the offering
documents.
Classes A-2, A-3, A-3-A, A-3-C, A-4, A-4-A, A-4-B, A-4-C, A-5,
A-5-A, A-5-B, A-5-C, A-6, A-6-A, A-6-B, A-6-C, A-7, A-7-A, A-7-B,
A-7-C, A-8, A-8-A, A-8-B, A-8-C, A-9, A-9-A, A-9-B, A-9-C, A-10,
A-10-A, A-10-B, A-10-C, A-11, A-11-A, A-11-B, A-11-C, A-12, A-12-A,
A-12-B, and A-12-C are super-senior certificates. These classes
benefit from additional protection from the senior support
certificates (Classes A-13, A-13-A, A-13-B, A-13-C, A-14, A-14-A,
A-14-B, A-14-C, A-15, A-15-A, A-15-B, and A-15-C certificates) with
respect to loss allocation.
The AAA (sf) ratings on the Certificates reflect 15.00% of credit
enhancement provided by subordinated certificates. The AA (high)
(sf), AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf)
and B (low) (sf) ratings reflect 6.40%, 4.65%, 2.80%, 1.65%, 0.85%,
and 0.45% of credit enhancement, respectively.
Other than the classes specified above, DBRS Morningstar does not
rate any other classes in this transaction.
DBRS Morningstar assigned provisional ratings to JPMMT 2023-3, a
securitization of a portfolio of first-lien fixed-rate prime
residential mortgages funded by the issuance of the Certificates.
The Certificates are backed by 374 loans with a total principal
balance of $424,337,424 as of the Cut-Off Date (April 1, 2023).
The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of primarily 30 years and a
weighted-average loan age of seven months. Approximately 96.0% of
the loans are traditional, nonagency, prime jumbo mortgage loans.
The remaining 4.0% of the pool are conforming mortgage loans that
were underwritten using an automated underwriting system designated
by Fannie Mae or Freddie Mac and were eligible for purchase by such
agencies. Details on the underwriting of conforming loans can be
found in the Key Probability of Default Drivers section of the
related Presale Report. In addition, all of the loans in the pool
were originated in accordance with the new general qualified
mortgage rule.
The originators for the aggregate mortgage pool are United
Wholesale Mortgage, LLC (57.6%) and various other originators, each
comprising less than 15% of the pool. The mortgage loans will be
serviced or subserviced, as applicable, by Cenlar FSB (57.5%),
NewRez LLC doing business as Shellpoint Mortgage Servicing (30.5%),
and various other servicers and subservicers each comprising less
than 10% of the pool.
For this transaction, generally, the servicing fee payable for
mortgage loans is composed of three separate components: the base
servicing fee, the delinquent servicing fee, and the additional
servicing fee. These fees vary based on the delinquency status of
the related loan and will be paid from interest collections before
distribution to the securities.
Nationstar Mortgage LLC will act as the Master Servicer. Citibank,
N.A. (rated AA (low) with a Stable trend by DBRS Morningstar) will
act as Securities Administrator and Delaware Trustee. Computershare
Trust Company, N.A. (rated BBB with a Stable trend by DBRS
Morningstar) will act as Custodian. Pentalpha Surveillance LLC will
serve as the Representations and Warranties Reviewer.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that is enhanced from a precrisis structure.
Notes: All figures are in U.S. dollars unless otherwise noted.
JPMBB COMMERCIAL 2015-C28: DBRS Confirms CCC Rating on F Certs
--------------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2015-C28
issued by JPMBB Commercial Mortgage Securities Trust 2015-C28 as
follows:
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (sf)
-- Class B at AA (low) (sf)
-- Class X-C at A (sf)
-- Class C at A (low) (sf)
-- Class EC at A (low) (sf)
-- Class X-D at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class X-E at BB (low) (sf)
-- Class E at B (high) (sf)
-- Class F at CCC (sf)
All trends are Stable, with the exception of Class F, which is
assigned a rating that does not typically carry a trend in
commercial mortgage-backed securities ratings.
The rating confirmations and Stable trends reflect DBRS
Morningstar's current outlook and loss expectations for the
transaction, which remains relatively unchanged from the November
2022 rating action.
At issuance, the transaction consisted of 67 fixed-rate loans
secured by 122 commercial and multifamily properties, with a trust
balance of $1.14 billion. As of the April 2023 remittance, 57 loans
remain within the transaction with a trust balance of $839.0
million, reflecting collateral reduction of 26.6% since issuance.
The pool is concentrated by property type, with loans representing
52.1% of the pool collateralized by retail properties. There are
currently 16 fully defeased loans, representing 15.0% of the
current pool balance. In addition, two loans, representing 2.4% of
the pool, are currently in special servicing, and three loans,
representing 11.8% of the pool, are on the servicer's watchlist.
The largest loan in special servicing is Horizon Outlet Shoppes
Portfolio (Prospectus ID#12, 2.3% of the pool), which transferred
to special servicing in March 2020, prior to the onset of the
Coronavirus Disease (COVID-19) pandemic, for imminent monetary
default. The loan is pari passu with a companion note securitized
in another DBRS Morningstar-rated transaction, JPMBB Commercial
Mortgage Securities Trust 2015-C29. At issuance, the portfolio
consisted of three outlet malls in Wisconsin, Washington, and
Indiana, all of which became real estate owned in August 2021. The
two smaller properties, Prime Outlets at Freemont in Indiana and
Prime Outlets at Burlington in Washington, have been sold. Prime
Outlets at Burlington was sold in March 2023 for $9.5 million with
net proceeds totaling $8.8 million, and Prime Outlets at Fremont
was sold in May 2022 for $4.2 million with net proceeds totaling
$3.9 million.
The remaining asset is Prime Outlets at Oshkosh, a
270,500-square-foot (sf) anchored retail property in Oshkosh,
Wisconsin. According to the February 2023 rent roll, the property
was 58.1% occupied compared with 60.0% at YE2021 and 90% at
issuance. Net cash flow (NCF) fell in turn with the YE2021 servicer
reported figure of $559,497, marking an 88.0% decline from the
issuance figure of $4.7 million. Tenancy at the property is fairly
granular with no tenant making up more than 5.0% of the total net
rentable area (NRA). Likewise, lease roll-over within the next 12
months is negligible with tenant leases totaling 3.4% of the total
NRA scheduled to expire. The servicer commentary states that the
asset manager is targeting the asset for a near-term sale with a
potential disposition scheduled in Q2 2023. While the Oshkosh
property has historically performed better than the other two
properties in the portfolio, the December 2022 appraisal value of
$9.7 million represents a 78.4% decline from the issuance appraised
value of $45.0 million and is well below the current whole-loan
amount of $37.1 million. DBRS Morningstar's analysis includes a
stress to the most recent appraisal value, resulting in a loss
severity in excess of 95.0%.
The largest loan on the servicer's watchlist, Shops at Waldorf
Center (Prospectus ID#2, 9.0% of the pool), is secured by a
497,000-sf anchored retail property in Waldorf, Maryland,
approximately 30 miles south of Washington, D.C. The loan
transferred to special servicing in July 2020 for imminent monetary
default. A loan modification was executed in November 2022, and the
loan subsequently returned to the master servicer in February 2023.
The terms of the loan modification include a conversion to
interest-only (IO) payments through the deferral period, ending in
May 2024, in addition to a one-year extension option that pushes
the fully extended maturity date to April 2026 from April 2025.
Occupancy at the collateral property has been in flux during the
past few years; occupancy hit 82.0% in January 2023, up from 74.0%
in January 2022 but below 89.5% at issuance. The annualized NCF for
the trailing-nine month period ended September 30, 2022, was $5.5
million with a debt service coverage ratio of 1.38 times (x),
compared with $5.2 million and 1.59x in 2019 and $6.2 million and
1.35x at issuance.
The three largest tenants at the property, Christmas Tree Shops
(35,232 sf; lease expiration in January 2026), PetSmart (30,900 sf;
lease expiration in January 2025), and LA Fitness (30,253 sf; lease
expiration in June 2028), comprise approximately 19.0% of total
NRA. Lease roll over is moderate, with tenant leases representing
7.3% of NRA scheduled to expire within the next 12 months. The
property's average rental rate of $21.67 per sf (psf) is slightly
below the Q4 2022 average effective rental rate of $24.65 psf for
retail properties in suburban Maryland, while the property's
vacancy rate of 18.0% is elevated when compared with the 2022
market average of 7.6%, as reported by Reis. The most recent
appraisal dated September 2021 valued the property at $90.2
million, which was relatively consistent with the September 2020
appraised value of $90.9 million, and above the loan's current
balance of $75.3 million. Given the decline in value since
issuance, DBRS Morningstar's analysis includes an elevated
probability of default. The resulting expected loss was 2.7x higher
than the pool average.
Notes: All figures are in U.S. dollars unless otherwise noted.
LOANCORE 2019-CRE2: DBRS Confirms BB Rating on Class G Notes
------------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of
floating-rate notes issued by LoanCore 2019-CRE2 Issuer Ltd. (the
Issuer):
-- Class A-S at AAA (sf)
-- Class B at AAA (sf)
-- Class C at AA (sf)
-- Class D at AA (low) (sf)
-- Class E at A (sf)
-- Class F at BBB (sf)
-- Class G at BB (sf)
All trends are Stable.
The rating confirmations reflect the increased credit support to
the bonds as a result of successful loan repayment, resulting in a
collateral reduction of 50.9% since issuance. The increased credit
support to the bonds serves as a mitigant to potential adverse
selection in the transaction as five loans are secured by office
properties (41.0% of the current pool balance). As a result of
complications initially arising from impacts of the Coronavirus
Disease (COVID-19) pandemic and the ongoing challenges with leasing
available space, the borrowers of these loans have generally been
unable to increase occupancy and rental rates, resulting in lower
than expected cash flows. Given the decline in desirability for
office product across tenants, investors, and lenders alike, there
is greater uncertainty regarding the borrowers' exit strategies
upon loan maturity. In conjunction with this press release, DBRS
Morningstar has published a Surveillance Performance Update report
with in-depth analysis and credit metrics for the transaction and
with business plan updates on select loans.
As of the April 2023 remittance, the trust reported an outstanding
balance of $519.5 million with 13 loans remaining in the trust. Of
the 13 loans in the transaction, five loans, representing 46.6% of
the current pool balance, have pari passu companion notes
securitized in the LoanCore 2019-CRE3 transaction, also rated by
DBRS Morningstar. Since issuance, 32 loans have repaid in full, and
as the Reinvestment Period ended in May 2021, loan payoffs were
used to subsequently pay down the transaction sequentially. Since
the previous DBRS Morningstar rating action in November 2022, there
has been collateral reduction of $34.9 million, including the full
repayment of six loans. The remaining loans in the transaction
beyond the office concentration noted above include three loans
secured by hotel properties (22.5% of the current trust balance),
two loans secured by multifamily properties (17.7% of the current
trust balance), two loans secured by mixed-use properties (12.9% of
the current trust balance), and one loan secured by a retail
property (6.0% of the current pool balance).
Ten of the 13 loans, representing 84.6% of the current trust
balance, have scheduled maturity dates in 2023. Of these loans,
four are structured with additional extension options of 12 months,
provided the loan meets the required performance-based minimum debt
service coverage ratio (DSCR), minimum debt yield and/or maximum
loan-to-value ratio (LTV) tests. Of the six loans that do not have
extension options, one loan, 60 Tenth Avenue (Prospectus ID#41,
6.1% of the current pool) is past its maturity date and has
transferred to special servicing. The loan is secured by an
unanchored retail property in the Meatpacking District of Manhattan
that is currently 100% vacant. The remaining five loans with 2023
maturity dates are either in the process of securing refinancing or
negotiating loan modifications in order to extend the loan to
provide more time to stabilize their respective properties. While
loan modification discussions are in preliminary stages it is
likely that any potential maturity extension will require an
additional cash equity infusion.
The remaining loans are primarily secured by properties in urban
and suburban markets. Nine loans representing 81.2% of the pool are
secured by properties in urban markets as defined by DBRS
Morningstar with a DBRS Morningstar Market Rank of 6, 7, or 8, and
three loans representing 18.8% of the pool are secured by
properties with a DBRS Morningstar Market Rank of 3 or 4, which
denotes a light suburban market. In comparison with the pool,
composition at issuance properties in urban markets represented
61.1% of the collateral, and properties in suburban markets
represented 38.9% of the collateral. The location of the assets
within urban markets potentially serves as a mitigant to loan
maturity risk, as urban markets have historically shown greater
liquidity and investor demand.
As of March 2023, the lender has advanced $34.1 million in loan
future funding to six of the remaining individual borrowers to aid
in property stabilization efforts, with the largest advances made
to the borrowers of the El Centro ($15.6 million) and 183 Madison
Avenue ($9.5 million) loans. A majority of the future funding
advanced for the El Centro loan was used to cover debt service
payment shortfalls in order to give the sponsor time to lease the
property up to stabilized levels. Future funding for the 183
Madison Avenue property was primarily used for TI/LC funds. Across
the eight loans that are structured with future funding,
approximately $42.8 million remains outstanding as of March 2023.
These funds are mainly to be used to fund capital expenditures,
leasing costs, and operating shortfalls.
As of the April 2023 remittance, there is one loan, representing
6.0% of the pool, in special servicing, and three loans,
representing 29.1% of the pool, on the servicer's watchlist. All
but one loan have received some form of loan modification or
forbearance over the past three years, largely stemming from
impacts of the COVID-19 pandemic. Loan modifications have included
terms such as waivers on certain extension option conditions and
the allowance of borrowers to access funds held in reserves to
cover shortfalls or rent relief for certain tenants. The
aforementioned 60 Tenth Avenue loan, transferred to special
servicing in April 2023 for imminent maturity default. The
unanchored retail property has largely operated as incubator and
"pop up" space for retailers as commitments have generally ranged
from one week to six months. The sponsor is targeting more
permanent users but has not been successful in generating any
leasing activity as the property remains vacant as of April 2023.
The three loans on the servicer's watchlist are all being monitored
for upcoming maturities. In addition to the three watchlist loans,
there is also one loan, Sunset PCH (Prospectus ID#13, 6.1% of the
current trust balance), that is flagged as delinquent. This loan is
secured by an office property in Los Angeles. The sponsor's
business plan was to leverage the property's recent renovation and
to increase occupancy to market levels. The property's former
largest tenant, Bay Club (previously 21.1% of net rentable area),
vacated upon its lease expiration in June 2022, which decreased
occupancy to 26.5%. The sponsor is reportedly negotiating with a
replacement gym tenant that will pay significantly more base rent
than Bay Club had paid. DSCR was reported at just 0.27 times as of
the trailing 12-month period ended November 30, 2022, and cash flow
remains well below the DBRS Morningstar stabilized figure.
Notes: All figures are in U.S. dollars unless otherwise noted.
LOANCORE 2019-CRE3: DBRS Confirms BB(high) Rating on Class F Notes
------------------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of
floating-rate notes issued by LoanCore 2019-CRE3 Issuer Ltd. (the
Issuer):
-- Class A-S at AAA (sf)
-- Class B at AAA (sf)
-- Class C at AA (sf)
-- Class D at A (high) (sf)
-- Class E at BBB (high) (sf)
-- Class F at BB (high) (sf)
All trends are Stable.
The rating confirmations reflect the increased credit support to
the bonds as a result of successful loan repayment, resulting in a
collateral reduction of 59.0% since issuance. The increased credit
support to the bonds serves as a mitigant to potential adverse
selection in the transaction as two loans are secured by office
properties (48.2% of the current pool balance). As a result of
complications initially arising from impacts of the Coronavirus
Disease (COVID-19) pandemic and the ongoing challenges with leasing
available space, the borrowers of these loans have generally been
unable to increase occupancy and rental rates, resulting in lower
than expected cash flows. Given the decline in desirability for
office product across tenants, investors, and lenders alike, there
is greater uncertainty regarding the borrowers' exit strategies
upon loan maturity. In conjunction with this press release, DBRS
Morningstar has published a Surveillance Performance Update report
with in-depth analysis and credit metrics for the transaction and
with business plan updates on select loans.
As of the April 2023 remittance, the trust reported an outstanding
balance of $170.3 million with just five loans remaining in the
trust. All five loans in the transaction have pari passu companion
notes securitized in the LoanCore 2019-CRE2 transaction, also rated
by DBRS Morningstar. Since issuance, 17 loans have repaid in full,
and as the Reinvestment Period ended in May 2021, loan payoffs were
used to subsequently pay down the transaction sequentially. The
remaining loans in the transaction beyond the office concentration
noted above include two loans secured by multifamily properties
(46.5% of the current trust balance) and one loan secured by a
hotel (5.3% of the current trust balance).
All five loans have scheduled maturity dates in 2023 and do not
have any additional loan extension options. Borrowers are in the
process of securing refinancing or negotiating loan modifications
in order to extend the loan to provide more time to stabilize their
respective properties. Loan modification discussions are still in
preliminary stages but will generally include a maturity extension
and will require additional cash equity infusion or principal
paydown.
The remaining loans in the pool are primarily secured by properties
in urban and suburban markets. Three loans representing 75.4% of
the pool are secured by properties in urban markets as defined by
DBRS Morningstar with a DBRS Morningstar Market Rank of 6, 7, or 8,
and two loans representing 24.6% of the pool are secured by
properties with a DBRS Morningstar Market Rank of 3 or 4, which
denotes a light suburban market. In comparison with the pool
composition at issuance, properties in urban markets represented
55.3% of the collateral, and properties in suburban markets
represented 25.5% of the collateral. The location of the assets
within urban markets potentially serves as a mitigant to loan
maturity risk, as urban markets have historically shown greater
liquidity and investor demand.
As of March 2023, the lender has advanced $29.0 million in loan
future funding to three of the remaining individual borrowers to
aid in property stabilization efforts, with the largest advances
made to the borrowers of the El Centro ($15.6 million) and 183
Madison Avenue ($9.5 million) loans. A majority of the future
funding advanced for the El Centro loan was used to cover debt
service payment shortfalls in order to give the sponsor time to
lease the property up to stabilized levels. Future funding for the
183 Madison Avenue property was primarily used for TI/LC funds.
Across the three loans that are structured with future funding,
approximately $18.2 million remains outstanding as of March 2023.
These funds are mainly to be used to fund capital expenditures and
leasing costs.
As of the April 2023 remittance, there are no loans in special
servicing and two loans, representing 46.4% of the pool, on the
servicer's watchlist. All five loans have received some form of
loan modification or forbearance over the past three years, largely
stemming from impacts of the COVID-19 pandemic. Loan modifications
have included terms such as waivers on certain extension option
conditions and the allowance of borrowers to access funds held in
reserves to cover shortfalls or rent relief for certain tenants.
The two loans on the servicer's watchlist are being monitored for
upcoming maturities. In addition to the two watchlisted loans,
there is also one loan, Sunset PCH (Prospectus ID#9, 13.4% of the
current trust balance), that is flagged as delinquent. This loan is
secured by an office property in Los Angeles. The sponsor's
business plan was to leverage the property's recent renovation,
ocean side location, and affluent demographics to lease up vacant
space. The property's former largest tenant, Bay Club (previously
21.1% of net rentable area), vacated upon its lease expiry in June
2022 decreasing occupancy to 26.5%, where it currently stands as of
March 2023. The sponsor is reportedly negotiating with a
replacement gym tenant that will pay significantly more base rent
than Bay Club had paid. Debt service coverage ratio was reported at
just 0.27 times as of the trailing 12-month period ended November
30, 2022, and cash flow remains well below the DBRS Morningstar
stabilized figure.
Notes: All figures are in U.S. dollars unless otherwise noted.
LOBEL AUTOMOBILE 2023-1: DBRS Gives Prov. BB Rating on D Notes
--------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes (the Notes) to be issued by Lobel Automobile Receivables
Trust 2023-1 (the Issuer or LOBEL 2023-1):
-- $116,690,000 Class A Notes at AA (sf)
-- $22,378,000 Class B Notes at A (sf)
-- $14,886,000 Class C Notes at BBB (sf)
-- $24,776,000 Class D Notes at BB (sf)
The provisional ratings are based on DBRS Morningstar's review of
the following analytical considerations:
(1) Transaction capital structure, proposed ratings, and form and
sufficiency of available credit enhancement.
-- Credit enhancement is in the form of overcollateralization,
subordination, amounts held in the reserve fund, and excess spread.
Credit enhancement levels are sufficient to support the DBRS
Morningstar-projected cumulative net loss (CNL) assumption under
various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms in which
they have invested. For this transaction, the ratings address the
payment of timely interest on a monthly basis and principal by the
legal final maturity date.
(2) The DBRS Morningstar CNL assumption is 18.00% based on the
expected pool composition.
(3) The transaction assumptions consider DBRS Morningstar's
baseline macroeconomic scenarios for rated sovereign economies,
available in its commentary "Baseline Macroeconomic Scenarios for
Rated Sovereigns: April 2023 Update," published on April 28, 2023.
These baseline macroeconomic scenarios replace DBRS Morningstar's
moderate and adverse Coronavirus Disease (COVID-19) pandemic
scenarios, which were first published in April 2020.
(4) The transaction parties' capabilities with regard to
originations, underwriting, and servicing.
(5) The quality and consistency of historical static pool data for
Lobel originations since 2012.
(6) The legal structure and expected presence of legal opinions
that will address the true sale of the assets to the Issuer, the
nonconsolidation of the special-purpose vehicle with Lobel, that
the trust has a valid first-priority security interest in the
assets, and the consistency with the DBRS Morningstar "Legal
Criteria for U.S. Structured Finance."
Lobel is an indirect auto finance company focused primarily on
independent dealers. The company provides financing to subprime
borrowers who are unable to obtain financing through traditional
sources, such as banks, credit unions, and captive finance
companies.
The rating on the Class A Notes reflects 43.10% of initial hard
credit enhancement provided by the subordinated Notes in the pool,
the reserve account (1.50%), and overcollateralization (10.55%).
The ratings on the Class B, C, and D Notes reflect 31.90%, 24.45%,
and 12.05% of initial hard credit enhancement, respectively.
Additional credit support may be provided from excess spread
available in the structure.
Notes: All figures are in U.S. dollars unless otherwise noted.
MADISON PARK LXIII: Fitch Assigns Final BB Rating on Cl. E Notes
----------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Madison
Park Funding LXIII, Ltd.
Entity/Debt Rating Prior
----------- ------ -----
Madison Park
Funding LXIII, Ltd.
A-1 LT AAAsf New Rating AAA(EXP)sf
A-2 LT AAAsf New Rating AAA(EXP)sf
B-1 LT AAsf New Rating AA(EXP)sf
B-2 LT AAsf New Rating
C LT Asf New Rating A(EXP)sf
D LT BBB-sf New Rating BBB-(EXP)sf
E LT BBsf New Rating BB-(EXP)sf
F LT NRsf New Rating NR(EXP)sf
Subordinated Notes LT NRsf New Rating NR(EXP)sf
TRANSACTION SUMMARY
The final ratings on class E notes differ from the expected ratings
published on March 13, 2023. Following structural changes that
occurred between the assignment of the expected rating and the
pricing of the transaction, the class E notes are deemed to be
robust to assign a 'BBsf' rating. Class E notes can withstand a
default rate of 36.1% versus a 'BBsf' default stress of 35.0%,
assuming 71.4% recovery given default. Madison Park Funding LXIII,
Ltd. has issued class B-1 floating rate note and B-2 fixed rate
notes, rather than the class B floating rate notes that were
anticipated when the expected ratings were assigned in March. The
notional amounts of various classes have also changed resulting in
an increase of credit enhancement (CE) for class E.
Madison Park Funding LXIII, Ltd. (the issuer) is an arbitrage cash
flow collateralized loan obligation (CLO) that will be managed by
Credit Suisse Asset Management, LLC. Net proceeds from the issuance
of the secured and subordinated notes will provide financing on a
portfolio of approximately $600 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B'/'B-', which is in line with that of
recent CLOs. Issuers rated in the 'B' rating category denote a
highly speculative credit quality; however, the notes benefit from
appropriate CE and standard CLO structural features.
Asset Security (Positive): The indicative portfolio consists of
99.83% first-lien senior secured loans and has a weighted average
recovery assumption of 75.18%. Fitch stressed the indicative
portfolio by assuming a higher portfolio concentration of assets
with lower recovery prospects and further reduced recovery
assumptions for higher rating stresses.
Portfolio Composition (Positive): The largest three industries may
comprise up to 37% 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 resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting to the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The weighted average life (WAL) used for the transaction stress
portfolio is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
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 as
severe as between 'BBB+sf' and 'AA+sf' for class A-1, between
'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for
class B, between 'Bsf' and 'BBB+sf' for class C, between less than
'B-sf' and 'BB+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-1 and class A-2
notes; and as these notes are in the highest rating category of
'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'A+sf' for class C, 'Asf' for
class D; and 'BBB+sf' for class E.
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.
MADISON PARK LXIII: Moody's Assigns B3 Rating to $250,000 F Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to two classes of
notes issued by Madison Park Funding LXIII, Ltd. (the "Issuer").
Moody's rating action is as follows:
US$369,000,000 Class A-1 Floating Rate Senior Notes due 2035,
Definitive Rating Assigned Aaa (sf)
US$250,000 Class F Deferrable Floating Rate Junior Notes due 2035,
Definitive Rating Assigned B3 (sf)
The notes listed are referred to herein, collectively, as the
"Rated Notes."
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.
Madison Park Funding LXIII, Ltd. is a managed cash flow CLO. The
issued notes will be collateralized primarily by broadly syndicated
senior secured corporate loans. At least 90% of the portfolio must
consist of first lien senior secured loans and eligible
investments, and up to 10% of the portfolio may consist of note
senior secured loans. The portfolio is approximately 80% ramped as
of the closing date.
Credit Suisse Asset Management, LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.
In addition to the Rated Notes, the Issuer issued six other classes
of secured notes and one class of subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2021.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $600,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 3095
Weighted Average Spread (WAS): 3.60%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 8 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2021.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated 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.
MFA 2023-NQM2: S&P Assigns B+(sf) Rating on Class B-2 Certificates
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to MFA 2023-NQM2 Trust's
series 2023-NQM2 mortgage pass-through certificates.
The certificate issuance is an RMBS transaction backed by
first-lien (97.23%) and second-lien (2.77%), fixed- and
adjustable-rate, fully amortizing residential mortgage loans,
including some loans with interest-only features, secured by
single-family residences, planned unit developments, condominiums,
condotels, two- to four-family homes, five- to 10-unit multi-family
properties, and manufactured housing properties to both prime and
nonprime borrowers. The pool has 717 loans, which are primarily
non-qualified mortgage loans and ability-to-repay exempt.
The ratings reflect:
-- The pool's collateral composition;
-- The transaction's credit enhancement;
-- The transaction's associated structural mechanics;
-- The transaction's representation and warranty framework;
-- The mortgage aggregator and mortgage originators;
-- The pool's geographic concentration; and
-- The potential impact current and near-term macroeconomic
conditions may have on the performance of the mortgage borrowers in
the pool. S&P said, "Per our latest macroeconomic update, we
continue to expect the U.S. will fall into a shallow recession in
2023. Although safeguards from the Federal Reserve and other
regulators have stabilized conditions, banking concerns increase
risks of a worse outcome, and chances for a worsening recession
have increased, with inflation moderating faster than expected in
our baseline forecast. 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%.
Ratings(i) Assigned
MFA 2023-NQM2 Trust
Class A-1, $230,009,000: AAA (sf)
Class A-2, $33,814,000: AA (sf)
Class A-3, $44,961,000: A (sf)
Class M-1, $20,437,000: BBB (sf)
Class B-1, $15,421,000: BB+ (sf)
Class B-2, $15,420,000: B+ (sf)
Class B-3, $11,519,844: Not rated
Class A-IO-S, notional(ii): Not rated
Class XS, notional(ii): Not rated
Class R, not applicable: Not rated
(i)The collateral and structural information in this report
reflects the private placement memorandum received on May 10, 2023.
The ratings address the ultimate payment of interest and principal.
They do not address payment of the cap carryover amounts.
(ii)The notional amount equals the loans' aggregate unpaid
principal balance.
MOFT TRUST 2020-ABC: DBRS Confirms B(low) Rating on Class D Certs
-----------------------------------------------------------------
DBRS Limited confirmed its ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2020-ABC
issued by MOFT Trust 2020-ABC:
-- Class X-A at A (sf)
-- Class A at A (low) (sf)
-- Class B at BBB (low) (sf)
-- Class C at BB (low) (sf)
-- Class D at B (low) (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction, which remains consistent with DBRS Morningstar's
expectations at issuance.
The 10-year, fixed-rate, interest-only (IO) loan is secured by the
fee-simple interest in three Class A office buildings totaling more
than 950,000 square feet (sf) in Sunnyvale, California. The
properties, referred to as the A, B, and C buildings, were built in
2008 by the Jay Paul Company, an affiliate of the loan sponsor, and
are a component of the larger Moffett Towers technology office
campus. The three buildings are 100% leased to five tenants,
including two investment-grade tenants, Google LLC (Google; a
subsidiary of Alphabet Inc.) and Comcast Cable Communications
(Comcast), accounting for 97.4% of the net rentable area (NRA).
The transaction consists of a $328.0 million participation in a
$770.0 million whole mortgage loan. The components of the whole
mortgage loan securitized in this transaction include $1.0 million
of the senior trust notes and all of the $327.0 million in junior
trust notes. The remaining $442.0 million of senior trust notes are
securitized across seven commercial mortgage-backed securities
(CMBS) transactions, including two DBRS Morningstar-rated
transactions (BMARK 2020-IG2 and BMARK 2020-IG3). Loan proceeds
paid off existing debt totaling $364.0 million, returned $314.1
million of cash equity to the sponsor, covered unfunded sponsor
obligations totaling $89.2 million, and paid closing costs of $2.7
million.
According to the November 2022 rent roll, the property remains 100%
occupied, with minimal rollover risk in the next 12 months. Google
occupies 85.7% of NRA, and the tenant's parent company, Alphabet
Inc., is rated investment grade. The three Google leases feature
staggered lease expiration dates between 2026 and 2031, which
reduces rollover risk. The second-largest tenant is Comcast,
representing 11.7% of the NRA with a lease expiration in October
2027.
At issuance, Google received rental abatements upon taking
possession of Building C in March 2020 and Building B in January
2021, with those abatements fully burning off in October 2021. As a
result, the YE2022 net cash flow (NCF) and debt service coverage
ratio of $59.8 million and 2.19 times, compares favorably with the
YE2021 and DBRS Morningstar NCFs of $35.9 million and $47.9
million, respectively. The Google leases have no termination
options and have seven-year extension options.
In January 2023, Google announced it was reducing its global
workforce by approximately 12,000 roles, terminating nearly 3,000
employees in California and New York. This decision was tied to
cost-cutting measures from the company because off the slowdown in
the current economic environment, with layoffs spanning across
product areas, levels, and functions. It is uncertain whether this
will affect the subject; however, DBRS Morningstar will continue to
closely monitor for developments.
According to Reis, Class A properties within the Sunnyvale
submarket reported a vacancy rate of 22.1% as of February 2023,
compared with the average vacancy rate of 16.5% in 2022, suggesting
weakening submarket fundamentals given the post-pandemic adoption
of remote work by technology companies, which predominantly occupy
the area.
The loan benefits from a strong sponsor, which is an affiliate of
Jay Paul Company, a well-known San Francisco real estate owner and
developer with an extensive portfolio of build-to-suit Class A
office assets. The firm has expertise in building and leasing
office space in Silicon Valley for technology firms including
Amazon, Facebook, Microsoft, and HP, among others. Jay Paul Company
has developed and/or acquired at least 13 million sf of office
space and closed more than $10 billion in debt and equity financing
since its inception.
Notes: All figures are in U.S. dollars unless otherwise noted.
MORGAN STANLEY 2014-C18: DBRS Confirms CCC Rating on Class F Certs
------------------------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2014-C18 issued by Morgan Stanley
Bank of America Merrill Lynch Trust 2014-C18 as follows:
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (low) (sf)
-- Class PST at A (low) (sf)
-- Class X-B at BBB (low) (sf)
-- Class D at BB (high) (sf)
-- Class E at B (low) (sf)
-- Class F at CCC (sf)
DBRS Morningstar also confirmed the ratings on the following
non-pooled rake bonds of the Commercial Mortgage Pass-Through
Certificates, Series 2014-C18, which are backed by the $244.4
million subordinate B note of the 300 North LaSalle loan:
-- Class 300-A at AA (high) (sf)
-- Class 300-B at A (sf)
-- Class 300-C at BBB (sf)
-- Class 300-D at BB (sf)
-- Class 300-E at B (high) (sf)
DBRS Morningstar changed the trends on Classes D, E, and X-B to
Stable from Negative. All other classes carry Stable trends with
the exception of Class F, which is assigned a rating that does not
typically carry a trend in Commercial Mortgage-Backed Securities
(CMBS).
The rating confirmations reflect the overall stable performance of
the transaction, in line with DBRS Morningstar expectations. The
CCC (sf) rating on Class F is reflective of DBRS Morningstar's
continued loss expectations for two loans in special servicing, as
discussed below. Several classes had been carrying Negative trends
because of concerns related to the performance of hospitality
properties, which represent 16.8% of the pool balance and have
generally reported a decline in performance because of the impact
of the Coronavirus Disease (COVID-19) pandemic. However,
performance has generally rebounded and is trending toward a
positive direction, thereby supporting the trend change to Stable.
As of the April 2023 remittance, 47 of the original 65 loans remain
in the pool, representing a collateral reduction of 42.3% since
issuance. The pool is concentrated by property type with loans
secured by office, retail, and hotel properties representing 31.7%,
30.1%, and 16.8% of the pool balance, respectively. DBRS
Morningstar stressed the loans backed by office properties given
their proximity to maturity and low investor appetite for the
property type, with a resulting weighted-average expected loss that
was approximately 65% above the expected loss for the pool as a
whole.
Ten loans, representing 12.1% of the pool, are fully defeased.
Three loans are in special servicing and six loans are on the
servicer's watchlist, representing 8.0% and 20.1% of the current
pool, respectively. The largest specially serviced loan is
Louisiana Retail Portfolio (Prospectus ID#11; 4.1% of the pool),
which is secured by a portfolio of 15 unanchored retail properties
located across various markets throughout Louisiana and
Mississippi. The loan transferred to special servicing in December
2019 because of a default on the October 2019 maturity date. The
portfolio became real estate owned in November 2022 and, according
to the servicer's commentary, three properties have been sold to
date while the remaining properties are expected to be sold by
November 2023. An updated appraisal from November 2022 reported a
value of $27.2 million, which is down 35.1% from the issuance value
of $41.9 million. DBRS Morningstar has requested an update from the
servicer regarding the details of the sale of the three properties
but a response is pending as of the date of this press release.
DBRS Morningstar analyzed this loan with a liquidation scenario,
which resulted in a loss severity in excess of 30.0%.
The second-largest loan in special servicing is 25 Taylor
(Prospectus ID#16; 2.9% of the pool), which is secured by a 55,124
square foot (sf) high-rise office building in San Francisco. The
loan transferred to special servicing in February 2023 because of
monetary default, considering the occupancy rate has fallen
considerably from issuance. The former largest tenant, WeWork
(96.7% of the net rentable area), vacated the property at YE2021,
bringing the occupancy rate down to 3.3%. The borrower was funding
operating shortfalls out of pocket as the property reported
negative net cash flows while litigation proceedings against WeWork
were ongoing; however, the loan stopped making its debt service
payments in January 2023. A prenegotiation letter was executed and,
while workout discussions are ongoing, the special servicing is
dual tracking foreclosure. Given the negative net cash flow and
sustained low occupancy rate since 2021, the value of the property
has declined significantly from issuance. An updated appraisal from
March 2023 reported a value of $9.5 million, which is down 66.2%
from the issuance value of $28.1 million. As such, DBRS Morningstar
analyzed the loan with a stressed loan-to-value ratio and an
elevated probability of default, resulting in an expected loss that
is double the pool average expected loss.
The 300 North LaSalle loan is secured a 1.3 million-sf Class A
office building in Chicago's River North submarket. Asides from the
rake bonds, the senior debt is held in the trust and is pari passu
with a loan secured in Morgan Stanley Bank of America Merrill Lynch
Trust 2014-C19 (MSBAM 2014-C19), which is also rated by DBRS
Morningstar. At issuance, the senior debt portion of the loan was
shadow-rated as investment grade based on the property's
above-average quality, strong sponsorship strength, and
historically stable performance; currently, DBRS Morningstar
believes the subject is better positioned than others in the
submarket that have reported performance declines and have upcoming
loan maturities. However, the overall refinance risk is elevated
given the current environment and the significant tenant rollover
risk. As such, DBRS Morningstar took a conservative approach in its
review by removing the shadow rating and increasing the expected
loss in its analysis.
Notes: All figures are in U.S. dollars unless otherwise noted.
MORGAN STANLEY 2016-C28: DBRS Confirms C Rating on 4 Classes
------------------------------------------------------------
DBRS Limited confirmed its ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2016-C28
issued by Morgan Stanley Bank of America Merrill Lynch Trust
2016-C28:
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (high) (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class X-D at BBB (low) (sf)
-- Class D at BB (high) (sf)
-- Class E-1 at B (low) (sf)
-- Class E-2 at CCC (sf)
-- Class E at CCC (sf)
-- Class F-1 at CCC (sf)
-- Class F-2 at CCC (sf)
-- Class F at CCC (sf)
-- Class EF at CCC (sf)
-- Class G-1 at C (sf)
-- Class G-2 at C (sf)
-- Class G at C (sf)
-- Class EFG at C (sf)
Classes E-2, E, F-1, F-2, F, EF, G-1, G-2, G, and EFG have ratings
that generally do not carry a trend in commercial mortgage-backed
securities (CMBS) ratings. All other classes have Stable trends.
The rating confirmations reflect the overall stable performance of
the transaction since DBRS Morningstar's last review. The CCC (sf)
and C (sf) ratings for the above-mentioned classes are reflective
of DBRS Morningstar's continued concerns and loss expectations for
the loans in special servicing, as discussed below.
As of the April 2023 remittance, 37 of the original 42 loans remain
in the pool, with an aggregate principal balance of $782.0 million,
reflecting a collateral reduction of 18.2% since issuance as a
result of loan repayments and scheduled amortization. The
transaction is concentrated by property type, with 41.0% of the
pool secured by retail properties and 28.9% of the pool secured by
office properties. Four loans have defeased, representing 10.5% of
the pool. There are two loans in special servicing and eight loans
on the servicer's watchlist, representing 9.2% and 16.4% of the
pool balance, respectively. The watchlisted loans are primarily
being monitored for low debt service coverage ratios (DSCRs) and/or
occupancy figures.
The largest specially serviced loan, Princeton South Corporate
Center (Prospectus ID#6; representing 5.9% of the pool), is secured
by two Class A office buildings totaling approximately 267,000
square feet (sf) in Trenton, New Jersey. The loan transferred to
special servicing in February 2022 for imminent monetary default
resulting from insufficient cash flow and the loan defaulted on its
March 2022 payment. Occupancy dropped substantially as tenants
vacated and certain existing tenants did not pay rent because of
ongoing disputes with the borrower. According to the December 2022
rent roll, the property was 60.1% occupied with an average rental
rate of $31.92 per square foot (psf), down from 76.4% as reported
by the trailing nine month ended (T9) financials. A receiver was
appointed in June 2022 and is actively pursuing new and renewal
leases while addressing rental payment delinquencies. The noted
workout strategy is foreclosure and, according to the March 2022
appraisal, the property was valued at $29.0 million, a significant
decrease from the issuance value of $72.0 million and well below
the loan balance of $45.8 million. The most recent financial
reporting available was from Q3 2021 when the loan reported an
annualized net cash flow (NCF) of $3.0 million and a DSCR of 1.12
times (x). The servicer provided unaudited YE2022 financial
statements, which noted a net operating income of below $1.0
million.
According to Reis, office properties in the Trenton submarket
reported a YE2022 vacancy rate of 17.7% and an asking rental rate
of $26.17 psf, compared with the YE2021 vacancy rate of 18.8% and
asking rental rate of $25.52 psf. Given the sharp value decline,
DBRS Morningstar liquidated the loan in its analysis, resulting in
a loss severity in excess of 55.0%.
The DoubleTree by Hilton – Cleveland, OH loan (Prospectus ID#13,
3.3% of the pool) is secured by a 379-key, full-service hotel in
Cleveland, Ohio. The loan transferred to special servicing in
October 2019 for imminent monetary default and was last paid
through June 2021. A receiver was appointed in January 2020 and the
borrower had agreed to a voluntary foreclosure that was scheduled
for May 2020 but was delayed after Cuyahoga County placed a
moratorium on sheriff sales amid the Coronavirus Disease (COVID-19)
pandemic. The moratorium was lifted in October 2020 and the
receiver is working on stabilizing the subject. Based on the
October 2022 appraisal, the property was valued at $26.3 million, a
sharp decline from the issuance value of $40.0 million and just
above the outstanding loan balance of $25.7 million. For this
review, DBRS Morningstar liquidated the loan, resulting in a loss
severity in excess of 60.0%.
The largest watchlisted loan, Navy League Building (Prospectus
ID#4; representing 7.4% of the pool), is secured by an office
building with ground floor retail in Arlington, Virginia. The loan
was added to the servicer's watchlist in January 2021 for declining
occupancy and DSCR since the departure of the former second-largest
tenant, Bean Kinney & Korman P.C. Occupancy has further declined
since with the September 2022 occupancy rate reported at 55.8%,
compared with YE2021 at 63.3% and YE2020 at 74.0%. The servicer
noted that the borrower is in discussion with three potential
tenants to back-fill approximately 47,000 sf but no leases have
been executed to date. According to the T9 September 30, 2022,
financials, the loan reported an annualized NCF of $2.7 million
(DSCR of 0.70x), down from $3.5 million (DSCR of 0.92x) at YE2021.
For this review, DBRS Morningstar analyzed the loan with an
elevated probability of default given the low performance,
resulting in an expected loss that was about 60.0% above the
weighted-average pool expected loss.
At issuance, Penn Square Mall (Prospectus ID#1, 11.5% of the pool)
was shadow-rated investment grade. With this review, DBRS
Morningstar confirmed that the performance of this loan remains
consistent with investment-grade loan characteristics.
Notes: All figures are in U.S. dollars unless otherwise noted.
MORGAN STANLEY 2018-BOP: DBRS Cut Rating on Class F Certs to B
--------------------------------------------------------------
DBRS Limited downgraded its ratings on two classes of the
Commercial Mortgage Pass-Through Certificates, Series 2018-BOP
issued by Morgan Stanley Capital I Trust 2018-BOP as follows:
-- Class E to BB (sf) from BBB (low) (sf)
-- Class F to B (sf) from BB (sf)
DBRS Morningstar confirmed its ratings on the remaining classes as
follows:
-- Class A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at A (high) (sf)
-- Class X-EXT at A (sf)
-- Class D at A (low) (sf)
The trends on all classes were changed to Negative from Stable,
with the exception of Class A, which remains Stable. The rating
downgrades and the Negative trends are reflective of the persistent
declines in performance metrics as a result of tenants vacating
upon lease expiration and a lack of leasing activity to back-fill
vacant spaces. Although the sponsor continues to cover the loan's
debt service payments out-of-pocket, the loan was recently
transferred to special servicing with the April 2023 remittance as
a result of monetary default. Given the shift in demand for office
space following the Coronavirus Disease (COVID-19) pandemic, DBRS
Morningstar anticipates upward pressure on vacancy rates in the
broader office market, presenting an additional challenge in
retenanting the subject properties and increasing the potential for
value declines. In addition, the sponsor will be especially
challenged to back-fill the portfolio given the collateral's Class
B construction and suburban locations as office users continue with
the ongoing "flight-to-quality" trend, thus making refinance
prospects increasingly unlikely as the loan's August 2023 final
maturity date approaches.
At issuance, the loan was secured by the fee-simple interest in a
portfolio of 12 suburban Class B office properties comprising
nearly 1.8 million square feet (sf) of office space in four
different states. The loan benefits from strong sponsorship in
Brookfield Asset Management Inc. (Brookfield; (rated A (low) with a
Stable trend by DBRS Morningstar) and has experienced principal
paydown of 27.7% following the release of three of the original 12
collateral properties. These three properties collectively
represented $38.9 million of the allocated loan balance (ALB)
(17.4% of the issuance ALB), and, based on the release provisions
outlined in the transaction documents, $62.0 million of principal
was repaid, therefore increasing credit enhancement levels across
the capital stack.
The terms of the loan agreement allow for properties to be released
from the collateral for the loan at a repayment amount of 105% of
the ALB for the first 20% of the initial loan balance with a 110%
release price thereafter, subject to a debt yield requirement of
12.5% following the release of the property in question, as well as
other criteria. DBRS Morningstar believes the 105% release price
for the first 20% is a weaker structure, and the updated sizing
completed as part of this review incorporated a penalty to reflect
the increased risk.
Initial proceeds of $278.4 million, including $55.0 million of
mezzanine debt, were primarily used to refinance existing debt of
approximately $259.4 million, fund $8.3 million of upfront
reserves, pay $9.5 million of closing costs, and return $1.1
million of equity to the sponsor. The loan sponsor is Brookfield
Strategic Real Estate Partners II, a global real estate opportunity
fund controlled by Brookfield. The loan is interest only (IO)
through its initial two-year term, with three one-year extension
options and a final maturity in August 2023.
Based on the December rent roll, portfolio occupancy declined to
53.1% from the December 2021 figure of 62.3% and the issuance
figure of 78.0%. Approximately 7.6% of the portfolio net rentable
area (NRA) is scheduled to roll over in 2023. In 2022, the sponsor
successfully signed Eating Recovery Center, LLC (7.9% of portfolio
NRA) to a 15-year lease scheduled to commence in January 2023. The
tenant, now the largest in the portfolio, occupies the entirety of
the University Corporate Center III property, bringing the implied
portfolio occupancy to 61.0%. No other tenant comprises more than
3.0% of the portfolio NRA.
According to the YE2022 financials, net cash flow (NCF) was
reported at $12.2 million, in comparison with the YE2021 figure of
$19.0 million. The decline is predominantly due to decreases in
gross potential revenue and expense reimbursements, both of which
have been driven by the occupancy declines as previously outlined.
It is noteworthy that the YE2022 NCF includes cash flow attributed
to a property that was released from the collateral in October
2022, while the YE2021 NCF includes cash flow from two released
properties and individual property financials were not provided.
Given the sustained performance declines since issuance and
near-term maturity, the risk for this loan has substantially
increased. As such, DBRS Morningstar took a conservative approach
when updating the LTV Sizing in its analysis and applied an 8.0%
cap rate to the YE2022 NCF of $12.2 million, resulting in a DBRS
Morningstar Value of $152.1 million. This value represents a 49.1%
variance from the issuance appraised value of $298.7 million for
the remaining properties in the collateral. The DBRS Morningstar
Value implies an loan-to-value ratio (LTV) of 106.1% on the A note
debt, as compared with the LTV on the issuance appraised value of
61.8%. The cap rate and qualitative adjustments applied to the
sizing were unchanged from DBRS Morningstar's last sizing completed
in July 2020.
The DBRS Morningstar ratings assigned to all classes, with the
exception of Class A, are higher than the results implied by the
LTV sizing benchmarks. These variances are warranted given the
value assumed in the analysis was based on a stressed approach that
supported the downgrades and Negative trends, as outlined above.
DBRS Morningstar also considered mitigated factors in the strong
sponsorship and principal paydown greater than the released
properties' ALBs.
Notes: All figures are in U.S. dollars unless otherwise noted.
MSWF COMMERCIAL 2023-1: Fitch Gives B-(EXP) Rating on G-RR Certs
----------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
MSWF Commercial Mortgage Trust 2023-1, Commercial Mortgage
Pass-Through certificates, series 2023-1.
Entity/Debt Rating
----------- ------
MSWF Commercial
Mortgage 2023-1
A-1 LT AAA(EXP)sf Expected Rating
A-2 LT AAA(EXP)sf Expected Rating
A-4 LT AAA(EXP)sf Expected Rating
A-4-1 LT AAA(EXP)sf Expected Rating
A-4-2 LT AAA(EXP)sf Expected Rating
A-4-X1 LT AAA(EXP)sf Expected Rating
A-4-X2 LT AAA(EXP)sf Expected Rating
A-5 LT AAA(EXP)sf Expected Rating
A-5-1 LT AAA(EXP)sf Expected Rating
A-5-2 LT AAA(EXP)sf Expected Rating
A-5-X1 LT AAA(EXP)sf Expected Rating
A-5-X2 LT AAA(EXP)sf Expected Rating
A-S LT AAA(EXP)sf Expected Rating
A-S-1 LT AAA(EXP)sf Expected Rating
A-S-2 LT AAA(EXP)sf Expected Rating
A-S-X1 LT AAA(EXP)sf Expected Rating
A-S-X2 LT AAA(EXP)sf Expected Rating
A-SB LT AAA(EXP)sf Expected Rating
B LT AA-(EXP)sf Expected Rating
B-1 LT AA-(EXP)sf Expected Rating
B-2 LT AA-(EXP)sf Expected Rating
B-X1 LT AA-(EXP)sf Expected Rating
B-X2 LT AA-(EXP)sf Expected Rating
C LT A-(EXP)sf Expected Rating
C-1 LT A-(EXP)sf Expected Rating
C-2 LT A-(EXP)sf Expected Rating
C-X1 LT A-(EXP)sf Expected Rating
C-X2 LT A-(EXP)sf Expected Rating
D LT BBB(EXP)sf Expected Rating
E LT BBB-(EXP)sf Expected Rating
F LT BB-(EXP)sf Expected Rating
G-RR LT B-(EXP)sf Expected Rating
H-RR LT NR(EXP)sf Expected Rating
X-A LT AAA(EXP)sf Expected Rating
X-B LT A-(EXP)sf Expected Rating
X-D LT BBB-(EXP)sf Expected Rating
X-F LT BB-(EXP)sf Expected Rating
- $2,500,000 class A-1 'AAAsf'; Outlook Stable;
- $104,300,000 class A-2 'AAAsf'; Outlook Stable;
- $77,500,000ab class A-4 'AAAsf'; Outlook Stable;
- $0b class A-4-1 'AAAsf'; Outlook Stable;
- $0bc class A-4-2 'AAAsf'; Outlook Stable;
- $0b class A-4-X1 'AAAsf'; Outlook Stable;
- $0bc class A-4-X2 'AAAsf'; Outlook Stable;
- $273,485,000ab class A-5 'AAAsf'; Outlook Stable;
- $0b class A-5-1 'AAAsf'; Outlook Stable;
- $0bc class A-5-2 'AAAsf'; Outlook Stable;
- $0b class A-5-X1 'AAAsf'; Outlook Stable;
- $0bc class A-5-X2 'AAAsf'; Outlook Stable;
- $7,000,000 class A-SB 'AAAsf'; Outlook Stable;
- $464,785,000c class X-A 'AAAsf'; Outlook Stable;
- $122,006,000cd class X-B 'A-sf'; Outlook Stable;
- $61,418,000b class A-S 'AAAsf'; Outlook Stable;
- $0b class A-S-1 'AAAsf'; Outlook Stable;
- $0bc class A-S-2 'AAAsf'; Outlook Stable;
- $0b class A-S-X1 'AAAsf'; Outlook Stable;
- $0bc class A-S-X2 'AAAsf'; Outlook Stable;
- $34,859,000b class B 'AA-sf'; Outlook Stable;
- $0b class B-1 'AA-sf'; Outlook Stable;
- $0bc class B-X1 'AA-sf'; Outlook Stable;
- $0b class B-2 'AA-sf'; Outlook Stable;
- $0bc class B-X2 'AA-sf'; Outlook Stable;
- $25,729,000b class C 'A-sf'; Outlook Stable;
- $0b class C-1 'A-sf'; Outlook Stable;
- $0bc class C-X1 'A-sf'; Outlook Stable;
- $0b class C-2 'A-sf'; Outlook Stable;
- $0bc class C-X2 'A-sf'; Outlook Stable;
- $24,069,000cd class X-D 'BBB-sf'; Outlook Stable;
- $14,110,000cd class X-F 'BB-sf'; Outlook Stable;
- $16,599,000d class D 'BBBsf'; Outlook Stable;
- $7,470,000d class E 'BBB-sf'; Outlook Stable;
- $14,110,000d class F 'BB-sf'; Outlook Stable;
- $9,129,000de class G-RR 'B-sf'; Outlook Stable.
The following classes are not expected to be rated by Fitch:
- $29,879,991df class H-RR 'NR'.
a) The initial certificate balances of classes A-4 and A-5 are not
yet known, but they are expected to be $350,985,000 in the
aggregate, subject to a 5% variance. The certificate balances will
be determined based on the final pricing of those classes of
certificates. The expected class A-4 balance range is $0 to
$155,000,000, and the expected class A-5 balance range is
$195,985,000 to $350,985,000. The Balances shown above for class
A-4 and A-5 reflect the midpoint of each range.
b) Exchangeable Certificates. The class A-4, class A-5, class A-S,
class B and class C are exchangeable certificates. Each class of
exchangeable certificates may be exchanged for the corresponding
classes of exchangeable certificates, and vice versa. The dollar
denomination of each of the received classes of certificates must
be equal to the dollar denomination of each of the surrendered
classes of certificates. The class A-4 may be surrendered (or
received) for the received (or surrendered) classes A-4-1, A-4-X1,
A-4-2 and A-4-X2. The class A-5 may be surrendered (or received)
for the received (or surrendered) classes A-5-1, A-5-X1, A-5-2 and
A-5-X2. The class A-S may be surrendered (or received) for the
received (or surrendered) classes A-S-1, A-S-X1, A-S-2 and A-S-X2.
The class B may be surrendered (or received) for the received (or
surrendered) classes B-1, B-X1, B-2 and B-X2. The class C may be
surrendered (or received) for the received (or surrendered) classes
C-1, C-X1, C-2 and C-X2. The ratings of the exchangeable classes
would reference the ratings of the associate referenced or original
classes.
c) Notional amount and interest only.
d) Privately placed and pursuant to Rule 144A.
e) Vertical-risk retention interest.
f) Horizontal-risk retention interest.
TRANSACTION SUMMARY
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 30 loans secured by 30
commercial properties having an aggregate principal balance of
approximately $664.0 million as of the cut-off date. The loans were
contributed to the trust by Wells Fargo Bank, National Association,
Argentic Real Estate Finance 2 LLC, Morgan Stanley Mortgage Capital
Holdings LLC, Starwood Mortgage Capital LLC, Argentic Real Estate
Finance LLC, and LMF Commercial, LLC. The Master Servicer is
expected to be Wells Fargo Bank, National Association and the
Special Servicer is expected to be Argentic Services LP.
KEY RATING DRIVERS
Lower Leverage Compared to Recent Transactions: The pool has lower
leverage compared to recent transactions rated by Fitch ratings.
The pool's Fitch loan-to-value -- SR is 92.6% is lower than the
2022 average of 99.3% and the 2021 average of 103.3%. Additionally,
the pool's Fitch DY -- SR of 10.17% is higher than the 2022 average
of 9.90% and the 2021 average of 9.40%, respectively.
Investment-Grade Credit Opinion Loans: Two loans representing 15.2%
of the pool received an investment-grade credit opinion. CX - 250
Water Street (9.9%) received a standalone credit opinion of
'BBBsf'. Pacific Design Center (3.8%) received a standalone credit
opinion of 'BBB-sf'. The pool's total credit opinion percentage is
below the 2022 average of 14.4% and the 2021 average of 13.3%,
respectively.
Higher Pool Concentration: The pool has higher pool concentration
compared to recent transaction. The top 10 loans in the pool make
up 60.3% of the pool, higher than the 2022 average of 55.2% and the
2021 average of 51.2%, respectively. Fitch measures loan
concentration risk with an effective loan count, which accounts for
both the number and size of loans in the pool. The pool's effective
loan count is 19.4.
Below Average Amortization: Based on the scheduled balances at
maturity, the pool will pay down by 1.6%, which is below the 2022
average of 3.3% and the 2021 average of 4.8%. The pool has 24
interest-only (IO) loans (82.0% of the pool by balance), which is
higher than the 2022 average of 77.5% and the 2021 average of
70.6%. Two loans (3.3% of the pool) are partial IO, which is below
the 2022 average of 10.2% and the 2021 average of 16.8%,
respectively.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Declining cash flow decreases property value and capacity to meet
its debt service obligations. The table below indicates the
model-implied rating sensitivity to changes in one variable, Fitch
net cash flow (NCF):
- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf'
/ 'BB-sf' / 'B-sf';
- 10% NCF Decline: 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB+sf' / 'BBsf' /
'B-sf' / 'CCCsf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Improvement in cash flow increases property value and capacity to
meet its debt service obligations. The table below indicates the
model-implied rating sensitivity to changes to in one variable,
Fitch NCF:
- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf'
/ 'BB-sf' / 'B-sf';
- 10% NCF Increase: 'AAAsf' / 'AA+sf' / 'Asf' / 'BBB+sf' / 'BBBsf'
/ 'BBsf' / 'B+sf'.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Deloitte & Touche LLP. The third-party due diligence
described in Form 15E focused on Deloitte & Touche LLP. Fitch
considered this information in its analysis and it did not have an
effect on Fitch's analysis or conclusions.
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.
NEW RESIDENTIAL 2023-1: Fitch Assigns 'Bsf' Rating on Two Tranches
------------------------------------------------------------------
Fitch Ratings has assigned ratings to the residential
mortgage-backed notes issued by New Residential Mortgage Loan Trust
2023-1 (NRMLT 2023-1).
Entity/Debt Rating Prior
----------- ------ -----
NRMLT 2023-1
A LT AAAsf New Rating AAA(EXP)sf
A-IO-S LT NRsf New Rating NR(EXP)sf
B-1 LT AAsf New Rating AA(EXP)sf
B-2 LT Asf New Rating A(EXP)sf
B-3 LT BBBsf New Rating BBB(EXP)sf
B-4 LT BBsf New Rating BB(EXP)sf
B-5A LT Bsf New Rating B(EXP)sf
B-5B LT Bsf New Rating B(EXP)sf
B-6 LT NRsf New Rating NR(EXP)sf
B-7 LT NRsf New Rating NR(EXP)sf
B-8 LT NRsf New Rating NR(EXP)sf
R LT NRsf New Rating NR(EXP)sf
XS LT NRsf New Rating
XS-1 LT WDsf Withdrawn NR(EXP)sf
XS-2 LT WDsf Withdrawn NR(EXP)sf
TRANSACTION SUMMARY
The notes are supported by 1,215 seasoned performing and
reperforming loans, and newly originated guideline exception loans
that have a balance of $200.35 million as of the April 1, 2023
cutoff date. The recent origination loans were primarily originated
by Caliber Home Loans and NewRez LLC, while the seasoned loans were
from various originators, a majority of which were previously
securitized.
Since the publication of Fitch's expected ratings, the issuer
revised the structure to use excess interest to pay down the bonds
before payment to the excess interest class. Further, classes XS-1
and XS-2 are no longer being issued and are being replaced by class
XS. Fitch is withdrawing the expected ratings on both class XS-1
and XS-2.
The expected ratings on classes XS-1 and XS-2 are being withdrawn
as they are no longer being offered by the issuer.
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 7.9% above a long-term sustainable level (relative
to 7.8% on a national level as of 4Q22). The rapid gain in home
prices through the pandemic has seen signs of moderating with
declines observed in 3Q22 and 4Q22. Driven by the strong gains seen
in 1H22, home prices rose 5.8% yoy nationally as of December 2022.
Nonprime Credit Quality (Negative): The collateral consists of
1,215 loans, totaling $200 million and seasoned approximately 63
months in aggregate, according to Fitch, as calculated from
origination date. Of the pool loans, 3.9% comprise second lien
collateral. The borrowers have a moderate credit profile, with a
714 Fitch model FICO score and 41% debt to income (DTI) ratios, as
determined by Fitch after applying default values for missing data
(45% for pre-2009 loans and 55% for post-2009 loans).
The transaction has a weighted average (WA) sustainable loan to
value (sLTV) ratio of 76%, which reflects Fitch's overvaluation
assumption as well as haircuts to the provided updated property
values, as they were not all compatible with Fitch's criteria.
Of the pool, 84.9% consist of loans where the borrower maintains a
primary residence, while 15.1% are considered an investor property
or second home. Additionally, 37.6% are considered either qualified
mortgage (QM) or higher-price qualified mortgage (HPQM), 35.7% are
non-QM or the status could not be confirmed, and the remainder are
not subject to QM.
Guideline Exception Loans (Negative): More than 75% of the
collateral balance consists of loans that had underwriting defects
or exceptions to guidelines at origination with a substantial
portion originally underwritten to GSE guidelines. The exceptions
ranged from those that are immaterial to Fitch's analysis (loan
seasoning and MI issues), to those handled by Fitch's model due to
the tape attributes (prior delinquencies and LTVs above
guidelines), and to loans with potential compliance exceptions that
received loss adjustments (loans with miscalculated debt to income
[DTI] ratios leading to potential ATR issues).
Straight-Forward Deal Structure (Positive): Unlike nearly all
transactions that have been rated by Fitch, NRMLT 2023-1 benefits
from a combination of a straight-sequential deal structure with
servicer advancing of delinquent principal and interest (P&I) until
the point is deemed nonrecoverable. This combination allows for a
simple payment waterfall, as the potential for leakage of principal
payments either to provide liquidity or as payments to subordinate
bonds is immaterial.
While the transaction includes provisions to use principal
collections to ensure full payment of interest to the bonds, it is
not likely to be needed. The structure also allows for the use of
excess interest to repay current or previously allocated realized
losses, although this benefit is expected to be de minimis.
Higher Operational Risk (Negative): This transaction has a higher
than average amount of operational risk compared with recently
rated seasoned and reperforming loan transactions as well as
recently originated nonprime transactions. The transaction has a
meaningful amount of compliance issues on the seasoned portion, the
above-mentioned guideline exceptions, updated values that, in
Fitch's opinion, are less compatible with this credit profile, as
well as a weaker representation, warranty and enforcement (RW&E)
mechanism framework. The combination of adjustments related to
these issues increased Fitch's 'AAAsf' loss expectation by
approximately 850bps.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper market value declines (MVDs) at
the national level. The analysis assumes MVDs of 10.0%, 20.0% and
30.0% in addition to the model projected 40.1% at 'AAA'. The
analysis indicates that there is some potential for 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
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all of the rated classes.
Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated class excluding those being assigned
ratings of 'AAAsf'.
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.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by multiple third-party review firms. The third-party due
diligence described in Form 15E focused on a mix of credit,
compliance and property valuation reviews based upon the seasoning
of the loans. Fitch considered this information in its analysis
and, as a result, made the following adjustments to its analysis:
- Loans with title issues received a 100% loss severity penalty;
- Loans with a missing or indeterminate HUD-1 located in a state on
Freddie Mac's 'Do Not Purchase List' received a 100% loss severity
penalty;
- Loans with a missing or indeterminate HUD-1 located in a state
not on Freddie Mac's 'Do Not Purchase List' received a 5% loss
severity add on;
- Loans with high cost issues received a 200% loss severity;
- Loans with improper DTI calculations were run with a 55% DTI and
a 100% loss severity penalty.
These adjustments resulted in an approximately 300bps increase to
Fitch's 'AAAsf' expected loss.
ESG CONSIDERATIONS
NRMLT 2023-1 has an ESG Relevance Score of '4' for Transaction
Parties & Operational Risk due to the higher than average
operational risk within the transition without sufficient
mitigants, which has a negative impact on the credit profile, and
is relevant to the ratings in conjunction with other factors.
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
ONDECK ASSET III: DBRS Confirms BB Rating on Class D Notes
----------------------------------------------------------
DBRS, Inc. confirmed its ratings on the following classes of notes
issued by OnDeck Asset Securitization Trust III LLC:
-- Series 2021-1 Fixed Rate Asset Backed Notes, Class A at AAA
(sf)
-- Series 2021-1 Fixed Rate Asset Backed Notes, Class B at A (sf)
-- Series 2021-1 Fixed Rate Asset Backed Notes, Class C at BBB
(sf)
-- Series 2021-1 Fixed Rate Asset Backed Notes, Class D at BB
(sf)
The rating actions are based on the following analytical
considerations:
-- The transaction assumptions consider DBRS Morningstar's
baseline macroeconomic scenarios for rated sovereign economies,
available in its commentary "Baseline Macroeconomic Scenarios for
Rated Sovereigns: December 2022 Update," published on December 21,
2022. These baseline macroeconomic scenarios replace DBRS
Morningstar's moderate and adverse COVID-19 pandemic scenarios,
which were first published in April 2020.
-- Credit enhancement is in the form of overcollateralization, a
reserve account, subordination, and excess spread. Credit
enhancement levels are sufficient to cover DBRS
Morningstar-expected losses at their current respective rating
levels.
-- Credit quality of the collateral pool and historical
performance, and the ability of the transaction to perform within
DBRS Morningstar's base-case assumptions.
-- The transaction parties' capabilities with regard to
originating, underwriting, and servicing.
OPORTUN FUNDING 2022-1: DBRS Cut Rating on C Notes to BB(low)
-------------------------------------------------------------
DBRS, Inc. confirmed five ratings and downgraded two ratings from
Oportun Funding 2022-1, LLC and Oportun Issuance Trust 2022-2 as
follows:
Oportun Funding 2022-1, LLC:
-- Class A Notes confirmed at AA (low) (sf)
-- Class B Notes confirmed at A (low) (sf)
-- Class C Notes downgraded to BB (low) (sf) from BBB (low) (sf)
Oportun Issuance Trust 2022-2:
-- Class A Notes confirmed at AA (low) (sf)
-- Class B Notes confirmed at A (low) (sf)
-- Class C Notes confirmed at BBB (low) (sf)
-- Class D Notes downgraded to B (sf) from BB (sf)
The rating actions are based on the following analytical
considerations:
-- The transaction assumptions consider DBRS Morningstar's
baseline macroeconomic scenarios for rated sovereign economies,
available in its commentary "Baseline Macroeconomic Scenarios for
Rated Sovereigns: December 2022 Update," published on December 21,
2022. These baseline macroeconomic scenarios replace DBRS
Morningstar's moderate and adverse Coronavirus Disease (COVID-19)
pandemic scenarios, which were first published in April 2020.
-- The collateral performance to date and DBRS Morningstar's
assessment of future performance. As of the April 2023 payment
date, Oportun Funding 2022-1, LLC and Oportun Issuance Trust 2022-2
have amortized to pool factors of 43.93% and 66.57%, respectively,
and to date have current cumulative net losses (CNLs) of 9.00% and
6.77%, respectively. Current CNLs are tracking well above DBRS
Morningstar's initial base-case loss expectations of 8.63% and
10.23%, respectively. While credit enhancement (CE) has increased
for all outstanding notes, the CE growth for the subordinate notes
has been limited due to the higher CNLs.
-- Because of the weaker-than-expected performance, DBRS
Morningstar has revised the base-case loss expectation for Oportun
Funding 2022-1, LLC and Oportun Issuance Trust 2022-2 to 17.70% and
19.50%, respectively. As a result, the current level of hard CE and
estimated excess spread are insufficient to support the current
ratings on the Class C Notes from Oportun Funding 2022-1, LLC and
the Class D Notes from Oportun Issuance Trust 2022-2. Consequently,
these Classes have been downgraded to a rating level commensurate
with the current implied multiple.
-- Oportun Funding 2022-1, LLC has reached the target
overcollateralization (OC) level of 12.00% of the outstanding
receivables balance. As of the April 2023 payment, Oportun Issuance
Trust 2022-2 has a current OC amount of 8.47% relative to the
target of 11.50% of the outstanding receivables balance.
Additionally, both transactions are structured to include a reserve
fund (RF) that has a target of 0.25% of the outstanding receivable
balance. Consequently, as the transactions amortize, the RF amount
will decline and represent a smaller portion of available CE.
-- For Oportun Funding 2022-1, LLC and Oportun Issuance Trust
2022-2, the transactions provide for Class C Notes and Class D
Notes with current ratings of BB (low) (sf) and B (sf),
respectively. While the DBRS Morningstar "Rating U.S. Structured
Finance Transactions" and "Rating U.S. Credit Card Asset-Backed
Securities" methodologies do not set forth a range of multiples for
this asset class at the BB (low) (sf) and B (sf) levels, the
analytical approach for these rating levels is consistent with that
contemplated by the methodologies. The typical range of multiples
applied in the DBRS Morningstar stress analysis for BB (low) (sf)
and B (sf) ratings is 1.30x to 1.35x and 1.00x to 1.25x,
respectively.
-- The transactions include a Cumulative Default Ratio
Amortization Event that, if tripped, would cause a lockout of any
distributions to the Certificateholders. As of the April 2023
payment date, neither of the transactions have breached the
Cumulative Default Ratio Amortization Event.
-- The transaction parties' capabilities with regard to
originating, underwriting, and servicing.
PALMER SQUARE 2023-2: S&P Assigns Prelim 'BB-' Rating on E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Palmer
Square CLO 2023-2 Ltd./Palmer Square CLO 2023-2 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 Palmer Square Capital Management
LLC.
The preliminary ratings are based on information as of May 11,
2023. 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
Palmer Square CLO 2023-2 Ltd./Palmer Square CLO 2023-2 LLC
Class A-1, $240.000 million: AAA (sf)
Class A-2, $12.000 million: AAA (sf)
Class B, $52.000 million: AA (sf)
Class C (deferrable), $24.000 million: A (sf)
Class D (deferrable), $23.000 million: BBB- (sf)
Class E (deferrable), $12.000 million: BB- (sf)
Subordinated notes, $35.635 million: Not rated
PMT LOAN 2021-INV1: Moody's Upgrades Rating on Cl. B-5 Bonds to B1
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of five bonds
issued by PMT Loan Trust 2021-INV1. The collateral backing this
deal consists of agency eligible mortgage loans.
Complete rating actions are as follows:
Issuer: PMT Loan Trust 2021-INV1
Cl. B-1, Upgraded to Aa2 (sf); previously on Oct 28, 2021
Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Upgraded to A1 (sf); previously on Oct 28, 2021 Definitive
Rating Assigned A2 (sf)
Cl. B-3, Upgraded to Baa2 (sf); previously on Oct 28, 2021
Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Upgraded to Ba1 (sf); previously on Oct 28, 2021
Definitive Rating Assigned Ba2 (sf)
Cl. B-5, Upgraded to B1 (sf); previously on Oct 28, 2021 Definitive
Rating Assigned B2 (sf)
RATINGS RATIONALE
The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying pool.
In Moody's analysis Moody's considered the additional risk of
default on modified loans. Generally, Moody's apply a 7x multiple
to the Probability of Default (PD) for private label modified
mortgage loans and an 8x multiple to the PD for agency-eligible
modified mortgage loans. However, Moody's may apply a lower
multiple to the PD for loans that were granted short-term payment
relief as long as there were no other changes to the loan terms,
such as a reduced interest rate or an extended loan term, which can
be used to lower the monthly payment on the loan. For loans granted
short-term payment relief, servicers will generally defer the
missed payments, which could be added as a non-interest-bearing
balloon payment due at the end of the loan term. Alternatively,
servicers could extend the maturity on the loan to match the number
of missed payments.
Moody's updated loss expectations on the pools incorporate, amongst
other factors, Moody's assessment of the representations and
warranties frameworks of the transactions, the due diligence
findings of the third-party reviews received at the time of
issuance, and the strength of the transaction's originators and
servicer.
Principal Methodology
The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework" published in
April 2023.
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.
PRESTIGE AUTO 2023-1: DBRS Gives Prov. BB Rating on Class E Notes
-----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by Prestige Auto Receivables Trust 2023-1 (PART
2023-1 or the Issuer):
-- $41,100,000 Class A-1 Notes at R-1 (high) (sf)
-- $90,160,000 Class A-2 Notes at AAA (sf)
-- $43,590,000 Class B Notes at AA (sf)
-- $40,950,000 Class C Notes at A (sf)
-- $32,030,000 Class D Notes at BBB (sf)
-- $34,230,000 Class E Notes at BB (sf)
RATING RATIONALE/DESCRIPTION
The provisional ratings are based on DBRS Morningstar's review of
the following analytical considerations:
(1) Transaction capital structure, proposed ratings, and form and
sufficiency of available credit enhancement.
-- Credit enhancement is in the form of subordination,
overcollateralization (OC), amounts held in the reserve account,
and excess spread. Credit enhancement levels are sufficient to
support DBRS Morningstar-projected expected cumulative net loss
(CNL) assumptions under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the ratings address the
timely payment of interest on a monthly basis and the payment of
principal by the Legal Final Maturity Date.
(2) The transaction parties' capabilities with regard to
originations, underwriting, and servicing.
-- DBRS Morningstar has performed an operational review of
Prestige Financial Services, Inc. (Prestige or the Company) and
considers the entity to be an acceptable originator and servicer of
subprime auto receivables. Additionally, the transaction has an
acceptable backup servicer.
-- The Company's management team has extensive experience. The
Company has been lending to the subprime auto sector since 1994 and
has considerable experience lending to Chapter 7 and 13 obligors.
(3) The credit quality of the collateral and performance of
Prestige's auto loan portfolio.
-- Prestige shared vintage CNL data with DBRS Morningstar broken
down by credit tier, payment-to-income ratio, and other buckets.
-- The Company continues to evaluate and adjust its underwriting
standards as necessary to target and maintain the credit quality of
its loan portfolio.
-- The DBRS Morningstar rating category loss multiples for each
rating assigned are within the published criteria.
(4) The DBRS Morningstar CNL assumption is 17.00% based on the
expected cutoff date pool composition.
-- The transaction assumptions consider DBRS Morningstar's
baseline macroeconomic scenarios for rated sovereign economies,
available in its commentary "Baseline Macroeconomic Scenarios for
Rated Sovereigns: December 2022 Update," published on December 21,
2022. These baseline macroeconomic scenarios replace DBRS
Morningstar's moderate and adverse Coronavirus Disease (COVID-19)
pandemic scenarios, which were first published in April 2020.
(5) The legal structure and presence of legal opinions that are
expected to address the true sale of the assets to the Issuer, the
non-consolidation of the special-purpose vehicle with Prestige, and
that the Trust has a valid first-priority security interest in the
assets (consistent with the DBRS Morningstar Legal Criteria for
U.S. Structured Finance).
The ratings on the Class A-1 and Class A-2 Notes reflect 59.00% of
initial hard credit enhancement provided by subordinated notes in
the pool (48.25%), the reserve account (1.00%), and OC (9.75%). The
ratings on the Class B, Class C, Class D, and Class E Notes reflect
45.05%, 31.95%, 21.70%, and 10.75% of initial hard credit
enhancement, respectively. Additional credit support may be
provided from excess spread available in the structure.
Notes: All figures are in U.S. dollars unless otherwise noted.
PRESTIGE AUTO 2023-1: S&P Assigns BB- (sf) Rating on Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Prestige Auto
Receivables Trust 2023-1's automobile receivables-backed notes.
The note issuance is an ABS transaction backed by subprime auto
loan receivables.
The ratings reflect our view of:
-- The availability of approximately 59.20%, 50.47%, 41.18%,
32.30%, and 25.31% credit support (hard credit enhancement and
haircut to excess spread) for the class A, B, C, D, and E notes,
respectively, based on final post-pricing stressed cash-flow
scenarios. These credit support levels provide at least 3.10x,
2.60x, 2.10x, 1.60x, and 1.27x coverage of S&P's expected
cumulative net loss of 18.75% for the class A, B, C, D, and E
notes, respectively.
-- The expectation that under a moderate ('BBB') stress scenario
(1.60x S&P's expected loss level), all else being equal, its 'AAA
(sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on
the class A, B, C, D, and E notes, respectively, are within its
credit stability limits.
-- The timely payment of interest and principal by the designated
legal final maturity dates under our stressed cash-flow modeling
scenarios, which S&P believes are appropriate for the assigned
ratings.
-- The collateral characteristics of the subprime automobile loans
securitized in this transaction, S&P's view of the credit risk of
the collateral, and its updated macroeconomic forecast and
forward-looking view of the auto finance sector.
-- S&P's assessment of the series' bank accounts at Citibank N.A.
(Citibank), which does not constrain the ratings.
-- S&P's operational risk assessment of Prestige Financial
Services Inc. as servicer, and its view of the company's
underwriting and the backup servicing with Citibank.
-- S&P's assessment of the transaction's potential exposure to
environmental, social, and governance credit factors, which are in
line with its sector benchmark.
-- The transaction's payment and legal structures.
Ratings Assigned
Prestige Auto Receivables Trust 2023-1
Class A-1, $41.10 million: A-1+ (sf)
Class A-2, $90.16 million: AAA (sf)
Class B, $43.59 million: AA (sf)
Class C, $40.95 million: A (sf)
Class D, $32.03 million: BBB (sf)
Class E, $34.23 million: BB- (sf)
PRIMA CAPITAL 2019-RK1: DBRS Confirms BB(high) Rating on C-G Certs
------------------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, issued by Prima Capital CRE
Securitization 2019-RK1 as follows:
The Gateway (Group G Certificates):
-- Class A-G at A (low) (sf)
-- Class B-G at BBB (low) (sf)
-- Class C-G at BB (high) (sf)
TriBeCa House (Group T Certificates):
-- Class A-T at BBB (low) (sf)
-- Class B-T at BB (low) (sf)
-- Class C-T at B (high) (sf)
All trends are Stable. Interest is deferrable on all rated
Certificates other than Class A-G, Class A-T, and Class B-G.
The rating confirmations reflect the overall stable performance of
the transaction, which remains in line with DBRS Morningstar's
expectations.
At issuance, the transaction had a total mortgage balance of $152.3
million and consisted of three nonpooled B-notes tied to previously
securitized collateral, including one office property, DreamWorks
Campus and Headquarters, and two multifamily properties, The
Gateway and TriBeCa House. The transaction was composed of three
Loan Groups–Group D, Group G, and Group T–with certificates
tied to each of the three subjects. The notes are secured by the
grantor trust certificate representing beneficial interests in a
subordinate loan, which is a portion of a whole loan. The three
B-Notes are held within the trust, and the loans are interest-only
through their respective loan terms. As nonpooled notes, proceeds
from the collateral interest relating to any Loan Group will not be
available to support shortfalls of any other Loan Group.
Additionally, TriBeCa House is the only loan in the transaction
that has existing mezzanine financing in place. No loans in the
transaction are allowed to take on mezzanine or unsecured debt in
the future. As of April 2023, DreamWorks Campus and Headquarters
(Group D) has been repaid, bringing the total mortgage balance to
$89.5 million, and none of the loans are on the servicer's
watchlist or in special servicing.
The Gateway (Group G; 58.7% of the transaction) is secured by four
high-rise multifamily buildings totaling 1,254 units with
approximately 72,000 square feet (sf) of retail space in Downtown
San Francisco. Since 2015, the sponsor has invested more than $21.0
million into upgrading the property, including select units as they
become vacant, and releasing them at market rates. The property is
composed of studio, one-, two-, three-, and four-bedroom units with
monthly rental rates ranging from $2,470 to $6,300. According to
the September 2022 rent roll, the residential portion was 93.2%
occupied, in line with previous years, and the commercial portion
was 67.8% occupied, down from 76.9% at YE2021. The largest
commercial tenants include Safeway, Inc. (24.5% of net rentable
area (NRA); expiring May 2025), Bay Club at Golden Gateway (10.2%
of NRA; expiring July 2032), and 42nd Street Moon (6.3% of NRA;
expiring June 2030). The commercial occupancy decrease is largely a
result of former tenant, Bank of America (previously 9.1% of NRA),
vacating at lease expiration in April 2022. The annualized net cash
flow (NCF) for the period ended September 30, 2022, was $23.1
million, compared with $25.2 million at YE2021. The decrease in
cash flows is largely a result of Bank of America's departure
following its lease expiration in 2022. While property performance
has been decreasing over the past few years, the debt service
coverage ratio (DSCR) remains healthy at 1.86 times (x).
TriBeCa House (Group T; 41.3% of the transaction) is secured by a
high-rise multifamily complex totaling 503 units in the Tribeca
neighborhood in New York City. The 50 Murray Street building totals
388 units and approximately 38,000 sf of retail space on the first
and second floors. The 53 Park Street building totals 115 units and
approximately 8,600 sf retail space. According to the February 2023
rent roll, the residential portion was 98.5% occupied, in line with
previous years, and DBRS Morningstar has requested confirmation
from the servicer regarding whether the commercial space was
vacated. The YE2022 NCF and DSCR were $18.2 million and 1.66x,
respectively, and both figures are greater than the $10.3 million
and 0.94x at YE2021. Given these trends and the favorable location,
DBRS Morningstar expects performance to remain stable in the near
to moderate term.
Notes: All figures are in U.S. dollars unless otherwise noted.
SILVER POINT 2: Fitch Gives BBsf Rating on E Notes, Outlook Stable
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Silver
Point CLO 2, Ltd.
Entity/Debt Rating Prior
----------- ------ -----
Silver Point
CLO 2, Ltd.
A-1 LT NRsf New Rating NR(EXP)sf
A-2 LT AAAsf New Rating AAA(EXP)sf
B-1 LT AAsf New Rating AA(EXP)sf
B-2 LT AAsf New Rating AA(EXP)sf
C LT Asf New Rating A(EXP)sf
D-1 LT BBB+sf New Rating BBB+(EXP)sf
D-2 LT BBB-sf New Rating BBB-(EXP)sf
E LT BBsf New Rating BB(EXP)sf
F LT NRsf New Rating NR(EXP)sf
Subordinated Notes LT NRsf New Rating NR(EXP)sf
TRANSACTION SUMMARY
Silver Point CLO 2, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by Silver
Point CLO Management, LLC. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $400.0 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard CLO structural
features.
Asset Security (Positive): The indicative portfolio consists of
100.0% first lien senior secured loans and has a weighted average
recovery assumption of 76.1%. Fitch stressed the indicative
portfolio by assuming a higher portfolio concentration of assets
with lower recovery prospects and further reduced recovery
assumptions for higher rating stresses.
Portfolio Composition (Positive): The largest three industries may
constitute up to 39.0% of the portfolio balance in aggregate, while
the top five obligors can represent up to 11.5% of the portfolio
balance in aggregate. The level of diversity required by industry,
obligor and geographic concentrations is in line with that of other
recent CLOs.
Portfolio Management (Neutral): The transaction has a 3.9-year
reinvestment period and reinvestment criteria similar to other
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 Fitch's stress scenarios, class A-2, B, C, D-1, D-2
and E notes can withstand default rates up to 56.5%, 51.9%, 47.4%,
42.5%, 37.9% and 33.6%, respectively, assuming portfolio recovery
rates of 37.7%, 46.5%, 56.1%, 65.4%, 65.3% and 70.6% in Fitch's
'AAAsf', 'AAsf', 'Asf', 'BBB+sf', 'BBB-sf' and 'BBsf' scenarios,
respectively.
The weighted average life (WAL) used for the transaction stress
portfolio is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
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 as
severe as between 'BBB+sf' and 'AA+sf' for class A-2, between
'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for
class C, between less than 'B-sf' and 'BBB-sf' for class D-1,
between 'less than B-sf' and 'BB+sf' for class D-2, 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-2 notes as it
is in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'A+sf' for class C, 'A+sf' for
class D-1, 'Asf' for class D-2 and 'BBB+sf' for class E.
SILVER POINT 2: Moody's Assigns B3 Rating to $250,000 Cl. F Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to two classes of
notes issued by Silver Point CLO 2, Ltd. (the "Issuer" or "Silver
Point 2").
Moody's rating action is as follows:
US$240,000,000 Class A-1 Secured Floating Rate Notes due 2035,
Assigned Aaa (sf)
US$250,000 Class F Secured Deferrable Floating Rate Notes due 2035,
Assigned B3 (sf)
The notes listed are referred to herein, collectively, as the
"Rated Notes."
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.
Silver Point 2 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 92.5% of the portfolio must consist of
first lien senior secured loans and eligible investments, and up to
7.5% of the portfolio may consist of assets that are not senior
secured loans. The portfolio is approximately 95% ramped as of the
closing date.
Silver Point CLO Management, LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's approximately
four-year reinvestment period. Thereafter, subject to certain
restrictions, the Manager may reinvest unscheduled principal
payments and proceeds from sales of credit risk assets.
In addition to the Rated Notes, the Issuer issued seven other
classes of secured notes and one class of subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2021.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $400,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2991
Weighted Average Spread (WAS): 3.60%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 47.00%
Weighted Average Life (WAL): 7.0 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2021.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
SLG OFFICE 2021-OVA: DBRS Confirms B Rating on Class G Certs
------------------------------------------------------------
DBRS Limited confirmed its ratings on all classes of Commercial
Mortgage Pass-Through Certificates (the Certificates), issued by
SLG Office Trust 2021-OVA as follows:
-- Class A at AAA (sf)
-- Class X at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at AA (sf)
-- Class D at A (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (sf)
-- Class HRR at B (low) (sf)
All trends are Stable.
The rating confirmations and Stable trends reflect the overall
stable performance of the transaction, which remains in line with
DBRS Morningstar's expectations.
The $3.0 billion mortgage loan is secured by the borrower's
fee-simple interest in One Vanderbilt, a 1.6 million-square-foot
(sf) ultra-luxury Class A office high rise in Midtown Manhattan,
New York. In addition to more than 1.5 million sf of luxury office
space, the property includes a 67,000-sf observation deck (the
Summit) and approximately 32,000 sf of high-end commercial space
and is directly adjacent to Grand Central Terminal. The property
was developed by the sponsor, SL Green Realty Corp., which owns
71.0% of the property. The remaining 29.0% is owned by The National
Pension Service of Korea, one of the largest pension funds in the
world, and Hines Interests Limited Partnership, one of the largest
privately held real estate investors. The fixed-rate loan is
interest-only (IO) throughout its 10-year loan term and matures in
July 2031.
According to the December 2022 rent roll, the property was 96.7%
occupied, in line with previous years. The property benefits from
long-term, investment-grade tenancy, including the two largest
tenants, TD Bank and Securities (20.8% of net rentable area (NRA);
expiring July 2041) and Carlyle Investment Management (11.8% of
NRA; expiring September 2041), which, combined, account for
approximately 65.0% of annual rental income. According to Reis,
Class A office properties within the Grand Central submarket
reported vacancy and effective rental rates of 12.5% and $81.31 per
square foot (psf), respectively. The property is outperforming the
submarket and reported vacancy and effective rental rates of 3.3%
and $91.51 psf, respectively. Additionally, the property benefits
from minimal rollover risk, with only 5.2% of NRA expected to roll
during the loan term.
The annualized net cash flow (NCF) for the period ended September
30, 2022, was $26.5 million, compared with a loss of $27.5 million
at YE2021 and the DBRS Morningstar derived NCF of $175.3 million.
DBRS Morningstar accounted for the collateral's recent delivery in
2021 and the majority of tenants still in free rent and/or buildout
phases at issuance. Therefore, the cash flow is not reflective of
stabilized property performance.
DBRS Morningstar expects the collateral to continue to improve
toward stabilization levels given the property benefits from strong
sponsorship, luxury amenities, a prime location, and long-term,
investment-grade tenancy.
Notes: All figures are in U.S. dollars unless otherwise noted.
SOUND POINT XIV: Moody's Ups Rating on $35MM Class E Notes to Ba2
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Sound Point CLO XIV, Ltd.:
US$42,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2029 (the "Class C-R Notes"), Upgraded to Aaa (sf);
previously on October 21, 2022 Upgraded to Aa1 (sf)
US$35,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2029 (the "Class D-R Notes"), Upgraded to Aa2 (sf);
previously on December 2, 2021 Upgraded to Baa1 (sf)
US$35,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2029 (the "Class E Notes"), Upgraded to Ba2 (sf); previously on
December 2, 2021 Upgraded to Ba3 (sf)
Sound Point CLO XIV, Ltd., originally issued in November 2016 and
refinanced in August 2019 and February 2021, 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 January 2021.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since October 2022. The Class
A-R2 notes have been paid down by approximately 81% or $214 million
since that time. Based on Moody's calculation, the OC ratios for
the Class C-R, Class D-R and Class E Notes are currently 153.75%,
127.80% and 109.34%, respectively, versus October 2022 levels of
127.04%, 116.51% and 107.58%, respectively.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on its
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:
Performing par and principal proceeds balance: $262,328,645
Defaulted par: $13,961,380
Diversity Score: 54
Weighted Average Rating Factor (WARF): 2688
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.19%
Weighted Average Recovery Rate (WARR): 47.08%
Weighted Average Life (WAL): 2.40 years
In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the 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.
TAUBMAN CENTERS 2022-DPM: DBRS Confirms BB(high) on HRR Certs
-------------------------------------------------------------
DBRS, Inc. confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2022-DPM issued by Taubman
Centers Commercial Mortgage Trust 2022-DPM as follows:
-- Class A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (sf)
-- Class D at BBB (high) (sf)
-- Class E at BBB (low) (sf)
-- Class HRR at BB (high) (sf)
All trends are Stable.
The rating confirmations reflect the stable performance of the
transaction, which remains in line with DBRS Morningstar's
expectations at issuance. The transaction is collateralized by the
borrower's fee-simple interest in Dolphin Mall Miami, a 1.4
million-square foot (sf) Class A super-regional mall in Sweetwater,
Florida, approximately 13 miles west of the Miami central business
district. The mall was delivered in 2001 and is one of the highest
volume shopping centers in the United States, yielding net rental
income exceeding $90.0 million annually between 2017 and 2020 and
again in 2022. Revenues were down in 2021 due to the Coronavirus
Disease (COVID-19) pandemic but quickly returned to historic
levels. The collateral benefits from strong, experienced
sponsorship in Taubman Realty Property Group and Simon Property
Group.
The two-year floating-rate loan is structured with three one-year
extension options and pays interest only (IO) through the fully
extended maturity date. To account for uncertainty surrounding the
potential rise of interest rates through the initial loan term, the
loan is structured with an extension strike rate defined as the
greater of (1) the initial strike rate and (2) a percentage rate
equal to term SOFR, prime rate, or the unadjusted benchmark
replacement, as applicable, which would yield a debt service
coverage ratio (DSCR) of 1.10 times (x). The issuer-estimated DSCR
at issuance was 2.67x, suggesting a reasonably substantial increase
in interest rates would need to occur for the collateral's DSCR to
fall to 1.10x (assuming the collateral's net cash flow (NCF) is
held constant). The transaction sponsor can avoid the substantially
large rise in interest rates by purchasing interest rate cap
protection at each extension period and would likely be financially
inclined to do so. At issuance, DBRS Morningstar generally
perceived the unique extension strike rate structure to be credit
neutral.
The collateral, generally recognized as Miami's largest outlet
center, has a diverse tenancy composed of national outlet brands,
big box retailers, restaurants, and entertainment offerings.
Several anchor, major, and in-line tenants have been recognized as
top performers across their respective national brands with sales
well in excess of their respective national chain averages,
including the collateral's Ross Dress for Less, Marshalls
HomeGoods, Dave & Buster's, Cobb Theatres, Forever 21, Polo Ralph
Lauren Factory Store, Victoria's Secret, and Tommy Hilfiger. Strong
in-line comparable sales of $955 per square foot (psf), $915 psf,
$516 psf, and $847 psf were reported in 2018, 2019, 2020, and 2021,
respectively. Approximately 65% to 70% of the collateral's sales
were historically generated from tourist-related activities, with a
concentration of international visitors noted to be from South
America.
At issuance, it was reported that Taubman Realty Group LLC executed
a lease with The Cordish Companies to bring three new experience
concepts to Dolphin Mall, including PBR Cowboy Bar, Sport & Social,
and Plaza. The company has branded these concepts across 12 other
cities where they have appeared centrally located nearby each other
and under one marquee, "Live!". Taubman Realty Group and Live!
Hospitality & Entertainment, a division of the Cordish Companies,
recently announced these concepts, initially reported in 2021 to be
delivered by winter of 2022, will be delivered in the summer of
2023 under the name "Vivo! Dolphin Mall."
According to the financials for the trailing nine months ended
September 30, 2022, the servicer reported annualized NCF of $105.7
million, an increase of 11.4% from the year-end (YE) 2021 NCF of
$94.8 million and an increase of 12.2% from the DBRS Morningstar
NCF of $94.2 million. The loan is reporting a healthy DSCR of
1.94x, down from the DBRS Morningstar DSCR of 2.86x at issuance
because of interest rate volatility. Occupancy at the property
remained strong at 96.9% at YE2022 compared with average year-end
occupancy of 96.2% between 2017 and 2021.
DBRS Morningstar notes that the loan benefits from the collateral
property's favorable location, consistent occupancy trends,
improving in-line sales, and strong sponsorship. As with most
regional malls, the collateral is expected to continue to contend
with secular headwinds facing brick-and-mortar retailers in the
long run. However, given the subject's status as a premier shopping
destination within a highly trafficked tourist destination, the
sponsors are well positioned to continue weathering those storms
with an attractive tenant roster and planned additions to the
standard offerings with projects like the "Vivo!" package
previously outlined.
Notes: All figures are in U.S. dollars unless otherwise noted.
TRINITAS CLO XXII: S&P Assigns BB- (sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to Trinitas CLO XXII
Ltd./Trinitas CLO XXII 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 Trinitas Capital Management LLC.
The ratings reflect S&P's view of:
-- The collateral pool's diversification;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Trinitas CLO XXII Ltd./Trinitas CLO XXII LLC
Class A-1, $252.00 million: Not rated
Class A-2, $8.00 million: Not rated
Class B-1, $37.00 million: AA (sf)
Class B-2, $7.00 million: AA (sf)
Class C (deferrable), $24.00 million: A (sf)
Class D (deferrable), $22.00 million: BBB- (sf)
Class E (deferrable), $12.00 million: BB- (sf)
Subordinated notes, $40.46 million: Not rated
VIBRANT CLO XVI: Fitch Assigns 'BB-sf' Final Rating on Cl. D Notes
------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
Vibrant CLO XVI, Ltd.
Entity/Debt Rating Prior
----------- ------ -----
Vibrant CLO XVI,
Ltd.
A-1A LT NRsf New Rating NR(EXP)sf
A-1AL LT NRsf New Rating NR(EXP)sf
A-1B LT AAAsf New Rating AAA(EXP)sf
A-2 LT AAsf New Rating AA(EXP)sf
B LT Asf New Rating A(EXP)sf
C LT BBB-sf New Rating BBB-(EXP)sf
D LT BB-sf New Rating BB-(EXP)sf
Subordinated LT NRsf New Rating NR(EXP)sf
TRANSACTION SUMMARY
Vibrant CLO XVI, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Vibrant Credit Partners, LLC. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $400 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B'/'B-', which is in line with that of
recent CLOs. The weighted average rating factor (WARF) of the
indicative portfolio is 24.92, versus a maximum covenant, in
accordance with the initial expected matrix point of 25.27. 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% first-lien senior secured loans. The weighted average recovery
rate (WARR) of the indicative portfolio is 75.42% versus a minimum
covenant, in accordance with the initial expected matrix point of
72.4%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 39% 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 resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a 4.9-year
reinvestment period and reinvestment criteria similar to other
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 Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; results under these sensitivity scenarios are as severe as
between 'BBB+sf' and 'AA+sf' for class A-1B, between 'BB+sf' and
'A+sf' for class A-2, between 'Bsf' and 'BBB+sf' for class B,
between 'less than B-sf' and 'BB+sf' for class C; and between 'less
than B-sf' and 'B+sf' for class D.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class A-2, 'A+sf' for class B, 'Asf' for
class C; and 'BBB+sf' for class D. Upgrade scenarios are not
applicable to the class A-1B notes, as these notes are in the
highest rating category of 'AAAsf'.
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.
WFRBS COMMERCIAL 2014-C21: DBRS Confirms B Rating on X-C Certs
--------------------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2014-C21 issued by WFRBS
Commercial Mortgage Trust 2014-C21 as follows:
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-SBFL at AAA (sf)
-- Class A-SBFX at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class PEX at A (low) (sf)
-- Class X-B at BBB (low) (sf)
-- Class D at BB (high) (sf)
-- Class X-C at B (sf)
-- Class E at B (low) (sf)
-- Class F at CCC (sf)
All trends are Stable, with the exception of Class F, which has a
rating that does not typically carry a trend in commercial
mortgage-backed securities (CMBS) ratings. The rating confirmations
reflect the overall stable performance of the transaction since
DBRS Morningstar's last review. The CCC (sf) rating on Class F is
reflective of the ongoing concerns with the loans in special
servicing. In addition, the transaction is concentrated by property
type with approximately 32.0% of the pool secured by office
properties. Loans backed by office properties were generally
stressed given the proximity to maturity and low investor appetite
for the property type, resulting in a weighted-average expected
loss that was approximately 30.0% more than the weighted-average
pool expected loss.
Per the April 2023 remittance, 92 of the original 121 loans remain
in the trust, with an aggregate principal balance of $993.6
million, representing a collateral reduction of 30.2% since
issuance. The pool benefits from 34 loans that are fully defeased,
representing 21.4% of the pool. There are 12 loans on the
servicer's watchlist, representing 23.8% of the pool, which are
primarily being monitored for declines in occupancy and/or debt
service coverage ratios (DSCRs), or deferred maintenance items.
There are two loans in special servicing, representing 6.0% of the
pool.
The largest loan in special servicing, Tryp by Wyndham Times Square
(Prospectus ID#8, 3.9% of the current pool balance), is secured by
a hotel in the Theatre District of Midtown in New York. The loan
transferred to special servicing in April 2020 because of imminent
monetary default. The loan was last paid through February 2021 and
the foreclosure was filed in December 2022. Initially, a receiver
was denied by the court because of the borrower's noncompliance
with setting up cash management but based on the servicer's update,
funds are being deposited into a lockbox and as such, a hearing to
appoint a receiver was set in April 2023. According to the December
2022 STR report, the property reported a trailing twelve-month
(T-12) occupancy rate, average daily rate, and revenue per
available room (RevPAR) of 78.6%, $250.51, and $196.99,
respectively, which represents a RevPAR penetration of 111.8%. This
is an improvement from the YE2020 RevPAR of $44.00 as reported in
the financials but is still below pre-Coronavirus Disease
(COVID-19) pandemic levels when YE2019 RevPAR was $229.23.
Based on the July 2022 appraisal, the property was valued at $56.6
million, which is unchanged from the October 2021 value but is
ultimately 34.9% less than the $87.2 million appraised value at
issuance. Although the performance of the property has improved,
the metrics still lag behind pre-pandemic levels, and the value
continues to be depressed. As such, DBRS Morningstar applied a
stressed loan-to-value (LTV) and an elevated Probability of Default
(POD) to increase the expected loss for this review.
The Oak Court Mall (Prospectus ID#15, 2.0% of the pool balance)
loan is secured by a 240,197-square-foot (sf) portion of a
723,014-sf super-regional mall in Memphis, Tennessee. The loan is
pari passu with Wells Fargo Commercial Mortgage Trust 2014-LC16,
which is also rated by DBRS Morningstar. The loan transferred to
special servicing in May 2020 for imminent monetary default and the
loan sponsor, Washington Prime Group, ultimately notified the
servicer of its desire to transfer title to the trust. According to
the March 2022 appraisal, the subject was valued at $26.1 million,
an increase from the April 2021 value of $15.5 million but still
less than the issuance value of $61.0 million and the outstanding
whole-loan balance of $33.6 million. DBRS Morningstar analyzed this
loan with a liquidation scenario, resulting in a loss severity in
excess of 50.0%.
The Cedar Crest Professional Park loan (Prospectus ID#5, 5.1% of
the current pool balance) is secured by seven specialized medical
office buildings and a three-story parking garage located in
Allentown, Pennsylvania. This loan is on the servicer's watchlist
because of low occupancy levels, which was most recently reported
at 59.6% as per the December 2022 rent roll, compared with the
YE2021, YE2020, and issuance occupancy rates of 61.9%, 64.8%, and
80.5%, respectively. The decline in occupancy from issuance was
because of the downsizing of the largest tenant, Lehigh Valley
Health Network (LVHN; 37.2% of the net rentable area (NRA),
multiple lease expiries ranging from January 2023 to February
2025), which initially occupied 45.7% of the NRA at issuance but
gave back a portion of its space over the years. It is noteworthy
that all of LVHN's space is leased to affiliates of the hospital
under a main lease structure; however, approximately 6.3% of the
NRA currently occupied by LVHN affiliates are expected to leave the
subject and relocate to Center Valley. There is also tenant
rollover risk of 11.2% where leases are expiring prior to the July
2024 loan maturity.
According to the most recent financial reporting, the loan reported
a T-9 September 30, 2022, DSCR of 1.20 times (x), which is also the
DSCR trigger that activates a cash flow sweep, compared with the
YE2021 and YE2020 DSCRs of 1.27x and 1.49x, respectively. Given the
low-in place occupancy rate, which is likely to deteriorate further
upon departure of the LVHN affiliates and because of lack of
leasing traction, the value of the property has likely decreased
from issuance and securing takeout financing will be challenging.
DBRS Morningstar analyzed this loan with a stressed LTV and POD
figure to increase the expected loss in its analysis.
Notes: All figures are in U.S. dollars unless otherwise noted.
WFRBS COMMERCIAL 2014-LC14: DBRS Confirms B Rating on F Certs
-------------------------------------------------------------
DBRS Limited confirmed the ratings on all classes of the Commercial
Mortgage Pass-Through Certificates, Series 2014-LC14 issued by
WFRBS Commercial Mortgage Trust 2014-LC14 as follows:
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class PEX at A (low) (sf)
-- Class X-B at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (sf)
-- Class X-C at B (high) (sf)
-- Class F at B (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction, which continues to perform in line with DBRS
Morningstar's expectations since last review.
As of the April 2023 remittance, 54 of the original 71 loans remain
in the pool, representing a collateral reduction of 38.5% since
issuance with a current trust balance of approximately $772.1
million. Defeasance collateral represents 28.0% of the current pool
balance. Four loans are in special servicing and six loans are on
the servicer's watchlist, representing 10.0% and 15.7% of the pool,
respectively. Three of the watch listed loans are being monitored
for low occupancy rates and/or debt service coverage ratios
(DSCRs). With this review, DBRS Morningstar analyzed these loans
with a stressed scenario given the performance decline and
near-term maturity dates.
The transaction has an office concentration of approximately 20.0%,
which includes the largest specially serviced loan, Williams Center
Towers (Prospectus ID#6, 5.3% of the pool). Loans backed by office
properties were generally stressed given the proximity to maturity
and general stress on the office sector in the current environment,
with the weighted-average expected loss for those loans
approximately 75.0% more than the expected loss for the pool as a
whole. The Williams Center Towers loan is secured by a Class A
office complex, totaling approximately 765,809 square feet (sf) of
space, located in the in the Central Business District (CBD) of
Tulsa, Oklahoma. The loan was transferred to special servicing in
April 2018 after a large tenant, Samson Investment Company, filed
for bankruptcy and vacated the property, causing occupancy to
decline to 78.0%. Occupancy further declined after the departure of
Bank of Oklahoma (11.1% of the net rentable area (NRA)) in December
2019, with the September 2022 rent roll reporting an occupancy rate
of 70.3%. Per Reis, office properties located in the in the greater
Tulsa CBD submarket reported a YE2022 vacancy rate of 13.3%,
compared with the YE2021 vacancy rate of 14.4%. Although the
overall vacancy rate is relatively low, DBRS Morningstar expects
the actual physical occupancy rate of leased buildings in the Tulsa
CBD could be much lower given low vehicle and foot traffic noted in
the area during a recent weekday visit to the area by a DBRS
Morningstar analyst.
According to the trailing six months (T-6) ended June 30, 2022,
financials, the loan reported an annualized DSCR of 0.87 times (x),
compared with the YE2021 DSCR of 0.87x and the DBRS Morningstar
DSCR of 1.19x. Despite reporting less than a 1.0x DSCR in the last
several years, the loan has remained current, with cash flow
shortfalls funded by the borrower. However, given the sustained low
performance and the lack of meaningful leasing traction following
the loss of two large tenants, the value has likely declined
significantly from issuance, a factor that will significantly
impede refinance efforts at maturity next year. As such, DBRS
Morningstar applied a stressed loan-to-value (LTV) and elevated the
probability of default (POD) in the analysis for this loan.
The largest loan on the servicer's watchlist is Canadian Pacific
Plaza (Prospectus ID#8, 4.6% of the pool), which is secured by a
Class B+ office property located in the Minneapolis CBD. The loan
has been on the servicer's watchlist since July 2020 because of a
significant drop in occupancy, which fell to 63.0% at YE2020. This
was primarily because of the departure of Nilan Johnson Lewis PA
(19.6% of NRA) in February 2020. As of the September 2022 rent
roll, occupancy remains depressed at 60.3%. According to Reis,
office properties located in the Minneapolis CBD submarket reported
a YE2022 vacancy rate of 22.8%, compared with the YE2021 vacancy
rate of 18.8%. Based on the T-9 ended September 30, 2022,
financials, the DSCR was reported at 0.65x, compared with the
YE2021 DSCR of 0.69x and DBRS Morningstar DSCR of 1.28x. Given the
significantly depressed performance and soft submarket, the value
for this office building has also likely declined sharply from
issuance. DBRS Morningstar applied a stressed LTV and a POD penalty
in the analysis for this review.
Although the risks for these loans are significantly elevated, the
large unrated first loss Class G certificate balance of just more
than $44.0 million and the below investment-grade-rated Classes E
and F with a combined balance of $34.5 million provide significant
cushion for the bonds higher in the stack should the loans
ultimately be liquidated with a loss to the trust. The stressed
scenarios analyzed for each resulted in expected loss amounts that
were between approximately 150% and 200% of the average expected
loss for the pool as a whole.
Notes: All figures are in U.S. dollars unless otherwise noted.
WIND RIVER 2014-2: Moody's Cuts Rating on $27.9MM E-R Notes to B1
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Wind River 2014-2 CLO Ltd.:
US$66,700,000 Class B-R Senior Secured Floating Rate Notes due 2031
(the "Class B-R Notes"), Upgraded to Aa1 (sf); previously on
January 16, 2018 Assigned Aa2 (sf)
US$31,600,000 Class C-R Secured Deferrable Floating Rate Notes due
2031 (the "Class C-R Notes"), Upgraded to A1 (sf); previously on
January 16, 2018 Assigned A2 (sf)
Moody's has also downgraded the ratings on the following notes:
US$27,900,000 Class E-R Secured Deferrable Floating Rate Notes due
2031 (the "Class E-R Notes"), Downgraded to B1 (sf); previously on
October 2, 2020 Confirmed at Ba3 (sf)
US$12,300,000 Class F-R Secured Deferrable Floating Rate Notes due
2031 (the "Class F-R Notes"), Downgraded to Caa2 (sf); previously
on October 2, 2020 Downgraded to Caa1 (sf)
Wind River 2014-2 CLO Ltd., originally issued in August 2014 and
refinanced in January 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 January 2023.
RATINGS RATIONALE
The upgrade rating actions are primarily a result of deleveraging
of the senior notes and an increase in the transaction's
over-collateralization (OC) ratios since April 2022. In particular,
the Class A-R notes have been paid down by approximately 8.6% or
$34.1 million since April 2022. Based on the trustee's April 2023
report[1], the OC ratios for the Class B-R and Class C-R notes are
reported at 127.62% and 119.48%, respectively, versus April 2022
levels of 128.24% and 120.06%[2], respectively. Moody's notes that
the April 2023 trustee-reported OC ratios do not reflect the April
2023 payment distribution, when $34.1 million of principal proceeds
was used to pay down the Class A-R notes.
The downgrade rating actions on the Class E-R and Class F-R notes
reflect the specific risks to more junior notes posed by par loss
observed in the underlying CLO portfolio. Based on the trustee's
April 2023 report[3], the OC ratios for the Class E-R notes and
Class F-R notes (as inferred from the interest diversion test
ratio) are currently 105.29% and 103.04% versus their April 2022
levels[4] of 105.80% and 103.54%, respectively. Additionally, both
the credit quality of the portfolio and weighted average spread
(WAS) have deteriorated since April 2022. Based on the trustee's
April 2023 report[5], the weighted average rating factor (WARF) and
WAS are currently 2760 and 3.54%, respectively compared to 2677 and
3.69%, respectively in April 2022[6].
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: $555,898,113
Defaulted par: $4,971,838
Diversity Score: 79
Weighted Average Rating Factor (WARF): 2775
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.45%
Weighted Average Recovery Rate (WARR): 47.54%
Weighted Average Life (WAL): 4.1 years
In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio, decrease in overall WAS or net interest
income, 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.
[*] DBRS Reviews 61 Classes From 21 U.S. RMBS Transactions
----------------------------------------------------------
DBRS, Inc. reviewed 61 classes from 21 U.S. residential
mortgage-backed securities (RMBS) transactions. The 21 transactions
are generally classified as mortgage insurance linked-note
transactions. Of the 61 classes reviewed, DBRS Morningstar upgraded
19 ratings, confirmed 29 ratings, and discontinued 13 ratings.
The Affected Ratings are available at https://bit.ly/3BlZoNj
The Affected Entities are:
Eagle Re 2021-2 Ltd.
Radnor Re 2022-1 Ltd.
Bellemeade Re 2021-2 Ltd.
Bellemeade Re 2021-3 Ltd.
Bellemeade Re 2022-2 Ltd.
Radnor Re 2020-1 Ltd.
Home Re 2022-1 Ltd.
Oaktown Re VII Ltd.
Eagle Re 2021-1 Ltd.
Bellemeade Re 2022-1 Ltd.
Bellemeade Re 2020-2 Ltd.
Bellemeade Re 2020-4 Ltd.
Radnor Re 2018-1 Ltd.
Radnor Re 2019-2 Ltd.
Radnor Re 2021-2 Ltd.
Oaktown Re V Ltd.
Triangle Re 2021-1 Ltd.
Bellemeade Re 2020-3 Ltd.
Bellemeade Re 2017-1 Ltd.
Bellemeade Re 2019-1 Ltd.
Bellemeade Re 2019-3 Ltd.
The rating upgrades reflect positive performance trends and
increases in credit support sufficient to withstand stresses at
their new rating levels. The rating confirmations reflect asset
performance and credit-support levels that are consistent with the
current ratings. The discontinued ratings reflect the full
repayment of principal to bondholders.
[*] Moody's Upgrades $115MM of US RMBS Issued 2005-2006
-------------------------------------------------------
Moody's Investors Service has upgraded the ratings of four bonds
from three US residential mortgage-backed transactions (RMBS),
backed by subprime mortgages issued by multiple issuers.
Complete rating actions are as follows:
Issuer: Aegis Asset Backed Securities Trust 2005-5
Cl. M1, Upgraded to A3 (sf); previously on Apr 13, 2018 Upgraded to
Baa2 (sf)
Issuer: Fremont Home Loan Trust 2006-2
Cl. II-A-3, Upgraded to Baa2 (sf); previously on Feb 8, 2022
Upgraded to Ba1 (sf)
Cl. II-A-4, Upgraded to Baa3 (sf); previously on Feb 8, 2022
Upgraded to Ba2 (sf)
Issuer: Nomura Home Equity Loan Trust 2006-HE2
Cl. M-1, Upgraded to A1 (sf); previously on Feb 9, 2022 Upgraded to
A3 (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.
Principal Methodology
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.
[*] Moody's Upgrades $85.80MM of US RMBS Issued 2004-2007
---------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 12 bonds from
seven US residential mortgage-backed transactions (RMBS), backed by
subprime mortgages issued by multiple issuers.
The complete rating actions are as follows:
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-HE4
Cl. B-2, Upgraded to Caa2 (sf); previously on Mar 15, 2011
Confirmed at Ca (sf)
Issuer: Morgan Stanley Capital I Inc. Trust 2006-HE1
Cl. A-4, Upgraded to A1 (sf); previously on Mar 7, 2018 Upgraded to
A3 (sf)
Issuer: RAMP Series 2004-RS12 Trust
Cl. M-I-1, Upgraded to A2 (sf); previously on Dec 11, 2018 Upgraded
to Baa1 (sf)
Cl. M-II-4, Upgraded to Aa2 (sf); previously on Mar 19, 2018
Upgraded to A1 (sf)
Issuer: RAMP Series 2005-RS3 Trust
Cl. M-5, Upgraded to Aa2 (sf); previously on Dec 11, 2019 Upgraded
to A1 (sf)
Cl. M-6, Upgraded to Baa3 (sf); previously on Dec 11, 2019 Upgraded
to Ba3 (sf)
Cl. M-7, Upgraded to Caa3 (sf); previously on Oct 17, 2008
Downgraded to C (sf)
Issuer: RAMP Series 2005-RS4 Trust
Cl. M-5, Upgraded to Aa3 (sf); previously on Dec 20, 2018 Upgraded
to A2 (sf)
Cl. M-6, Upgraded to Ba3 (sf); previously on Dec 20, 2018 Upgraded
to B2 (sf)
Issuer: RAMP Series 2005-RS6 Trust
Cl. M-4, Upgraded to Aa1 (sf); previously on Dec 20, 2018 Upgraded
to Aa3 (sf)
Cl. M-5, Upgraded to A2 (sf); previously on Dec 20, 2018 Upgraded
to Baa1 (sf)
Issuer: RAMP Series 2007-RZ1 Trust
Cl. A-3, Upgraded to Aa3 (sf); previously on Dec 20, 2019 Upgraded
to A2 (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.
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 Takes Actions on 23 Classes From 9 Aircraft ABS Deals
-------------------------------------------------------------
S&P Global Ratings took various rating actions on 23 classes of
notes from nine aircraft and aircraft engine ABS transactions. At
the same time, S&P removed 20 ratings from CreditWatch, where they
were placed with positive or negative implications on Feb. 15,
2023.
The upgrades primarily reflect the significant increase in the
respective notes' credit enhancement due to faster-than-expected
principal repayments, strong collateral collections, and sustained
stable portfolio performance since closing. The downgrades
primarily reflect the notes' insufficient credit enhancement at
their previous rating levels, based on our assumptions, and the
continued pressure on aircraft lease collections in the aftermath
of the COVID-19 pandemic. The affirmations reflect S&P's view that
there has been no significant change in performance and the credit
enhancement is sufficient at the current rating levels.
The ratings on the notes were also removed from under criteria
observation (UCO), where they were placed on March 10, 2023,
following the publication of our revised criteria for rating
aircraft and aircraft engine ABS transactions.
The COVID-19 pandemic and resulting collapse in global travel
negatively affected the liquidity and long-term credit of airlines
whose lease payments partially secure the transactions. S&P
believes the credit quality of the downgraded transactions has
declined due to health and safety fears related to COVID-19,
despite the current strong recovery in the airline industry.
Assumptions For The Review
Collateral value
S&P said, "We typically use the lower of the mean and median (LMM)
value of the half-life base and market values from three
appraisers, as the starting point in our analysis.
"To the extent half-life market values were not available for a
commercial aircraft portfolio, we applied 50% of the base-case
('B') lease rate decline stress to each of the available base
values to arrive at a "calculated" half-life market value. We then
used the LMM of these three calculated values, along with the three
reported base values, as the starting value for each asset in our
analysis. The application of 50% of our 'B' lease rate decline
stress to base values is intended to address residual market
weakness since the onset of the pandemic.
"In each case, we excluded appraisals that are 25% above the
average of the other valuations and applied our aircraft-specific
depreciation assumptions from the appraisal date to the first
payment date."
Time-on-ground (TOG) times
S&P said, "Upon a lease termination or a lessee default under our
stress runs, we assume the aircraft or aircraft engine will be
grounded before it is re-leased. Table 1 shows the TOG assumptions
applied for this review (these assumptions do not apply to the
business jet transactions, since we do not assume any
re-leasing)."
Table 1
Time on ground (mos.)
STRESS DOWNTURN 1 DOWNTURN 1 DOWNTURN ENGINES OUTSIDE
(NB) (WB) 2 AND 3 (ALL DOWNTURN
(ALL AIRCRAFT) DOWNTURNS)
A 12 15 10 10 3
BBB 11 14 9 9 3
BB 10 13 8 8 3
B 9 12 7 7 3
NB--Narrow-body.
WB--Wide-body.
Useful life
S&P said, "We generally assume a 25-year useful life for all
commercial aircraft and a 30-year useful life for production
freighters and business jets. For aircraft where our useful life
assumption would result in a sale prior to the contracted end of
lease, we extended the useful life to the lease term's expiration.
In addition, to the extent we received a fleet plan from the
lessors indicating their future strategy (re-lease or sale) upon
current lease expiry, we adjusted the useful life accordingly."
To determine the remaining useful life of aircraft engines, S&P
divides the engine life cycle into three phases:
-- Phase I: The period prior to the inflection date (the date when
the engine's hosting aircraft type ceases production).
-- Phase II: The first five years after the inflection date.
-- Phase III: The 15-year period after the end of Phase II after
which S&P assumes the engine is sold.
S&P effectively assumes that the remaining useful life of an engine
is 20 years after the inflection date.
Treatment of Russian leases
Any aircraft previously on lease to a Russian airline is regarded
as a total loss. S&P does not forecast any lease, sales, or
potential insurance proceeds because the timing and amount of these
payments remain uncertain.
Repossession, refurbishment, and remarketing (RRR) costs
S&P assumes RRR costs are incurred upon a lessee default or lease
expiration. Table 2 shows the RRR costs assumed for this review.
Table 2
RRR costs ($)
AIRFRAME DURING DOWNTURN OUTSIDE A DOWNTURN
Narrowbody 750,000 500,000
Narrowbody cargo 250,000 200,000
Regional jet 750,000 500,000
Turboprop 750,000 500,000
Widebody 1,500,000 1,250,000
Widebody cargo 500,000 400,000
Engines 100,000 100,000
RRR--Repossession, refurbishment, and remarketing.
Default pattern
S&P sais, "We applied defaults evenly over a four-year period
during the first industry downturn and assumed defaults will occur
in a 30%/40%/20%/10% pattern in the subsequent downturns. For
business jet transactions, where we assume only one downturn, we
applied the 30%/40%/20%/10% default pattern."
Recovery/sale lag (for business jet transactions only)
Business jet transactions rely on liquidation of the underlying
aircraft under the following circumstances:
-- A loan or finance lease defaults, or
-- An operating lease defaults or reaches its lease expiration.
Under these scenarios, S&P assumes the underlying aircraft will be
sold after the lag times shown in table 3. The corresponding sale
value will be the depreciated value of the aircraft at the point of
sale (or the defaulted loan or finance lease balance if it is lower
than the depreciated value).
Table 3
Recovery/sale lag for business jet transactions
RATING
A BBB BB
Lag (months) 30 22 15
Lease rate factor (LRF)
S&P said, "The current LRF curve used in our analysis for all
aircraft corresponds to a 1.82% interest rate, which is the
five-year average of the five-year U.S. treasury rate for the
January 2018 to December 2022 period. We use different lease rate
factors for passenger (narrowbody, widebody, and regional jet)
aircraft and freighters."
Business Jet Securities
S&P said, "The highest achievable rating for business jet
transactions is 'A (sf)', as determined by the application of our
operational risk criteria. We believe the transactions' portability
risk (as described in our criteria) is high, given the specialized
nature of the business jet leasing industry. We also understand
that there is a limited number of qualified participants in this
niche sector who could assume the servicing of these portfolios if
the current servicer (Global Jet Capital) is no longer able to
perform this role."
Business Jet Securities 2020-1 LLC
S&P Global Ratings raised its ratings on Business Jet Securities
2020-1 LLC's class B and C notes and affirmed its rating on the
class A notes. At the same time, S&P removed the ratings from
CreditWatch, where they were placed with positive implications on
Feb. 15, 2023.
The upgrades primarily reflect the portfolio's strong performance
since issuance, the absence of credit-related defaults or
delinquencies in collections, and the faster-than-expected paydowns
of the liabilities as a result of asset sales. The transaction held
22 assets as of March 2023, down from 55 assets as of the closing
in late 2020. The notes' cumulative outstanding balance is less
than one-third of the original issuance balance.
The affirmation reflects the transaction's strong performance since
closing and the results of our operational risk assessment
described above.
Under S&P's cash flow runs, the class B and C notes passed at a
higher rating level. However, S&P considered the structural
subordination of the class B and C notes while arriving at the
assigned rating.
Business Jets Securities 2021-1 LLC
S&P Global Ratings raised its ratings on Business Jet Securities
2021-1 LLC's class B and C notes and affirmed its rating on the
class A notes. At the same time, S&P removed the ratings from
CreditWatch, where they were placed with positive implications on
Feb. 15, 2023.
The upgrades reflect the transaction's consistent stable credit
performance and the significant paydown since closing. Over the
past 12 months, the class A, B, and C notes have collectively paid
down $110.38 million due to aircraft dispositions and paydowns from
collections. The transaction's loan-to-value (LTV) ratios have
significantly declined since issuance, and the notes are all
currently on schedule.
The affirmation reflects the transaction's strong performance since
closing and the results of our operational risk assessment
described above.
The portfolio is backed by 29 business jets (86% large, 12.86%
super-mid, and 1.15% medium jets by aggregate asset value) that
were manufactured between 2000 and 2020. The jets have an average
age and remaining term (based on the aggregate asset value) of 8.17
years and 4.18 year, respectively, as of March 2023.
Although S&P's cash flow runs for the class B and C notes indicated
a higher rating, it considered the fact that a sizeable amount
(approximately 62%) of the original debt is still outstanding and
the results of an additional break-even scenario that applied a
haircut to the assumed residual value of the jets.
Business Jets Securities 2022-1 LLC
S&P Global Ratings affirmed its ratings on Business Jet Securities
2022-1 LLC's class A, B and C notes.
The affirmations reflect the transaction's stable credit
performance and the significant paydown of $70.2 million since
closing.
The portfolio is backed by 44 business jets (86% large, 12.86%
super-mid, and 1.15% medium jets by aggregate asset value)
manufactured between 1996 and 2022, with an average age and
remaining term (based on the aggregate asset value) of 8.5 years
and 4.3 years, respectively, as of March 2023.
Although S&P's cash flow runs for the class B and C notes indicated
a higher rating, it considered both the sizeable amount
(approximately 89%) of the original debt that is still outstanding
and the results of an additional break-even scenario that applied a
haircut to the assumed residual value of the jets.
Shenton Aircraft Investment I Ltd.
S&P Global Ratings affirmed its ratings on Shenton Aircraft
Investment I Ltd.'s series 2015-1 class A and B notes. At the same
time, S&P removed the ratings from CreditWatch, where they were
placed with negative implications on Feb. 15, 2023.
The affirmations reflect the continued strong performance of the
underlying aircraft pool, which is currently fully leased, as well
as the gradual and ongoing paydown of the notes and the improving
LTV ratio. With lessees generally eager to hold on to their
aircraft due to the strengthening air traffic market, the servicer
has been proactively extending leases that are expiring within the
next year. Currently, there are no leases expiring prior to May
2024, and all lessees are current on their payments.
S&P expects the pool to also benefit from the reopening of the
Chinese market and the increased utilization of the aircraft.
START Ltd.
S&P Global Ratings lowered its ratings on START Ltd.'s series 2018
class B and C notes and affirmed its rating on the class A notes.
At the same time, S&P removed the ratings from CreditWatch, where
they were placed with negative implications on Feb. 15, 2023.
The downgrades reflect the lack of principal payments on the class
B notes because the class A notes are still behind on their
scheduled principal payments. Consequently, the class C notes
continue to defer interest during the same period, which is
capitalized to the outstanding balance.
The affirmation reflects the sufficient credit enhancement at the
current rating level, especially given that the class A notes have
received some principal payments for most of the past 12 months and
are very close to being on their targeted balance as of the March
2023 payment date report.
The portfolio is currently backed by 20 aircraft (11 Airbus
A320-200 and nine Boeing 737-800) manufactured between 2003 and
2013, with an average age of 12.7 years. One aircraft is currently
off lease, and three aircraft are due to come off lease in the next
12 months. The servicer has indicated that two lessees signed lease
deferral agreements in 2022.
The class C notes continue to defer and capitalize their unpaid
interest. The class B and C notes are significantly behind on their
scheduled principal payments, which total approximately $41
million.
S&P said, "Our cash flow results for the class A notes indicated a
higher rating. However, we considered the fact that the notes are
still behind on their scheduled payments and the portfolio's
exposure to lessees with deferral agreements. The class C notes did
not pass under our 'B' stress run. Given the calculated LTV is
still under 100%, we downgraded the class to 'B- (sf).'"
Turbine Engines Securitization Ltd.
S&P Global Ratings lowered its ratings on Turbine Engines
Securitization Ltd.'s series 2013 class A and B notes. At the same
time, S&P removed the ratings from CreditWatch, where they were
placed with negative implications on Feb. 15, 2023.
The downgrades reflect the increase in loan-to-value (LTV) ratios
due to minimal principal repayments on the notes, the declining
portfolio valuations, and the transfer of two engines at a
significant loss.
The portfolio is currently backed by 20 engines. One engine is
currently off lease, and 12 are due to come off lease in the next
12 months. Approximately 80% of the engines in the portfolio power
aircraft that are still under production (e.g., ERJ-195 and
ERJ-175) or are in the last stage of production (e.g., the
B777-300ERs), while the remainder power aircraft that recently
ceased production. The servicer hasn't indicated if the engines
that are coming off lease in the next 12 months have entered into a
follow-on lease or agreed to extend their lease at this time.
Two GP-7000 engines that power the A380s were disposed in September
2022. Based on the current demand for these engines and the return
conditions upon lease expiration, the servicer has determined that
it would be favorable to transfer the engines to the lessee. This
avoided any associated end-of-lease, storage, and remarketing
costs, especially given the demand for A380s has been unfavorable.
The engines had a combined appraised half-life base value of $12.9
million as of December 2021, which were sold at a significant loss,
given the circumstances. The netting of the end-of-lease costs
resulted in no positive cash flow into the transaction, which
mainly contributed to the rise in LTV across the capital
structure.
S&P said, "Typically, for surveillance we assume a maintenance cost
of 3% of lease revenues to reflect the net outflow associated with
maintenance costs. Based on these assumptions, our cash flow
results pointed to a lower rating than assigned. Moreover, the
class B notes were not passing even under our 'B' stress run.
"We have observed that over at least the past 12 months, the
supplemental rents collected by the transaction have been
sufficient to cover actual maintenance costs. Therefore, we ran an
additional scenario assuming there were no maintenance inflows or
outflows for the transaction. We also ran another scenario giving
credit to the base-case maintenance cash flows projected as of
December 2022. We considered the results of these additional
scenarios while determining the ratings on the notes."
WAVE 2017-1 LLC
S&P Global Ratings lowered its ratings on WAVE 2017-1 LLC's class
A, B, and C notes. At the same time, S&P removed the ratings from
CreditWatch, where they were placed with negative implications on
Feb. 15, 2023.
The downgrades primarily reflect the transaction's slow pace of
principal repayments, as well as the insufficient credit
enhancement to support the class A, B, and C notes at their
previous rating levels. The rating on the class C notes also
reflect S&P's "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And
'CC' Ratings," published Oct. 1, 2012. Generally, issuers and
issues rated in the 'CCC' category face an at least one-in-two
likelihood of default.
The transaction has paid down the class A notes by approximately
$57.8 million since March 2022, while the class B and C notes did
not receive any principal payments during this period. The class C
notes continue to defer and capitalize their unpaid interest. A
significant portion of the class A paydown was contributed by the
disposition of two 737-900ER aircraft in the fourth quarter of
2022.
The portfolio is currently backed by 15 aircraft that were
manufactured between 2001 and 2015, with an average age of
approximately 12 years. All aircraft are currently on lease, with
no lease expirations in the next 12 months.
S&P said, "The class B and C notes did not pass our 'B' rating
stress in our cash flow runs. For the class B notes, we considered
the failure under our 'B' stress scenario to be de minimis while
determining the 'B (sf)' rating. This reflects the fact that the
portfolio is fully leased with no near-term expirations and the
calculated loan-to-value (LTV) ratio for the class B notes is under
100%.
"We believe the class C notes are more vulnerable to a default,
given their subordinated position in the priority of payments, the
significant shortfalls in scheduled principal payments on the class
A and B notes, the calculated LTV ratio being greater than 105%,
and the capitalization of unpaid interest on the notes that will
further stress the LTV ratio. However, since the class C notes can
defer interest, we believe they are unlikely to default in the near
term. Therefore, we lowered our rating on the class C notes to
'CCC+ (sf)'."
WAVE 2019-1 LLC
S&P Global Ratings lowered its rating on WAVE 2019-1 LLC's class C
notes and affirmed the ratings on the class A and B notes. At the
same time, S&P removed the ratings from CreditWatch, where they
were placed with negative implications on Feb. 15, 2023.
The downgrade primarily reflects the significant shortfalls in
scheduled principal payments on both the class A and B notes, as
well as the insufficient credit enhancement to support the class C
notes at their previous rating level. The rating on the class C
notes also reflect S&P's "Criteria For Assigning 'CCC+', 'CCC',
'CCC-', And 'CC' Ratings," published Oct. 1, 2012. Generally,
issuers and issues rated in the 'CCC' category face an at least
one-in-two likelihood of default.
The affirmations primarily reflect the portfolio's stable
performance and S&P's view that the credit enhancement is
sufficient to support the rating at the current level.
The transaction has paid down the class A notes by approximately
$40.2 million since March 2022, while the class B and C notes did
not receive any principal payments during this period. The class C
notes continue to defer and capitalize their unpaid interest.
The portfolio is currently backed by 21 aircraft that were
manufactured between 2006 and 2018, with an average age of
approximately 7.6 years. In 2022, one A320-200 was parted out, with
the airframe and one engine sold. The other engine remains in the
trust and is on lease. Further, one aircraft was on lease to Yamal,
a Russian lessee, at the onset of the Russia-Ukraine conflict. S&P
does not forecast any cash flows from this aircraft, and it is not
included in its calculations or statistics. The remaining assets
are currently on lease, with two aircraft leases expiring in the
next 12 months.
S&P said, "Under our cash flow runs, the class C notes did not pass
our 'B' rating stress. We believe the class C notes are more
vulnerable to a default, given their subordinated position in the
priority of payments, the significant shortfalls in scheduled
principal payments on both the class A and B notes, the calculated
LTV being greater than 100%, and the capitalization of unpaid
interest on the notes that will further stress the LTV. However,
because the class C notes can defer interest, we believe that they
are unlikely to default in the near term. Therefore, we lowered our
rating on the class C notes to 'CCC+ (sf)'."
Zephyrus Capital Aviation Partners 2018-1 Ltd
S&P Global Ratings affirmed its rating on Zephyrus Capital Aviation
Partners 2018-1 Ltd.'s class A notes. At the same time, the rating
was removed from CreditWatch, where it was placed with negative
implications on Feb. 15, 2023.
The affirmation primarily reflects the portfolio's stable
performance and S&P's view that the credit enhancement is
sufficient to support the rating at the current level.
The transaction has paid down the class A notes by approximately
$33.7 million since March 2022. As of the March 15, 2023, payment
date, the only disposal cash flows were from the sale of an
A330-200 airframe, with the remaining cash flows from base rent,
utilization rent, and end of lease payments. However, Zephyrus has
notified S&P Global Ratings of the pending disposal of MSN 30624, a
B737-800. This transaction took place on March 10, 2023, after the
cutoff determination date used in our forecasting. S&P incorporated
the actual net proceeds in our cash flow analysis.
The portfolio is currently backed by 13 aircraft that were
manufactured between 2002 and 2010 (including MSN 30624), with an
average age of approximately 16.8 years. The portfolio also
includes two Trent 772B-60 engines, which were formerly part of an
A330-200. Both engines are currently on lease. Further, one
aircraft was on lease to a Russian lessee, at the onset of the
Russia-Ukraine conflict. S&P does not forecast any cash flows from
this aircraft, and it is not included in its calculations or
statistics. The remaining assets are currently on lease, with three
aircraft leases expiring in the next 12 months.
S&P said, "We received half-life base values but not market values.
To estimate market values we applied 50% of our 'B' lease rate
decline stress to each base value to generate calculated market
values. For each asset, we calculated the LMM of the provided base
values and the calculated market values, and used this LMM in our
analysis.
"Our cash flow runs indicated a lower rating for the class A notes.
However, we considered the failure under our 'BBB-' stress scenario
to be de minimis. We also considered the fact that the transaction
has paid down significantly without relying on asset sales and the
LTV is low at 72.9%. Finally, though the weighted average age of
the portfolio is greater than we typically observe in aircraft ABS,
the servicer, Zephyrus, specializes in monetizing the value of mid-
and late-life aviation assets. Taking all of these factors into
consideration, we affirm the rating at 'BBB- (sf)'.
"We will continue to monitor the transactions and review whether
the ratings assigned are consistent with the credit enhancement
available to support the respective notes."
Environmental, social, and governance (ESG) credit factors for this
change in credit rating/outlook and/or CreditWatch status:
-- Health and safety
Ratings List
Rating
ISSUER SERIES CLASS CUSIP TO FROM
Business Jet
Securities
2020-1 LLC 2020-1 A 12327FAA5 A (sf) A (sf)/
Watch Pos
Business Jet
Securities
2020-1 LLC 2020-1 B 12327FAB3 A- (sf) BBB(sf) /
Watch Pos
Business Jet
Securities
2020-1 LLC 2020-1 C 12327FAC1 BBB+ (sf) BB (sf)/
Watch Pos
Business Jet
Securities
2021-1 LLC 2021-1 A 12327BAA4 A (sf) A (sf)/
Watch Pos
Business Jet
Securities
2021-1 LLC 2021-1 B 12327BAB2 BBB+ (sf) BBB (sf)/
Watch Pos
Business Jet
Securities
2021-1 LLC 2021-1 C 12327BAC0 BBB- (sf) BB (sf)/
Watch Pos
Business Jet
Securities
2022-1 LLC 2022-1 A 12327AAA6 A (sf) A (sf)
Business Jet
Securities
2022-1 LLC 2022-1 B 12327AAB4 BBB (sf) BBB (sf)
Business Jet
Securities
2022-1 LLC 2022-1 C 12327AAC2 BB (sf) BB (sf)
Shenton
Aircraft
Investment I
Ltd 2015-1 A 82321UAA1 BBB+ (sf) BBB+ (sf)/
Watch Neg
Shenton
Aircraft
Investment I
Ltd 2015-1 B 82321UAB9 BB+ (sf) BB+ (sf)/
Watch Neg
START Ltd. A 85572RAA7 BBB+ (sf) BBB+ (sf)/
Watch Neg
START Ltd. B 85572RAB5 BB- (sf) BB (sf)/
Watch Neg
START Ltd. C 85572RRAC3 B- (sf) B (sf)/
Watch Neg
Turbine Engines
Securitization
Ltd. 2013-1 2013-1A 89989FAA2 BB- (sf) BBB+ (sf)/
Watch Neg
Turbine Engines
Securitization
Ltd. 2013-1 2013-1B 89989FAB0 B (sf) BB+ (sf)/
Watch Neg
WAVE 2017-1 LLC 2017-1 A 94353WAA3 BB (sf) BBB (sf)/
Watch Neg
WAVE 2017-1 LLC 2017-1 B 94353WAB1 B (sf) BB (sf)/
Watch Neg
WAVE 2017-1 LLC 2017-1 C 94353WAC9 CCC+ (sf) B (sf)/
Watch Neg
WAVE 2019-1 LLC 2019-1 A 94354KAA8 BBB+ (sf) BBB+ (sf)/
Watch Neg
WAVE 2019-1 LLC 2019-1 B 94354KAB6 BB+ (sf) BB+ (sf)/
Watch Neg
WAVE 2019-1 LLC 2019-1 C 94354KAC4 CCC+ (sf) B (sf)/
Watch Neg
Zephyrus Capital
Aviation Partners
2018-1 Ltd 2018-1 A 98944PAB3 BBB- (sf) BBB- (sf)/
Watch Neg
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
TCR subscribers have free access to our on-line news archive.
Point your Web browser to http://TCRresources.bankrupt.com/and use
the e-mail address to which your TCR is delivered to login.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA.
Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante,
Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon,
Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and
Peter A. Chapman, Editors.
Copyright 2023. All rights reserved. ISSN: 1520-9474.
This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers. Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.
The TCR subscription rate is $975 for 6 months delivered via
e-mail. Additional e-mail subscriptions for members of the same
firm for the term of the initial subscription or balance thereof
are $25 each. For subscription information, contact Peter A.
Chapman at 215-945-7000.
*** End of Transmission ***