/raid1/www/Hosts/bankrupt/TCR_Public/240721.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, July 21, 2024, Vol. 28, No. 202
Headlines
ABPCI DIRECT XVIII: S&P Assigns BB- (sf) Rating on Class E Notes
AIMCO CLO 18: S&P Assigns Prelim B- (sf) Rating on Class F-R Notes
ALLO ISSUER: Fitch Gives 'BB-(EXP)sf' Rating on Class C Notes
ANCHORAGE CAPITAL 2018-10: S&P Assigns BB- (sf) Rating on E Notes
BAIN CAPITAL 2019-2: S&P Affirms BB-(sf) Rating on Class E-R Notes
BALLYROCK CLO 14: S&P Withdraws 'BB- (sf)' Rating on Class D Notes
BARINGS CLO 2024-II: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes
BARINGS CLO 2024-IV: Fitch Assigns 'BB-(EXP)' Rating on Cl. E Notes
BEAR MOUNTAIN: S&P Assigns BB- (sf) Rating on Class E Notes
BENCHMARK 2019-B15: Fitch Lowers Rating on Class G-RR Debt to CCC
BRAVO RESIDENTIAL 2024-NQM4: Fitch Assigns Bsf Rating on B-2 Notes
BRIDGECREST 2024-3: S&P Assigns Prelim BB (sf) Rating on E Notes
CANYON CLO 2019-1: S&P Assigns BB- (sf) Rating on Class E-RR Notes
CANYON CLO 2019-1: S&P Assigns Prelim BB-(sf) Rating on E-RR Notes
CARLYLE US 2021-11: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
CARVAL CLO VII-C: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
CITIGROUP 2016-C3: Fitch Lowers Rating on Two Tranches to 'B+sf'
COLT 2024-4: Fitch Assigns 'B(EXP)sf' Rating on Cl. B2 Certificates
CRYSTALS TRUST 2016-CSTL: S&P Affirms BB(sf) Rating on Cl. E Notes
DRYDEN 85: S&P Assigns BB- (sf) Rating on Class E-R2 Notes
EXETER 2024-4: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
GENERATE CLO 4: S&P Assigns Prelim BB- (sf) Rating on ERR Notes
HALSEYPOINT CLO II: S&P Assigns BB- (sf) Rating on Cl. E-R Notes
HERTZ VEHICLE 2024-1: Moody's Assigns (P)Ba2 Rating to Cl. D Notes
HOMES 2024-NQM1: S&P Assigns Prelim B-(sf) Rating on Cl. B-2 Certs
JP MORGAN 2018-PHH: Moody's Lowers Rating on Cl. E Certs to Csf
JUNIPER VALLEY: S&P Assigns Prelim BB-(sf) Rating on Cl. E-R Notes
LCCM 2017-LC26: Fitch Affirms 'Bsf' Rating on Class E Certificates
LCM 31: S&P Assigns Preliminary B- (sf) Rating on Class F Notes
MADISON PARK XLIV: S&P Assigns B- (sf) Rating on Class F-R Notes
MARATHON CLO 2020-15: S&P Assigns Prelim B- (sf) Rating E-R3 Notes
MOSAIC SOLAR 2023-1: Fitch Lowers Rating on Class D Debt to Bsf
MOUNTAIN VIEW IX: Moody's Lowers Rating on $27.3MM D-R Notes to B1
NORTHWOODS XI-B: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
OCEAN TRAILS VII: S&P Affirms 'B- (sf)' Rating on Class E Notes
OHA CREDIT 13: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes
PALMER SQUARE 2022-2: S&P Assigns Prelim 'BB-' Rating on E-R Notes
PALMER SQUARE 2024-2: S&P Assigns BB- (sf) Rating on Cl. E Notes
PKHL 2021-MF: S&P Lowers Class D Notes Rating to 'B+ (sf)'
RAD CLO 3: Fitch Assigns 'BB-sf' Rating on 2 Tranches
RATE MORTGAGE 2024-J1: Fitch Assigns Bsf Rating on Class B-6 Certs
ROCKFORD 2022-3: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
RR 12: S&P Assigns BB- (sf) Rating on Class D-R3 Notes
RR 21: Moody's Assigns B3 Rating to $500,000 Class E-R Notes
RR 29: S&P Assigns BB- (sf) Rating on Class D-R Notes
SIERRA 2024-2: S&P Assigns Prelim BB (sf) Rating on Cl. D Notes
TELOS CLO 2013-4: S&P Lowers Class E-R Notes Rating to 'CC (sf)'
TELOS CLO 2014-5: S&P Lowers Class E-R Notes Rating to 'CC (sf)'
VERUS SECURITIZATION 2024-6: S&P Assigns Prelim B- (sf) on E Notes
VOYA CLO 2018-2: S&P Lowers Class E Notes Rating to B+ (sf)
WELLS FARGO 2016-NXS6: Fitch Lowers Rating on Two Tranches to CCC
WELLS FARGO 2017-RB1: Fitch Lowers Rating on Cl. E-2 Debt to CCC
WIND RIVER 2018-2: S&P Affirms BB- (sf) Rating on Class E Notes
[*] S&P Discontinues 'D' ratings on 13 classes from 8 US CMBS Deals
[*] S&P Takes Various Action on 25 Classes From 17 U.S. RMBS Deals
[*] S&P Takes Various Actions on 105 Classes From 34 US RMBS Deals
*********
ABPCI DIRECT XVIII: S&P Assigns BB- (sf) Rating on Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to ABPCI Direct Lending
Fund CLO XVIII L.P.'s floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by middle market speculative-grade
(rated 'BB+' or lower) senior secured term loans. The transaction
is managed by AB Private Credit Investors LLC, a wholly owned
subsidiary of Alliance Bernstein.
The ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
ABPCI Direct Lending Fund CLO XVIII L.P.
Class A-1, $153.0 million: AAA (sf)
Class A-1L loans, $50.0 million: AAA (sf)
Class A-2, $14.0 million: AAA (sf)
Class B, $21.0 million: AA (sf)
Class C (deferrable), $28.0 million: A (sf)
Class D (deferrable), $21.0 million: BBB- (sf)
Class E (deferrable), $21.0 million: BB- (sf)
Partnership interests, $43.8 million: Not rated
AIMCO CLO 18: S&P Assigns Prelim B- (sf) Rating on Class F-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R, A-1L-R, A-2-R, B-R, C-R, D-1-R, D-2-R, E-R debt and the
proposed new class F-R debt from AIMCO CLO 18 Ltd./AIMCO CLO 18
LLC, a CLO originally issued in September 2022 that is managed by
Allstate Investment Management Co.
The preliminary ratings are based on information as of July 12,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the July 22, 2024, refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. S&P
said, "At that time, we expect to withdraw our ratings on the
original debt and assign ratings to the replacement debt. However,
if the refinancing doesn't occur, we may affirm our ratings on the
original debt and withdraw our preliminary ratings on the
replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The non-call period will be extended to July 20, 2026.
-- The reinvestment period will be extended to July 20, 2029.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) will be extended to July 20,
2037.
-- The target initial par amount will be raised to $500 million.
-- There will be no additional effective date or ramp-up period,
and the first payment date following the refinancing is Oct. 20,
2024.
-- The required minimum overcollateralization and interest
coverage ratios will be amended.
-- No additional subordinated notes will be issued on the
refinancing date.
Replacement And Original Debt Issuances
Replacement debt
-- Class A-1-R, $267.35 million: Three-month CME term SOFR +
1.36%
-- Class A-1L-R, $52.65 million: Three-month CME term SOFR +
1.36%
-- Class A-2-R, $5.00 million: Three-month CME term SOFR + 1.50%
-- Class B-R, $55.00 million: Three-month CME term SOFR + 1.60%
-- Class C-R (deferrable), $30.00 million: Three-month CME term
SOFR + 1.90%
-- Class D-1-R (deferrable), $30.00 million: Three-month CME term
SOFR + 2.80%
-- Class D-2-R (deferrable), $5.00 million: Three-month CME term
SOFR + 4.10%
-- Class E-R (deferrable), $15.00 million: Three-month CME term
SOFR + 5.50%
-- Class F-R (deferrable), $5.00 million: Three-month CME term
SOFR + 7.73%
-- Subordinated notes, $40.28 million: Not applicable
Original debt
-- Class A-1, $308.00 million: Three-month CME term SOFR + 2.05%
-- Class A-2, $12.00 million: 4.518%
-- Class B-1, $52.00 million: Three-month CME term SOFR + 2.95%
-- Class B-2, $8.00 million: 5.358%
-- Class C (deferrable), $32.00 million: Three-month CME term SOFR
+ 3.90%
-- Class D (deferrable), $27.35 million: Three-month CME term SOFR
+ 4.85%
-- Class E (deferrable), $15.00 million: Three-month CME term SOFR
+ 8.65%
-- Subordinated notes, $40.28 million: Not applicable
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
AIMCO CLO 18 Ltd. /AIMCO CLO 18 LLC
Class A-1-R, $267.35 million: AAA(sf)
Class A-1L-R, $52.65 million: AAA (sf)
Class A-2-R, $5.00 million: AAA (sf)
Class B-R, $55.00 million: AA (sf)
Class C-R (deferrable), $30.00 million: A (sf)
Class D-1-R (deferrable), $30.00 million: BBB- (sf)
Class D-2-R (deferrable), $5.00 million: BBB- (sf)
Class E-R (deferrable), $15.00 million: BB- (sf)
Class F-R (deferrable), $5.00 million: B- (sf)
Other Debt
AIMCO CLO 18 Ltd. /AIMCO CLO 18 LLC
Subordinated notes, $40.28 million: NR
NR--Not rated.
ALLO ISSUER: Fitch Gives 'BB-(EXP)sf' Rating on Class C Notes
-------------------------------------------------------------
Fitch Ratings expects to rate ALLO Issuer, LLC, Secured Fiber
Network Revenue Notes Series 2024-1 as follows:
- $128.0 million 2024-1 class A-2 'Asf'; Outlook Stable;
- $33.3 million 2024-1 class B 'BBBsf'; Outlook Stable;
- $71.6 million 2024-1 class C 'BB-sf'; Outlook Stable.
The ratings on all existing notes are expected to be affirmed
concurrent with the transaction close and the assignment of final
ratings.
The following class is not expected to be rated by Fitch:
- $12,700,000(c) series 2024-1, class R.
(c) Horizontal credit risk retention interest representing 5% of
the 2024-1 notes.
The note balances include $40 million of prefunding, which is
allocated between classes B and C.
TRANSACTION SUMMARY
The transaction is a securitization of the contract payments
derived from an existing Fiber to the Premise (FTTP) network. Debt
is secured by the cash flow from operations and benefits from a
perfected security interest in the securitized assets, which
includes conduits, cables, network-level equipment, access rights,
customer contracts, transaction accounts and an equity pledge from
the asset entities.
Since the 2023-1 issuance of notes, 10 additional issuer-defined
markets in Nebraska and Colorado have been contributed to the
trust. The additional collateral comprises 8.2% of transaction
revenue and passes over 76,581 locations with a weighted average
penetration rate of approximately 16.3%.
Transaction proceeds will be utilized to pay down the balance of
the series 2023-1 A-1-V, fund the series 2024-1 prefunding account,
fund the applicable securitization transaction reserves, pay
transaction fees, and for general corporate purposes, which may
include a distribution to the parent for growth capital
expenditures. A cash-out dividend is not expected.
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, ALLO Communications LLC.
KEY RATING DRIVERS
Net Cash Flow and Trust Leverage: Fitch's net cash flow (NCF) on
the pool is $78.9 million in the base case, implying a 17.4%
haircut to issuer base case NCF. The debt multiple relative to
Fitch's NCF on the rated classes is 9.6x in this scenario, versus
the debt/issuer NCF leverage of 8.05x.
Inclusive of the prefunding and the cash flow required to draw on
the maximum variable funding note (VFN) commitment of $150 million,
the Fitch NCF on the pool is $101.9 million, implying a 17.1%
haircut to issuer NCF. The debt multiple relative to Fitch's NCF on
the rated classes is 9.4x, compared with the debt / issuer NCF
leverage of 7.8x.
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 of the network, market concentration, the market position of
the sponsor, capability of the operator, higher barriers to entry
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 are not rated 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, contract amendments or the development of an alternative
technology for the transmission of data could lead to downgrades.
- Fitch's base case NCF was 17.4% below the issuer's underwritten
cash flow. A further 10% decline in Fitch's NCF indicates the
following ratings based on Fitch's determination of MPL: class A-2
from 'Asf' to 'BBBsf'; class B from 'BBBsf' to 'BBsf'; class C from
'BB-sf' to 'B-sf'.
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, contract amendments, or
expense reductions could lead to upgrades;
- A 10% increase in Fitch's NCF indicates the following ratings
based on Fitch's determination of MPL: Class A-2 from 'Asf' to
'Asf'; class B from 'BBBsf' to 'A-sf'; class C from 'BB-sf' to
'BBsf';
- Upgrades are unlikely for these transactions given the provision
for the issuer to issue additional notes, which rank pari passu or
subordinate to existing notes, without the benefit of additional
collateral. In addition, the transaction is capped in the 'Asf'
category, given the risk of technological obsolescence.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG CONSIDERATIONS
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' 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. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
ANCHORAGE CAPITAL 2018-10: S&P Assigns BB- (sf) Rating on E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1AR,
A-1B-1R, A-2R, B-R, C-R, D-R, and E-R replacement debt from
Anchorage Capital CLO 2018-10 Ltd./Anchorage Capital CLO 2018-10
LLC, a CLO originally issued in September 2018 that is managed by
Anchorage Capital Group LLC. At the same time, S&P withdrew its
ratings on the original class A-1A, A-1B-1, B, C, D, and E debt
following payment in full on the July 15, 2024, refinancing date.
S&P also affirmed its ratings on the class A-1B-2 debt, which was
not refinanced.
The replacement debt was issued via a conformed indenture, which
outlines the terms of the replacement debt. According to the
conformed indenture, the non-call period for the replacement debt
ends Jan. 15, 2025.
Replacement And Original Debt Issuances
Replacement debt
-- Class A-1AR, $115.66 million: Three-month term SOFR + 1.10%
-- Class A-1B-1R, $20.35 million: Three-month term SOFR + 1.09%
-- Class A-2R, $26.00 million: Three-month term SOFR + 1.30%
-- Class B-R, $35.50 million: Three-month term SOFR + 1.70%
-- Class C-R, $33.00 million: Three-month term SOFR + 2.05%
-- Class D-R, $26.50 million: Three-month term SOFR + 2.95%
-- Class E-R, $16.00 million: Three-month term SOFR + 5.75%
Original debt (balances as reported within June 2024 trustee
report)
-- Class A-1A, $149.93 million: Three-month term SOFR + 1.46161%
-- Class A-1B-1, $27.30 million: Three-month term SOFR + 1.44161%
-- Class A-2, $26.00 million: Three-month term SOFR + 1.176161%
-- Class B, $35.50 million: Three-month term SOFR + 2.01161%
-- Class C, $33.00 million: Three-month term SOFR + 2.51161%
-- Class D, $26.50 million: Three-month term SOFR + 3.41161%
-- Class E, $16.00 million: Three-month term SOFR + 6.01161%
The original class A-1A and A-1B-1 debt will amortize to $115.66
million and $20.35 million, respectively, on the July 15, 2024,
payment date. S&P said, "Our review of this transaction included a
cash flow analysis, based on the portfolio and transaction data in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions."
S&P will continue to review whether, in its view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as it deems
necessary.
Ratings Assigned
Anchorage Capital CLO 2018-10 Ltd./
Anchorage Capital CLO 2018-10 LLC
Class A-1AR, $115.66 million: AAA (sf)
Class A-1B-1R, $20.35 million: AAA (sf)
Class A-2R, $26 million: AAA (sf)
Class B-R, $35.5 million: AA (sf)
Class C-R, $33 million: A (sf)
Class D-R, $26.5 million: BBB- (sf)
Class E-R, $16 million: BB- (sf)
Ratings Withdrawn
Anchorage Capital CLO 2018-10 Ltd./
Anchorage Capital CLO 2018-10 LLC
Class A-1A to NR from 'AAA (sf)'
Class A-1B-1 to NR from 'AAA (sf)'
Class B to NR from 'AA (sf)'
Class C to NR from 'A (sf)'
Class D to NR from 'BBB- (sf)'
Class E to NR from 'BB- (sf)'
Rating Affirmed
Anchorage Capital CLO 2018-10 Ltd./
Anchorage Capital CLO 2018-10 LLC
Class A-1B-2: AAA (sf)
Other Debt
Anchorage Capital CLO 2018-10 Ltd./
Anchorage Capital CLO 2018-10 LLC
Subordinated notes, $36.70 million: NR
NR--Not rated.
BAIN CAPITAL 2019-2: S&P Affirms BB-(sf) Rating on Class E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R-2, B-R-2,
C-R-2, and D-R-2 replacement debt from Bain Capital Credit CLO
2019-2 Ltd./Bain Capital Credit CLO 2019-2 LLC, a CLO managed by
Bain Capital Credit U.S. CLO Manager LLC that was originally issued
in September 2019 and underwent a refinancing in October 2021. At
the same time, S&P withdrew its ratings on the class A-R, B-R, C-R,
and D-R debt following payment in full on the July 17, 2024,
refinancing date. S&P also affirmed its ratings on the class E-R
debt, which was not refinanced.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture, the non-call period for the refinancing
notes was extended to Jan. 17, 2025.
On a standalone basis, our cash flow analysis indicated a lower
rating on the class E-R debt (which was not refinanced) than the
rating action on the debt reflects. However, S&P affirmed its 'BB-
(sf)' rating on the class E-R debt after considering the overall
credit quality of the portfolio and the relatively stable
performance of the class E-R overcollateralization ratio.
Additionally, the transaction will enter its amortization phase on
Sept. 10, 2024.
Replacement And Outstanding Debt Issuances
Replacement debt
-- Class A-R-2, $320.0 million: Three-month CME term SOFR + 1.13%
-- Class B-R-2, $60.0 million: Three-month CME term SOFR + 1.55%
-- Class C-R-2(deferrable), $30.0 million: Three-month CME term
SOFR + 2.10%
-- Class D-R-2(deferrable), $27.5 million: Three-month CME term
SOFR + 3.20%
Outstanding debt
-- Class A-R, $320.0 million: Three-month CME term SOFR + 1.10% +
CSA(i)
-- Class B-R, $60.0 million: Three-month CME term SOFR + 1.60% +
CSA(i)
-- Class C-R(deferrable), $30.0 million: Three-month CME term SOFR
+ 2.10% + CSA(i)
-- Class D-R(deferrable), $27.5 million: Three-month CME term SOFR
+ 3.15% + CSA(i)
(i)The CSA is 0.26161%.
CSA--Credit spread adjustment.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Bain Capital Credit CLO 2019-2 Ltd./
Bain Capital Credit CLO 2019-2 LLC
Class A-R-2, $320.0 million: AAA (sf)
Class B-R-2, $60.0 million: AA (sf)
Class C-R-2(deferrable), $30.0 million: A (sf)
Class D-R-2(deferrable), $27.5 million: BBB- (sf)
Ratings Withdrawn
Bain Capital Credit CLO 2019-2 Ltd./
Bain Capital Credit CLO 2019-2 LLC
Class A-R to not rated from 'AAA (sf)'
Class B-R to not rated from 'AA (sf)'
Class C-R to not rated from 'A (sf)'
Class D-R to not rated from 'BBB- (sf)'
Rating Affirmed
Bain Capital Credit CLO 2019-2 Ltd./
Bain Capital Credit CLO 2019-2 LLC
Class E-R: BB- (sf)
Other Debt
Bain Capital Credit CLO 2019-2 Ltd./
Bain Capital Credit CLO 2019-2 LLC
Subordinated notes, $49.0 million: Not rated
BALLYROCK CLO 14: S&P Withdraws 'BB- (sf)' Rating on Class D Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-1a-R, A-1b-R, A-2-R, B-R, C-1-R, C-2-R, and D-R debt and new
class X-R debt from Ballyrock CLO 14 Ltd., a CLO originally issued
in January 2021 that is managed by Ballyrock Investment Advisors
LLC. At the same time, S&P withdrew its ratings on the original
class A-1, A-2, B, C, and D debt following payment in full on the
July 12, 2024, refinancing date.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The replacement class A-1a-R and A-1b-R debt was issued at a
higher spread over three-month CME term SOFR than the original debt
over three-month LIBOR.
-- The replacement class B-R, C-1-R, and D-R debt was issued at a
higher spread over three-month CME term SOFR than the original debt
over three-month LIBOR.
-- The original class A-1 debt was split into senior A-1a-R debt
and junior A-1b-R debt.
-- The original class C debt was split into senior C-1-R debt and
junior C-2-R debt.
-- The replacement class A-1a-R, A-1b-R, C-2-R, and D-R debt was
issued with a lower par subordination than the original debt.
-- Class X-R debt was issued in connection with this refinancing.
These notes are expected to be paid down using interest proceeds
during the first eight payment dates beginning with the payment
date in January 2025.
-- The stated maturity, reinvestment period, and non-call period
were extended 3.5 years each.
-- The target par amount increased to $500 million from $400
million.
-- The issuer added provisions related to workout assets.
-- The concentration limitations of the collateral portfolio's
investment guidelines were amended.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Ballyrock CLO 14 Ltd./Ballyrock CLO 14 LLC
Class X-R, $2.0 million: AAA (sf)
Class A-1a-R, $320.0 million: AAA (sf)
Class A-1b-R, $10.0 million: AAA (sf)
Class A-2-R, $50.0 million: AA (sf)
Class B-R (deferrable), $30.0 million: A (sf)
Class C-1-R (deferrable), $30.0 million: BBB- (sf)
Class C-2-R (deferrable), $5.0 million: BBB- (sf)
Class D-R (deferrable), $15.0 million: BB- (sf)
Subordinated notes, $40.9 million: Not rated
Ratings Withdrawn
Ballyrock CLO 14 Ltd./Ballyrock CLO 14 LLC
Class A-1 to not rated from 'AAA (sf)'
Class A-2 to not rated from 'AA (sf)'
Class B to not rated from 'A (sf)'
Class C to not rated from 'BBB- (sf)'
Class D to not rated from 'BB- (sf)'
BARINGS CLO 2024-II: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
Barings CLO Ltd. 2024-II.
Entity/Debt Rating
----------- ------
Barings CLO
Ltd. 2024-II
A-1 LT AAA(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
Subordinated Notes LT NR(EXP)sf Expected Rating
TRANSACTION SUMMARY
Barings CLO Ltd. 2024-II (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Barings 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 23.44, versus a maximum covenant, in
accordance with the initial expected matrix point of 23.50. Issuers
rated in the 'B' rating category denote a highly speculative credit
quality; however, the notes benefit from appropriate credit
enhancement and standard U.S. CLO structural features.
Asset Security (Positive): The indicative portfolio consists of
96.75% first lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 75.81% versus a
minimum covenant, in accordance with the initial expected matrix
point of 71.30%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 48% 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 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
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 '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 to the class A-1 and class A-2
notes as these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for
class D, and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
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.
ESG CONSIDERATIONS
Fitch does not provide ESG relevance scores for Barings CLO Ltd.
2024-II. In cases where Fitch does not provide ESG relevance scores
in connection with the credit rating of a transaction, programme,
instrument or issuer, Fitch will disclose in the key rating drivers
any ESG factor which has a significant impact on the rating on an
individual basis.
BARINGS CLO 2024-IV: Fitch Assigns 'BB-(EXP)' Rating on Cl. E Notes
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
Barings CLO Ltd. 2024-IV.
Entity/Debt Rating
----------- ------
Barings CLO
Ltd. 2024-IV
A-1 LT AAA(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-1 LT BBB(EXP)sf Expected Rating
D-2 LT BBB-(EXP)sf Expected Rating
E LT BB-(EXP)sf Expected Rating
Subordinated Notes LT NR(EXP)sf Expected Rating
TRANSACTION SUMMARY
Barings CLO Ltd. 2024-IV (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Barings LLC. Net proceeds from the issuance of the secured and
subordinated notes will provide financing on a portfolio of
approximately $500 million of primarily first lien senior secured
leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B+/B', which is in line with that of
recent CLOs. The weighted average rating factor (WARF) of the
indicative portfolio is 22.13, versus a maximum covenant, in
accordance with the initial expected matrix point of 22.3. Issuers
rated in the 'B' rating category denote a highly speculative credit
quality; however, the notes benefit from appropriate credit
enhancement and standard U.S. CLO structural features.
Asset Security (Positive): The indicative portfolio consists of
97.2% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 76.5% versus a
minimum covenant, in accordance with the initial expected matrix
point of 68.7%.
Portfolio Composition (Neutral): The largest three industries may
comprise up to 44.5% 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 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
a metric. The results under these sensitivity scenarios are as
severe as between 'Asf' and 'AAAsf' for class A-1, between 'A-sf'
and 'AA+sf' for class A-2, between 'BBB-sf' and 'AA-sf' for class
B, between 'BB-sf' and 'A-sf' for class C, between less than 'B-sf'
and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for
class D-2, and between less than 'B-sf' and 'BB-sf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-1 and class A-2
notes as these notes are in the highest rating category of
'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'Asf' for
class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
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.
ESG CONSIDERATIONS
Fitch does not provide ESG relevance scores for Barings CLO Ltd.
2024-IV. In cases where Fitch does not provide ESG relevance scores
in connection with the credit rating of a transaction, programme,
instrument or issuer, Fitch will disclose in the key rating drivers
any ESG factor which has a significant impact on the rating on an
individual basis.
BEAR MOUNTAIN: S&P Assigns BB- (sf) Rating on Class E Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to the class B-R, C-R, D-R,
and E-R replacement debt from Bear Mountain Park CLO Ltd./Bear
Mountain Park CLO LLC, a CLO originally issued in August 2022 that
is managed by Blackstone Liquid Credit Strategies LLC, an affiliate
of Blackstone Inc. At the same time, S&P withdrew its ratings on
the original class B, C, D, and E debt following payment in full on
the July 15, 2024, refinancing date. S&P did not rate the
replacement class A-R debt or the original class A debt.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The non-call period was extended to July 15, 2026.
-- The reinvestment period was extended to July 15, 2029.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) were extended by approximately two
years to July 15, 2037.
-- The required minimum overcollateralization and interest
coverage ratios were amended.
-- $4.9 million of additional subordinated notes were issued on
the refinancing date.
Replacement debt
-- Class A-R, $409.500 million: Three-month CME term SOFR + 1.41%
-- Class B-R, $84.500 million: Three-month CME term SOFR + 1.75%
-- Class C-R (deferrable), $39.000 million: Three-month CME term
SOFR + 2.00%
-- Class D-R (deferrable), $39.000 million: Three-month CME term
SOFR + 3.10%
-- Class E-R (deferrable), $24.375 million: Three-month CME term
SOFR + 5.95%
-- Subordinated notes, $44.050 million: Not applicable
Original debt
-- Class A, $315.000 million: Three-month CME term SOFR + 1.80%
-- Class B, $60.750 million: Three-month CME term SOFR + 3.00%
-- Class C (deferrable), $30.750 million: Three-month CME term
SOFR + 4.00%
-- Class D (deferrable), $29.250 million: Three-month CME term
SOFR + 5.20%
-- Class E (deferrable), $15.750 million: Three-month CME term
SOFR + 8.32%
-- Subordinated notes, $39.150 million: Not applicable
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Bear Mountain Park CLO Ltd./Bear Mountain Park CLO LLC
Class A-R, $409.500 million: Not rated
Class B-R, $84.500 million: AA (sf)
Class C-R (deferrable), $39.000 million: A (sf)
Class D-R (deferrable), $39.000 million: BBB- (sf)
Class E-R (deferrable), $24.375 million: BB- (sf)
Subordinated notes, $44.050 million: Not rated
Ratings Withdrawn
Bear Mountain Park CLO Ltd./Bear Mountain Park CLO LLC
Class B to not rated from 'AA (sf)'
Class C to not rated from 'A (sf)'
Class D to not rated from 'BBB- (sf)'
Class E to not rated from 'BB- (sf)'
Other Debt
Bear Mountain Park CLO Ltd./Bear Mountain Park CLO LLC
Class A: Not rated
BENCHMARK 2019-B15: Fitch Lowers Rating on Class G-RR Debt to CCC
-----------------------------------------------------------------
Fitch Ratings has downgraded 10 classes and affirmed six classes of
Benchmark 2019-B14 Mortgage Trust. Following the downgrades, the
classes A-S, B, C, D, E, X-A, X-B and X-D were assigned Negative
Outlooks.
Fitch has also downgraded three classes and affirmed 14 classes of
Benchmark 2019-B15 Mortgage Trust. Following the downgrades to
classes F and X-F, the classes were assigned Negative Outlooks.
Additionally, the Outlook for classes A-S, B, C, D, E, X-A, X-B and
X-D have been revised to Negative from Stable.
Entity/Debt Rating Recovery Prior
----------- ------ -------- -----
BMARK 2019-B15
A-1 08160KAA2 LT AAAsf Affirmed AAAsf
A-2 08160KAB0 LT AAAsf Affirmed AAAsf
A-3 08160KAC8 LT AAAsf Affirmed AAAsf
A-4 08160KAD6 LT AAAsf Affirmed AAAsf
A-5 08160KAE4 LT AAAsf Affirmed AAAsf
A-AB 08160KAF1 LT AAAsf Affirmed AAAsf
A-S 08160KAG9 LT AAAsf Affirmed AAAsf
B 08160KAJ3 LT AA-sf Affirmed AA-sf
C 08160KAK0 LT A-sf Affirmed A-sf
D 08160KAL8 LT BBBsf Affirmed BBBsf
E 08160KAN4 LT BBB-sf Affirmed BBB-sf
F 08160KAQ7 LT B-sf Downgrade BB-sf
G-RR 08160KAY0 LT CCCsf Downgrade B-sf
X-A 08160KAH7 LT AAAsf Affirmed AAAsf
X-B 08160KAS3 LT AA-sf Affirmed AA-sf
X-D 08160KAU8 LT BBB-sf Affirmed BBB-sf
X-F 08160KAW4 LT B-sf Downgrade BB-sf
Benchmark 2019-B14
A-1 08162YAA0 LT AAAsf Affirmed AAAsf
A-2 08162YAB8 LT AAAsf Affirmed AAAsf
A-3 08162YAC6 LT AAAsf Affirmed AAAsf
A-4 08162YAD4 LT AAAsf Affirmed AAAsf
A-5 08162YAE2 LT AAAsf Affirmed AAAsf
A-S 08162YAF9 LT AA-sf Downgrade AAAsf
A-SB 08162YAG7 LT AAAsf Affirmed AAAsf
B 08162YAH5 LT A-sf Downgrade AA-sf
C 08162YAJ1 LT BBB-sf Downgrade A-sf
D 08162YAM4 LT BBsf Downgrade BBBsf
E 08162YAR3 LT Bsf Downgrade BBsf
F-RR 08162YAT9 LT CCCsf Downgrade Bsf
G-RR 08162YAV4 LT CCsf Downgrade CCCsf
X-A 08162YAK8 LT AA-sf Downgrade AAAsf
X-B 08162YAL6 LT A-sf Downgrade AA-sf
X-D 08162YAP7 LT Bsf Downgrade BBsf
KEY RATING DRIVERS
Performance and 'Bsf' Loss Expectations: Deal-level 'Bsf' ratings
case losses are 6.80% in BMARK 2019-B14 and 6.22% in BMARK
2019-B15, each of which have increased since Fitch's prior rating
action, reflecting concerns with office concentrations. Fitch Loans
of Concern (FLOCs) comprise 13 loans (35.3% of the pool) in BMARK
2019-B14, including two loans in special servicing (3.0%) and eight
loans of concern (31.2%) in the BMARK 2019-B15, including two loans
in special servicing (5.4%).
The downgrades in the BMARK 2019-B14 transaction reflect higher
overall pool losses driven by performance deterioration of FLOCs
including the Watergate Office Building (5.6%) and specially
serviced loan, Hilton Cincinnati Netherland Plaza (2.6%).
The Negative Outlooks in BMARK 2019-B14 reflect the office
concentration of 39.7% and the potential for downgrades should
performance of the FLOCs, Watergate Office Building, Hilton
Cincinnati Netherland Plaza, 225 Bush, Innovation Park, 900 & 990
Stewart Avenue, Sunset North and 600 & 620 National Avenue, fail to
stabilize, and/or with additional declines in performance or
prolonged workouts of the loans in special servicing.
The downgrades in BMARK 2019-B15 reflect higher overall pool losses
due to deteriorating performance of FLOCs most notably from two
specially serviced loans, Hilton Cincinnati Netherland Plaza (2.2%)
and Elston Retail Collection (3.2%).
The Negative Outlooks in BMARK 2019-B15 reflect high overall office
concentration of 41.3% and the potential for downgrades without
performance stabilization of FLOCs, particularly the Hilton
Cincinnati Netherland Plaza, Elston Retail Collection, 899 West
Evelyn, Sunset North, 600 & 620 National Avenue, Kildeer Village
Square and Innovation Park.
Largest Contributors to Loss: The largest increase in loss
expectations since the prior rating action and the overall largest
contributor to loss in both the BMARK 2019-B14 and BMARK 2019-B15
transactions is the Hilton Cincinnati Netherland Plaza loan,
secured by a 29-story 561 room full-service hotel located in the
CBD of Cincinnati, OH.
The loan transferred to special servicing in February 2021 for
imminent payment default and the servicer is moving forward with
foreclosure. A receiver was appointed in November 2022. Property
performance has failed to recover from impact from the pandemic and
continues to deteriorate. As of YE 2023, occupancy had improved to
55% from 49% at YE 2022; however, Net Operating Income was negative
with an NOI DSCR of -0.07x.
Fitch's 'Bsf' rating case loss of 50.7% (prior to concentration
adjustments) reflects a discount to the most recent appraisal value
reflecting a recovery value of $81,426 per room.
The second largest increase in loss since the prior rating action
and the second largest contributor to overall pool loss
expectations in BMARK 2019-B14 is the Watergate Office Building
loan (5.6%), secured by a 215,200-sf office building located in
Washington, DC. As of March 2024, occupancy declined to 74%
compared to 100% at YE 2022 due to the departure of SAGE
Publications (12.2% of NRA) and several other tenants at lease
expiration. As of March 2024, the NOI DSCR had improved to 2.22x
from 1.74x, but the cash flow does not reflect the tenant
vacancies. Overall availability at the subject is listed at 31.7%
according to CoStar.
Fitch's 'Bsf' rating case loss (prior to concentration adjustments)
of 15.8% factors a 25% stress to the YE 2023 NOI to account for the
significant decline in occupancy.
The second largest increase in loss since the prior rating action
in the BMARK 2019-B15 is the Elston Retail Collection loan (3.2%),
secured by a 178,704-sf anchored retail center located in Chicago,
IL. Major tenants include Kohl's (71.8% of NRA), Best Buy (25.6%)
and BMO Harris Bank (2.7%).
The loan transferred to special servicing in November 2023 for
payment default ensuing from a dispute related to the activation of
a lockbox caused by the downgrade of the credit rating of the
largest tenant, Kohl's. The loan was delinquent from September 2023
through December 2023, but has remained current since March 2024.
Property performance remains stable with occupancy of 100% and NOI
DSCR of 2.50x as of YE 2023. The second largest tenant, Best Buy,
has a near-term lease expiration in January 2026.
Fitch's 'Bsf' rating case loss (prior to concentration adjustments)
of 14.6% factors a 15% stress to the YE 2022 NOI reflecting a
recovery value of $323 psf.
Another notable contributor to loss in both the BMARK 2019-B14 and
BMARK 2019-B15 is the Innovation Park loan (4.6% of the pool in
BMARK 2019-B14 and 8.1% in BMARK 2019-B15), secured by a 1.78
million-sf office complex located in Charlotte, NC. The property
consists of 11 interconnected office buildings, a free-standing
industrial flex building, a free-standing 1,200 seat chapel, a
central utility plant and two parking structures.
Performance for the property continues to deteriorate with March
2024 occupancy falling to 65% from 75% as of YE 2022 and 86% at YE
2021. YE 2023 NOI has declined 23.0% from the originator's
underwritten NOI from issuance with YE 2023 NOI DSCR declining to
2.52x from 3.34x as of YE 2022. Overall availability at the subject
is listed at 39.0% according to CoStar.
Fitch's 'Bsf' rating case loss (prior to concentration adjustments)
of 6.70% factors a 15% stress to the YE 2023 NOI to account for
near-term rollover risk and elevated availability at the property.
Near-term Maturities: The BMARK 2019-B14 transaction has seven
loans totaling $255.2 million (17.6% of the pool balance) with a
loan maturity in 2024. The BMARK 2019-B15 transaction has two loans
totaling $50.7 million (6.1%) with a loan maturity in 2024.
Changes in Credit Enhancement (CE): As of the June 2024
distribution date, the aggregate balances of the BMARK 2019-B14 and
BMARK 2019-B15 transactions have been paid down by 1.7% for each
transaction since issuance.
The BMARK 2019-B14 transaction includes one loan (1.8% of the pool)
that has fully defeased and BMARK 2019-B15 has none that has fully
defeased. Cumulative interest shortfalls of $360,972 are affecting
the non-rated class NR-RR in BMARK 2019-B14 and $227,625 are
affecting the non-rated class J-RR in BMARK 2019-B15.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Downgrades to senior 'AAAsf' rated classes are not expected due
to the position in the capital structure and expected continued
amortization and loan repayments, but may occur if deal-level
losses increase significantly and/or interest shortfalls occur or
are expected to occur.
- Downgrades to junior 'AAAsf' rated classes with Negative Outlooks
are expected with continued performance deterioration of the FLOCs,
increased expected losses and limited to no improvement in class
CE, or if interest shortfalls occur.
- Downgrades to classes rated 'AAsf' and 'Asf' could occur should
performance of the FLOCs, most notably from office loans Innovation
Park, Sunset North, 600 & 620 National Avenue in both transactions,
225 Bush, 900 & 990 Stewart Avenue and Watergate Office Building in
BMARK 2019-B14, 899 West Evelyn and Kildeer Village Square in BMARK
2019-B15, deteriorate further or if more loans than expected
default at or prior to maturity.
- Downgrades for the 'BBBsf', 'BBsf' and 'Bsf' categories are
likely with higher than expected losses from continued
underperformance of the FLOCs, particularly the aforementioned
office loans with deteriorating performance and with greater
certainty of losses on the specially serviced loans or other
FLOCs.
- Downgrades to distressed 'CCCsf' ratings would occur should
additional loans transfer to special servicing or default, as
losses are realized or become more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Upgrades to classes rated 'AAsf' and 'Asf' may be possible with
significantly increased CE from paydowns and/or defeasance, coupled
with stable-to-improved pool-level loss expectations and improved
performance on the FLOCs. This includes Innovation Park, Sunset
North, 600 & 620 National Avenue in both transactions, 225 Bush,
900 & 990 Stewart Avenue and Watergate Office Building in BMARK
2019-B14 and 899 West Evelyn and Kildeer Village Square in BMARK
2019-B15.
- Upgrades to the 'BBBsf' rated classes would be limited based on
sensitivity to concentrations or the potential for future
concentration. Classes would not be upgraded above 'AA+sf' if there
is likelihood for interest shortfalls.
- Upgrades to the 'BBsf' and 'Bsf' rated classes are not likely
until the later years in a transaction and only if the performance
of the remaining pool is stable, recoveries on the FLOCs are better
than expected and there is sufficient CE to the classes.
- Upgrades to distressed 'CCCsf' ratings are not expected, but
possible with better than expected recoveries on specially serviced
loans or significantly higher values on FLOCs.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG CONSIDERATIONS
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' 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. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
BRAVO RESIDENTIAL 2024-NQM4: Fitch Assigns Bsf Rating on B-2 Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings to BRAVO Residential Funding
Trust 2024-NQM4 (BRAVO 2024-NQM4).
Entity/Debt Rating Prior
----------- ------ -----
BRAVO 2024-NQM4
A-1A LT AAAsf New Rating AAA(EXP)sf
A-1B LT AAAsf New Rating AAA(EXP)sf
A-2 LT AAsf New Rating AA(EXP)sf
A-3 LT Asf New Rating A(EXP)sf
M-1 LT BBBsf New Rating BBB(EXP)sf
B-1 LT BBsf New Rating BB(EXP)sf
B-2 LT Bsf New Rating B(EXP)sf
B-3 LT NRsf New Rating NR(EXP)sf
SA LT NRsf New Rating NR(EXP)sf
FB LT NRsf New Rating NR(EXP)sf
AIOS LT NRsf New Rating NR(EXP)sf
XS LT NRsf New Rating NR(EXP)sf
TRANSACTION SUMMARY
The BRAVO 2024-NQM4 notes are supported by 548 loans with a total
balance of approximately $244 million as of the cutoff date.
Approximately 87.2% of the loans in the pool were originated by
Citadel Servicing Corporation (d/b/a Acra Lending), 12.3% by First
Guaranty Mortgage Corporation [First Guaranty], and the remaining
approximately 0.5% of the loans were originated by various
originators. Approximately 87.2% of the loans will primarily be
serviced by Citadel [primarily subserviced by ServiceMac] and the
remaining approximate 12.8% of the loans will be serviced by
Nationstar Mortgage LLC (d/b/a Rushmore).
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 11.3% above a long-term sustainable level (vs.
11.1% on a national level as of 4Q23, remained unchanged since last
quarter. Housing affordability is the worst it has been in decades
driven by both high interest rates and elevated home prices. Home
prices have increased 5.5% YoY nationally as of February 2024
despite modest regional declines, but are still being supported by
limited inventory.
Non-Qualified Mortgage Credit Quality (Mixed): The collateral
consists of 548 loans totaling around $244 million and seasoned at
around 32 months in aggregate, calculated by Fitch as the
difference between the origination date and the cutoff date. The
borrowers have a strong credit profile, a 731 model FICO and a 48%
debt-to-income (DTI) ratio, including mapping for debt service
coverage ratio (DSCR) loans, and low leverage of 63% for a
sustainable loan-to-value (sLTV) ratio.
Of the pool, 54.8% of loans are treated as owner-occupied, while
45.2% are treated as an investor property or second home, which
include loans to foreign nationals or loans where the residency
status was not confirmed. Additionally, 9% of the loans were
originated through a retail channel. Of the loans, 56% are
non-qualified mortgages (non-QMs), 0.4% are safe-harbor qualified
mortgages (SHQM), 0.07% are rebuttable presumption QM (HPQM), while
the Ability to Repay/Qualified Mortgage Rule (ATR) is not
applicable for the remaining portion.
Loan Documentation (Negative): Approximately 93.3% of the pool
loans were underwritten to less than full documentation, as
determined by Fitch, and approximately 47.1% were underwritten to a
12-month or 24-month bank statement program for verifying income,
which is not consistent with Appendix Q standards and Fitch's view
of a full documentation program.
A key distinction between this pool and legacy Alt-A loans is that
these loans adhere to underwriting and documentation standards
required under the Consumer Financial Protections Bureau's (CFPB)
ATR, which reduces the risk of borrower default arising from lack
of affordability, misrepresentation or other operational quality
risks due to the rigors of the ATR mandates regarding underwriting
and documentation of a borrower's ability to repay.
Additionally, approximately 40.86% of the loans are a DSCR product,
while the remainder comprise a mix of asset depletion, profit and
loss (P&L), 12- or 24-month tax returns, award letter and written
verification of employment (WVOE) products. Separately, 42 loans
were originated to foreign nationals or the borrower residency
status of the loans could not be confirmed.
Modified Sequential-Payment Structure (Mixed): The structure
distributes principal pro rata among the senior notes, while
shutting out the subordinate bonds from principal until all senior
classes are reduced to zero. If a cumulative loss trigger event or
delinquency trigger event occurs in a given period, principal will
be distributed sequentially to class A-1A, A-1B, A-2 and A-3 notes
until they are reduced to zero.
The structure has a step-up coupon for the senior classes (A-1A,
A-1B, A-2 and A-3). After four years, the senior classes pay the
lesser of a 125bps increase to the fixed coupon but are limited by
the net weighted average coupon (WAC) rate. Fitch expects the
senior classes to be capped by the net WAC in its analysis. On or
after July 2028, the classes M-1, B-1, and B-2 interest rates will
be 0.00% for as long as there are unpaid interest amounts due to
the senior classes or to the extent they are still outstanding.
This helps ensure payment of the 125 bps step up on the senior
bonds on or after July 2028.
The unrated class B-3 interest will redirect toward the senior cap
carryover amount for as long as there is an unpaid cap carryover
amount. This increases the P&I allocation for the senior classes as
long as class B-3 is not written down and helps ensure payment of
the 125bps step up on the senior bonds on or after July 2028.
While Fitch has previously analyzed transactions using an interest
rate cut, this stress is not being applied for this transaction.
Given the lack of evidence of interest rate modifications being
used as a loss mitigation tactic, the application of the stress was
overly punitive. If this re-emerges as a common form of loss
mitigation or if certain structures are overly dependent on excess
interest, Fitch may apply additional sensitivities to test the
transaction structure.
No P&I Advancing (Mixed): The servicers will not be advancing
delinquent monthly payments of P&I. As P&I advances made on behalf
of loans that become delinquent and eventually liquidate reduce
liquidation proceeds to the trust, the loan-level loss severities
(LS) are less for this transaction than for those where the
servicer is obligated to advance P&I.
The downside to this is the additional stress on the structure, as
liquidity is limited in the event of large and extended
delinquencies. The structure has enough internal liquidity through
the use of principal to pay interest, excess spread and credit
enhancement (CE) to pay timely interest to senior notes during
stressed delinquency and cash flow periods.
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 41.0% 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 credit, compliance, and
property valuation review. Fitch considered this information in its
analysis and, as a result, Fitch made the following adjustments to
its analysis:
- A 5% Probability of Default (PD) credit was applied at the loan
level for all loans graded either 'A' or 'B';
- Fitch lowered its loss expectations by approximately 32 bps as a
result of the diligence review.
References for Substantially Material Source Cited as Key Rating
Driver
ESG CONSIDERATIONS
BRAVO 2024-NQM4 has an ESG Relevance Score of '4' for Transaction
Parties & Operational Risk due to increased operational risk
considering the Tier 2 R&W framework with an unrated counterparty,
, which has a negative impact on the credit profile, and is
relevant to the rating[s] in conjunction with other factors.
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' 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. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
BRIDGECREST 2024-3: S&P Assigns Prelim BB (sf) Rating on E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Bridgecrest
Lending Auto Securitization Trust 2024-3's automobile
receivables-backed notes.
The note issuance is an ABS securitization backed by subprime auto
loan receivables.
The preliminary ratings are based on information as of July 11,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The availability of approximately 63.08%, 58.32%, 48.82%,
37.91%, and 33.91% credit support (hard credit enhancement and a
haircut to excess spread) for the class A (collectively, A-1, A-2,
and A-3), B, C, D, and E notes, respectively, based on stressed
breakeven cash flow scenarios. These credit support levels provide
at least 2.37x, 2.12x, 1.72x, 1.38x, and 1.25x coverage of S&P's
expected cumulative net loss (ECNL) of 25.50% for the class A, B,
C, D, and E notes, respectively.
-- The expectation that under a moderate ('BBB') stress scenario
(1.38x S&P's expected loss level), all else being equal, its
preliminary 'A-1+ (sf)', 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB
(sf)', and 'BB (sf)' ratings on the class A-1, A-2/A-3, B, C, D,
and E notes, respectively, will be within our credit stability
limits.
-- The timely payment of interest and principal by the designated
legal final maturity dates under its stressed cash flow modeling
scenarios that S&P believes are appropriate for the assigned
preliminary ratings.
-- The collateral characteristics of the subprime auto 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. (Wells
Fargo; A+/Stable/A-1), which do not constrain the preliminary
ratings.
-- S&P's operational risk assessment of Bridgecrest Acceptance
Corp. (BAC) as servicer, along with its view of the originator's
underwriting and the backup servicing arrangement with
Computershare Trust Co. N.A. (BBB/Stable/--).
-- S&P's assessment of the transaction's potential exposure to
environmental, social, and governance (ESG) credit factors that are
in line with our sector benchmark.
-- The transaction's payment and legal structure.
Preliminary Ratings Assigned
Bridgecrest Lending Auto Securitization Trust 2024-3
-- Class A-1, $81.00 million (base)(i), $96.00 million
(upsize)(i): A-1+ (sf)
-- Class A-2, $108.00 million (base)(i), $128.00 (upsize)(i): AAA
(sf)
-- Class A-3, $94.50 million (base)(i), $112.00 million
(upsize)(i): AAA (sf)
-- Class B, $54.00 million (base)(i), $64.00 million (upsize)(i):
AA (sf)
-- Class C, $84.38 million (base)(i), $100.00 million (upsize)(i):
A (sf)
-- Class D, $104.63 million (base)(i), $124.00 million
(upsize)(i): BBB (sf)
-- Class E, $47.24 million (base)(i), $56.00 million (upsize)(i):
BB (sf)
CANYON CLO 2019-1: S&P Assigns BB- (sf) Rating on Class E-RR Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-L loans and
A-RR, B-RR, C-RR, D-1-RR, D-2-RR, and E-RR replacement debt from
Canyon CLO 2019-1 Ltd., a CLO managed by Canyon CLO Advisors LLC
that was originally issued in March 2019 and underwent a
refinancing in June 2021. The previous transactions were not rated
by S&P Global Ratings.
On the July 15, 2024, refinancing date, the proceeds from the
replacement debt were used to redeem the June 2019 debt.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The non-call period was extended to July 15, 2026.
-- The reinvestment period was extended to July 15, 2029.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) was extended to July 15, 2037.
Replacement And June 2021 Debt Issuances
Replacement debt
-- Class A-RR, $188.00 million: Three-month CME term SOFR + 1.43%
-- Class A-L loans, $68.00 million: Three-month CME term SOFR +
1.43%
-- Class B-RR, $48.00 million: Three-month CME term SOFR + 1.80%
-- Class C-RR, $24.00 million: Three-month CME term SOFR + 2.20%
-- Class D-1-RR, $20.00 million: Three-month CME term SOFR +
3.65%
-- Class D-2-RR, $8.00 million: Three-month CME term SOFR + 5.15%
-- Class E-RR, $12.00 million: Three-month CME term SOFR + 7.50%
-- Subordinated notes, $47.65 million: Not applicable
June 2021 debt
-- Class A-1-R, $238.20 million: Three-month CME term SOFR +
1.36%
-- Class A-2-R, $17.80 million: Three-month CME term SOFR + 1.66%
-- Class B-R, $48.00 million: Three-month CME term SOFR + 1.96%
-- Class C-R, $19.40 million: Three-month CME term SOFR + 2.36%
-- Class D-R, $24.40 million: Three-month CME term SOFR + 3.36%
-- Class E-R, $20.20 million: Three-month CME term SOFR + 7.41%
The ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
S&P will continue to review whether, in its view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as it deems
necessary.
Ratings Assigned
Canyon CLO 2019-1 Ltd.
Class A-RR, $188.00 million: AAA (sf)
Class A-L loans, $68.00 million: AAA (sf)
Class B-RR, $48.00 million: AA (sf)
Class C-RR, $24.00 million: A (sf)
Class D-1-RR, $20.00 million: BBB (sf)
Class D-2-RR, $8.00 million: BBB- (sf)
Class E-RR, $12.00 million: BB- (sf)
Subordinated notes, $47.65 million: NR
CANYON CLO 2019-1: S&P Assigns Prelim BB-(sf) Rating on E-RR Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-L loans and A-RR, B-RR, C-RR, D-1-RR, D-2-RR, and E-RR
replacement debt from Canyon CLO 2019-1 Ltd., a CLO managed by
Canyon CLO Advisors LLC that was originally issued in March 2019
and underwent a refinancing in June 2021. The previous transactions
were not rated by S&P Global Ratings.
The preliminary ratings are based on information as of July 12,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the July 15, 2024, refinancing date, the proceeds from the
replacement debt will be used to redeem the June 2019 debt. At that
time, S&P expects to assign ratings to the replacement debt.
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The non-call period will be extended to July 15, 2026.
-- The reinvestment period will be extended to July 15, 2029.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) will be extended to July 15,
2037.
Replacement And June 2021 Debt Issuances
Replacement debt
-- Class A-RR, $188.00 million: Three-month CME term SOFR + 1.43%
-- Class A-L loans, $68.00 million: Three-month CME term SOFR +
1.43%
-- Class B-RR, $48.00 million: Three-month CME term SOFR + 1.80%
-- Class C-RR, $24.00 million: Three-month CME term SOFR + 2.20%
-- Class D-1-RR, $20.00 million: Three-month CME term SOFR +
3.65%
-- Class D-2-RR, $8.00 million: Three-month CME term SOFR + 5.15%
-- Class E-RR, $12.00 million: Three-month CME term SOFR + 7.50%
-- Subordinated notes, $47.65 million: Not applicable
June 2021 debt
-- Class A-1-R, $238.20 million: Three-month CME term SOFR +
1.36%
-- Class A-2-R, $17.80 million: Three-month CME term SOFR + 1.66%
-- Class B-R, $48.00 million: Three-month CME term SOFR + 1.96%
-- Class C-R, $19.40 million: Three-month CME term SOFR + 2.36%
-- Class D-R, $24.40 million: Three-month CME term SOFR + 3.36%
-- Class E-R, $20.20 million: Three-month CME term SOFR + 7.41%
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 debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Canyon CLO 2019-1 Ltd./Canyon CLO 2019-1 LLC
Class A-RR, $188.00 million: AAA (sf)
Class A-L loans, $68.00 million: AAA (sf)
Class B-RR, $48.00 million: AA (sf)
Class C-RR, $24.00 million: A (sf)
Class D-1-RR, $20.00 million: BBB (sf)
Class D-2-RR, $8.00 million: BBB- (sf)
Class E-RR, $12.00 million: BB- (sf)
Subordinated notes, $47.65 million: NR
CARLYLE US 2021-11: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
-------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle
US CLO 2021-11, Ltd.
Entity/Debt Rating
----------- ------
Carlyle US CLO
2021-11, Ltd.
A-1-R LT NRsf New Rating
A-2-R LT AAAsf New Rating
B-R LT AAsf New Rating
C-1-R LT Asf New Rating
C-2-R LT Asf New Rating
D-1-R LT BBBsf New Rating
D-2-R LT BBB-sf New Rating
E-R LT BB-sf New Rating
Subordinated LT NRsf New Rating
TRANSACTION SUMMARY
Carlyle US CLO 2021-11, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Carlyle CLO Management LLC that originally closed in June 2021. Net
proceeds from the issuance of the secured and subordinated notes
will provide financing on a portfolio of approximately $442 million
of primarily first lien senior secured leveraged loans (excluding
defaults).
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B'/'B-', which is in line with that of
recent CLOs. The weighted average rating factor (WARF) of the
indicative portfolio is 25.14, versus a maximum covenant, in
accordance with the initial expected matrix point of 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
94.97% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 72.66% versus a
minimum covenant, in accordance with the initial expected matrix
point of 71.5%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 47.5% 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 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
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'A+sf' for class A-2-R, between
'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for
class C-R, between less than 'B-sf' and 'B+sf' for class D-1-R,
between less than 'B-sf' and 'BB+sf' for class D-2-R, and between
less than 'B-sf' and 'B+sf' for class E-R.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2-R notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf'
for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class
E-R.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
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.
ESG CONSIDERATIONS
Fitch does not provide ESG relevance scores for Carlyle US CLO
2021-11, Ltd. In cases where Fitch does not provide ESG relevance
scores in connection with the credit rating of a transaction,
program, instrument or issuer, Fitch will disclose in the key
rating drivers any ESG factor which has a significant impact on the
rating on an individual basis.
CARVAL CLO VII-C: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement debt from
CarVal CLO VII-C Ltd./CarVal CLO VII-C LLC, a CLO originally issued
in February 2023 that is managed by LCM Asset Management LLC.
The preliminary ratings are based on information as of July 17,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the July 22, 2024, refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. S&P
said, "At that time, we expect to withdraw our ratings on the
original debt and assign ratings to the replacement debt. However,
if the refinancing doesn't occur, we may affirm our ratings on the
original debt and withdraw our preliminary ratings on the
replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The replacement class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and
E-R debt are expected to be issued at a lower spread over
three-month SOFR than the original debt.
-- The non-call date will be extended 2.0 years, the reinvestment
period will be extended 3.5 years, and the stated maturity will be
extended 2.5 years.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
CarVal CLO VII-C Ltd./CarVal CLO VII-C LLC
Class A-1-R, $310.00 million: AAA (sf)
Class A-2-R, $15.00 million: AAA (sf)
Class B-R, $55.00 million: AA (sf)
Class C-R (deferrable), $30.00 million: A (sf)
Class D-1-R (deferrable), $30.00 million: BBB- (sf)
Class D-2-R (deferrable), $5.00 million: BBB- (sf)
Class E-R (deferrable), $15.00 million: BB- (sf)
Other Debt
CarVal CLO VII-C Ltd./CarVal CLO VII-C LLC
Subordinated notes, $52.30 million: Not rated
CITIGROUP 2016-C3: Fitch Lowers Rating on Two Tranches to 'B+sf'
----------------------------------------------------------------
Fitch Ratings has downgraded three and affirmed 11 classes of
Citigroup Commercial Mortgage Trust 2016-C3. The Rating Outlooks
were revised to Negative from Stable for four of the affirmed
classes. Fitch has also assigned a Negative Outlook to three
classes, following their downgrades.
Fitch has affirmed 12 classes of GS Mortgage Securities Trust
2017-GS6. The Rating Outlooks were revised to Negative from Stable
for nine of the affirmed classes.
Entity/Debt Rating Prior
----------- ------ -----
CGCMT 2016-C3
A-3 17325GAC0 LT AAAsf Affirmed AAAsf
A-4 17325GAD8 LT AAAsf Affirmed AAAsf
A-AB 17325GAE6 LT AAAsf Affirmed AAAsf
A-S 17325GAF3 LT AAAsf Affirmed AAAsf
B 17325GAG1 LT AA-sf Affirmed AA-sf
C 17325GAH9 LT BBBsf Downgrade A-sf
D 17325GAL0 LT B+sf Downgrade BBsf
E 17325GAN6 LT CCCsf Affirmed CCCsf
F 17325GAQ9 LT CCsf Affirmed CCsf
X-A 17325GAJ5 LT AAAsf Affirmed AAAsf
X-B 17325GAK2 LT AA-sf Affirmed AA-sf
X-D 17325GAU0 LT B+sf Downgrade BBsf
X-E 17325GAW6 LT CCCsf Affirmed CCCsf
X-F 17325GAY2 LT CCsf Affirmed CCsf
GSMS 2017-GS6
A-2 36253PAB8 LT AAAsf Affirmed AAAsf
A-3 36253PAC6 LT AAAsf Affirmed AAAsf
A-AB 36253PAD4 LT AAAsf Affirmed AAAsf
A-S 36253PAG7 LT AAAsf Affirmed AAAsf
B 36253PAH5 LT AA-sf Affirmed AA-sf
C 36253PAJ1 LT A-sf Affirmed A-sf
D 36253PAK8 LT BBB-sf Affirmed BBB-sf
E 36253PAP7 LT B+sf Affirmed B+sf
F 36253PAR3 LT B-sf Affirmed B-sf
X-A 36253PAE2 LT AAAsf Affirmed AAAsf
X-B 36253PAF9 LT A-sf Affirmed A-sf
X-D 36253PAM4 LT BBB-sf Affirmed BBB-sf
KEY RATING DRIVERS
'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses are
7.7% in CGCMT 2016-C3 and 4.1% in GSMS 2017-GS6. The CGCMT 2016-C3
transaction has seven Fitch Loans of Concern (FLOCs; 33.5% of the
pool), including one loan (0.8%) in special servicing. The GSMS
2017-GS6 transaction has six FLOCs (20.6%), including two loans
(9.7%) in special servicing.
CGCMT 2016-C3: The downgrades in CGCMT 2016-C3 reflect higher pool
loss expectations since the prior rating action driven primarily by
further performance deterioration on the College Boulevard
Portfolio office FLOC (4.4%) and the specially serviced Regis Houze
Apartments loan (0.8%). The Negative Outlooks reflect the elevated
office and regional mall concentration in the pool of 30.5% and
17.1%, respectively, and incorporates an additional sensitivity
scenario on the Hill7Office and 80 Park Plaza office FLOCs that
considers a heightened probability of default. Downgrades to
classes with Negative Outlooks are likely with further performance
declines or without positive leasing stabilization on the
Hill7Office, 80 Park Plaza and Briarwood Mall loans.
GSMS 2017-GS6: The affirmations in GSMS 2017-GS6 reflect generally
stable pool performance and loss expectations since the prior
rating action. The Negative Outlooks reflect the high office
concentration in the pool of 49.6% and incorporates an additional
sensitivity scenario on the One West 34th Street (4.4%) and
Lafayette Centre (8.7%) office FLOCs that considers a heightened
probability of default due to anticipated refinance concerns.
Largest Loss Contributors: The largest increase in loss since the
prior rating action in CGCMT 2016-C3 and second largest contributor
to overall pool loss expectations is the College Boulevard
Portfolio loan, which is secured by a portfolio of five office
buildings in Overland, KS totaling 768,461 sf. The five office
buildings are 7101 College Boulevard, Commerce Plaza I, Commerce
Plaza II, Financial Plaza II and Financial Plaza III. The largest
tenants include BOKF National Association (5% of portfolio NRA;
lease expiry in December 2032) and Partners, Inc. (3.6%; January
2027).
This FLOC was flagged for occupancy declines, upcoming rollover
risk and refinance concerns. Fitch requested an updated rent roll
and leasing summary, but it was not provided. The portfolio was 70%
occupied with average in-place rents of approximately $17 psf as of
the latest available July 2023 rent roll. The occupancy has
declined from 76% at September 2022 due to multiple small tenants
vacating at lease expiration, including Arrowhead General (3% NRA)
in October 2022. Near-term rollover includes 21.5% of the NRA by YE
2024, including the third, fourth and sixth largest tenants,
Brungardt Honomichl & Company (3.1% NRA; November 2024),
RGN-Overland Park II, LLC (2.3%; March 2024) and Mize Houser &
Company P.A. (2.1%; November 2024).
Fitch's 'Bsf' rating case loss of 13.9% (prior to concentration
add-ons) reflects a 10% cap rate, 20% stress to the YE 2023 NOI and
a higher probability of default to account for the declining
performance and anticipated refinance concerns.
The second largest increase in loss since the prior rating action
in CGCMT 2016-C3 is the Regis Houze Apartments loan, which is
secured by a 59-unit multifamily property in Detroit, MI. The loan
transferred to special servicing in November 2023 due to payment
default; the loan was reported as 30 days delinquent as of June
2024. The servicer-reported YE 2023 NOI DSCR was -0.04x compared
with 1.41x at YE 2022. Updated performance was requested, but not
provided. Fitch's 'Bsf' rating case loss of 29.5% (prior to
concentration add-ons) reflects an 8.75% cap rate, 30% stress to
the YE 2022 NOI and a 100% probability of default to account for
the loan's transfer to special servicing and delinquency status.
The largest contributor to overall loss expectations in CGCMT
2016-C3 continues to be the Briarwood Mall loan, which is secured
by a 369,916-sf portion of a 978,034-sf super-regional mall in Ann
Arbor, MI, approximately 2.5 miles from the University of Michigan.
The loan, which is sponsored in a 50/50 joint venture between Simon
Property Group and General Motors Pension Trust, was designated a
FLOC due to continued occupancy declines and elevated refinance
risk.
NOI has continued to decline, with YE 2023 NOI falling
approximately 24% below YE 2020 and 36% below YE 2019.
Servicer-reported NOI DSCR for this interest-only (IO) loan was
1.94x at YE 2023, compared with 2.04x at YE 2022, 2.06x at YE 2021,
2.54x at YE 2020, 3.03x at YE 2019 and 3.51x at issuance.
The NOI declines are primarily due to tenant departures, with
collateral occupancy declining to 74% as of YE 2023, from 76% at YE
2020, 87% at YE 2019 and 95% at issuance. The remaining
non-collateral anchors are Macy's, JCPenney, and Von Maur after
Sears closed in the fourth quarter of 2018. Tenancy is granular
with major tenants including Forever 21 (4.3% NRA; lease expiry in
January 2026) and Victoria's Secret (3.8%; January 2026).
Fitch's 'Bsf' rating case loss of 42.2% (prior to concentration
add-ons) reflects a 15% cap rate, 7.5% stress to the YE 2023 NOI
and a higher probability of default to account for the likelihood
of the loan transferring to special servicing and/or maturity
default.
The third largest contributor to overall loss expectations in CGCMT
2016-C3 is the 80 Park Plaza loan, which is secured by 960,689-sf
office building located in Newark, NJ. The property was developed
as a build-to-suit in 1979 to serve as the headquarters for the
sole tenant Public Service Enterprise Group (PSEG) (85.8% of NRA,
expiring September 2030). At issuance Fitch noted that PSEG had
downsized by 14.3% of the NRA; a portion of that space (1.9% of
NRA) was leased to Scholastic, Inc. through June 30, 2031 while the
remainder is vacant. This FLOC was flagged due to anticipated
refinance concerns as a significant portion of PSEG's space is
listed as available for sublease.
The property was 88% leased as of YE 2023, relatively unchanged
since issuance. According to CoStar, approximately 40% of PSEG's
space on the 12th through 25th floors is marketed for sublease as
of July 2024. The servicer-reported NOI DSCR for this loan was
1.62x at YE 2023, compared with 1.52x at YE 2022, 1.60x at YE 2021,
1.49x at YE 2020, 1.81x at YE 2019 and 1.56x at issuance.
Fitch's 'Bsf' rating case loss of 5.1% (prior to concentration
add-ons) reflects a 10.25% cap rate and a 10% stress to the YE 2023
NOI. Additionally, Fitch also ran an additional sensitivity
analysis to account for elevated refinance risk, where loan-level
'Bsf' sensitivity case loss increases to 28.3% (prior to
concentration add-ons).
Another large FLOC in CGCMT 2016-C3 is The Hill7 Office loan (5.1%
of the pool), which is secured by 285,680-sf office property in
Seattle, WA. This FLOC was flagged due to upcoming rollover
concerns and weak submarket fundamentals. The loan had already been
a FLOC due to exposure to WeWork, which leases 20% of the NRA and
declared bankruptcy in 2023. Moderna Labs subleases the entire
WeWork space, having taken occupancy in 2023. The largest tenant,
Redfin Corporation, leases 39% of the NRA through July 2027, but
subleases its space on the 7th floor (10% of NRA) to ABC Legal. The
second largest tenant, HBO Code Labs (40% of NRA), has an upcoming
lease expiration in May 2025.
Per CoStar, the subject is located in the Seattle CBD office
submarket, which reported a vacancy of 24.3% and an availability
rate of 29.6%.
Fitch's 'Bsf' rating case loss of 2.1% (prior to concentration
add-ons) includes a 9% cap rate and a 30% stress to the YE 2022 NOI
to reflect the upcoming rollover of HBO Code Labs. Given the
concerns surrounding a large lease expiration prior to the loan's
maturity in November 2026, Fitch's analysis included a sensitivity
stress that increases the probability of default, resulting in the
loan-level 'Bsf' sensitivity case loss increasing to 9.0% (prior to
concentration add-ons).
The largest contributor to overall loss expectations in GSMS
2017-GS6 is the One West 34th Street loan, which is secured by a
215,205-sf office property located in Manhattan, NY. The property
is located across from the Empire State Building at the corner of
West 34th Street and Fifth Avenue. The property's major tenants
include CVS (ground floor retail; 7.2% of NRA; January 2034),
International Inspiration (4.2%; November 2026) and Amazon (3.5%;
October 2026). The loan is considered a FLOC due to low DSCR
stemming from occupancy and cashflow deterioration.
Property occupancy declined to 78.3% as of the January 2024 rent
roll from 86.9% at September 2023, 86.7% at YE 2022 and 80.4% at YE
2021. Occupancy recently declined between September 2023 and
January 2024 due to four tenants (combined 5.3% of NRA) vacating
upon lease expiry. The servicer-reported NOI DSCR was 1.05x as of
the trailing-nine-months ended September 2023, compared with 0.87x
at YE 2022 and 0.82x at YE 2021.
According to CoStar, the property lies within the Penn
Plaza/Garment office submarket of Manhattan. The property
underperforms the submarket, which had a vacancy of 17.6% as of
2Q24.
Fitch's 'Bsf' case loss of 19.7% (prior to a concentration
adjustment) reflects a 9.25% cap rate and 10% stress to the
annualized trailing-nine-months ended September 2023 NOI. Fitch
also applied an additional sensitivity analysis to account for
heightened probability of default, which increases the loan-level
'Bsf' sensitivity case loss to 34.8% (prior to concentration
add-ons).
The second largest contributor to overall loss expectations in GSMS
2017-GS6 is the Lafayette Centre loan, which is secured by a
793,533-sf office property in Washington DC (three office buildings
connected by an outdoor plaza and a below-grade mall level). The
loan is considered a FLOC due to occupancy declines, high submarket
vacancy and upcoming rollover. The largest tenant is the U.S.
Commodity Futures Trading Commission (CFTC), which occupies
approximately 37% of the NRA. The CFTC has been a tenant at the
property since 1995 and expanded its space in 1996. The lease is
guaranteed by the U.S. Government and expires in September 2025.
The loan transferred to special servicing in June 2024 for imminent
monetary default as the servicer has noted that CFTCF will be
vacating and not renewing its lease at the property. The second
largest tenant MedStar leases 14.2% NRA through 2031 with a
termination option in 2026. The termination option has a $9.4
million penalty, if exercised. According to the March 2024 rent
roll, the property was 76% occupied with a servicer-reported NOI
DSCR of 1.99x as of YE 2023.
Fitch's 'Bsf' rating case loss of 6.5% (prior to concentration
add-ons) reflects a 9.50% cap rate and 15% stress to the YE 2023
NOI to account for occupancy declines, higher submarket vacancy
rate and imminent loss of the largest tenant. Fitch also ran an
additional sensitivity analysis to account for heightened maturity
and refinance risk. Loan-level sensitivity losses increase to 28.2%
(prior to concentration add-ons).
Change in Credit Enhancement (CE): As of the June 2024 distribution
date, the pool's aggregate balance for GSMS 2017-GS6 has been
reduced by 4.4% to $917.2 million from $959.1 million at issuance.
Fourteen loans (15.7% of pool) have been defeased. Twelve loans
(55.6%) are full-term interest-only (IO) and the remaining 44.4% of
the pool is amortizing.
As of the June 2024 distribution date, the pool's aggregate balance
for CGCMT 2016-C3 has been reduced by 22.4% to $586.5 million from
$756.5 million at issuance. Eleven loans (16.5%) have been
defeased. Ten loans (47.9%) are full-term IO and the remaining
52.1% of the pool is amortizing.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Downgrades to senior 'AAAsf' rated classes are not expected due
to the position in the capital structure and expected continued
amortization and loan repayments, but may occur if deal-level
losses increase significantly and/or interest shortfalls occur or
are expected to occur.
- Downgrades to junior 'AAAsf' rated classes with Negative Outlooks
are expected with continued performance deterioration of the FLOCs,
increased expected losses and limited to no improvement in class
CE, or if interest shortfalls occur.
- Downgrades to 'AAsf' and 'Asf' category rated classes could occur
should performance of the FLOCs, most notably Briarwood Mall,
College Boulevard, 80 Park Plaza Hill7 Office and Regis Houze
Apartments in CGCMT 2016-C3 and One West 34th Street and Lafayette
Centre in GSMS 2017-GS6, deteriorate further or if more loans than
expected default at or prior to maturity.
- Downgrades to the 'BBBsf' and 'Bsf' category rated classes are
likely with higher than expected losses from continued
underperformance of the FLOCs, particularly the aforementioned
office and retail FLOCs with deteriorating performance and with
greater certainty of losses on the specially serviced loans or
other FLOCs.
- Downgrades to 'CCCsf' and 'CCsf' rated classes would occur should
additional loans transfer to special servicing and/or default, or
as losses become realized or more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Upgrades to 'AAsf' and 'Asf' category rated classes are possible
with significantly increased CE from paydowns, coupled with
improved pool-level loss expectations and performance stabilization
of FLOCs, including Briarwood Mall, College Boulevard, 80 Park
Plaza, Hill7 Office, and Regis Houze Apartments in CGCMT 2016-C3
and One West 34th Street and Lafayette Centre in the GSMS
2017-GS6.
- Upgrades to the 'BBBsf' category rated classes would be limited
based on sensitivity to concentrations or the potential for future
concentration. Classes would not be upgraded above 'AA+sf' if there
is likelihood for interest shortfalls;
- Upgrades to 'Bsf' category rated classes are not likely until the
later years in a transaction and only if the performance of the
remaining pool is stable, recoveries on the FLOCs are better than
expected and there is sufficient CE to the classes;
- Upgrades to 'CCCsf' and 'CCsf' are not likely, but may be
possible with better than expected recoveries on specially serviced
loans and/or significantly higher values on FLOCs.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG CONSIDERATIONS
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' 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. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
COLT 2024-4: Fitch Assigns 'B(EXP)sf' Rating on Cl. B2 Certificates
-------------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates to be issued by COLT 2024-4 Mortgage Loan Trust (COLT
2024-4).
COLT 2024-4 utilizes Fitch's new Interactive RMBS Presale feature.
To access the interactive feature, click the link at the top of the
presale report's first page, log into dv01 and explore Fitch's
loan-level loss expectations.
Entity/Debt Rating
----------- ------
COLT 2024-4
A1 LT AAA(EXP)sf Expected Rating
A2 LT AA(EXP)sf Expected Rating
A3 LT A(EXP)sf Expected Rating
M1 LT BBB(EXP)sf Expected Rating
B1 LT BB(EXP)sf Expected Rating
B2 LT B(EXP)sf Expected Rating
B3 LT NR(EXP)sf Expected Rating
AIOS LT NR(EXP)sf Expected Rating
X LT NR(EXP)sf Expected Rating
TRANSACTION SUMMARY
Fitch expects to rate the residential mortgage-backed certificates
to be issued by COLT 2024-4 Mortgage Loan Trust as indicated above.
The certificates are supported by 528 nonprime loans with a total
balance of approximately $308.3 million as of the cutoff date.
Loans in the pool were originated by multiple originators,
including The Loan Store, Inc. Foundation Mortgage Corporation,
OCMBC, Inc. (dba LoanStream Mortgage), Lendsure Mortgage and
various others. The loans were aggregated by Hudson Americas L.P.,
and are currently serviced by Fay Servicing LLC (Fay), Select
Portfolio Servicing, Inc. (SPS), Citadel Servicing Corporation (dba
Acra Lending) and Northpointe Bank.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 9.3% above a long-term sustainable level (versus
11.1% on a national level as of 4Q23, unchanged since the prior
quarter). Housing affordability is the worst it has been in
decades, driven by both high interest rates and elevated home
prices. Home prices increased 5.5% yoy nationally as of February
2024.
COLT 2024-4 has a combined original loan-to-value (cLTV) of 74.4%,
slightly higher than that of the previous Hudson transaction, COLT
2024-3. Based on Fitch's updated view of housing market
overvaluation, this pool's sustainable LTV (sLTV) is 82.1%,
compared with 82.5% for the previous transaction.
Non-QM Credit Quality (Negative): The collateral consists of 528
loans totaling $308.3 million and seasoned at approximately four
months in aggregate. The borrowers have a moderate credit profile,
consisting of a 743 model FICO, and moderate leverage with an 82.1%
sLTV and a 74.4% cLTV.
Of the pool, 55.5% of the loans are of a primary residence, while
37.5% comprise an investor property. Additionally, 56.6% are
non-qualified mortgages (non-QMs, or NQMs), including 2.2%
designated as ATR risk, 1.4% as high-priced QM (HPQMs), 4.7% as
safe-harbor QM (SHQMs) and QM rule does not apply to the
remainder.
Fitch's expected loss in the 'AAAsf' stress is 21.0%. This is
mainly driven by the NQM collateral and the significant investor
cash flow product (debt service coverage ratio [DSCR])
concentration.
Loan Documentation (Negative): About 94.9% of loans in the pool
were underwritten to less than full documentation and 63.1% were
underwritten to a bank statement program for verifying income,
which is not consistent with Fitch's view of a full documentation
program. A key distinction between this pool and legacy Alt-A loans
is that these loans adhere to underwriting and documentation
standards required under the Consumer Financial Protections
Bureau's (CFPB) Ability-to-Repay Rule (ATR Rule, or the Rule).
Fitch's treatment of alternative loan documentation increased
'AAAsf' expected losses by 600bps, compared with a deal of 100%
fully documented loans.
High Percentage of DSCR Loans (Negative): In the pool, there are
145 DSCR products (19.0% by unpaid principal balance [UPB]). These
business-purpose loans are available to real estate investors that
are qualified on a cash flow basis, rather than debt to income
(DTI), and borrower income and employment are not verified.
Compared with standard investment properties, for DSCR loans, Fitch
converts the DSCR values to a DTI and treats them as low
documentation. Fitch's treatment for DSCR loans results in a higher
Fitch-reported non-zero DTI.
Of the DSCR loans, 4.1% (by UPB) include a default interest rate
feature, whereby the interest rate to the borrower increases upon
delinquency/default. Fitch expects a lower cure rate on loans with
this feature and increases the likely default rate, similar to the
impact of an adjustable-rate mortgage (ARM).
Fitch's average expected losses for DSCR loans is 31.0% in the
'AAAsf' stress.
Modified Sequential-Payment Structure with Limited Advancing
(Mixed): The structure distributes principal pro rata among the
senior certificates while shutting out the subordinate bonds from
principal until all senior classes are reduced to zero. If a
cumulative loss trigger event, delinquency trigger event or credit
enhancement (CE) trigger event occurs in a given period, principal
will be distributed sequentially to class A-1, A-2 and A-3
certificates until they are reduced to zero.
Advances of delinquent P&I will be made on the mortgage loans
serviced by SPS, Fay and Northpointe for the first 90 days of
delinquency, to the extent such advances are deemed recoverable. If
the P&I advancing party fails to make a required advance, the
master servicer and then the securities administrator will be
obligated to make such advance. For the Citadel-serviced mortgage
loans, there will be no advances of delinquent P&I.
The limited advancing reduces loss severities, as a lower amount is
repaid to the servicer when a loan liquidates and liquidation
proceeds are prioritized to cover principal repayment over accrued
but unpaid interest. The downside to this is the additional stress
on the structure, as there is limited liquidity in the event of
large and extended delinquencies.
COLT 2024-4 has a step-up coupon for the senior classes (A-1, A-2
and A-3). After four years, the senior classes pay the lower of a
100-bp increase to the fixed coupon or the net weighted average
coupon (NWAC) rate. Any class B-3 interest distribution amount will
be distributed to class A-1, A-2 and A-3 certificates on and after
the step-up date if the cap carryover amount is greater than zero.
This increases the P&I allocation for the senior classes.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. Sensitivity analysis was conducted at the
state and national level to assess the effect of higher MVDs for
the subject pool as well as lower MVDs, illustrated by a gain in
home prices.
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model projected 41.1% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. A 10% additional
decline in home prices would lower all rated classes by one full
category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analysis was conducted at the state and national level
to assess the effect of higher MVDs for the subject pool as well as
lower MVDs, illustrated by a gain in home prices.
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all of the rated classes. A 10% gain
in home prices would result in a full category upgrade for the
rated class excluding those assigned 'AAAsf' ratings.
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 Consolidated Analytics, SitusAMC, Clayton, Evolve,
Selene, Clarifii, Opus and Maxwell. The third-party due diligence
described in Form 15E focused on credit, compliance and property
valuation review. Fitch considered this information in its analysis
and, as a result, Fitch made the following adjustment to its
analysis: a 5% credit was given at the loan level for each loan
where satisfactory due diligence was completed. This adjustment
resulted in a 49bps reduction to the 'AAA' expected loss.
DATA ADEQUACY
Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. The loan-level
information Fitch received was provided in the American
Securitization Forum's data layout format.
ESG CONSIDERATIONS
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' 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. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
CRYSTALS TRUST 2016-CSTL: S&P Affirms BB(sf) Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings affirmed its ratings on seven classes of
commercial mortgage pass-through certificates from Shops at
Crystals Trust 2016-CSTL, a U.S. CMBS transaction.
This U.S. stand-alone (single-borrower) CMBS transaction is backed
by a portion of a $550.0 million fixed-rate interest-only (IO)
mortgage whole loan secured by the borrower's fee simple interest
in The Shops at Crystals, a luxury shopping center located
centrally on the Las Vegas Strip.
Rating Actions
The affirmations on classes A, B, C, D, and E reflect the
following:
-- S&P's expected-case valuation, which is unchanged from our last
published review in October 2018.
-- Despite fluctuating occupancy levels (ranging between 78.0% and
96.0%), the collateral retail property's reported net cash flow
(NCF) has generally been stable-to-increasing in the past 10-plus
years, except in 2020, when it declined marginally.
-- S&P affirmed its ratings on the class X-A and X-B IO
certificates based on its 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 amount of
the class X-A certificates references class A and the notional
amount of the class X-B certificates references class B.
Property-Level Analysis
The collateral property is The Shops at Crystals, a luxury shopping
center consisting of 262,327 sq. ft. of net rentable area (NRA),
located within the approximately 18.0-million-sq.-ft. CityCenter
development on the Las Vegas Strip. The third level of the property
totaling approximately 65,000 sq. ft. is unimproved and currently
used as mezzanine and storage space. The property, which was
constructed in 2009, is adjacent and accessible to the Aria Resort
& Casino, The Cosmopolitan, and Vdara Hotel & Spa.
As S&P previously discussed, while occupancy fluctuated between
78.0% and 96.0% from 2012 to 2023, the servicer-reported NCF has
been stable-to-increasing in the past 10-plus years (except 2020)
from $34.3 million in 2012 to $74.9 million in 2023. The NCF dipped
about 9.8% to $48.7 million at the onset of the COVID-19 pandemic
in 2020 and rebounded to $58.2 million in 2021, exceeding 2019
levels.
According to the March 2024 rent roll, the property was 91.4%
occupied. The five largest tenants comprised 23.9% of NRA and
included:
-- Louis Vuitton (7.2% of NRA; 6.7% of gross rent as calculated by
S&P Global Ratings). The tenant recently executed a 10-year
renewal; however, the master servicer, KeyBank Real Estate Capital,
has not yet provided the rental rate and lease term. In S&P's
current analysis, we assumed current in-place rent on a 10-year
lease that commenced in early 2024.
-- Prada (5.4%; 5.6%; September 2030 lease expiration).
-- Think Food Group (TFG) Custom (4.1%; 1.5%; December 2099).
-- Tiffany & Co. (3.6%; 3.9%; month-to-month). According to the
master servicer, a 10-year lease renewal is with the tenant for
signature.
-- Toca Madera (3.5%, 1.7%, May 2032). The property faces minimal
tenant rollover in each year through 2029.
According to CoStar, the Resort Corridor retail submarket of Las
Vegas, where the subject property is located, experienced an
overall sub-5.0% vacancy levels and $81.59 per sq. ft. average
asking rent as of year-to-date July 2024. CoStar projects vacancy
to remain at or below 5.0% through 2027 and average asking rent to
modestly grow for the same period. This compares with an in-place
8.6% vacancy and $284.50 per sq. ft. gross rent, as calculated by
S&P Global Ratings.
Table 1
Servicer-reported collateral performance
2023(I) 2022(I) 2021(I)
Occupancy rate (%) 93.2 83.9 78.1
Net cash flow (mil. $) 74.9 67.4 58.2
Debt service coverage (x) 3.59 3.23 2.79
Appraisal value (mil. $) 1,100 1,100 1,100
(i)Reporting period.
Table 2
S&P Global Ratings' key assumptions
CURRENT LAST REVIEW ISSUANCE
(JULY 2024) (OCTOBER 2018) (JULY 2016)
(I) (I) (I)
Occupancy rate (%) 91.4 90.2 88.7
Net cash flow (mil. $) 44.9 44.9 44.9
Capitalization rate (%) 6.25 6.25 6.25
Value (mil. $) 718.3 718.3 717.7
Value per sq. ft. ($) 2,738 2,738 2,736
Loan-to-value ratio (%)(ii) 76.6 76.6 76.6
(i)Review period.
(ii)On the whole loan balance.
Transaction Summary
As of the July 8, 2024, trustee remittance report, the IO mortgage
loan has a $300.0 million trust balance and a $550.0 million whole
loan balance.
The whole loan is split into senior A and subordinate B, C, D, and
E notes. The trust consists of $112.0 million of senior A notes,
$20.7 million of subordinate B notes, and $167.3 million of
subordinate C, D, and E notes. The non-trust companion portion,
totaling $250.0 million, includes $210.9 million of senior A notes
held in six U.S. CMBS conduit transactions and $39.1 million of
subordinate B notes, also held in the same six U.S. CMBS conduit
transactions. The trust A and non-trust A notes are pari passu to
each other, and the trust B and non-trust B notes are pari passu to
each other. The A notes are senior in right of payment to the B
notes. The B notes are senior in right of payment to the C, D, and
E notes.
The whole loan is IO, pays an annual fixed interest rate of 3.744%,
and matures on July 1, 2026. To date, the trust has not incurred
any principal losses.
Ratings Affirmed
Shops at Crystals Trust 2016-CSTL
Class A: AAA (sf)
Class B: AA- (sf)
Class C: A- (sf)
Class D: BBB- (sf)
Class E: BB (sf)
Class X-A: AAA (sf)
Class X-B: AA- (sf)
DRYDEN 85: S&P Assigns BB- (sf) Rating on Class E-R2 Notes
----------------------------------------------------------
S&P Global Ratings assigned ratings to the class A-1-R2, A-1, A-1L,
A-2-R2, B-R2, C-R2, D-1-R2, D-2-R2, and E-R2 replacement debt from
Dryden 85 CLO Ltd./Dryden 85 CLO LLC, a CLO originally issued in
October 2020 that is managed by PGIM Inc. At the same time, S&P
withdrew its ratings on the A-R, B-R, C-R, D-R, and E-R debt
following payment in full.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The replacement class A-1-R2, A-1, and A-1L debt replaced the
original class A-R debt.
-- The replacement class B-R2, C-R2, and D-2-R2 debt was issued at
a lower spread over three-month CME term SOFR than the original
debt.
-- The replacement class E-R2 debt was issued at a higher spread
over three-month CME term SOFR than the original debt.
-- New class A-2-R2 and D-1-R2 debt was issued.
-- The stated maturity was extended by 1.75 years.
-- The reinvestment period was extended by 2.75 years.
-- The non-call period was extended to July 2026.
-- The weighted average life test is nine years from the
refinancing date.
Replacement And Original Debt Issuances
Replacement debt
-- Class A-1-R2, $225.00 million: Three-month CME term SOFR +
1.38%
-- Class A-1 loans, $63.00 million: Three-month CME term SOFR +
1.38%
-- Class A-1L, $0.00 million: Three-month CME term SOFR + 1.38%
-- Class A-2-R2, $4.50 million: Three-month CME term SOFR + 1.58%
-- Class B-R2, $49.50 million: Three-month CME term SOFR + 1.80%
-- Class C-R2, $27.00 million: Three-month CME term SOFR + 2.10%
-- Class D-1-R2, $20.25 million: Three-month CME term SOFR +
3.10%
-- Class D-2-R2, $11.25 million: Three-month CME term SOFR +
4.95%
-- Class E-R2, $13.50 million: Three-month CME term SOFR + 7.00%
Original debt
-- Class A-R, $288.00 million: Three-month CME term SOFR + 1.41%
-- Class B-R, $54.00 million: Three-month CME term SOFR + 1.86%
-- Class C-R, $27.00 million: Three-month CME term SOFR + 2.31%
-- Class D-R, $27.00 million: Three-month CME term SOFR + 3.46%
-- Class E-R, $18.00 million: Three-month CME term SOFR + 6.76%
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Dryden 85 CLO Ltd./Dryden 85 CLO LLC
Class A-1-R2, $225.00 million: AAA (sf)
Class A-1 loans(i), $63.00 million: AAA (sf)
Class A-1L(i), $0.00 million: AAA (sf)
Class A-2-R2, $4.50 million: AAA (sf)
Class B-R2, $49.50 million: AA (sf)
Class C-R2 (deferrable), $27.00 million: A (sf)
Class D-1-R2 (deferrable), $20.25 million: BBB (sf)
Class D-2-R2 (deferrable), $11.25 million: BBB- (sf)
Class E-R2 (deferrable), $13.50 million: BB- (sf)
(i)All or a portion of the class A-1 loans can be converted to
class A-1L notes with a maximum increase up to $63 million, with a
corresponding decrease to the class A-1 loans.
Ratings Withdrawn
Dryden 85 CLO Ltd./Dryden 85 CLO LLC
Class A-R to not rated from AAA (sf)
Class B-R to not rated from AA (sf)
Class C-R to not rated from A (sf)
Class D-R to not rated from BBB- (sf)
Class E-R to not rated from BB- (sf)
Other Outstanding Debt
Dryden 85 CLO Ltd./Dryden 85 CLO LLC
Subordinated notes(i), $53.40 million: Not rated
(i)The subordinate notes were upsized to $53.40 million from $36.00
million.
EXETER 2024-4: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Exeter
Automobile Receivables Trust 2024-4's automobile receivables-backed
notes.
The note issuance is an ABS transaction backed by subprime auto
loan receivables.
The preliminary ratings are based on information as of July 17,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The availability of approximately 59.85%, 53.35%, 44.60%,
33.80%, and 26.57% credit support (hard credit enhancement and
haircut to excess spread) for the class A (classes A-1, A-2, and
A-3, collectively), 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 1.20x coverage of S&P's
expected cumulative net loss (ECNL) 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
preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB-
(sf)' ratings on the class A, B, C, D, and E notes, respectively,
will be within its credit stability limits.
-- The timely payment of interest and principal repayment by the
designated legal final maturity dates under S&P's stressed cash
flow modeling scenarios for the assigned preliminary 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.
-- S&P's assessment of the series' bank accounts at Citibank N.A.
(Citibank), which do not constrain the preliminary ratings.
-- S&P's operational risk assessment of Exeter Finance LLC
(Exeter) as servicer, along with its view of the company's
underwriting and its 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.
-- S&P's ECNL for EART 2024-4 is 22.00%, which is unchanged from
EART 2024-3. It reflects:
S&P said, "Our view that EART 2024-4's collateral characteristics
are slightly stronger than those of EART 2024-3. In addition,
Exeter's selection criteria limit the accounts that are included in
the EART 2024-4 collateral pool to ones that have either made at
least one payment or have a post-funding score greater than or
equal to 220, which we view as a credit positive.
"EART's outstanding rated series' performances, which remain in
line with or better than our initial or prior CNL
expectations--except for EART 2022-1, 2022-2, 2022-3, 2022-4, and
2022-5, which are trending worse than our initial or prior CNLs.
"Our forward-looking view of the auto finance sector, including our
outlook for a shallower and more attenuated economic slowdown."
Preliminary Ratings Assigned
Exeter Automobile Receivables Trust 2024-4
Class A-1, $79.000 million: A-1+ (sf)
Class A-2, $205.173 million: AAA (sf)
Class A-3, $110.477 million: AAA (sf)
Class B, $108.260 million: AA (sf)
Class C, $125.850 million: A (sf)
Class D, $128.620 million: BBB (sf)
Class E, $112.430 million: BB- (sf)
GENERATE CLO 4: S&P Assigns Prelim BB- (sf) Rating on ERR Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-RR, B-RR, C-RR, D-1-RR, D-2-RR, and E-RR replacement debt and
proposed new class X-RR debt from Generate CLO 4 Ltd./Generate CLO
4 LLC, a CLO managed by Generate Advisors LLC that was originally
issued in 2016 and was refinanced in February 2020.
The preliminary ratings are based on information as of July 11,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the July 22, 2024, refinancing date, the proceeds from the
replacement debt will be used to redeem the February 2020 debt. S&P
said, "At that time, we expect to withdraw our ratings on the
February 2020 debt and assign ratings to the replacement debt.
However, if the refinancing doesn't occur, we may affirm our
ratings on the February 2020 debt and withdraw our preliminary
ratings on the replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The replacement debt is expected to be issued at a slightly
lower weighted average cost of debt than the previous debt.
-- The replacement class D debt will be split into the class D-1
and D-2 debt and is sequential in payment.
-- The stated maturity will be extended by approximately 5.25
years.
-- The reinvestment period and non-call period will be
re-established to July 2029 and July 2026, respectively.
-- The weighted average life test will be updated to 9.50 years
after the refinancing date.
-- The required minimum overcollateralization (O/C) test for the
replacement debt will be updated along with the reinvestment O/C
test.
-- The required minimum interest coverage test will remain
unchanged for the replacement class.
-- The class X-RR notes will be issued in connection with this
refinancing. These notes are expected to be paid down using
interest proceeds during the first eight payment dates beginning
with the payment date in October 2024.
-- Of the identified underlying collateral obligations, 99.71%
have credit ratings (which may include confidential ratings,
private ratings, and credit estimates) assigned by S&P Global
Ratings.
-- Of the identified underlying collateral obligations, 94.54%
have recovery ratings (which may include confidential and private
ratings) assigned by S&P Global Ratings.
Replacement And February 2020 Debt Issuances
Replacement debt
-- Class X-RR, $1.75 million: Three-month CME term SOFR + 1.000%
-- Class A-RR, $248.00 million: Three-month CME term SOFR +
1.430%
-- Class B-RR, $56.00 million: Three-month CME term SOFR + 1.750%
-- Class C-RR (deferrable), $24.00 million: Three-month CME term
SOFR + 2.200%
-- Class D-1-RR (deferrable), $20.00 million: Three-month CME term
SOFR + 3.250%
-- Class D-2-RR (deferrable), $8.00 million: Three-month CME term
SOFR + 4.800%
-- Class E-RR (deferrable), $12.00 million: Three-month CME term
SOFR + 6.900%
-- Subordinated notes, $40.000 million: Not applicable
February 2020 debt
-- Class A-1-R, $213.406 million(i): Three-month CME term SOFR +
1.09% + CSA(ii)
-- Class A-2-R, $11.800 million(i): Three-month CME term SOFR +
1.45% + CSA(ii)
-- Class B-R, $43.800 million(i): Three-month CME term SOFR +
1.55% + CSA(ii)
-- Class C-R (deferrable), $23.900 million(i): Three-month CME
term SOFR + 2.15% + CSA(ii)
-- Class D-R (deferrable), $21.800 million(i): Three-month CME
term SOFR + 3.15% + CSA(ii)
-- Class E-R (deferrable), $18.600 million(i): Three-month CME
term SOFR + 6.75% + CSA(ii)
-- Subordinated notes, $40.000 million(i): Not applicable
(i)The balances reflected in the list above are the current
outstanding balance of the tranche.
(ii)Equals 0.26161%.
CSA--Credit spread adjustment.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
Generate CLO 4 Ltd./Generate CLO 4 LLC
Class X-RR, $1.75 million: AAA (sf)
Class A-RR, $248.00 million: AAA (sf)
Class B-RR, $56.00 million: AA (sf)
Class C-RR (deferrable), $24.00 million: A (sf)
Class D-1-RR (deferrable), $20.00 million: BBB (sf)
Class D-2-RR (deferrable), $8.00 million: BBB- (sf)
Class E-RR (deferrable), $12.00 million: BB- (sf)
Other Debt
Generate CLO 4 Ltd./Generate CLO 4 LLC
Subordinated notes, $40.00 million: Not rated
HALSEYPOINT CLO II: S&P Assigns BB- (sf) Rating on Cl. E-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R,
C-1-R, C-2-R, D-1-R, D-2-R, and E-R replacement debt from
HalseyPoint CLO II Ltd./HalseyPoint CLO II LLC, a CLO originally
issued in June 2020 that is managed by HalseyPoint Asset Management
LLC. At the same time, S&P withdrew its ratings on the original
class A-1, A-2, B, C, D and E debt following payment in full on the
July 12, 2024, refinancing date.
The replacement debt was issued via a supplemental indenture, which
outlined the terms of the replacement debt. According to the
supplemental indenture:
-- The reinvestment period was extended to July 20, 2029, from
July 20, 2022.
-- The non-call period was extended to July 20, 2026, from Jan. 1,
2022.
-- The original class A-1 and A-2 sequentially paying
floating-rate debt was replaced by the class A-R floating-rate
debt.
-- The original class C floating-rate debt was replaced by the
class C-1-R floating-rate debt and the class C-2-R fixed-rate
debt.
-- The original class D debt was replaced by two new sequentially
paying classes, D-1-R and D-2-R.
-- The replacement class B-R and E-R debt was issued at a lower
spread over three-month CME term SOFR than the original debt.
-- The stated maturity on the existing subordinated notes was
extended to July 20, 2037, from July 20, 2031, to match the stated
maturity on the new refinancing debt.
Replacement And Original Debt Issuances
Replacement debt
-- Class A-R, $219.600 million: Three-month CME term SOFR + 1.52%
-- Class B-R, $54.000 million: Three-month CME term SOFR + 1.95%
-- Class C-1-R (deferrable), $16.600 million: Three-month CME term
SOFR + 2.55%
-- Class C-2-R (deferrable), $5.000 million: 6.50%
-- Class D-1-R (deferrable), $14.400 million: Three-month CME term
SOFR + 3.60%
-- Class D-2-R (deferrable), $7.200 million: Three-month CME term
SOFR + 5.00%
-- Class E-R (deferrable), $11.700 million: Three-month CME term
SOFR + 7.50%
Original debt
-- Class A-1, $225.000 million: Three-month LIBOR + 1.86%
-- Class A-2, $11.250 million: Three-month LIBOR + 2.49%
-- Class B (deferrable), $39.375 million: Three-month LIBOR +
2.95%
-- Class C (deferrable), $26.250 million: Three-month LIBOR +
3.53%
-- Class D (deferrable), $22.500 million: Three-month LIBOR +
3.00%
-- Class E (deferrable), $14.000 million: Three-month LIBOR +
3.00%
-- Subordinated notes, $39.975 million: Not applicable
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
HalseyPoint CLO II Ltd./HalseyPoint CLO II LLC
Class A-R, $219.60 million: AAA (sf)
Class B-R, $54.00 million: AA (sf)
Class C-1-R (deferrable), $16.60 million: A (sf)
Class C-2-R (deferrable), $5.00 million: A (sf)
Class D-1-R (deferrable), $14.40 million: BBB+ (sf)
Class D-2-R (deferrable), $7.20 million: BBB- (sf)
Class E-R (deferrable), $11.70 million: BB- (sf)
Subordinated notes, $39.98 million: Not rated
Ratings Withdrawn
HalseyPoint CLO II Ltd./HalseyPoint CLO II LLC
-- Class A-1 to not rated from 'AAA (sf)'
-- Class A-2 to not rated from 'AAA (sf)'
-- Class B to not rated from 'AA (sf)'
-- Class C to not rated from 'A (sf)'
-- Class D to not rated from 'BBB- (sf)'
-- Class E to not rated from 'BB- (sf)'
Other Debt
HalseyPoint CLO II Ltd./HalseyPoint CLO II LLC
-- Subordinated notes, $39.975 million: Not rated
HERTZ VEHICLE 2024-1: Moody's Assigns (P)Ba2 Rating to Cl. D Notes
------------------------------------------------------------------
Moody's Ratings has assigned provisional ratings to the series
2024-1 and series 2024-2 rental car asset-backed notes to be issued
by Hertz Vehicle Financing III LLC (HVFIII, or the issuer), which
is Hertz's rental car ABS master trust facility.
The series 2024-1 notes and the series 2024-2 notes will have an
expected final payment date in three and five years, respectively.
HVF III is a Delaware limited liability company, a
bankruptcy-remote special purpose entity, and a direct subsidiary
of The Hertz Corporation (Hertz, B2 negative outlook). The
collateral backing the notes consists of a fleet of vehicles and a
single operating lease of the fleet to Hertz for use in its rental
car business, as well as certain manufacturer and incentive rebate
receivables owed to the issuer by the original equipment
manufacturers (OEMs).
The complete rating actions are as follows:
Issuer: Hertz Vehicle Financing III LLC
Series 2024-1 Rental Car Asset Backed Notes, Class A, Assigned
(P)Aaa (sf)
Series 2024-1 Rental Car Asset Backed Notes, Class B, Assigned
(P)A2 (sf)
Series 2024-1 Rental Car Asset Backed Notes, Class C, Assigned
(P)Baa3 (sf)
Series 2024-1 Rental Car Asset Backed Notes, Class D, Assigned
(P)Ba2 (sf)
Series 2024-2 Rental Car Asset Backed Notes, Class A, Assigned
(P)Aaa (sf)
Series 2024-2 Rental Car Asset Backed Notes, Class B, Assigned
(P)A2 (sf)
Series 2024-2 Rental Car Asset Backed Notes, Class C, Assigned
(P)Baa3 (sf)
Series 2024-2 Rental Car Asset Backed Notes, Class D, Assigned
(P)Ba2 (sf)
RATINGS RATIONALE
The provisional ratings of the notes are based on (1) the credit
quality of the collateral in the form of rental fleet vehicles,
which The Hertz Corporation (Hertz) uses to operate its rental car
business, (2) the credit quality of Hertz, which has a corporate
family rating of B2 with a negative outlook, as the primary lessee
and as guarantor under the single operating lease, (3) the
experience and expertise of Hertz as sponsor and administrator, (4)
the level of credit enhancement supporting the notes, which
consists of subordination and over-collateralization, (5) the
required minimum liquidity in the form of cash and/or a letter of
credit, (6) the transaction's legal structure, including standard
bankruptcy remoteness and security interest provisions, and (7)
Moody's expectation that the rental car market continues to
normalize, with seasonally strong travel demand continuing to
underpin rental demand.
The series 2024-1 and series 2024-2 class A, class B, and class C
notes will benefit from subordination of 31.5%, 21.5%, and 8.0% of
the outstanding balance of each series, respectively. The proposed
liquidity enhancement amount will be around 4.00% of the
outstanding note balance for the series 2024-1 and series 2024-2,
sized to cover six months of interest plus 50 basis points.
Consistent with prior transactions, the series will be subject to a
credit enhancement floor of 11.05% in the form of
over-collateralization, regardless of fleet composition.
As in prior issuances, the required credit enhancement for the
series 2024-1 and series 2024-2 notes, sized as a percentage of the
total assets, will be a blended rate, which is a function of
Moody's ratings on the vehicle manufacturers and defined asset
categories as described below:
-- 5.00% for eligible program vehicle and receivable amount from
investment grade manufacturers (any manufacturer that has Moody's
long-term rating or senior unsecured rating or long-term corporate
family rating (together, relevant Moody's ratings) of at least Baa3
and any manufacturer that does not have a relevant Moody's rating
and has a senior unsecured debt rating from us of at least Ba1)
-- 8.00% for eligible program vehicle amount from non-investment
grade manufacturers
-- 15.00% for eligible non-program vehicle amount from investment
grade manufacturers
-- 15.00% for eligible non-program vehicle amount from
non-investment grade manufacturers
-- 8.00% for eligible program receivable amount from
non-investment grade (high) manufacturers (any manufacturer that
(i) is not an investment grade manufacturer and (ii) has a relevant
Moody's rating of at least Ba3)
-- 100.00% for eligible program receivable amount from
non-investment grade (low) manufacturers (any manufacturer that has
a relevant Moody's rating of less than Ba3)
-- 35.0% for medium-duty truck amount
-- 0.00% for cash amount
-- 100% for remainder Aaa amount
Consequently, the actual required amount of credit enhancement will
fluctuate based on the mix of vehicles and receivables in the
securitized fleet. Furthermore, the total enhancement is required
to include a minimum portion which is liquid (in cash and/or letter
of credit), sized as a percentage of the aggregate class A / B / C
/ D principal amount, net of cash.
Below are the assumptions Moody's applied in the analysis of this
transaction:
Risk of sponsor default: Moody's assumed a 60% decrease in the
probability of default (from Moody's idealized default probability
tables) implied by the B2 rating of the sponsor. This reflects
Moody's view that, in the event of a bankruptcy, Hertz would be
more likely to reorganize under a Chapter 11 bankruptcy filing, as
it would likely realize more value as an ongoing business concern
than it would if it were to liquidate its assets under a Chapter 7
filing. Furthermore, given the sponsor's competitive position
within the industry and the size of its securitized fleet relative
to its overall fleet, the sponsor is likely to affirm its lease
payment obligations in order to retain the use of the fleet and
stay in business. Moody's arrive at the 60% decrease assuming a 80%
probability Hertz would reorganize under a Chapter 11 bankruptcy
and a 75% probability Hertz would affirm its lease payment
obligations in the event of Chapter 11.
Disposal value of the fleet: Moody's assumed the following haircuts
to the net book value (NBV) of the vehicle fleet:
Non-Program Haircut upon Sponsor Default (Car): Mean: 19%
Non-Program Haircut upon Sponsor Default (Car): Standard Deviation:
6%
Non-Program Haircut upon Sponsor Default (Truck): Mean: 35%
Non-Program Haircut upon Sponsor Default (Truck): Standard
Deviation: 8%
Non-Program Haircut upon Sponsor Default (Tesla): Mean: 21%
Non-Program Haircut upon Sponsor Default (Tesla): Standard
Deviation: 10%
Fixed Program Haircut upon Sponsor Default: 10%
Additional Fixed Non-Program Haircut upon Manufacturer Default
(Car): 10%
Additional Fixed Non-Program Haircut upon Manufacturer Default
(Truck): 20%
Additional Fixed Non-Program Haircut upon Manufacturer Default
(Tesla): 50%
Fleet composition -- Moody's assumed the following fleet
composition (based on NBV of vehicle fleet):
Non-Program Vehicles (Car, Tesla & EVs): 92.6%
Non-Program Vehicles (Trucks): 5%
Program Vehicles (Car, Tesla & EVs): 2.4%
Non-program Manufacturer Concentration (percentage, number of
manufacturers, assumed rating):
Aa/A Profile: 20.0%, 2, A3 (Increased from 10% owing to recent OEM
rating upgrades)
Baa Profile: 60.0%, 3, Baa3
Ba/B Profile: 20.0%, 1, Ba3
Program Manufacturer Concentration (percentage, number of
manufacturers, assumed rating):
Aa/A Profile: 0.0%, 0, A3
Baa Profile: 50.0%, 1, Baa3
Ba/B Profile: 50.0%, 1, Ba3
Manufacturer Receivables: 10%; receivables distributed in the same
proportion as the program fleet (Program Manufacturer Concentration
and Manufacturer Receivables together should add up to 100%)
Correlation: Moody's applied the following correlation
assumptions:
Correlation among the sponsor and the vehicle manufacturers: 10%
Correlation among all vehicle manufacturers: 25%
Default risk horizon -- Moody's assumed the following default risk
horizon:
Sponsor: 5 years
Manufacturers: 1 year
A fixed set of time horizon assumptions, regardless of the
remaining term of the transaction, is used when considering sponsor
and manufacturer default probabilities and the expected loss of the
related liabilities, which simplifies Moody's modeling approach
using a standard set of benchmark horizons.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Rental Vehicle
Securitizations" published in June 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the ratings of the series 2024-1 and 2024-2
subordinated notes if (1) the credit quality of the lessee
improves, (2) assumptions of the credit quality of the pool of
vehicles collateralizing the transaction were to improve, as
reflected by a stronger mix of program and non-program vehicles and
stronger credit quality of vehicle manufacturers, (3) the residual
values of the non-program vehicles collateralizing the transaction
were to increase materially relative to Moody's expectations.
Down
Moody's could downgrade the ratings of the series 2024-1 and 2024-2
notes if (1) the credit quality of the lessee deteriorates or a
corporate liquidation of the lessee were to occur and introduce
operational complexity in the liquidation of the fleet, (2)
assumptions of the credit quality of the pool of vehicles
collateralizing the transaction were to weaken, as reflected by a
weaker mix of program and non-program vehicles and weaker credit
quality of vehicle manufacturers, or (3) reduced demand for used
vehicles results in lower sales volumes and sharp declines in used
vehicle prices above Moody's assumed depreciation.
HOMES 2024-NQM1: S&P Assigns Prelim B-(sf) Rating on Cl. B-2 Certs
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to HOMES
2024-NQM1 Trust's series 2024-NQM1 mortgage pass-through
certificates.
The certificate issuance is an RMBS transaction backed by
first-lien, 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,
and manufactured housing properties to both prime and nonprime
borrowers. The pool has 805 loans backed by 807 properties, which
are primarily non-qualified mortgage loans and ability-to-repay
exempt.
The preliminary ratings are based on information as of July 17,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary 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, "On Oct. 13, 2023, we updated our market outlook as it
relates to the 'B' projected archetypal loss level, and therefore
revised and lowered our 'B' foreclosure frequency to 2.50% from
3.25%, which reflects the level prior to April 2020, preceding the
COVID-19 pandemic. The update reflects our benign view of the
mortgage and housing markets as demonstrated through general
national-level home price behavior, unemployment rates, mortgage
performance, and underwriting. Per our latest macroeconomic update,
the U.S. economy has outperformed expectations following
consecutive quarters of contraction in the first half of 2022."
Preliminary Ratings(i) Assigned
HOMES 2024-NQM1 Trust
Class A-1, $229,091,000: AAA (sf)
Class A-2, $29,734,000: AA (sf)
Class A-3, $46,212,000: A (sf)
Class M-1, $19,524,000: BBB (sf)
Class B-1A, $3,762,000: BBB-(sf)
Class B-1B, $13,792,000: BB-(sf)
Class B-2, $10,030,000: B-(sf)
Class B-3, $6,090,903: Not rated
Class A-IO-S, notional(ii): Not rated
Class X, notional(ii): Not rated
Class R, not applicable: Not rated
(i)The collateral and structural information in this report
reflects the preliminary private placement memorandum received on
July 15, 2024. The preliminary 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.
JP MORGAN 2018-PHH: Moody's Lowers Rating on Cl. E Certs to Csf
---------------------------------------------------------------
Moody's Ratings has downgraded the ratings on five classes and
affirmed the ratings on two classes of J.P. Morgan Chase Commercial
Mortgage Securities Trust 2018-PHH, Commercial Mortgage
Pass-Through Certificates, Series 2018-PHH as follows:
Cl. A, Downgraded to Ba1 (sf); previously on Feb 15, 2024
Downgraded to A1 (sf)
Cl. B, Downgraded to Ba3 (sf); previously on Feb 15, 2024
Downgraded to Baa1 (sf)
Cl. C, Downgraded to Caa1 (sf); previously on Feb 15, 2024
Downgraded to Ba2 (sf)
Cl. D, Downgraded to Caa3 (sf); previously on Feb 15, 2024
Downgraded to B3 (sf)
Cl. E, Downgraded to C (sf); previously on Feb 15, 2024 Downgraded
to Caa3 (sf)
Cl. F, Affirmed C (sf); previously on Feb 15, 2024 Downgraded to C
(sf)
Cl. HRR, Affirmed C (sf); previously on Feb 15, 2024 Downgraded to
C (sf)
RATINGS RATIONALE
The ratings on five principal and interest (P&I) classes were
downgraded primarily due to the continued delinquency and the
resulting accumulation of loan advances as well as the potential
for higher losses and interest shortfall concerns resulting from
the uncertainty around the timing and proceeds from the ultimate
resolution of the asset. The floating rate loan has been in special
servicing since April 2020 and as of the June 2024 distribution
date, the loan remains last paid through its September 2020 payment
date and there is approximately $61.9 million (19% of loan balance)
of P&I and T&I advances, other expenses and cumulative accrued
unpaid advance interest outstanding, up from approximately $47.5
million at Moody's last review.
The property's performance has continued to improve year over year
since 2021, however, the full year 2023 net cash flow (NCF)
remained below its performance levels in 2019. The property's
reliance on group segment has elongated its recovery timing and due
to a combination of the lower cash flow and the significant
increase in its floating interest rate in recent years the property
is not yet generating enough NCF to cover the floating rate
interest only debt service amount. As a result, Moody's expect the
advances to remain outstanding and may increase if the property's
cash flow does not continue to improve. Servicing advances are
senior in the transaction waterfall and are paid back prior to any
principal recoveries which may result in lower recovery to the
total trust balance. The senior P&I classes Moody's rate,
particularly Cl. A and Cl. B, benefit from credit support in the
form of subordinate mortgage debt balance and could withstand
further material declines in market value prior to a risk of
principal loss.
The ratings on two P&I classes, Cl. F and Cl. HRR, were affirmed
because the ratings are consistent with Moody's expected loss.
In this credit rating action Moody's considered qualitative and
quantitative factors in relation to the senior-sequential structure
and trophy nature of the asset, and Moody's analyzed multiple
scenarios to reflect various levels of stress in property values
could impact loan proceeds at each rating level.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or a significant improvement in
loan performance.
Factors that could lead to a downgrade of the ratings include a
further decline in actual or expected performance of the loan or
increase in interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Large Loan and
Single Asset/Single Borrower Commercial Mortgage-backed
Securitizations" published in July 2024.
DEAL PERFORMANCE
As of the June 17, 2024 distribution date, the transaction's
aggregate certificate balance remains unchanged from Moody's prior
review at approximately $329 million. The decrease from
approximately $333 million at securitization had been due 2019's
scheduled annual principal paydown from 25% of excess cash flow.
The securitization is backed by a single floating-rate loan
collateralized by the borrower's fee simple interest in the Palmer
House Hilton. The 24-story, 1,642-guestroom property is located in
the central business district of Chicago, IL, one block west of
Millennium Park and Michigan Avenue. There is an approximately $94
million of mezzanine debt held outside of the trust.
The loan was transferred to the special servicer in April 2020 due
to the impact of the coronavirus outbreak and the loan is
classified as "non-performing maturity balloon" as of the June 2024
remittance statement. The property's performance had declined prior
to the coronavirus outbreak and its reported NCF in 2019 was $25.9
million, representing a 22% decline from that of 2018. As a result
of temporarily closures between April 2020 and June 2021 the
property did not generate positive NCF in 2020 or 2021, however,
the 2022 NCF rebounded to $15.9 million. The property continued
positive cash flow trends in 2023 and reported an NCF of $16.4
million. According to STR, LLC, Chicago MSA saw a 6.5% increase in
Revenue per Available Room (RevPAR) in 2023 compared to that of
2022, essentially returning to the 2019 levels. However, the
property's reliance on meeting and group segment (50% estimated as
of 2022) has elongated its recovery timing compared to those that
cater to more leisure and individual corporate traveler and the
property's full year 2023 NCF remained below levels in 2019 and was
insufficient to fully cover the loan's debt service payments.
Furthermore, due to the current interest rate environment the
floating rate loan's interest rate is above 7% as of the June 2024
remittance statement, resulting in a DSCR less than 1.00X on the
interest only debt service and the loan is last paid through its
September 2020 payment date.
As of the June 2024 distribution date, the outstanding advances
(including P&I advances, T&I advances, other expenses, and
cumulative accrued unpaid advance interest) totaled $61.9 million,
representing 19% of the loan outstanding balance. An updated
appraisal was reported in September 2023, which represented a
slight increase from the previously reported value but was still
36% decline from its appraised value at securitization and the most
recent appraisal value remained below the total loan exposure
(inclusive of outstanding advances). As a result, an appraisal
reduction of $60.3 million was reported as of the June 2024
remittance statement and outstanding interest shortfalls totaled
$14.8 million, impacting Cl. E, Cl. F., and Cl. HRR. There have
been no losses as of the current distribution date. The special
servicer indicated they have filed for judicial foreclosure and a
receiver has been appointed. Servicer commentary also indicated
there is ongoing litigation in regards to a license agreement
between the original borrower and a borrower related entity for
space located in an adjacent office/annex building.
Moody's stabilized NCF is $20.4 million and Moody's LTV and
stressed DSCR for the first mortgage loan balance are 169% and
0.67X, respectively, unchanged from Moody's last review. However,
Moody's analysis also factored in the significant loan advances and
the potential for higher expected losses and interest shortfall
concerns given the continued loan delinquency and uncertainty of
the timing of the ultimate resolution of the asset. The total
outstanding advances of $61.9 million causes the aggregate loan
exposure to be $390.9 million as of the current distribution date.
The advances have continued to increase in recent months and are
likely to be outstanding through the loan's ultimate resolution.
JUNIPER VALLEY: S&P Assigns Prelim BB-(sf) Rating on Cl. E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-R, and E-R replacement debt from Juniper Valley
Park CLO Ltd./Juniper Valley Park CLO LLC, a CLO originally issued
in June 2023 that is managed by Blackstone CLO Management LLC.
The preliminary ratings are based on information as of July 17,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the July 22, 2024, refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. S&P
said, "At that time, we expect to withdraw our ratings on the
original debt and assign ratings to the replacement debt. However,
if the refinancing doesn't occur, we may affirm our ratings on the
original debt and withdraw our preliminary ratings on the
replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The replacement class A-R, B-R, C-R, D-R, and E-R notes are
expected to be issued at a lower spread over three-month term SOFR
than the original notes.
-- The class A-L loans, A-L notes, and A-2 notes will be removed
from the transaction.
-- The stated maturity, reinvestment period, and non-call period
will be extended one year.
Replacement And Original Debt Issuances
Replacement debt
-- Class A-R, $384.00 million: Three-month CME term SOFR + 1.250%
-- Class B-R, $72.00 million: Three-month CME term SOFR + 1.550%
-- Class C-R (deferrable), $36.00 million: Three-month CME term
SOFR + 1.850%
-- Class D-R (deferrable), $36.00 million: Three-month CME term
SOFR + 2.850%
-- Class E-R (deferrable), $24.00 million: Three-month CME term
SOFR + 5.500%
Original debt
-- Class A-1, $308.00 million: Three-month CME term SOFR + 1.850%
-- Class A-L, $0.00 million: Three-month CME term SOFR + 1.850%
-- Class A-L loans, $65.00 million: Three-month CME term SOFR +
1.850%
-- Class A-2, $5.00 million: 5.128%
-- Class B, $75.00 million: Three-month CME term SOFR + 2.550%
-- Class C (deferrable), $36.00 million: Three-month CME term SOFR
+ 3.000%
-- Class D (deferrable), $36.90 million: Three-month CME term SOFR
+ 4.700%
-- Class E (deferrable), $18.90 million: Three-month CME term SOFR
+ 8.000%
-- Subordinated notes, $54.51 million: Residual
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
Juniper Valley Park CLO Ltd./Juniper Valley Park CLO LLC
Class A-R, $384.00 million: Not rated
Class B-R, $72.00 million: AA (sf)
Class C-R (deferrable), $36.00 million: A (sf)
Class D-R (deferrable), $36.00 million: BBB- (sf)
Class E-R (deferrable), $24.00 million: BB- (sf)
Other Outstanding Debt
Juniper Valley Park CLO Ltd./Juniper Valley Park CLO LLC
Class A-1, $308.00 million: Not rated
Class A-L, $0.00 million: Not rated
Class A-L loans, $65.00 million: Not rated
Class A-2, $5.00 million: Not rated
Class B, $75.00 million: AA (sf)
Class C (deferrable), $36.00 million: A (sf)
Class D (deferrable), $36.90 million: BBB- (sf)
Class E (deferrable), $18.90 million: BB- (sf)
Subordinated notes, $54.51 million: Not rated
LCCM 2017-LC26: Fitch Affirms 'Bsf' Rating on Class E Certificates
------------------------------------------------------------------
Fitch Ratings has affirmed 12 classes of LCCM 2017-LC26 Mortgage
Trust commercial mortgage pass-through certificates. The Rating
Outlooks remain Negative for classes D, E, and X-D.
Entity/Debt Rating Prior
----------- ------ -----
LCCM 2017-LC26
A-3 50190DAG1 LT AAAsf Affirmed AAAsf
A-4 50190DAJ5 LT AAAsf Affirmed AAAsf
A-S 50190DAS5 LT AAAsf Affirmed AAAsf
A-SB 50190DAE6 LT AAAsf Affirmed AAAsf
B 50190DAU0 LT AA-sf Affirmed AA-sf
C 50190DAW6 LT A-sf Affirmed A-sf
D 50190DAY2 LT BBsf Affirmed BBsf
E 50190DBA3 LT Bsf Affirmed Bsf
F 50190DBC9 LT CCCsf Affirmed CCCsf
X-A 50190DAL0 LT AAAsf Affirmed AAAsf
X-B 50190DAN6 LT A-sf Affirmed A-sf
X-D 50190DAQ9 LT BBsf Affirmed BBsf
KEY RATING DRIVERS
Elevated Loss Expectations: The Negative Outlooks for classes D, E,
and X-E reflect the office concentration of 32% and potential for
downgrades should performance of the FLOCs including the Hilton
Garden Inn Corvallis, 1867-1871 Amsterdam Avenue, Regions Center
and Bank Tower, Marriott LAX, Wilmington Hotel Portfolio, 3295
River Exchange and the Holiday Inn Express Orange City not
stabilize or decline further and/or with prolonged workouts. Fitch
identified seven loans as FLOCs (28.9% of the pool), which includes
two loans (4.3%) in special servicing. Fitch's current ratings
reflect a 'Bsf' ratings case loss of 6.3%.
Largest Loss Contributors: The largest contributor to overall loss
expectations and the largest increase in loss expectations since
the prior rating action is The Regions Center and Bank Tower (7.3%
of the pool), which is secured by a 492,394-sf office property
located in Shreveport, LA. The loan was identified as a FLOC due to
declining occupancy and cash flow. As of March 2024, occupancy for
the building was 80% with NOI DSCR of 1.29x. YE 2023 NOI has
declined 13.7% below the originator's underwritten NOI from
issuance and is expected to fall further with the expected downsize
of the largest tenant.
According to the servicer, largest tenant, Regions Bank will be
downsizing at their August 2024 lease expiration, from 13.4% of the
NRA to 6.4% resulting in occupancy falling to 72%. Additionally,
upcoming rollover includes 12% of the NRA in 2024 and 9% in 2025.
Fitch's 'Bsf' ratings case loss of 29.8% (prior to concentration
adjustments), reflects a 25% stress to YE 2023 NOI and an increased
probability of default to account for the expected decline in
occupancy, rollover risk and cash flow deterioration.
The largest loan in the pool and the third largest contributor to
loss expectations is the Marriot LAX (11.7% of the pool), secured
by a 1,004 key full-service hotel located approximately 0.4 miles
from the Los Angeles Airport. While performance has recovered from
the trough of the pandemic, YE 2023 NOI remains 25.6% below the
originator's underwritten NOI from issuance. The decline in
operating income is due to an 17.8% increase in operating expenses,
most notably from a 46.3% increase in real estate taxes and a 44.5%
increase in property insurance in addition to higher R&M, franchise
fees and G&A expenses. The YE 2023 NOI DSCR was 1.56x which
compares with 1.83x as of YE 2019 and 2.10x at issuance.
Due to the sustained performance declines, Fitch's 'Bsf' ratings
case loss of 4.8% (prior to concentration adjustments) reflects an
11.25% cap rate and a 10% stress to the YE 2023 NOI.
The second largest increase in loss expectations since the prior
rating action is the 3295 River Exchange (1.7%) loan, secured by a
114,432-sf suburban office property located in Sandy Springs, GA.
The loan was identified as a FLOC due to occupancy and cash flow
declines in addition to upcoming rollover. As of YE 2023, occupancy
declined to 74% from 85% as of YE 2022, resulting in NOI DSCR
falling to 1.60x as of YE 2023 from 2.27x at YE 2022. In addition
to the recent occupancy declines, upcoming rollover includes 6.2%
of the NRA set to roll in 2024, 20.5% in 2025 and 11.6% expiring in
2026.
According to CoStar, the subject is located in the
Norcross/Peachtree Corners submarket and Atlanta MSA, which have
vacancy rates of 17.8% in the submarket and 15.8% in the MSA, and
higher respective availability rates of 20.7% and 18.9%.
Fitch's 'Bsf' ratings case loss of 23.0% reflects a 10% cap rate
and a 20% stress to the YE 2023 NOI in addition to an increased
probability of default due to the loan's heightened maturity
default concerns.
Increased Credit Enhancement: As of the June 2024 remittance
report, the pool's aggregate balance has been reduced by 25.3% to
$467.4 million from $625.7 million at issuance. Seven loans (17.7%
of the pool) have fully defeased. Realized losses of $3.26 million
and $65,671 have impacted the non-rated class G and VRR,
respectively. Accumulated interest shortfalls of $386,554 is
affecting class G and $7,779 is affecting the VRR class.
There are 30 loans (28.7% of the pool) that are full-term interest
only (IO) and 22 loans (71.3%) that are currently amortizing. Loan
maturities are concentrated in 2027 (51 loans for 99.1%) with one
loan (0.9%) in 2024.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to the senior 'AAAsf' rated classes are not expected due
to the position in the capital structure and expected continued
amortization and loan repayments, but may occur if deal-level
losses increase significantly and/or interest shortfalls occur or
are expected to occur.
Downgrades to the junior 'AAAsf' rated classes could occur with
continued performance deterioration of the FLOCs, increased
expected losses and limited to no improvement in class CE, or if
interest shortfalls occur.
Downgrades to classes rated in the 'AAsf' and 'Asf' categories, may
occur should performance of the FLOCs deteriorate further or if
more loans than expected default at or prior to maturity. These
FLOCs include Hilton Garden Inn Corvallis, 1867-1871 Amsterdam
Avenue, Regions Center and Bank Tower, Marriott LAX, Wilmington
Hotel Portfolio, 3295 River Exchange and the Holiday Inn Express
Orange City.
Downgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf'
categories, all of which have Negative Outlooks, could occur with
higher than expected losses from continued underperformance of the
FLOCs, particularly the aforementioned loans with deteriorating
performance and with greater certainty of losses on the
aforementioned specially serviced loans or other FLOCs.
Downgrades to distressed rated classes would occur as losses are
realized or become more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to the 'AA-sf' and 'A-sf' rated classes would occur with
continued improvements in CE and/or defeasance combined with stable
to improving pool performance.
Upgrades to classes rated in the 'BBBsf' category would be limited
due to sensitivity to concentration risks or potential future
concentrations. Such upgrades would only be considered if there is
sustained improved performance of the FLOCs, particularly for the
office loans Regions Center and Bank Tower, along with the
expectation of refinancing for the Bank of America Office Campus
Buildings 200-500 and Peoples Center.
Upgrades to the 'BBsf' and 'Bsf' rated classes are unlikely and
would not occur until later years of the transaction and would
require improving performance of the FLOCs or loans in special
servicing.
Upgrades to distressed rated classes are unlikely unless there are
better than expected recoveries on loans in special servicing
and/or significantly higher values on FLOCs.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG CONSIDERATIONS
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' 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. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
LCM 31: S&P Assigns Preliminary B- (sf) Rating on Class F Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-R, and E-R replacement debt and proposed new class
X and F debt from LCM 31 Ltd./LCM 31 LLC, a CLO originally issued
in February 2021 that is managed by LCM Asset Management LLC.
The preliminary ratings are based on information as of July 12,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the July 22, 2024, refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. S&P
said, "At that time, we expect to withdraw our ratings on the
original debt and assign ratings to the replacement debt. However,
if the refinancing doesn't occur, we may affirm our ratings on the
original debt and withdraw our preliminary ratings on the
replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The non-call period will end July 20, 2025.
-- The reinvestment period will end July 20, 2026.
-- The legal final maturity dates for the replacement debt and the
existing subordinated notes will be extended to July 20, 2034.
-- The required minimum overcollateralization coverage ratios will
be amended.
-- No additional subordinated notes will be issued on the
refinancing date.
-- New class X and F debt will be issued.
-- The class X debt issued in connection with this refinancing are
expected to be paid down using interest proceeds during the seven
payment dates beginning with the payment date on Oct. 20, 2025.
-- The transaction will not be able to invest in fixed-rate
assets.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
LCM 31 Ltd./LCM 31 LLC
Class X, $1.60 million: AAA (sf)
Class A-R, $229.20 million: AAA (sf)
Class B-R, $56.60 million: AA (sf)
Class C-R (deferrable), $22.60 million: A (sf)
Class D-R (deferrable), $22.60 million: BBB- (sf)
Class E-R (deferrable), $13.50 million: BB- (sf)
Class F (deferrable), $2.50 million: B- (sf)
Other Debt
LCM 31 Ltd./LCM 31 LLC
Subordinated notes(i), $39.20 million: Not rated
(i)Existing class. The notional amount will stay the same in
connection with this refinancing and extension.
MADISON PARK XLIV: S&P Assigns B- (sf) Rating on Class F-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R and F-R
replacement debt from Madison Park Funding XLIV Ltd./Madison Park
Funding XLIV LLC, a CLO that is managed by UBS Asset Management
(Americas) LLC (as successor in interest to Credit Suisse Asset
Management LLC). This is a refinancing of the transaction,
originally Atrium XV, which closed in 2018 and underwent a partial
refinancing in December 2020. The previous refinancing was not
rated by S&P Global Ratings.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The non-call period was extended to July 16, 2026.
-- The reinvestment period was extended to July 16, 2029.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) were extended to July 16, 2037.
-- The target initial par amount was raised to $900 million. There
is no additional effective date or ramp-up period, and the first
payment date following the refinancing is Oct. 16, 2024.
-- The required minimum overcollateralization and interest
coverage ratios were amended.
-- No additional subordinated notes were issued on the refinancing
date.
-- The transaction has adopted benchmark replacement language and
was updated to conform to current rating agency methodology.
Replacement And December 2018 Debt Issuances
Replacement debt
-- Class A-1-R, $546.75 million: Three-month CME term SOFR +
1.39%
-- Class A-2-RR, $47.25 million: Three-month CME term SOFR +
1.59%
-- Class B-1-R, $70.00 million: Three-month CME term SOFR + 1.80%
-- Class B-2-R, $20.00 million: 5.76%
-- Class C-R (deferrable), $54.00 million: Three-month CME term
SOFR + 2.25%
-- Class D-1-R (deferrable), $49.50 million: Three-month CME term
SOFR + 3.30%
-- Class D-2-R (deferrable), $4.50 million: Three-month CME term
SOFR + 3.90%
-- Class D-3-R (deferrable), $9.00 million: Three-month CME term
SOFR + 4.35%
-- Class E-R (deferrable), $27.00 million: Three-month CME term
SOFR + 6.50%
-- Class F-R (deferrable), $0.25 million: Three-month CME term
SOFR + 7.90%
-- Subordinated notes, $111.75 million: Not applicable
December 2018 debt(i)
-- Class A-1, $600.00 million: Three-month CME term SOFR + 1.17% +
CSA(ii)
-- Class A-2, $45.00 million: 4.4887%
-- Class B, $115.00 million: Three-month CME term SOFR + 1.75% +
CSA(ii)
-- Class C (deferrable), $67.50 million: Three-month CME term SOFR
+ 2.20% + CSA(ii)
-- Class D (deferrable), $52.50 million: Three-month CME term SOFR
+ 3.00% + CSA(ii)
-- Class E (deferrable), $38.00 million: Three-month CME term SOFR
+ 5.85% + CSA(ii)
-- Subordinated notes, $111.75 million: Not applicable
(i)The December 2018 transaction was rated by S&P Global Ratings
under the name Atrium XV. The December 2020 refinancing was not
rated by S&P Global Ratings.
(ii)The CSA is 0.26161%.
CSA--Credit spread adjustment.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Madison Park Funding XLIV Ltd./Madison Park Funding XLIV LLC
Class A-1-R, $546.75 million: AAA (sf)
Class A-2-RR, $47.25 million: NR
Class B-1-R, $70.00 million: NR
Class B-2-R, $20.00 million: NR
Class C-R (deferrable), $54.00 million: NR
Class D-1-R (deferrable), $49.50 million: NR
Class D-2-R (deferrable), $4.50 million: NR
Class D-3-R (deferrable), $9.00 million: NR
Class E-R (deferrable), $27.00 million: NR
Class F-R (deferrable), $0.25 million: B- (sf)
Ratings Withdrawn
Atrium XV/Atrium XV LLC
Class A-1 to not rated from 'AAA (sf)'
Class B to not rated from 'AA (sf)'
Class C to not rated from 'A (sf)'
Class D to not rated from 'BBB- (sf)'
Class E to no rated from 'B+ (sf)'
Other Debt
Madison Park Funding XLIV Ltd./Madison Park Funding XLIV LLC
Subordinated notes, $111.75 million: NR
NR--Not rated.
MARATHON CLO 2020-15: S&P Assigns Prelim B- (sf) Rating E-R3 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R3, A-1A, A-1B, A-2-R3, B-R3, C-1-R3, C-2-R3, D-R3, and E-R3
debt and the replacement class A-1A and A-1B loans from Marathon
CLO 2020-15 Ltd./Marathon CLO 2020-15 LLC, a CLO managed by
Marathon Asset Management L.P. that was originally issued in
November 2020 and underwent a second refinancing in December 2023.
The preliminary ratings are based on information as of July 11,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the July 16, 2024, refinancing date, the proceeds from the
replacement debt will be used to redeem the outstanding debt. S&P
said, "At that time, we expect to withdraw our ratings on the
outstanding debt and assign ratings to the replacement debt.
However, if the refinancing doesn't occur, we may affirm our
ratings on the outstanding debt and withdraw our preliminary
ratings on the replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The non-call period will be extended to July 2026.
-- The reinvestment period will be extended to August 2029.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) will be extended to August 2037.
-- The target initial par amount will increase to $450 million.
-- No additional subordinated notes will be issued on the
refinancing date.
-- The transaction has adopted benchmark replacement language and
was updated to conform to current rating agency methodology.
Replacement And Outstanding Debt Issuances
Replacement debt
-- Class A-1-R3, $90.00 million: Three-month CME term SOFR +
1.45%
-- Class A-1A, $0.00 million: Three-month CME term SOFR + 1.45%
-- Class A-1A Loans, $123.00 million: Three-month CME term SOFR +
1.45%
-- Class A-1B, $0.00 million: Three-month CME term SOFR + 1.45%
-- Class A-1B Loans, $75.00 million: Three-month CME term SOFR +
1.45%
-- Class A-2-R3, $54.00 million: Three-month CME term SOFR +
1.75%
-- Class B-R3, $27.00 million: Three-month CME term SOFR + 2.15%
-- Class C-1-R3, $27.00 million: Three-month CME term SOFR +
3.20%
-- Class C-2-R3, $4.50 million: 8.3670%
-- Class D-R3, $13.50 million: Three-month CME term SOFR + 7.16%
-- Class E-R3, $8.00 million: Three-month CME term SOFR + 8.29%
Outstanding debt
-- Class A-1S-R, $240.00 million: Three-month CME term SOFR +
1.58%
-- Class A-1J-R, $10.00 million: Three-month CME term SOFR +
1.86161%
-- Class A-2-R, $54.00 million: Three-month CME term SOFR +
2.06161%
-- Class B-R, $24.00 million: Three-month CME term SOFR +
2.86161%
-- Class C-R, $24.00 million: Three-month CME term SOFR +
4.16161%
-- Class D, $12.00 million: Three-month CME term SOFR + 7.81161%
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
Marathon CLO 2020-15 Ltd./ Marathon CLO 2020-15 LLC
Class A-1-R3, $90.00 million: AAA (sf)
Class A-1A, $0.00 million: AAA (sf)
Class A-1A Loans, $123.00 million: AAA (sf)
Class A-1B, $0.00 million: AAA (sf)
Class A-1B Loans, $75.00 million AAA (sf):
Class A-2-R3, $54.00 million: AA (sf)
Class B-R3, $27.00 million: A (sf)
Class C-1-R3, $27.00 million: BBB- (sf)
Class C-2-R3, $4.50 million: BBB- (sf)
Class D-R3, $13.50 million: BB- (sf)
Class E-R3, $8.00 million: B- (sf)
Other Debt
Marathon CLO 2020-15 Ltd./ Marathon CLO 2020-15 LLC
Subordinated notes, $39.20 million: Not rated
MOSAIC SOLAR 2023-1: Fitch Lowers Rating on Class D Debt to Bsf
---------------------------------------------------------------
Fitch Ratings has reviewed the ratings on 25 classes of seven Solar
Mosaic ABS transactions. The ratings on six subordinated classes
were downgraded, primarily driven by lower-than-expected
prepayments, which exacerbate the impact of negative excess spread
on those transactions. The remaining ratings were affirmed.
The following rating actions were taken:
- 18 classes were affirmed;
- Six classes were downgraded with Negative Rating Outlooks
assigned following their downgrades;
- One class had its ratings affirmed and Outlook revised to
Negative from Stable.
Entity/Debt Rating Prior
----------- ------ -----
Mosaic Solar Loan
Trust 2022-1
A 61946QAA9 LT AA-sf Affirmed AA-sf
Mosaic Solar Loan
Trust 2022-3
A 61946KAA2 LT AA-sf Affirmed AA-sf
B 61946KAB0 LT A-sf Affirmed A-sf
C 61946KAC8 LT BBsf Downgrade BBBsf
D 61946KAD6 LT Bsf Downgrade BBsf
Mosaic Solar Loan
Trust 2023-1
Class A 61945VAA9 LT AA-sf Affirmed AA-sf
Class B 61945VAB7 LT A-sf Affirmed A-sf
Class C 61945VAC5 LT BBsf Downgrade BBBsf
Class D 61945VAD3 LT Bsf Downgrade BBsf
Mosaic Solar Loan
Trust 2023-2
Class A 61945WAA7 LT AA-sf Affirmed AA-sf
Class B 61945WAB5 LT A-sf Affirmed A-sf
Class C 61945WAC3 LT BBsf Downgrade BBB-sf
Class D 61945WAD1 LT Bsf Downgrade BB-sf
Mosaic Solar Loan
Trust 2023-3
A 618933AA3 LT AA-sf Affirmed AA-sf
B 618933AB1 LT A-sf Affirmed A-sf
C 618933AC9 LT BBB-sf Affirmed BBB-sf
D 618933AD7 LT BB-sf Affirmed BB-sf
Mosaic Solar Loan
Trust 2023-4
A 618934AA1 LT AA-sf Affirmed AA-sf
B 618934AB9 LT A-sf Affirmed A-sf
C 618934AC7 LT BBB-sf Affirmed BBB-sf
D 618934AD5 LT BB-sf Affirmed BB-sf
Mosaic Solar Loan
Trust 2024-1
A 618937AA4 LT AA-sf Affirmed AA-sf
B 618937AB2 LT A-sf Affirmed A-sf
C 618937AC0 LT BBB-sf Affirmed BBB-sf
D 618937AD8 LT BB-sf Affirmed BB-sf
TRANSACTION SUMMARY
The transactions subject to this review are securitizations of
consumer loans backed by residential solar equipment. The
originator is Solar Mosaic, LLC, one of the longest-established
solar lenders in the U.S. Solar Mosaic has been advancing solar
loans since 2014 and has financed them through public
securitizations since 2017.
KEY RATING DRIVERS
Prepayments Exacerbate Negative Excess Spread: Prepayments in Solar
Mosaic ABS transactions issued in 2022 and early 2023 (2022-1,
2022-3, 2023-1 and 2023-2) have been materially below Fitch's
initial expectations, despite increasing in Q2 2024, primarily
driven by tax season. Conversely, prepayments in newer deals
(2023-3, 2023-4, and 2024-1) have been closer to Fitch's initial
expectations.
The current weighted average cost of funds (rebased to stated
principal balance) for these deals ranges from 2.59% to 5.58%,
which yield annual excess spreads before accounting for fees,
ranging from -2.19% to 0.36%. While the loans were purchased at a
discount to mitigate negative or low excess spreads, the lower
prepayments extend the life of rated notes increasing losses due to
negative excess spreads. This leaves less credit enhancement (CE)
to protect against credit losses, which affects certain
subordinated notes in particular.
Fitch lowered its base-case prepayment assumption to 7.5% from 10%
for the 2022-1, 2022-3, 2023-1 and 2023-2 transactions. For deals
2023-3 and 2023-4, Fitch has aligned the prepayment assumptions to
the FICO distribution-based levels assigned for the 2024-1 deal.
This decreases the assumptions for 2023-3 and 2023-4 to around 9%.
Fitch anticipates long-term prepayment rates to rise from the
current low levels due to borrower mobility and potential monetary
policy easing. This will affect the 2022-1, 2022-3, 2023-1 and
2023-2 deals less, as borrowers' lower weighted average interest
rates (ranging from 2.19% to 3.13%) provide a smaller incentive to
prepay given refinancing costs and returns on alternative
investments. In contrast, higher rates in newer deals (ranging from
4.19% to 5.40%) make prepaying more attractive with current
interest rates.
Affirmation of classes A and B reflects stronger structural
protection: The affirmations of the class A and B notes on all
deals reflect Fitch's view that these notes benefit most from
structural protections in the transaction. Lower take-up of the tax
credit-related prepayment option leads to an increase in
distributions due to the target CE mechanism, which repays classes
A and B pro rata. Ten years after closing the target CE mechanism
will be replaced by fully sequential note repayment using all
available funds. Additionally, following a breach of the cumulative
net default trigger, payments of class C and D interest will be
subordinated, increasing the amount of funds available to redeem
class A.
Lower Prepayments and Negative Excess Spread drive downgrades and
changes in Outlook: The downgrades of class C and D notes on the
older deals reflect their vulnerability to the effects of lower
prepayment rates. C and D notes do not receive any principal
distributions until the class A and B notes reach the target CE
level (as % of adjusted pool balance, i.e. pool balance net of
yield supplement overcollateralization). As lower prepayments early
in the transaction's life increase the yield supplement
overcollateralization, the target has not been reached for any of
the deals and C and D have been locked out from principal
distributions. For 2022-1, 2022-3, 2023-1 2023-2 and 2023-3 the
difference to target has even increased since closing (figures
available in the Rating Action Report attached).
The Negative Outlooks for older Mosaic deals' class C and D notes
reflects their vulnerability to continuing lower than expected
prepayment rates. It also reflects their volatile performance,
caused by the interaction of the transaction's triggers related to
cumulative net default, remaining outstanding balance and time from
closing and the deal's target overcollateralization (OC) mechanism,
which alter the principal payment positions of classes C and D in
the waterfall.
Affirmation of 2023 and 2024 deals reflects higher prepayments: For
newer Mosaic transactions, higher prepayment rates have been
positive. While target CEs have not yet been reached for these
deals either, they have built up CE, so that classes C and D's
prospects for receiving cash flow are better than for older Mosaic
transactions.
Defaults and Recoveries mostly in line with Fitch's expectations:
Default and recovery performance of the portfolio since the last
review has been in line with Fitch's expectations for all
transactions but 2023-4. Fitch updated its base case default rate
for the remaining life of the transactions and also reviewed its
default multipliers. Updated figures along with Cumulative Default
Rates for each transaction are available in the Rating Action
Report attached to this rating action. The updated base case
default rate assumption and default rate multiples reflect
additional FICO-based performance data, and different FICO weights
are the main cause of the differences, as well as Fitch's
macro-economic outlook.
2023-4's defaults stand out as worse than expected. Driven by early
underperformance particularly of higher FICO borrowers, defaults
decreased CE on the D note and kept it only stable on the C note.
The Negative Outlook on the class D note for 2023-4 reflects the
worse than expected default performance and class D's particular
vulnerability to this underperformance.
For more seasoned transactions, cumulative recoveries on defaulted
loans represent about 5% of the balance of all defaults as of June
2024. The low observations are consistent with the low seasoning of
the transaction and the typically long recovery for photovoltaic
loans. Fitch has therefore maintained a base case recovery
assumption of 30%, a 'AA-sf' recovery haircut of 36.7% and a
recovery lag assumption of 48 months.
No further ITC Attainment Assumed: Since note amortization relies
on the adjusted principal balance, Fitch calculated a vector for
modelling representing the ratio between stated and adjusted
principal balances over time. Assuming no borrowers awaiting
reamortization make the expected prepayment, all loans reamortize.
As yield supplement overcollateralization (OC) is based on the next
monthly installment, it rises when a borrower misses the expected
prepayment at reamortization, reducing OC calculated on the
adjusted principal balance. This assumption particularly affects
the C and D notes, prolonging the time required for the A and B
notes to reach their target OC levels. Fitch has factored this
impact into the rating decisions for each note.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Asset performance worsening, or sustained low prepayments without
expectation of future increases may put pressure on the rating or
lead to a Negative Outlook for the class A notes.
Material changes in policy support, the economics of purchasing and
financing photovoltaic panels and batteries, and/or ground-breaking
technological advances that make the existing equipment obsolete
may also affect the ratings negatively.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Fitch currently caps these transactions' ratings in the 'AAsf'
category due to limited performance history, while the assigned
'AA-sf' rating is further constrained by the level of CE. As a
result, a positive rating action could result from an increase of
CE due to deleveraging, underpinned by low defaults and sustained
high prepayments.
CRITERIA VARIATION
Fitch applied a variation from its Consumer ABS Rating Criteria to
deviate upwards from the Model Implied Rating by more than three
notches for the A, B, C and D notes. The ultimate ratings were
informed by the sensitivity analysis due to the sensitivity of the
ratings to model assumptions and conventions, repayment timing and
tranche thickness.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG CONSIDERATIONS
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' 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. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
MOUNTAIN VIEW IX: Moody's Lowers Rating on $27.3MM D-R Notes to B1
------------------------------------------------------------------
Moody's Ratings has upgraded the rating on the following notes
issued by Mountain View CLO IX Ltd.:
US$62,000,000 Class A-2-R Senior Secured Floating Rate Notes due
2031 (the "Class A-2-R Notes"), Upgraded to Aaa (sf); previously on
May 1, 2023 Upgraded to Aa1 (sf)
Moody's have also downgraded the ratings on the following notes:
US$27,300,000 Class D-R Junior Secured Deferrable Floating Rate
Notes due 2031 (the "Class D-R Notes"), Downgraded to B1 (sf);
previously on August 31, 2020 Confirmed at Ba3 (sf)
US$8,250,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class E Notes"), Downgraded to Caa3 (sf); previously
on August 31, 2020 Downgraded to Caa1 (sf)
Mountain View CLO IX Ltd., originally issued in June 2015 and
refinanced 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 ended in June 2023.
A comprehensive review of all credit ratings for the respective
transactions have been conducted during a rating committee.
RATINGS RATIONALE
The upgrade rating action is primarily a result of deleveraging of
the senior notes since July 2023. The Class A-1-R notes have been
paid down by approximately 9.91% or $35.2 million since then.
Based on Moody's calculation, the OC ratio for the Class A-2-R
notes (before applying excess Caa haircuts) is at 128.33%, versus
June 2023[1] level of 127.60%.
The downgrade rating actions on the Class D-R and Class E notes
reflect the specific risks to the mezzanine and junior notes posed
by par loss and credit deterioration observed in the underlying CLO
portfolio. Based on Moody's calculation, the OC ratios for the
Class D-R notes and Class E notes are at 103.22% and 101.44%,
respectively, versus June 2023 level of 105.41%[1] and 103.71%,
respectively. Furthermore, the portfolio WARF has been
deteriorating based on Moody's calculation and is currently at 3025
compared to 2730 in June 2023.
No actions were taken on the Class A-1-R, Class B-R, and Class C-R
notes because their expected losses remain commensurate with their
current ratings, after taking into account the CLO's latest
portfolio information, its relevant structural features and its
actual over-collateralization and interest coverage levels.
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 Moody's analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on Moody's
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: $488,051,848
Defaulted par: $8,125,706
Diversity Score: 69
Weighted Average Rating Factor (WARF): 3025
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.60%
Weighted Average Coupon (WAC): 9.46%
Weighted Average Recovery Rate (WARR): 46.39%
Weighted Average Life (WAL): 3.64 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, 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
May 2024.
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.
NORTHWOODS XI-B: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement debt and
proposed new class X-R debt from Northwoods Capital XI-B
Ltd./Northwoods Capital XI-B LLC, a CLO originally issued in April
2018 that is managed by Angelo, Gordon & Co. L.P., a privately held
investment firm.
The preliminary ratings are based on information as of July 11,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the July 19, 2024, refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. S&P
said, "At that time, we expect to withdraw our ratings on the
original debt and assign ratings to the replacement debt. However,
if the refinancing doesn't occur, we may affirm our ratings on the
original debt and withdraw our preliminary ratings on the
replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The replacement class A-1-R, A-2-R, and B-R notes are expected
to be issued at a lower spread over three-month SOFR than the
original notes.
-- The replacement class C-R, D-1-R, and E-R notes are expected to
be issued at a higher spread over three-month SOFR than the
original notes.
-- The replacement class D-2-R notes are expected to be issued at
a fixed coupon, replacing a portion of the current floating-spread
class D notes.
-- The stated maturity and reinvestment period will be extended
6.25 years.
-- The non-call period will be extended to July 2026.
-- The weighted average life test will be extended to 9 years from
the refinancing date.
-- The new class X-R notes will be issued in connection with this
refinancing. These notes are expected to be paid down using
interest proceeds during the first 19 payment dates beginning with
the payment date in January 2025.
-- Of the identified underlying collateral obligations, 99.05%
have credit ratings (which may include confidential ratings,
private ratings, and credit estimates) assigned by S&P Global
Ratings.
-- Of the identified underlying collateral obligations, 93.08%
have recovery ratings (which may include confidential and private
ratings) assigned by S&P Global Ratings.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
Northwoods Capital XI-B Ltd./Northwoods Capital XI-B LLC
Class X-R, $3.00 million: AAA (sf)
Class A-1-R, $276.00 million: AAA (sf)
Class A-2-R, $13.80 million: AAA (sf)
Class B-R, $55.20 million: AA (sf)
Class C-R (deferrable), $32.20 million: A (sf)
Class D-1-R (deferrable) $23.00 million: BBB (sf)
Class D-2-R (deferrable) $6.90 million: BBB- (sf)
Class E-R (deferrable), $16.10 million: BB- (sf)
Subordinated notes, $115.16 million: Not rated
OCEAN TRAILS VII: S&P Affirms 'B- (sf)' Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings raised its ratings on the class A-R, B-R, C-R,
and D debt from Ocean Trails CLO VII, a U.S. collateralized loan
obligation (CLO) managed by Five Arrows Managers North America LLC.
S&P also raised its ratings on the class B-1-R, B-1X-R, B-2-R,
B-2X-R, B-3-R, B-3X-R, B-4-R, B-4X-R, C-1-R, C-1X-R, C-2-R, C-2X-R,
C-3-R, C-3X-R, C-4-R, and C-4X-R debt from the same transaction. At
the same time, S&P affirmed and removed from CreditWatch negative
our rating on the class E debt.
The rating actions follow its review of the transaction's
performance using data from the May and June 2024 trustee report.
Since S&P's September 2023 rating action, the class A-R debt had
total paydowns of $81.76 million that reduced its outstanding
balance to 56.4% of its original balance. These paydowns resulted
in improved reported overcollateralization (O/C) ratios since the
August 2023 trustee report, which S&P used for its previous rating
actions:
-- The class A/B O/C ratio improved to 138.69% from 126.97%.
-- The class C O/C ratio improved to 123.31% from 116.75%.
-- The class D O/C ratio improved to 112.88% from 109.41%.
-- The class E O/C ratio improved to 104.48% from 103.24%.
All O/C ratios experienced a positive movement due to the lower
balances of the senior notes; consequently, the credit support
increased.
S&P said, "Collateral obligations with ratings in the 'CCC'
category are at $24.64 million as of the June 2024 trustee report,
compared with $25.48 million reported as of the August 2023 trustee
report, which we used for our previous rating actions. Though the
dollar value of the 'CCC' exposure has declined, the CLO's
portfolio has amortized significantly since our last rating
actions. Consequently, the percentage exposure of the 'CCC' balance
increased to 9.18%, versus 7.32% in the last rating action, and is
now more than the maximum allowed by the documents. As a result,
the trustee, as per the terms of the CLO documents, haircuts the
O/C numerator for this excess.
"The rating on the class E debt was removed from CreditWatch where
we placed it with negative implications on April 17, 2024, based on
its indicative cash flows at that time, increased defaults, and its
relatively low O/C level at the time of the CreditWatch placement.
Since then, the senior notes amortized significantly, which
increased the credit support. As a result, the class E note cash
flows are now passing at their current rating level."
The affirmed ratings reflect adequate credit support at the current
rating levels, though any deterioration in the credit support
available to the notes could results in further ratings changes.
The upgraded rating reflects the improved credit support available
to the notes at the prior rating levels.
The cash flows indicated a higher rating on all the classes except
the class A-R debt. S&P said, "However, because the transaction
currently has higher-than-average exposure to 'CCC' rated
collateral obligations and some of the assets are trading at low
prices, our rating actions reflect additional sensitivity runs that
consider the CLO's exposure to such assets, and our preference for
more cushion to offset any future potential negative credit
migration in the underlying collateral. In addition, our rating
actions reflect our qualitative view that the O/C ratios of these
debt, despite the paydowns, are currently in line with the market
averages."
S&P said, "In line with our criteria, our cash flow scenarios
applied forward-looking assumptions on the expected timing and
pattern of defaults, and recoveries upon default, under various
interest rate and macroeconomic scenarios. In addition, our
analysis considered the transaction's ability to pay timely
interest and/or ultimate principal to each of the rated tranches.
The results of the cash flow analysis--and other qualitative
factors as applicable--demonstrated, in our view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with these rating
actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and will take rating actions as we deem
necessary."
Ratings Raised
Ocean Trails CLO VII
Class B-R(i) to 'AA+ (sf)' from 'AA (sf)'
Class C-R(i)to 'A+ (sf)' from 'A (sf)'
Class D to 'BBB (sf)' from 'BBB- (sf)'
Exchangeable note combinations(ii)
Combination 1
Class B-1-R(iii) to 'AA+ (sf)' from 'AA (sf)'
Class B-1X-R(iv) to 'AA+ (sf)' from 'AA (sf)'
Combination 2
Class B-2-R(iii) to 'AA+ (sf)' from 'AA (sf)'
Class B-2X-R(iv) to 'AA+ (sf)' from 'AA (sf)'
Combination 3
Class B-3-R(iii) to 'AA+ (sf)' from 'AA (sf)'
Class B-3X-R(iv) to 'AA+ (sf)' from 'AA (sf)'
Combination 4
Class B-4-R(iii) to 'AA+ (sf)' from 'AA (sf)'
Class B-4X-R(iv) to 'AA+ (sf)' from 'AA (sf)'
Combination 5
Class C-1-R (deferrable)(iii) to 'A+ (sf)' from 'A (sf)'
Class C-1X-R (deferrable)(iv) to 'A+ (sf)' from 'A (sf)'
Combination 6
Class C-2-R (deferrable)(iii) to 'A+ (sf)' from 'A (sf)'
Class C-2X-R (deferrable)(iv) to 'A+ (sf)' from 'A (sf)'
Combination 7
Class C-3-R (deferrable)(iii) to 'A+ (sf)' from 'A (sf)'
Class C-3X-R (deferrable)(iv) to 'A+ (sf)' from 'A (sf)'
Combination 8
Class C-4-R (deferrable)(iii) to 'A+ (sf)' from 'A (sf)'
Class C-4X-R (deferrable)(iv) to 'A+ (sf)' from 'A (sf)'
Rating Affirmed And Removed From CreditWatch Negative
Ocean Trails CLO VII
Class E to 'B- (sf)' from 'B- (sf)/Watch Neg'
Rating Affirmed
Ocean Trails CLO VII
Class A-R: AAA (sf)
(i)The class B-R and C-R notes are exchangeable for proportionate
interest in combinations of principal notes and interest-only notes
of their respective classes. In aggregate, the cost of debt,
outstanding balance, and payment priority following such an
exchange would remain the same. Reference the exchangeable note
combinations section for combinations.
(ii)Applicable combinations will have an aggregate interest rate
equal to that of the exchanged note.
(iii)MASCOT P&I notes will have the same principal balance as the
class B-R or C-R notes, as applicable, surrendered in the exchange.
(iv)Interest-only notes earn a fixed rate of interest on its
notional balance and is not entitled to any payments of principal.
The notional balance will equal the principal balance of the
corresponding MASCOT P&I note of such combination.
MASCOT P&I--Modifiable and splittable or combinable tranches,
principal and interest.
OHA CREDIT 13: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-1-R,B-2-R, C-R, D-1-R, D-2-R, and E-R debt from OHA Credit
Funding 13 Ltd./OHA Credit Funding 13 LLC a CLO originally issued
in August 2022 that is managed by Oak Hill Advisors L.P.
The preliminary ratings are based on information as of July 16,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the July 22,2024, refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. S&P
said, "At that time, we expect to withdraw our ratings on the
original debt and assign ratings to the replacement debt. However,
if the refinancing doesn't occur, we may affirm our ratings on the
original debt and withdraw our preliminary ratings on the
replacement debt."
-- The replacement class A-R, B-1-R, C-R, D-1-R, D-2-R, and E-R
debt is expected to be issued at a lower spread over three-month
CME term SOFR than the original debt.
-- The replacement class B-2-R debt is expected to be issued at a
fixed coupon.
-- The stated maturity, reinvestment period, and non-call period
will be extended two, three, and two years, respectively.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
OHA credit Funding 13 Ltd./OHA Credit Funding 13 LLC
Class A-R, $315.00 million: AAA (sf)
Class B-1-R, $43.00 million: AA (sf)
Class B-2-R, $22.00 million: AA (sf)
Class C-R (deferrable), $30 million: A (sf)
Class D-1-R (deferrable), $30 million: BBB- (sf)
Class D-2-R (deferrable), $5 million: BBB- (sf)
Class E-R (deferrable), $15.00 million: BB- (sf)
Other Debt
OHA credit Funding 13 Ltd./OHA Credit Funding 13 LLC
Subordinated notes, $43 million: Not rated
PALMER SQUARE 2022-2: S&P Assigns Prelim 'BB-' Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement debt from Palmer
Square CLO 2022-2 Ltd./Palmer Square CLO 2022-2 LLC, a CLO
originally issued in June 2022 that is managed by Palmer Square
Capital Management LLC.
The preliminary ratings are based on information as of July 15,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the July 22, 2024, refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. At that
time, S&P expects to withdraw our ratings on the original debt and
assign ratings to the replacement debt. However, if the refinancing
doesn't occur, S&P may affirm its ratings on the original debt and
withdraw its preliminary ratings on the replacement debt.
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The replacement class A-R, B-R, C-R, D-1-R, D-2-R and E-R debt
is expected to be issued at a lower spread over three-month CME
term SOFR than the original debt.
-- The stated maturity period will be extended by three years. The
reinvestment and non-call periods will be extended by two years.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
Palmer Square CLO 2022-2 Ltd./Palmer Square CLO 2022-2 LLC
Class A-R, $319.80 million: AAA (sf)
Class B-R, $60.00 million: AA (sf)
Class C-R (deferrable), $30.00 million: A (sf)
Class D-1-R (deferrable), $29.95 million: BBB- (sf)
Class D-2-R (deferrable), $5.00 million: BBB- (sf)
Class E-R (deferrable), $15.00 million: BB- (sf)
Subordinated notes, $34.66 million: Not rated
PALMER SQUARE 2024-2: S&P Assigns BB- (sf) Rating on Cl. E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Palmer Square CLO 2024-2
Ltd./Palmer Square CLO 2024-2 LLC's floating-rate debt.
The debt 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 ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Palmer Square CLO 2024-2 Ltd./Palmer Square CLO 2024-2 LLC
Class A-1, $384 million: AAA (sf)
Class A-2, $6 million: AAA (sf)
Class B, $66 million: AA (sf)
Class C (deferrable), $36 million: A (sf)
Class D-1 (deferrable), $36 million: BBB- (sf)
Class D-2 (deferrable), $6 million: BBB- (sf)
Class E (deferrable), $18 million: BB- (sf)
Subordinated notes, $57 million: Not rated
PKHL 2021-MF: S&P Lowers Class D Notes Rating to 'B+ (sf)'
----------------------------------------------------------
S&P Global Ratings lowered its ratings on three classes and
affirmed its ratings on two other classes of commercial mortgage
pass-through certificates from PKHL Commercial Mortgage Trust
2021-MF, a U.S. CMBS transaction. At the same time, S&P withdrew
its 'AAA (sf)' rating on the class X-CP certification from the same
transaction.
This U.S. stand-alone (single-borrower) CMBS transaction is backed
by a floating-rate, interest-only (IO) mortgage loan secured by the
borrower's fee-simple interest in Parkhill City, a two-tower
apartment complex totaling 538 units in the Jamaica neighborhood of
Queens in New York City.
Rating Actions
S&P said, "The downgrades on classes B, C, and D and affirmation on
class A primarily reflect our updated analysis for the loan, which
factors in the $10.0 million in exposure build to date as well as
the potential for an additional $11.1 million of exposure build as
the special servicer pursues a foreclosure and liquidation of the
asset. The current exposure build primarily reflects servicer
advancing for loan interest, and, since it sits senior to the
outstanding trust debt, it directly reduces the ultimate
recoverable proceeds available to the bonds upon the asset's
eventual liquidation. The rating actions further reflect our
revised property analysis, which adjusts for our belief that the
89th Avenue tower, which was eligible for a 15-year 421-a tax
abatement benefit, still lacks such benefit, and we currently have
no indication that such benefit will be effectuated in the
near-term.
"At the time of our last review, the loan had recently transferred
to special servicing for term payment default and had exposure
build of $3.2 million. Since then, the loan has missed its initial
July 9, 2023, maturity date (with no maturity extension having been
worked out) and amassed an additional $6.7 million in exposure
build, due primarily to servicer advancing for loan interest.
Furthermore, the special servicer, CWCapital Asset Management LLC,
has indicated that discussions with the borrower on a potential
resolution have stalled, and it is now pursuing a property
foreclosure, the timing of which (through the asset's eventual
liquidation) could result in material additional exposure build.
"Based on our $9.9 million S&P Global Ratings' net cash flow (NCF)
for debt service and the loan's $21.1 million annual debt service
obligation--reflecting current one-month SOFR and the loan spread
(we believe the loan currently lacks an interest rate cap
agreement)--a one-year foreclosure/liquidation timeframe could
result in an additional $11.1 million of exposure build, for a
potential total $21.1 million of exposure build senior to the
outstanding trust debt. We will continue to monitor the asset
resolution, including the anticipated timing and trajectory of
future exposure build, and will revise our analysis and take
additional rating actions as we determine necessary.
"We affirmed our 'AAA (sf)' rating on the class X-NCP IO
certificates based on our criteria for rating IO securities, in
which the rating on the IO securities would not be higher than that
of the lowest-rated reference class. The class X-NCP notional
amount references class A.
"We withdrew our 'AAA (sf)' rating on the class X-CP IO
certificates because they no longer receive interest payments
according to the transaction documents."
Updates To Property-Level Analysis
S&P said, "Our updated property-level analysis considers the
in-place 92.2% occupancy rate and $2,741 monthly average rent (both
as of the December 2023 rent roll) and 2021 reported expenses (the
latest available in any detailed fashion). We assumed the unabated
tax expense for both towers ($3.6 million) in the derivation of our
long-term sustainable NCF, which amounted to $9.7 million
(unchanged from our last published review and approximate to the
$9.9 million servicer-reported NCF for the trailing 12 months ended
Sept. 30, 2023). After applying our 5.75% capitalization rate (also
unchanged from our last published review) and adjusting our value
to reflect the remaining tax abatement benefit for the 88th Avenue
tower, we arrived at a long-term sustainable value of $170.7
million ($317,241 per unit), down from $185.8 million ($345,323 per
unit) at our last published review and 36.7% lower than the July
2023 appraised value of $269.5 million ($500,929 per unit). The
revision largely reflects the removal of the tax abatement benefit
for the 89th Avenue tower, as discussed. Although the borrower, The
Chetrit Group, applied for the 15-year 421-a tax abatement benefit
for the 89th Avenue tower more than three years ago, the NYC
Department of Finance website continues to show the fully unabated
tax bill as due for the tower. Given this, it's our belief that the
tower doesn't benefit from any tax abatement program, and we have
no indication that it will in the near-term. As such, our revised
property-level analysis doesn't assume any remaining tax abatement
benefit for the 89th Avenue tower."
Ratings Lowered
PKHL Commercial Mortgage Trust 2021-MF
Class B to 'BBB+ (sf)' from 'AA- (sf)'
Class C to 'BB+ (sf)' from 'A (sf)'
Class D to 'B+ (sf)' from 'BBB (sf)'
Rating Withdrawn
PKHL Commercial Mortgage Trust 2021-MF
Class X-CP to not rated from 'AAA (sf)'
Ratings Affirmed
PKHL Commercial Mortgage Trust 2021-MF
Class A: AAA (sf)
Class X-NCP: AAA (sf)
RAD CLO 3: Fitch Assigns 'BB-sf' Rating on 2 Tranches
-----------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Rad CLO
3, Ltd. (f/k/a Kayne CLO III, Ltd.) reset transaction.
Entity/Debt Rating Prior
----------- ------ -----
Rad CLO 3, Ltd.
(f/k/a Kayne CLO
III, Ltd.)
A 48661WAA6 LT PIFsf Paid In Full AAAsf
A-1-R2 LT AAAsf New Rating
A-2-R2 LT AAAsf New Rating
B-R2 LT AAsf New Rating
C-R2 LT Asf New Rating
D-1-R2 LT BBB-sf New Rating
D-2-R2 LT BBB-sf New Rating
E-1-R2 LT BB-sf New Rating
E-2-R2 LT BB-sf New Rating
X-R2 LT NRsf New Rating
TRANSACTION SUMMARY
Rad CLO 3, Ltd. (f/k/a Kayne CLO III, Ltd.) (the issuer) is an
arbitrage cash flow collateralized loan obligation (CLO) managed by
Irradiant Partners, LP, that originally closed in March 2019 and
was first refinanced in May 2021. The second full refinancing of
the existing notes will take place on July 9, 2024. Net proceeds
from the issuance of the secured notes will provide financing on a
portfolio of approximately $415 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B'/'B-', which is in line with that of
recent CLOs. The weighted average rating factor (WARF) of the
indicative portfolio is 25.21, versus a maximum covenant, in
accordance with the initial expected matrix point of 26. Issuers
rated in the 'B' rating category denote a highly speculative credit
quality; however, the notes benefit from appropriate credit
enhancement and standard U.S. CLO structural features.
Asset Security (Positive): The indicative portfolio consists of
95.77% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 75.29% versus a
minimum covenant, in accordance with the initial expected matrix
point of 73.5%.
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 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 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
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-1-R2, between
'BBBsf' and 'AA+sf' for class A-2-R2, between 'BB+sf' and 'A+sf'
for class B-R2, between 'B+sf' and 'BBB+sf' for class C-R2, between
less than 'B-sf' and 'BB+sf' for class D-1-R2, between less than
'B-sf' and 'BB+sf' for class D-2-R2, and between less than 'B-sf'
and 'B+sf' for class E-R2.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-1-R2 and class
A-2-R2 notes as these notes are in the highest rating category of
'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2,
'A+sf' for class D-1-R2, 'Asf' for class D-2-R2, and 'BBB+sf' for
class E-R2.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
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.
ESG CONSIDERATIONS
Fitch does not provide ESG relevance scores for Fitch Rates Rad CLO
3, Ltd. (f/k/a Kayne CLO III, Ltd.). In cases where Fitch does not
provide ESG relevance scores in connection with the credit rating
of a transaction, programme, instrument or issuer, Fitch will
disclose in the key rating drivers any ESG factor which has a
significant impact on the rating on an individual basis.
RATE MORTGAGE 2024-J1: Fitch Assigns Bsf Rating on Class B-6 Certs
------------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed certificates issued by RATE Mortgage Trust 2024-J1
(RATE 2024-J1).
Entity/Debt Rating Prior
----------- ------ -----
RATE 2024-J1
A-1 LT AAAsf New Rating AAA(EXP)sf
A-2 LT AAAsf New Rating AAA(EXP)sf
A-3 LT AAAsf New Rating AAA(EXP)sf
A-4 LT AAAsf New Rating AAA(EXP)sf
A-5 LT AAAsf New Rating AAA(EXP)sf
A-6 LT AAAsf New Rating AAA(EXP)sf
A-7 LT AAAsf New Rating AAA(EXP)sf
A-8 LT AAAsf New Rating AAA(EXP)sf
A-9 LT AAAsf New Rating AAA(EXP)sf
A-10 LT AAAsf New Rating AAA(EXP)sf
A-11 LT AAAsf New Rating AAA(EXP)sf
A-12 LT AAAsf New Rating AAA(EXP)sf
A-13 LT AAAsf New Rating AAA(EXP)sf
A-14 LT AAAsf New Rating AAA(EXP)sf
A-15 LT AAAsf New Rating AAA(EXP)sf
A-16 LT AAAsf New Rating AAA(EXP)sf
A-17 LT AAAsf New Rating AAA(EXP)sf
A-18 LT AAAsf New Rating AAA(EXP)sf
A-19 LT AAAsf New Rating AAA(EXP)sf
A-20 LT AAAsf New Rating AAA(EXP)sf
A-21 LT AAAsf New Rating AAA(EXP)sf
A-22 LT AAAsf New Rating AAA(EXP)sf
A-23 LT AAAsf New Rating AAA(EXP)sf
A-24 LT AAAsf New Rating AAA(EXP)sf
A-25 LT AAAsf New Rating AAA(EXP)sf
A-X-1 LT AAAsf New Rating AAA(EXP)sf
A-X-2 LT AAAsf New Rating AAA(EXP)sf
A-X-3 LT AAAsf New Rating AAA(EXP)sf
A-X-4 LT AAAsf New Rating AAA(EXP)sf
A-X-5 LT AAAsf New Rating AAA(EXP)sf
A-X-6 LT AAAsf New Rating AAA(EXP)sf
A-X-7 LT AAAsf New Rating AAA(EXP)sf
A-X-8 LT AAAsf New Rating AAA(EXP)sf
A-X-9 LT AAAsf New Rating AAA(EXP)sf
A-X-10 LT AAAsf New Rating AAA(EXP)sf
A-X-11 LT AAAsf New Rating AAA(EXP)sf
A-X-12 LT AAAsf New Rating AAA(EXP)sf
A-X-13 LT AAAsf New Rating AAA(EXP)sf
A-X-14 LT AAAsf New Rating AAA(EXP)sf
A-X-15 LT AAAsf New Rating AAA(EXP)sf
A-X-16 LT AAAsf New Rating AAA(EXP)sf
A-X-17 LT AAAsf New Rating AAA(EXP)sf
A-X-18 LT AAAsf New Rating AAA(EXP)sf
A-X-19 LT AAAsf New Rating AAA(EXP)sf
A-X-20 LT AAAsf New Rating AAA(EXP)sf
A-X-21 LT AAAsf New Rating AAA(EXP)sf
A-X-22 LT AAAsf New Rating AAA(EXP)sf
A-X-23 LT AAAsf New Rating AAA(EXP)sf
A-X-24 LT AAAsf New Rating AAA(EXP)sf
A-X-25 LT AAAsf New Rating AAA(EXP)sf
A-X-26 LT AAAsf New Rating AAA(EXP)sf
B-1 LT AAsf New Rating AA(EXP)sf
B-1A LT AAsf New Rating AA(EXP)sf
B-X-1 LT AAsf New Rating AA(EXP)sf
B-2 LT A-sf New Rating A-(EXP)sf
B-2A LT A-sf New Rating A-(EXP)sf
B-X-2 LT A-sf New Rating A-(EXP)sf
B-3 LT BBBsf New Rating BBB(EXP)sf
B-4 LT BBsf New Rating BB(EXP)sf
B-5 LT Bsf New Rating B(EXP)sf
B-6 LT NRsf New Rating NR(EXP)sf
R LT NRsf New Rating NR(EXP)sf
A-X-S LT NRsf New Rating NR(EXP)sf
TRANSACTION SUMMARY
The RATE 2024-J1 certificates are supported by 335 loans with a
total balance of approximately $371.76 million as of the cutoff
date. The pool consists of prime fixed-rate mortgages originated by
Guaranteed Rate, Inc. (GRI). Distributions of principal and
interest and loss allocations are based on a senior-subordinate,
shifting-interest structure.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 10.5% above a long-term sustainable level (vs.
11.1% on a national level as of 4Q23, remained unchanged since last
quarter). Housing affordability is the worst it has been in decades
driven by both high interest rates and elevated home prices. Home
prices have increased 5.5% yoy nationally as of February 2024
despite modest regional declines, but are still supported by
limited inventory.
High-Quality Mortgage Pool (Positive): The collateral consists of
335 loans, totaling $371.76 million, and seasoned approximately two
months in the aggregate (calculated as the difference between
origination date and first pay date). The average borrowers have a
strong credit profile (779.4 FICO and 34.2% debt to income ratio
[DTI]) and moderate leverage (73.4% current mark to market loan to
value ratio [cLTV] and sustainable loan to value ratio [sLTV] of
82.3%).
The pool consists of 94.3% of loans where the borrower maintains a
primary residence, while 5.7% comprise a second home. Additionally,
100.0% of the loans were originated through a retail channel and
99.8% are designated as safe-harbor qualified mortgages (QM).
Shifting Interest Structure (Mixed): The mortgage cash flow and
loss allocation are based on a senior-subordinate,
shifting-interest structure whereby the subordinate classes receive
only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. While there is
only minimal leakage to the subordinate bonds early in the life of
the transaction, the structure is more vulnerable to defaults
occurring at a later stage compared to a sequential or modified
sequential structure.
Interest Reduction Risk (Negative): The transaction incorporates a
structural feature for loans more than 120 days delinquent (a
stop-advance loan). Unpaid interest on stop-advance loans reduces
the amount of interest that is contractually due to bondholders in
reverse-sequential order. While this feature helps limit cash flow
leakage to subordinate bonds, it can result in interest reductions
to rated bonds in high-stress scenarios.
A key difference with this transaction, compared to other programs
that treat stop-advance loans similarly, is that liquidation
proceeds are allocated to interest before principal. As a result,
Fitch included the full interest carry in its loss projections and
views the risk of permanent interest reductions as lower than for
other programs with a similar feature.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch's analysis incorporates a sensitivity analysis to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at the MSA level. The implied rating sensitivities are
only an indication of some of the potential outcomes and do not
consider other risk factors that the transaction may become exposed
to or may be considered in the surveillance of the transaction.
Three sets of sensitivity analyses were conducted at the state and
national levels to assess the effect of higher MVDs for the subject
pool.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30%, in addition to the
model-projected 10.5%. As shown in the table below, the analysis
indicates that there is some potential rating migration with higher
MVDs compared to the model projection.
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 Consolidated Analytics. The third-party due diligence
described in Form 15E focused on credit, compliance and property
valuation review. Fitch applied a credit for the high percentage of
loan-level due diligence, which reduced the 'AAAsf' loss
expectation by 26bps.
ESG CONSIDERATIONS
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' 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. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
ROCKFORD 2022-3: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-1R, D-2R, and E-R replacement debt from Rockford
Tower CLO 2022-3 Ltd./Rockford Tower CLO 2022-3 LLC, a CLO
originally issued in January 2023 that is managed by Rockford Tower
Capital Management LLC.
The preliminary ratings are based on information as of July 15,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the July 22, 2024 refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. At that
time, S&P expects to withdraw our ratings on the original debt and
assign ratings to the replacement debt. However, if the refinancing
doesn't occur, S&P may affirm its ratings on the original debt and
withdraw its preliminary ratings on the replacement debt.
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The non-call period will be extended to July 2026.
-- The reinvestment period will be extended to July 2029.
-- The stated maturity will be extended to July 2037.
-- The replacement class A-R, B-R, C-R, D-1R, D-2R, and E-R notes
are expected to be issued at floating spreads, replacing the
current fixed- and floating-rate debt.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
Rockford Tower CLO 2022-3 Ltd./Rockford Tower CLO 2022-3 LLC
Class A-R, $256.00 million: AAA (sf)
Class B-R, $48.00 million: AA (sf)
Class C-R (deferrable), $22.00 million: A (sf)
Class D-1R (deferrable), $22.00 million: BBB (sf)
Class D-2R (deferrable), $8.00 million: BBB- (sf)
Class E-R (deferrable), $12.00 million: BB- (sf)
Other Debt
Rockford Tower CLO 2022-3 Ltd./Rockford Tower CLO 2022-3 LLC
Subordinated notes, $35.50 million: Not rated
RR 12: S&P Assigns BB- (sf) Rating on Class D-R3 Notes
------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1a-R3,
A-1b-R3, A-2-R3, B-R3, C-R3, and D-R3 replacement debt from RR 12
Ltd./RR 12 LLC, a CLO rated by S&P Global Ratings in December 2020
that is managed by Redding Ridge Asset Management LLC. At the same
time, S&P withdrew its ratings on the original class A-1a-R2,
A-1b-R2, A-2-R2, B-R2, C-R2, and D-R2 debt following payment in
full on the July 15, 2024, refinancing date.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The non-call period was extended on the refinanced notes to
July 15, 2025.
-- The first payment date following the refinancing is in October
2024.
-- No additional subordinated notes were issued on the refinancing
date.
Replacement And Original Debt Issuances
Replacement debt
-- Class A-1a-R3, $285.0 million: Three-month CME term SOFR +
1.25%
-- Class A-1b-R3, $15.1 million: Three-month CME term SOFR +
1.55%
-- Class A-2-R3, $53.4 million: Three-month CME term SOFR + 1.60%
-- Class B-R3 (deferrable), $33.0 million: Three-month CME term
SOFR + 2.00%
-- Class C-R3 (deferrable), $28.5 million: Three-month CME term
SOFR + 3.00%
-- Class D-R3 (deferrable), $19.0 million: Three-month CME term
SOFR + 6.90%
Original debt
-- Class A-1a-R2, $285.0 million: Three-month CME term SOFR +
1.36% + CSA(i)
-- Class A-1b-R2, $15.1 million: Three-month CME term SOFR + 1.55%
+ CSA(i)
-- Class A-2-R2, $53.4 million: Three-month CME term SOFR + 1.70%
+ CSA(i)
-- Class B-R2 (deferrable), $33.0 million: Three-month CME term
SOFR + 2.30% + CSA(i)
-- Class C-R2 (deferrable), $28.5 million: Three-month CME term
SOFR + 3.50% + CSA(i)
-- Class D-R2 (deferrable), $19.0 million: Three-month CME term
SOFR + 6.72% + CSA(i)
(i)The CSA is 0.26161%.
CSA--Credit spread adjustment.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
RR 12 Ltd./RR 12 LLC
Class A-1a-R3, $285.00 million: AAA (sf)
Class A-1b-R3, $15.10 million: AAA (sf)
Class A-2-R3, $53.40 million: AA (sf)
Class B-R3 (deferrable), $33.00 million: A (sf)
Class C-R3 (deferrable), $28.50 million: BBB- (sf)
Class D-R3 (deferrable), $19.00 million: BB- (sf)
Ratings Withdrawn
RR 12 Ltd./RR 12 LLC
Class A-1a-R2 to not rated from 'AAA (sf)'
Class A-1b-R2 to not rated from 'AAA (sf)'
Class A-2-R2 to not rated from 'AA (sf)'
Class B-R2 to not rated from 'A (sf)'
Class C-R2 to not rated from 'BBB- (sf)'
Class D-R2 to not rated from 'BB- (sf)'
Other Debt
RR 12 Ltd./RR 12 LLC
Subordinated notes, $86.71 million: Not rated
RR 21: Moody's Assigns B3 Rating to $500,000 Class E-R Notes
------------------------------------------------------------
Moody's Ratings has assigned ratings to two classes of CLO
refinancing notes (the "Refinancing Notes") issued by RR 21 LTD
(the "Issuer").
Moody's rating action is as follows:
US$320,000,000 Class A-1a-R Senior Secured Floating Rate Notes due
2039, Assigned Aaa (sf)
US$500,000 Class E-R Secured Deferrable Floating Rate Notes due
2039, Assigned B3 (sf)
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.
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least
92.5% of the portfolio must consist of first lien senior secured
loans and up to 7.5% of the portfolio may consist of second lien
loans, unsecured loans and permitted non-loan assets.
Redding Ridge Asset Management LLC (the "Manager") will continue to
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 extended 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 issuance of the Refinancing Notes, the other
classes of secured notes and additional subordinated notes, a
variety of other changes to transaction features will occur in
connection with the refinancing. These include: extension of the
reinvestment period; extensions of the stated maturity and non-call
period; changes to certain collateral quality tests; and changes to
the overcollateralization test levels; additions and/or updates to
the CLO's ability to hold workout and restructured assets; changes
to the base matrix and modifiers.
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 May 2024.
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on Moody's published methodology
and could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Portfolio par: $500,000,000
Diversity Score: 50
Weighted Average Rating Factor (WARF): 3150
Weighted Average Spread (WAS): 3.50%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 47.00%
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
May 2024.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing 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 Refinancing Notes.
RR 29: S&P Assigns BB- (sf) Rating on Class D-R Notes
-----------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R,
B-R, C-1-R, C-2-R, and D-R replacement debt from RR 29 Ltd./RR 29
LLC, a CLO originally named Gulf Stream Meridian 3 Ltd./Gulf Stream
Meridian 3 LLC, issued in February 2021, and is managed by Redding
Ridge Asset Management LLC, a subsidiary of Apollo Global
Management LLC. At the same time, S&P withdrew its ratings on the
class A-1, A-2, B, C, and D debt following payment in full.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The non-call period was extended to July 15, 2026.
-- The reinvestment period was extended to July 15, 2029.
-- The legal final maturity dates for the replacement debt were
extended to July 15, 2039.
-- No additional assets were purchased on the July 15, 2024,
refinancing date, and the target initial par amount remains at $400
million. There was no additional effective date or ramp-up period,
and the first payment date following the refinancing is Oct. 15,
2024.
-- The required minimum overcollateralization and interest
coverage ratios were amended.
-- An additional $10.77 million in subordinated notes was issued
on the refinancing date.
-- The concentration limitation of the collateral portfolio's
investment guidelines were amended.
-- The transaction has adopted benchmark replacement language and
was updated to conform to current rating agency methodology.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
RR 29 Ltd./RR 29 LLC
Class A-1-R, $248.00 million: AAA (sf)
Class A-2-R, $52.00 million: AA (sf)
Class B-R (deferrable), $28.00 million: A (sf)
Class C-1-R (deferrable), $20.00 million: BBB (sf)
Class C-2-R (deferrable), $4.00 million: BBB- (sf)
Class D-R (deferrable), $16.00 million: BB- (sf)
Ratings Withdrawn
RR 29 Ltd./RR 29 LLC
Class A-1 to NR from 'AAA (sf)'
Class A-2 to NR from 'AA (sf)'
Class B to NR from 'A (sf)'
Class C to NR from 'BBB- (sf)'
Class D to NR from 'BB- (sf)'
Other Debt
RR 29 Ltd./RR 29 LLC
Subordinated notes, $45.77 million(i): Not rated
(i)The subordinated notes' balance will be increased to $45.77
million from $35.00 million on the refinancing date.
NR--Not rated.
SIERRA 2024-2: S&P Assigns Prelim BB (sf) Rating on Cl. D Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Sierra
Timeshare 2024-2 Receivables Funding LLC's timeshare loan-backed
notes.
The note issuance is an ABS securitization backed by vacation
ownership interest (timeshare) loans.
The preliminary ratings are based on information as of July 11,
2024. 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 credit enhancement available in the form of subordination,
overcollateralization, a reserve account, and available excess
spread.
-- The transaction's ability on average to withstand breakeven
default levels of 72.59%, 56.55%, 39.68%, and 32.33% for the class
A, B, C, and D notes, respectively, based on S&P's various stressed
cash flow scenarios. These levels are higher than the 3.21x, 2.44x,
1.79x, and 1.45x its expected cumulative gross defaults (ECGD) of
20.8% for the class A, B, C, and D notes, respectively.
-- The transaction's ability to pay timely interest and ultimate
principal by the notes' legal maturity under S&P's stressed cash
flow assumptions, and performance under the credit stability and
sensitivity scenarios at their respective rating levels.
-- The collateral characteristics of the series' timeshare loans,
S&P's view of the credit risk of the collateral, and its updated
macroeconomic forecast and forward-looking view of the timeshare
sector.
-- The series' bank accounts at U.S. Bank Trust Co. N.A. and the
reserve account amount to be represented by a letter of credit to
be provided by The Bank of Nova Scotia, which do not constrain the
preliminary ratings.
-- S&P's operational risk assessment of Wyndham Consumer Finance
Inc. as servicer, and its views of the company's servicing ability
and experience in the timeshare market.
-- S&P's assessment of the transaction's potential exposure to
environmental, social, and governance credit factors.
-- The transaction's payment and legal structures.
Preliminary Ratings Assigned
Sierra Timeshare 2024-2 Receivables Funding LLC
Class A, $168.946 million: AAA (sf)
Class B, $82.032 million: A (sf)
Class C, $87.500 million: BBB (sf)
Class D, $36.522 million: BB (sf)
TELOS CLO 2013-4: S&P Lowers Class E-R Notes Rating to 'CC (sf)'
----------------------------------------------------------------
S&P Global Ratings took various rating actions on five classes of
debt from Telos CLO 2013-4 Ltd. At the same time, S&P removed two
ratings from CreditWatch where they were placed with negative
implications on June 30, 2020.
The rating actions follow S&P's review of the transaction's
performance using data from the May 2024 trustee report. Although
the same portfolio backs all of the tranches, there can be
circumstances, such as this one, where the ratings on the tranches
may move in opposite directions due to credit support changes in
the portfolio. This transaction is experiencing opposing rating
movements because it has experienced both principal paydowns, which
increased the senior credit support, and principal losses, which
was the main driver for the decline in junior credit support.
The transaction has paid down $76.75 million in collective paydowns
to the class A-R debt since our July 2023 review. The changes in
the reported overcollateralization (O/C) ratios since the May 2023
trustee report, which S&P used for its previous rating actions,
include:
-- The class A/B O/C ratio improved to 139.28% from 132.88%.
-- The class C O/C ratio declined to 119.85% from 120.61%.
-- The class D O/C ratio declined to 103.08% from 108.87%.
-- The class E O/C ratio declined to 94.77% from 103.14%.
While the class A/B O/C ratio experienced a positive movement due
to the lower balances of the senior debt, the remaining classes'
O/C ratios declined mainly due to a combination of par losses and
increasing haircuts in the O/C numerators.
The upgrades on the class B-R debt and C-R loans reflect the
improved credit support available to these classes from the prior
rating levels. S&P said, "Although our cash flow analysis indicated
higher ratings for these classes, our rating actions reflect
additional sensitivity runs that considered the exposure to lower
quality assets and distressed prices we noticed in the portfolio."
The downgrade on the class D-R debt reflects the decrease in credit
support available to this class. Though the exposure to 'CCC' rated
collateral obligations has remained stable in dollar terms since
May 2023, the exposure has increased in percentage terms, which
contributed to the increased scenario default rates and the
decreased credit support to the class D-R debt, leading to the
downgrade to 'BB (sf)'.
S&P said, "The downgrade on the class E-R debt reflects our view
that this class will default even under the most optimistic
collateral performance scenario, which fulfills our 'CC' rating
definition of virtual certainty of default. Based on the May 2024
trustee report, the aggregate balance of transaction's assets is
$188.15 million, which comprises $157.68 million performing assets,
$28.80 million principal proceeds, and $1.67 million defaults in
par amount. However, the outstanding aggregate principal balance
(including class E-R deferred interest) is currently $190.39
million, which is $2.24 million higher than the value of total
assets, even assuming defaults will fully recover. Furthermore, the
CLO does not have any other significant assets that could be
monetized. As a result, we lowered our rating on the class E-R debt
to 'CC (sf)'."
The affirmation on the class A-R debt reflects adequate credit
support at the current rating levels, though any further
deterioration in the credit support available to the notes could
results in further ratings changes.
S&P said, "In line with our criteria, our cash flow scenarios
applied forward-looking assumptions on the expected timing and
pattern of defaults, and recoveries upon default, under various
interest rate and macroeconomic scenarios. In addition, our
analysis considered the transaction's ability to pay timely
interest and/or ultimate principal to each of the rated tranches.
The results of the cash flow analysis--and other qualitative
factors as applicable--demonstrated, in our view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with these rating
actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and will take rating actions as we deem
necessary."
Ratings Raised
Telos CLO 2013-4 Ltd.
Class B-R to 'AA+ (sf)' from 'AA (sf)'
Class C-R loans to 'A+ (sf)' from 'A (sf)'
Ratings Lowered And Removed From CreditWatch Negative
Telos CLO 2013-4 Ltd.
Class D-R to 'BB (sf)' from 'BB+ (sf)'/Watch Neg
Class E-R to 'CC (sf)' from 'CCC+ (sf)'/Watch Neg
Rating Affirmed
Telos CLO 2013-4 Ltd.
Class A-R: AAA (sf)
TELOS CLO 2014-5: S&P Lowers Class E-R Notes Rating to 'CC (sf)'
----------------------------------------------------------------
S&P Global Ratings took various rating actions on four classes of
debt from Telos CLO 2014-5 Ltd.
The rating actions follow S&P's review of the transaction's
performance using data from the May 2024 trustee report. Although
the same portfolio backs all of the tranches, there can be
circumstances, such as this one, where the ratings on the tranches
may move in opposite directions due to credit support changes in
the portfolio. This transaction is experiencing opposing rating
movements because it has experienced both principal paydowns, which
increased the senior credit support, and principal losses, which
was the main driver for the decline in junior credit support.
The transaction has paid down $1.49 million and $39.88 million to
the class A-2-R and B-R debt, respectively, since S&P's June 2023
review. The following changes in the reported overcollateralization
(O/C) ratios since the April 2023 trustee report, which we used for
our previous rating actions, include:
-- The class A/B O/C ratio improved to 2,434.80% from 245.05%.
-- The class C O/C ratio improved to 224.63% from 154.57%.
-- The class D O/C ratio improved to 132.43% from 120.46%.
-- The class E O/C ratio declined to 85.73% from 94.17%.
While the senior O/C ratios experienced a positive movement due to
the lower balances of the senior debt, the junior O/C ratio
declined mainly due to par losses. As the result of continued
amortization, the portfolio is now highly concentrated, with 35
unique obligors remaining. Given that the CLO is facing increasing
concentration risks, S&P's analysis and rating decisions also
examined other metrics and qualitative factors besides the cash
flow results.
The upgrade on class C-R debt reflects the improved credit support
available to this class from the prior rating level.
S&P said, "The downgrade on class E-R debt reflects our view that
this class will default even under the most optimistic collateral
performance scenario, which fulfills the 'CC' rating definition of
virtual certainty of default. Based on the May 2024 trustee report,
the aggregate balance of transaction's assets is $73.45 million,
which comprises $55.27 million performing assets, $12.76 million
principal proceeds, and $5.42 million defaults in par amount.
However, the outstanding aggregate balance of the rated debt
(including the class E-R deferred interest) is currently $74.33
million, which is $0.88 million higher than the value of the total
assets, even assuming defaults will fully recover. Furthermore, the
CLO does not have other significant assets that could be monetized.
As a result, we lowered our rating on the class E-R debt to 'CC
(sf)'."
The affirmation on the class B-R debt reflect adequate credit
support at the current rating level, though any further
deterioration in the credit support available to the class could
result in further rating changes. The affirmation on the class D-R
debt reflect the application of the largest obligor default test
from S&P's criteria. The test is intended to address event and
model risks that might be present in rated transactions. Despite
cash flow runs that suggested a higher rating on class D-R debt,
the largest obligor default test constrained its ratings on the
class D-R debt at 'BBB (sf)' rating category.
S&P said, "In line with our criteria, our cash flow scenarios
applied forward-looking assumptions on the expected timing and
pattern of defaults, and recoveries upon default, under various
interest rate and macroeconomic scenarios. In addition, our
analysis considered the transaction's ability to pay timely
interest and/or ultimate principal to each of the rated tranches.
The results of the cash flow analysis--and other qualitative
factors as applicable--demonstrated, in our view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with these rating
actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and will take rating actions as we deem
necessary."
Rating Raised
Telos CLO 2014-5 Ltd.
Class C-R to 'AAA (sf)' from 'AA+ (sf)'
Rating Lowered
Telos CLO 2014-5 Ltd.
Class E-R to 'CC (sf)' from 'CCC (sf)'
Ratings Affirmed
Telos CLO 2014-5 Ltd.
Class B-R: AAA (sf)
Class D-R: BBB+ (sf)
VERUS SECURITIZATION 2024-6: S&P Assigns Prelim B- (sf) on E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Verus
Securitization Trust 2024-6's mortgage-backed notes.
The note issuance is an RMBS transaction backed primarily by newly
originated first- and second-lien, fixed- and adjustable-rate
residential mortgage loans, including mortgage loans with initial
interest-only periods, to both prime and non-prime borrowers. The
loans are secured by single-family residences, planned-unit
developments, two- to four-family residential properties,
condominiums, condotels, townhouses, mixed-use properties, and
five- to 10-unit multifamily residences. The pool has 921 loans
backed by 925 properties, which are qualified mortgage
(QM)/non-higher-priced mortgage loans (safe harbor), QM rebuttable
presumption, non-QM/ability-to-repay-compliant, and
ability-to-repay-exempt loans. Of the 921 loans, one loan is a
cross-collateralized loans backed by five properties.
The preliminary ratings are based on information as of July 16,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, representations and warranties framework, prior credit
events, and geographic concentration;
-- The mortgage aggregator, Invictus Capital Partners; and
-- The potential impact current and near-term macroeconomic
conditions may have on the performance of the mortgage borrowers in
the pool. S&P said, " On Oct. 13, 2023, we updated our market
outlook as it relates to the 'B' projected archetypal loss level,
and therefore revised and lowered our 'B' foreclosure frequency to
2.50% from 3.25%, which reflects the level prior to April 2020,
preceding the COVID-19 pandemic. The update reflects our benign
view of the mortgage and housing markets as demonstrated through
general national-level home price behavior, unemployment rates,
mortgage performance, and underwriting. Per our latest
macroeconomic update, the U.S. economy continues to outperform
expectations following consecutive quarters of contraction in the
first half of 2022."
Preliminary Ratings Assigned
Verus Securitization Trust 2024-6(i)
Class A-1, $319,517,000: AAA (sf)
Class A-2, $37,107,000: AA (sf)
Class A-3, $63,256,000: A (sf)
Class M-1, $33,869,000: BBB- (sf)
Class B-1, $16,686,000: BB- (sf)
Class B-2, $17,184,000: B- (sf)
Class B-3, $10,459,922: 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 reflect the term sheet
dated July 12, 2024; the preliminary ratings address the ultimate
payment of interest and principal. They do not address the payment
of the cap carryover amounts.
(ii)The notional amount will equal the aggregate stated principal
balance of the mortgage loans as of the first day of the related
due period.
VOYA CLO 2018-2: S&P Lowers Class E Notes Rating to B+ (sf)
-----------------------------------------------------------
S&P Global Ratings took various rating actions on 19 classes of
notes from Voya CLO 2013-1 Ltd., Voya CLO 2018-1 Ltd., and Voya CLO
2018-2 Ltd., U.S. broadly syndicated CLO transactions managed by
Voya Alternative Asset Management LLC. Five of the ratings were
placed on CreditWatch negative on April 17, 2024, due to a
combination of increase in defaults/CCCs and indicative cash flow
results at that point in time. Since then, some of the defaults
have returned to performing, and as a result of more paydowns, the
credit enhancements levels have improved for each transaction. Of
those placed on CreditWatch, S&P affirmed three and lowered two
ratings, removing all five from CreditWatch negative. Additionally,
of the ratings not on CreditWatch, S&P affirmed 11 and raised
three.
S&P said, "The rating actions follow our review of each
transaction's performance using data from the May 31, 2024, trustee
report. In our review, we analyzed each transaction's performance
and cash flows, and applied our global corporate CLO criteria in
our rating decisions. The ratings list at the end of this report
highlights the key performance metrics behind the specific rating
actions."
The transactions have all exited their reinvestment period and are
paying down the notes in the order specified in their respective
documents. As a result of paydowns and support changes in their
respective portfolios, CLOs in their amortization phase may have
ratings on tranches move in opposite directions. While principal
paydowns increase senior credit support, principal losses and/or
declines in portfolio credit quality may decrease junior credit
support.
The portfolios of each transaction reviewed have significant
exposure to collateral obligations rated in the 'CCC' category, as
well as elevated exposure to assets with distressed prices. As the
notes continue to pay down, these exposures may become more
concentrated in each portfolio and could further deteriorate junior
credit support. Despite this, trustee overcollateralizations (O/Cs)
maintain compliance with test levels as of the latest trustee
report.
S&P said, "In line with our criteria, our cash flow scenarios
applied forward-looking assumptions on the expected timing and
pattern of defaults, and recoveries upon default, under various
interest rate and macroeconomic scenarios. In addition, our
analysis considered the transaction's ability to pay timely
interest and/or ultimate principal to each of the rated tranches.
The results of the cash flow analysis--and other qualitative
factors as applicable--demonstrated, in our view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with these rating
actions."
While each class's indicative cash flow results are a primary
factor, we also incorporate other considerations into S&P's
decision to raise, lower, affirm, or limit rating movements. These
considerations typically include:
-- Whether the CLO is reinvesting or paying down its notes;
-- Existing subordination or O/C and recent trends;
-- The cushion available for coverage ratios and comparative
analysis with other CLO classes with similar ratings;
-- Forward-looking scenarios for 'CCC' and 'CCC-' rated
collateral, as well as collateral with stressed market values;
-- Current concentration levels;
-- The risk of imminent default or dependence on favorable market
conditions to meet obligations; and
-- Additional sensitivity runs to account for any of the above.
The upgrades primarily reflect the class's increased credit support
due to the senior note paydowns, improved O/C levels, and passing
cash flow results at higher rating levels.
The downgrades primarily reflect the class's indicative cash flow
results and decreased credit support as a result of principal
losses and/or negative migration in portfolio credit quality.
The affirmations reflect S&P's view that the available credit
enhancement for each respective class is still commensurate with
the assigned ratings.
Although S&P's cash flow analysis indicated a different rating for
some classes of notes, we affirmed the ratings after considering
one or more qualitative factors listed above.
S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and will take rating actions as it deems
necessary.
Ratings list
ISSUER CLASS CUSIP TO FROM
Voya CLO 2013-1 Ltd. A-1AR 92917CAE2 AAA (sf) AAA (sf)
MAIN RATIONALE: Cash flow passes at the current rating level.
Voya CLO 2013-1 Ltd. A-1BR 92917CAG7 NR NR
MAIN RATIONALE: Not rated.
Voya CLO 2013-1 Ltd. A-2R 92917CAJ1 AA+ (sf) AA (sf)
MAIN RATIONALE: Senior note paydowns, O/C improvement, and
passing cash flows. Although S&P's base-case analysis indicated a
higher rating, its rating action considered the current credit
enhancement level, which is commensurate with the raised rating
rather than the higher rating.
Voya CLO 2013-1 Ltd. B-R 92917CAL6 A+ (sf) A (sf)
MAIN RATIONALE: Senior note paydowns, O/C improvement, and
passing cash flows. Although S&P's base-case analysis indicated a
higher rating, its rating action considered the current credit
enhancement level, which is commensurate with the raised rating
rather than the higher rating.
Voya CLO 2013-1 Ltd. C-R 92917CAN2 BBB- (sf) BBB-(sf)/
Watch Neg
MAIN RATIONALE: Senior note paydowns and passing cash flows.
Although S&P's base-case analysis indicated a higher rating, its
affirmation considers the sensitivity test results on the elevated
exposures to assets rated in the 'CCC' rating category and assets
with distressed market prices, and also its consideration of its
current credit enhancement level, which in its opinion is
commensurate with the affirmed rating.
Voya CLO 2013-1 Ltd. D-R 92917DAA8 B (sf) B (sf)/
Watch Neg
MAIN RATIONALE: Although S&P's base-case analysis indicated a
lower rating, it affirmed the rating based on the margin of
failure, and considering the passing trustee O/C test and the
current credit enhancement level, which is commensurate with the
affirmed rating rather than the lower rating indicated by the
base-case analysis.
Voya CLO 2018-1 Ltd. A-1 92917AAA4 AAA (sf) AAA (sf)
MAIN RATIONALE: Cash flow passes at the current rating level.
Voya CLO 2018-1 Ltd. A-2 92917AAC0 AA+ (sf) AA (sf)
MAIN RATIONALE: Senior note paydowns, O/C improvement, and
passing cash flows. Although S&P's base-case analysis indicated a
higher rating, its rating action considered the current credit
enhancement level, which is commensurate with the raised rating
rather than the higher rating.
Voya CLO 2018-1 Ltd. B 92917AAE6 A (sf) A (sf)
MAIN RATIONALE: Senior note paydowns and passing cash flows.
Although S&P's base-case analysis indicated a higher rating, its
affirmation considers the sensitivity test results on the elevated
exposures to assets rated in the 'CCC' rating category and assets
with distressed market prices, and also its consideration of its
current credit enhancement level, which in its opinion is
commensurate with the affirmed rating.
Voya CLO 2018-1 Ltd. C 92917AAG1 BBB- (sf) BBB- (sf)
MAIN RATIONALE: Senior note paydowns and passing cash flows.
Although S&P's base-case analysis indicated a higher rating, it
affirmed the rating due to the still-elevated exposures to assets
rated in the 'CCC' rating category and assets with distressed
market prices, the results of sensitivity cash flow runs, and the
current credit enhancement level, which in S&P's opinion is
commensurate with the affirmed rating.
Voya CLO 2018-1 Ltd. D 92917BAA2 B+ (sf) BB- (sf)/
Watch Neg
MAIN RATIONALE: Failing base-case cash flows at the previous
rating level.
Voya CLO 2018-2 Ltd. A-1 92917JAA5 AAA (sf) AAA (sf)
MAIN RATIONALE: Cash flow passes at the current rating level.
Voya CLO 2018-2 Ltd. A-2 92917JAC1 NR NR
MAIN RATIONALE: Not rated.
Voya CLO 2018-2 Ltd. B-1 92917JAE7 AA (sf) AA (sf)
MAIN RATIONALE: Passing base-case cash flows at current rating.
Although S&P's base-case analysis indicated a higher rating, it
affirmed the rating due to the still-elevated exposures to assets
rated in the 'CCC' rating category and assets with distressed
market prices, the results of sensitivity cash flow runs, and the
current credit enhancement level, which in S&P's opinion is
commensurate with the affirmed rating rather than the higher rating
indicated by the base-case cash flow results.
Voya CLO 2018-2 Ltd. B-2 92917JAG2 AA AA (sf)
MAIN RATIONALE: Passing base-case cash flows at current rating.
Although S&P's base-case analysis indicated a higher rating, it
affirmed the rating due to the still-elevated exposures to assets
rated in the 'CCC' rating category and assets with distressed
market prices, the results of sensitivity cash flow runs, and the
current credit enhancement level, which in its opinion is
commensurate with the affirmed rating rather than the higher rating
indicated by the base-case cash flow results.
Voya CLO 2018-2 Ltd. C-1 92917JAJ6 A (sf) A (sf)
MAIN RATIONALE: Passing base-case cash flows at current rating.
Although S&P's base-case analysis indicated a higher rating, it
affirmed the rating due to the still-elevated exposures to assets
rated in the 'CCC' rating category and assets with distressed
market prices, the results of sensitivity cash flow runs, and the
current credit enhancement level, which in its opinion is
commensurate with the affirmed rating rather than the higher rating
indicated by the base-case cash flow results.
Voya CLO 2018-2 Ltd. C-2 92917JAL1 A (sf) A (sf)
MAIN RATIONALE: Passing base-case cash flows at current rating.
Although S&P's base-case analysis indicated a higher rating, it
affirmed the rating due to the still-elevated exposures to assets
rated in the 'CCC' rating category and assets with distressed
market prices, the results of sensitivity cash flow runs, and the
current credit enhancement level, which in its opinion is
commensurate with the affirmed rating rather than the higher rating
indicated by the base-case cash flow results.
Voya CLO 2018-2 Ltd. D 92917JAN7 BBB- (sf) BBB- (sf)
MAIN RATIONALE: Cash flow passes at the current rating level.
Voya CLO 2018-2 Ltd. E 92917TAA3 B+ (sf) BB- (sf)/
Watch Neg
MAIN RATIONALE: Failing base-case cash flows at the previous
rating level.
Voya CLO 2018-2 Ltd. F 92917TAC9 B- (sf) B- (sf)/
Watch Neg
MAIN RATIONALE: Although S&P's base-case analysis indicated a
lower rating, it affirmed the B- rating as we feel that this class
does not fit its 'CCC' definition yet based on its low exposure to
CCC and CCC- rated assets and its current credit enhancement level,
which in opinion can withstand a steady-state scenario without
being dependent on favorable conditions to meet its financial
commitments.
WELLS FARGO 2016-NXS6: Fitch Lowers Rating on Two Tranches to CCC
-----------------------------------------------------------------
Fitch Ratings has affirmed 17 classes of Wells Fargo Commercial
Mortgage Trust 2016-NXS5 (WFCM 2016-NXS5) and revised the Rating
Outlooks for classes B and X-B to Negative from Stable.
Fitch has also downgraded four classes and affirmed 10 classes of
Wells Fargo Commercial Mortgage Trust 2016-NXS6 (WFCM 2016-NXS6)
and assigned Negative Outlooks to classes D and X-D following their
downgrades. Additionally, Fitch has revised the Rating Outlook for
classes B, X-B and C to Negative from Stable.
Entity/Debt Rating Prior
----------- ------ -----
WFCM 2016-NXS5
A-4 95000CAZ6 LT AAAsf Affirmed AAAsf
A-5 95000CBA0 LT AAAsf Affirmed AAAsf
A-6 95000CBB8 LT AAAsf Affirmed AAAsf
A-6FL 95000CBK8 LT AAAsf Affirmed AAAsf
A-6FX 95000CBM4 LT AAAsf Affirmed AAAsf
A-S 95000CBD4 LT AAAsf Affirmed AAAsf
A-SB 95000CBC6 LT AAAsf Affirmed AAAsf
B 95000CBG7 LT AA-sf Affirmed AA-sf
C 95000CBH5 LT A-sf Affirmed A-sf
D 95000CBJ1 LT BB+sf Affirmed BB+sf
E 95000CAJ2 LT Bsf Affirmed Bsf
F 95000CAL7 LT CCCsf Affirmed CCCsf
G 95000CAN3 LT CCsf Affirmed CCsf
X-A 95000CBE2 LT AAAsf Affirmed AAAsf
X-B 95000CBF9 LT AA-sf Affirmed AA-sf
X-F 95000CAC7 LT CCCsf Affirmed CCCsf
X-G 95000CAE3 LT CCsf Affirmed CCsf
WFCM 2016-NXS6
A-2 95000KAZ8 LT AAAsf Affirmed AAAsf
A-3 95000KBA2 LT AAAsf Affirmed AAAsf
A-4 95000KBB0 LT AAAsf Affirmed AAAsf
A-S 95000KBD6 LT AAAsf Affirmed AAAsf
A-SB 95000KBC8 LT AAAsf Affirmed AAAsf
B 95000KBG9 LT AA-sf Affirmed AA-sf
C 95000KBH7 LT A-sf Affirmed A-sf
D 95000KAJ4 LT BB-sf Downgrade BBB-sf
E 95000KAL9 LT CCCsf Downgrade Bsf
F 95000KAN5 LT CCCsf Affirmed CCCsf
X-A 95000KBE4 LT AAAsf Affirmed AAAsf
X-B 95000KBF1 LT AA-sf Affirmed AA-sf
X-D 95000KAA3 LT BB-sf Downgrade BBB-sf
X-E 95000KAC9 LT CCCsf Downgrade Bsf
KEY RATING DRIVERS
Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case
losses are 10.7% in WFCM 2016-NXS5 and 9.8% in WFCM 2016-NXS6.
Fitch Loans of Concerns (FLOCs) comprise nine loans (26.6% of the
pool) in WFCM 2016-NXS5, including five specially serviced loans
(17.2%) and 10 loans (26.9%) in WFCM 2016-NXS6, including three
specially serviced loans (10%).
The downgrades in WFCM 2016-NXS6 reflect increased pool loss
expectations driven primarily by specially serviced loans,
particularly the declining appraised value of Cassa Times Square
Mixed-Use and newly specially serviced office assets Crate & Barrel
and 313-315 W Muhammad Ali Boulevard. The Negative Outlooks in WFCM
2016-NXS6 reflect possible further downgrades should performance of
the aforementioned specially serviced FLOCs not stabilize or
decline further (including with prolonged workouts), as well as
refinancing concerns for FLOCs secured by office properties. In
particular, Fitch's analysis of 909 Poydras (6.7% of the pool)
included an elevated probability of default.
The affirmations in WFCM 2016-NXS5 reflect generally stable pool
performance and loss expectations since Fitch's prior rating
action. The Negative Outlooks reflect potential future downgrades
should performance of office FLOCs 10 South LaSalle Street, 4400
Jenifer Street and 901 7th Street NW decline. Fitch's analysis
included a scenario with a higher potential loss for 10 South
LaSalle Street and an elevated probability of default for 4400
Jenifer Street and 901 7th Street NW.
The largest contributor to overall loss expectations in WFCM
2016-NXS6 is the specially serviced Cassa Times Square Mixed-Use
loan (5.8% of the pool). The loan transferred to special servicing
in May 2020 for imminent monetary default. The loan is secured by
an 86-room boutique hotel along with a commercial unit (leased
restaurant) and a leased 64-space parking garage. In April 2024 the
court granted the lender's motion for summary judgement of
foreclosure. A note sale remains under review by the special
servicer. Fitch's 'Bsf' rating case loss of 73% (prior to
concentration add-ons) reflects a haircut to the most recent
appraised value.
The second largest contributor to expected losses is the Crate &
Barrel loan (3.6% of the pool) which transferred to special
servicing in March 2024 for imminent monetary default. As of the
June 2024 remittance, the loan is current (the loan has never been
delinquent). The loan is secured by a 167,843-sf suburban office
property located in Northbrook, IL, 25 miles north of Chicago. The
property is 100% leased to Crate & Barrel on a NNN lease through
November 2025 and serves as their global corporate HQ. The property
was built-to-suit in 2001 and the lease has five five-year renewal
options.
Per CoStar as of QTD 2Q24, comparable properties in the Central
North submarket had a 27.1% vacancy rate, 33.1% availability rate
and $29.48 market asking rent while the total submarket had a 17.1%
vacancy rate, 20.4% availability rate and $25.35 market asking
rent. Per the January 2024 rent roll, the property was 100%
occupied with average in-place rent of $20.62 psf. Fitch's 'Bsf'
rating case loss of 31% (prior to concentration add-ons) reflects a
10.50% cap rate, 25% stress to the YE 2023 NOI and an elevated
probability of default.
The 313-315 W Muhammad Ali Boulevard loan (0.7% of the pool in WFCM
2016-NXS6) transferred to special servicing in December 2023 for
imminent monetary default as the single tenant, JCAO - Child
Services Division, vacated at lease expiration December 2023. The
property is currently dark and per the servicer a foreclosure
filing is in process. The subject is a 49,300-sf office property
located in Louisville, KY, built in 1908 and renovated in 1992.
Fitch's 'Bsf' rating case loss of 71% (prior to concentration
add-ons) reflects a haircut to the most recent appraised value.
The largest contributor to overall loss expectations in WFCM
2016-NXS5 is the 10 South LaSalle Street loan (11.9% of the pool)
which transferred to special servicing in August 2022 due to
imminent monetary default. The property's occupancy declined to
71.9% in 2020 from 86.4% at YE 2018 after the second largest
tenant, Northern Trust (previously 10.2% of the NRA), vacated upon
their 2020 lease expiration. The vacant Northern Trust space is yet
to be backfilled.
Per the YE 2023 rent roll, the property was 71.7% occupied and
28.3% vacant. Rollover included 6.2% of NRA in 2024 and 25.7% in
2025 (including top tenants Chicago Title Insurance and Clausen
Miller). Per the latest update from the special servicer, the
largest tenant Chicago Title Insurance (13.6% of NRA) will be
vacating at lease expiration March 2025.
Per CoStar as of QTD 2Q2024, comparable office properties in the
Central Loop Submarket had a 26.8% vacancy rate, 37.2% availability
rate and $41.76 market asking rent, while the total submarket had a
21.4% vacancy rate, 25.4% availability rate and $38.94 market
asking rent. Per the YE 2023 rent roll, the property had average
in-place rent of $25 psf. Fitch's 'Bsf' rating case loss of 35%
(prior to concentration add-ons) reflects a 10% cap rate and a 20%
stress to the YE 2022 NOI.
The second largest contributor of expected losses is the 1006
Madison Avenue loan (2.7% of the pool) which has been in special
servicing since October 2018. The asset is a 3,915-sf retail
property located in Manhattan at 78th and Madison Avenue. The
single tenant, Roland Mouret, vacated in 2022 ahead of its
scheduled lease expiration in 2025 and the property became REO in
August 2022. Per the March 2024 rent roll, the property was 100%
occupied by Dr. Barbara Sturm (a boutique spa) with a move in date
of October 2022 and expiration of December 2024.
The tenant is paying $64.57 psf per the March 2024 rent roll vs.
$144.70 market asking rent for the Upper East Side retail submarket
per CoStar as of QTD 2Q2024. Fitch's 'Bsf' rating case loss of 96%
(prior to concentration add-ons) reflects a haircut to the most
recent appraised value.
Defeasance: Respective defeasance percentages in the WFCM 2016-NXS5
and WFCM 2016-NXS6 transactions include 16.7% (12 loans) and 11%
(eight loans).
Increased Credit Enhancement (CE): As of the May 2024 remittance
report, the aggregate balances of the WFCM 2016-NXS5 and WFCM
2016-NXS6 transactions have been reduced by 27.7% and 21.6%,
respectively, since issuance. Loan maturities are concentrated in
2026 with 28 loans for 76% of the pool in WFCM 2016-NXS5 and 35
loans for 88% of the pool in WFCM 2016-NXS6.
Per the May 2024 remittance report, cumulative interest shortfalls
for the WFCM 2016-NXS5 transaction were $5.5 million and affected
the non-rated H class and rated G and F classes. Shortfalls for the
WFCM 2016-NXS6 transaction were $2.6 million and affected the
non-rated H and G classes as well as the rated F and E classes.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
The Negative Outlooks reflect possible future downgrades stemming
from concerns with further declines in performance that could
result in higher expected losses on FLOCs. If expected losses do
increase, downgrades to these classes are likely.
Downgrades to the senior and junior 'AAAsf' rated classes are not
expected due to the position in the capital structure and expected
continued amortization and loan repayments, but may occur if
deal-level losses increase significantly and/or interest shortfalls
occur or are expected to occur.
Downgrades to classes rated in the 'AAsf' and 'Asf' categories with
Negative Outlooks may occur should performance of the FLOCs
deteriorate further or if more loans than expected default at or
prior to maturity. These FLOCs include 10 South LaSalle Street,
1006 Madison Avenue, 4400 Jenifer Street and 901 7th Street NW in
WFCM 2016-NXS5 and 909 Poydras, Cassa Times Square Mixed-Use, Crate
& Barrel, Peachtree Mall and 313-315 W Muhammad Ali Boulevard in
WFCM 2016-NXS6.
Downgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf'
categories with Negative Outlooks could occur with higher than
expected losses from continued underperformance of the FLOCs,
particularly the aforementioned loans with deteriorating
performance and with greater certainty of losses on the specially
serviced loans or other FLOCs.
Downgrades to distressed ratings of 'CCCsf' and 'CCsf' would occur
as losses become more certain and/or as losses are incurred.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to 'AAsf' and 'Asf' category rated classes are possible
with significantly increased CE from paydowns, coupled with
stable-to-improved pool-level loss expectations and performance
stabilization of FLOCs. Upgrades of these classes to 'AAAsf' will
also consider the concentration of defeased loans in the
transaction.
Upgrades to the 'BBBsf' category rated classes would be limited
based on sensitivity to concentrations or the potential for future
concentration and would only occur sustained improved performance
of the FLOCs.
Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely
until the later years in a transaction and only if the performance
of the remaining pool is stable and there is sufficient CE to the
classes.
Upgrades to distressed ratings are not expected but possible with
better than expected recoveries on specially serviced loans or
significantly higher values on FLOCs.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG CONSIDERATIONS
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' 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. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
WELLS FARGO 2017-RB1: Fitch Lowers Rating on Cl. E-2 Debt to CCC
----------------------------------------------------------------
Fitch Ratings has downgraded five and affirmed 10 classes of Wells
Fargo Commercial Mortgage Trust 2017-RB1 (WFCM 2017-RB1). Fitch
assigned Negative Rating Outlooks to classes D, X-D and E-1
following their downgrades. The Rating Outlook on classes A-S, B,
X-B and C were revised to Negative from Stable.
Fitch has also affirmed 10 classes of Wells Fargo Commercial
Mortgage Trust 2017-RC1 (WFCM 2017-RC1). Fitch has also revised the
Rating Outlook on class C and the associated interest only class
X-B to Negative from Stable. The Rating Outlook on classes X-D and
D remains Negative.
Entity/Debt Rating Recovery
----------- ------ --------
WFCM 2017-RC1
A-3 95001FAW5 LT AAAsf Affirmed AAAsf
A-4 95001FAX3 LT AAAsf Affirmed AAAsf
A-S 95001FAZ8 LT AAAsf Affirmed AAAsf
A-SB 95001FAY1 LT AAAsf Affirmed AAAsf
B 95001FBC8 LT AA+sf Affirmed AA+sf
C 95001FBD6 LT Asf Affirmed Asf
D 95001FAC9 LT BBB-sf Affirmed BBB-sf
X-A 95001FBA2 LT AAAsf Affirmed AAAsf
X-B 95001FBB0 LT Asf Affirmed Asf
X-D 95001FAA3 LT BBB-sf Affirmed BBB-sf
WFCM 2017-RB1
A-4 95000TBR6 LT AAAsf Affirmed AAAsf
A-5 95000TBS4 LT AAAsf Affirmed AAAsf
A-S 95000TBU9 LT AAAsf Affirmed AAAsf
A-SB 95000TBT2 LT AAAsf Affirmed AAAsf
B 95000TBX3 LT AA-sf Affirmed AA-sf
C 95000TBY1 LT A-sf Affirmed A-sf
D 95000TAC0 LT Bsf Downgrade BBsf
E 95000TBA3 LT CCCsf Downgrade B-sf
E-1 95000TAE6 LT B-sf Downgrade B+sf
E-2 95000TAG1 LT CCCsf Downgrade B-sf
EF 95000TBE5 LT CCCsf Affirmed CCCsf
F 95000TBC9 LT CCCsf Affirmed CCCsf
X-A 95000TBV7 LT AAAsf Affirmed AAAsf
X-B 95000TBW5 LT A-sf Affirmed A-sf
X-D 95000TAA4 LT Bsf Downgrade BBsf
KEY RATING DRIVERS
Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case
losses have increased to 7.5% from 5.5% in WFCM 2017-RB1. The deal
loss expectations remain relatively stable at 5.2% for WFCM
2017-RC1. Fitch Loans of Concern (FLOCs) comprise seven loans
(27.7% of the pool) in WFCM 2017-RB1, including one specially
serviced loan (2.6%). There are 10 FLOCs (22.2%) in WFCM 2017-RC1
with no specially serviced loans as of June 2024.
The downgrades in WFCM 2017-RB1 reflect increased pool loss
expectations since Fitch's prior rating action primarily driven by
higher losses attributed to FLOCs, including Center West (7.4% of
the pool), 1166 Avenue of the Americas (5.3%) and the specially
serviced 340 Bryant loan (2.6%). The Negative Outlooks reflect the
pool's high concentration of office loans (52.6% of pool) with the
potential for downgrades on classes B, X-B and C and further
downgrades on subordinate classes should the FLOCs not stabilize or
decline further.
Fitch also incorporated a sensitivity which included a higher
probability of default on the 1166 Avenue of the Americas loan due
to near-term rollover concerns. This also contributed to the
Negative Outlook on class A-S.
The affirmations in WFCM 2017-RC1 reflect the relatively stable
pool performance and loss expectations since the prior rating
action. The Negative Outlooks reflects the increase in FLOCs and
concerns with certain office and retail properties including
Jamboree Business Center (5.9% of the pool), Whitehall Corporate
Center VI (2.9%) and Peachtree Mall (2.1%). Fitch assumed a higher
probability of default in its base rating case assumption for these
three loans.
The largest increase and contributor to expected loss in WFCM
2017-RB1 is the Center West loan, which is secured by a leasehold
interest on a 351,789-sf CBD office property located in Los
Angeles, CA. The loan was flagged as a FLOC due to continued
performance deterioration. Occupancy has been historically below
60% and has steadily declined since YE 2019.
As of YE 2023, the servicer-reported occupancy and NOI DSCR were
32% and 0.63x, respectively, compared to 43% and 1.56x at YE 2021,
and 57% and 1.72x at YE 2019. The largest tenant is Wells Fargo
(4.8% of NRA; lease expiry in July 2024). Fitch's 'Bsf' rating case
loss (prior to concentration add-ons) of 41% reflects a 10% cap
rate, 10% stress to the YE 2022 NOI and factors a higher
probability of default.
The second largest contributor to loss is 340 Bryant, a 62,270-sf,
class B office building located in the SOMA district of San
Francisco, CA. The REO property transferred to special servicing in
September 2022 due to monetary default after the largest tenant
WeWork (76.6% of the NRA) vacated their space in 2021, ahead of
their February 2028 lease expiration. The remaining tenant Logitech
(23% of the NRA) vacated at their April 2023 lease expiration,
leaving the building entirely vacant and the loan with a negative
NOI DSCR since YE 2022. Fitch's loss expectations of 74% (prior to
concentration add-ons) are based off the August 2023 appraised
value, which is approximately 84% below the value at issuance.
The third largest contributor to loss is 1166 Avenue of the
Americas, which is secured by floors 2-6 totaling 196,241-sf (11.1%
of the building's total square footage) of an office property
located in Midtown Manhattan and built in 1974. The top three
tenants are D.E. Shaw & Co. (43.5% NRA; lease expiry in June 2024),
Sprint (20%; January 2027) and Arcesium (20%; June 2024). D.E Shaw
& Co. is expected to vacate at lease expiration. Fitch requested a
leasing update for the property; however, it has not been
provided.
Fitch's 'Bsf' rating case loss (prior to concentration add-ons) of
8% reflects an 8% cap rate, 25% stress to the YE 2023 NOI to
account for the expected occupancy decline and factors a 50%
probability of default. In addition to the base case analysis,
Fitch performed a sensitivity scenario that increases the
probability of default to 100% given heightened default risk and
concerns the loan may transfer to special servicing. Fitch's 'Bsf'
sensitivity case loss for the loan increases to 16% (prior to
concentration add-ons), which also contributed to the Negative
Outlooks.
The largest contributor to expected loss in WFCM 2017-RC1 is the
Jamboree Business Center (FLOC; 5.9%). The loan is secured by a
156,305-sf suburban office property located in Irvine, CA. This
FLOC has experienced a decline in occupancy, resulting in an
occupancy of 85% as of March 2024. The largest tenant Medata, Inc.
(24.4% of the NRA) has an August 2025 lease expiration. Fitch's
'Bsf' ratings case loss of 27% (prior to concentration adjustments)
reflects a 20% stress to YE 2023 NOI to account for potential
rollover through 2025 and a 10% cap rate.
The second largest contributor to loss is the Peachtree Mall (FLOC;
2.1%). The loan is secured by a 536,202-sf portion of an 823,000-sf
regional mall located in Columbus, GA. Anchor tenants include
Macy's (26.0% of NRA; lease expiration September 2027), JCPenney
(15.4%; extended to November 2029) and At Home (13.8%; lease
expiration not available, remains open). The AMC movie theater
closed in 2023. Collateral occupancy was 89.1% as of the February
2024 rent roll compared to 93.5% at March 2023, 90.5% at YE 2021
and 90.7% at issuance.
The YE 2023 NOI is in line with YE 2022, 3% below YE 2021 and 8%
below the Fitch issuance NCF. The YE 2023 sales for comp in-line
tenants at the subject were $371 psf, compared with $395 psf at YE
2022 and $441 psf at YE 2021. The 'Bsf' ratings case loss of 39%
(prior to concentration adjustments) incorporates a 15% stress to
YE 2023 NOI and a 20% cap rate.
The third largest contributor to loss is Whitehall Corporate Center
VI (FLOC; 2.9%), which is secured by a 116,855-sf office building
located in Charlotte, NC. The property is a part of the larger
Whitehall Corporate Center complex, 10 miles from the CBD and four
miles from the International Airport. The reported occupancy has
declined to 73% as of March 2024; with the lower occupancy, the
servicer reported NOI DSCR was 1.30x NOI DSCR for YE 2023, down
from 1.83x at YE 2020 and 1.43x at issuance. Fitch's 'Bsf' ratings
case loss (prior to concentration adjustments) of 26% reflects a
15% stress to YE 2023 NOI, and a 10% cap rate.
Changes in Credit Enhancement (CE): As of the June 2024 remittance
report, the balance of the WFCM 2017-RB1 and WFCM 2017-RC1
transactions have been reduced by 15.3% and 30%, respectively. The
scheduled loan maturities in WFCM 2017-RB1 are concentrated in 2027
(91.1%); Center West (7.4%) matures in Dec. 2026 and one loan
(1.5%) has an anticipated repayment date (ARD) in 2027. Loan
maturities in WFCM 2017-RC1 are concentrated in 2026 (15.4% of the
pool) and 2027 (82.6%); Peachtree Mall (2.1%) matures in Dec. 2025.
The respective defeasance percentages in the WFCM 2017-RB1 and WFCM
2017-RC1 transactions are 3.5% (three loans) and 15.1% (seven
loans).
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
The Negative Outlooks reflect possible future downgrades stemming
from concerns with further declines in performance that could
result in higher expected losses on FLOCs. If expected losses do
increase, downgrades to these classes are likely.
Downgrades to 'AAAsf' rated classes are not expected due to the
position in the capital structure and expected continued
amortization and loan repayments, but may occur if deal-level
losses increase significantly and/or interest shortfalls occur. The
Negative Outlook on the 'AAAsf' rated class A-S in WFCM 2017-RB1
reflects the potential for downgrades if expected losses increase,
most notably on 1166 Avenue of the Americas and other FLOCs.
Downgrades to the 'AAsf', 'Asf' and/or 'BBBsf' category rated
classes is possible with higher than expected losses from continued
underperformance of the FLOCs, in particular office and retail
loans with deteriorating performance, and/or more loans than
expected experience performance deterioration and/or default at or
prior to maturity. These elevated risk loans include Center West
and 1166 Avenue of the Americas in WFCM 2017-RB1, and Jamboree
Business Center, Whitehall Corporate Center VI and Peachtree Mall
in WFCM 2017-RC1.
Downgrades to the 'Bsf' category rated classes would occur with
greater certainty of losses on the specially serviced loans and/or
FLOCs, should additional loans transfer to special servicing or
default and as losses are realized or become more certain.
Downgrades to distressed ratings would occur as losses become more
certain and/or as losses are incurred.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to the 'AAsf' category rated classes are possible with
significantly increased CE from paydowns, coupled with
stable-to-improved pool-level loss expectations and performance
stabilization of FLOCs. Upgrades of these classes to 'AAAsf' will
also consider the concentration of defeased loans in the
transaction.
Upgrades to the 'Asf' and 'BBBsf' category rated classes would be
limited based on sensitivity to concentrations or the potential for
future concentration, and would only occur if there is sustained
improved performance of the FLOCs coupled with lower loss
expectations, especially Center West and 1166 Avenue of the
Americas in WFCM 2017-RB1 and Jamboree Business Center, Whitehall
Corporate Center VI and Peachtree Mall in WFCM 2017-RC1. Classes
would not be upgraded above 'AA+sf' if there is a likelihood of
interest shortfalls.
Upgrades to 'Bsf' category rated classes are not likely until the
later years in a transaction and only if the performance of the
remaining pool is stable, recoveries on the FLOCs and special
serviced loans are better than expected and there is sufficient CE
to the classes.
Upgrades to distressed ratings are not expected but possible with
better than expected recoveries on specially serviced loans or
significantly higher values on FLOCs.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG CONSIDERATIONS
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' 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. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
WIND RIVER 2018-2: S&P Affirms BB- (sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, B-R,
C-R, and D-R replacement debt from Wind River 2018-2 CLO Ltd./Wind
River 2018-2 CLO LLC, a CLO originally issued in September 2018
that is managed by THL Credit Advisors LLC. At the same time, S&P
withdrew its ratings on the original class A-1, B, C, and D debt
following payment in full on the July 15, 2024, refinancing date.
S&P also affirmed its ratings on the class E debt, which was not
refinanced.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture, the non-call period was extended to Jan.
15, 2025.
Replacement And Original Debt Issuances
Replacement debt
-- Class A-1-R, $203.13 million: Three-month CME term SOFR +
1.20%
-- Class A-2-R, $36.00 million: Three-month CME term SOFR + 1.30%
-- Class B-R, $69.00 million: Three-month CME term SOFR + 1.60%
-- Class C-R (deferrable), $39.00 million: Three-month CME term
SOFR + 2.23%
-- Class D-R (deferrable), $33.00 million: Three-month CME term
SOFR + 3.10%
Original debt
-- Class A-1, $203.13 million: Three-month CME term SOFR + 1.12% +
CSA(i)
-- Class A-2, $36.00 million: Three-month CME term SOFR + 1.45% +
CSA(i)
-- Class B, $69.00 million: Three-month CME term SOFR + 1.75% +
CSA(i)
-- Class C (deferrable), $39.00 million: Three-month CME term SOFR
+ 2.20% + CSA(i)
-- Class D (deferrable), $33.00 million: Three-month CME term SOFR
+ 3.00% + CSA(i)
(i)The CSA is 0.26161%.
CSA--Credit spread adjustment.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Wind River 2018-2 CLO Ltd./Wind River 2018-2 CLO LLC
Class A-1-R, $203.13 million: AAA (sf)
Class B-R, $69.00 million: AA (sf)
Class C-R (deferrable), $39.00 million: A (sf)
Class D-R (deferrable), $33.00 million: BBB- (sf)
Ratings Withdrawn
Wind River 2018-2 CLO Ltd./Wind River 2018-2 CLO LLC
Class A-1 to not rated from 'AAA (sf)'
Class B to not rated from 'AA (sf)'
Class C to not rated from 'A (sf)'
Class D to not rated from 'BBB- (sf)'
Rating Affirmed
Wind River 2018-2 CLO Ltd./Wind River 2018-2 CLO LLC
Class E: BB- (sf)
Other Debt
Wind River 2018-2 CLO Ltd./Wind River 2018-2 CLO LLC
Class A-2-R: Not rated
Subordinated notes: Not rated
[*] S&P Discontinues 'D' ratings on 13 classes from 8 US CMBS Deals
-------------------------------------------------------------------
S&P Global Ratings discontinued its 'D (sf)' ratings on 13 classes
of commercial mortgage pass-through certificates from eight U.S.
CMBS transactions.
The eight transactions are:
-- J.P. Morgan Chase Commercial Mortgage Securities Trust
2013-LC11
-- CG-CCRE Commercial Mortgage Trust 2014-FL2
-- DBJPM 2016-SFC Mortgage Trust
-- GS Mortgage Securities Corp. Trust 2017-485L
-- J.P. Morgan Chase Commercial Mortgage Securities Trust
2018-PTC
-- Natixis Commercial Mortgage Securities Trust 2018-FL1
-- GS Mortgage Securities Corp. Trust 2018-TWR
-- COMM 2018-HCLV Mortgage Trust
S&P said, "We discontinued these ratings according to our
surveillance and withdrawal policies. We previously lowered the
ratings on these classes to 'D (sf)' because of accumulated
interest shortfalls that we believed would remain outstanding for
an extended period of time and, for the interest-only class, due to
our interest-only criteria. We view a subsequent upgrade to a
rating higher than 'D (sf)' to be unlikely under the relevant
criteria for the classes within this review."
Ratings Discontinued
J.P. Morgan Chase Commercial Mortgage Securities Trust 2013-LC11
Class E to not rated from 'D (sf)'
Class D to not rated from 'D (sf)'
CG-CCRE Commercial Mortgage Trust 2014-FL2
Class COL2 to not rated from 'D (sf)'
DBJPM 2016-SFC Mortgage Trust
Class A to not rated from 'D (sf)'
Class B to not rated from 'D (sf)'
Class C to not rated from 'D (sf)'
Class D to not rated from 'D (sf)'
Class X-A to not rated from 'D (sf)'
GS Mortgage Securities Corp. Trust 2017-485L
Class HRR to not rated from 'D (sf)'
J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PTC
Class E to not rated from 'D (sf)'
Natixis Commercial Mortgage Securities Trust 2018-FL1
Class C to not rated from 'D (sf)'
GS Mortgage Securities Corp. Trust 2018-TWR
Class F to not rated from 'D (sf)'
COMM 2018-HCLV Mortgage Trust
Class F to not rated from 'D (sf)'
[*] S&P Takes Various Action on 25 Classes From 17 U.S. RMBS Deals
------------------------------------------------------------------
S&P Global Ratings completed its review of 25 classes from 17 U.S.
RMBS transactions issued between 2002 and 2007. The review yielded
24 downgrades, and one placed on CreditWatch with negative
implications.
S&P said, "The rating actions reflect our analysis of the
transactions' interest shortfalls and/or missed interest payments
on the affected classes. We lowered our ratings in accordance with
our "S&P Global Ratings Definitions," published June 9, 2023, which
imposes a maximum rating threshold on classes that have incurred
missed interest payments resulting from credit or liquidity
erosion. In applying our ratings definitions, we looked to see if
the applicable class received additional compensation beyond the
imputed interest due as direct economic compensation for the delay
in interest payments (e.g., interest on interest) and if the missed
interest payments will be repaid by the maturity date.
"In instances where the class does receive additional compensation
for outstanding interest shortfalls, our analysis considers the
likelihood that the missed interest payments, including the
capitalized interest, would be reimbursed under our various rating
scenarios. In this review, 22 classes from 15 transactions were
affected.
"In instances where the class does not receive additional
compensation for outstanding interest shortfalls, our analysis
focuses on our expectations regarding the length of the interest
payment interruptions. We lowered our ratings on two classes from
one transaction due to the interest shortfall.
"We placed our rating on the class M-1 certificates from CWABS
Inc., series 2002-BC3 on CreditWatch with negative implications due
to observed missed interest payments. The class has not received
any interest payments since June 2023 due to a reduction in total
interest collections for the transaction. The CreditWatch placement
reflects the risk that the interest shortfalls will continue and
will not be reimbursed at the class's current rating level of 'BBB-
(sf)'. This class does not receive additional compensation for
outstanding interest shortfalls. As such, our analysis focuses on
our expectations regarding the length of the interest payment
interruptions to assign the rating on the class. After verifying
the change in interest collections and the resulting interest
shortfalls with the trustee, we will adjust the ratings as we
consider appropriate according to our "S&P Global Ratings
Definitions," published June 9, 2023, which could have a
significant impact to the ratings, with potential movements to low
speculative-grade.
"We will continue to monitor our ratings on securities that
experience interest shortfalls and/or missed interest payments, and
we will further adjust our ratings as we consider appropriate."
Ratings list
RATING
ISSUER NAME
SERIES CLASS CUSIP TO FROM
2004-CB6 Trust
2004-CB6 M-1 59020UJC0 B- (sf) B (sf)
PRIMARY RATING DRIVER(S): Ultimate repayment of missed
unlikely at higher rating levels.
2004-CB8 Trust
2004-CB8 M-1 59020UPR0 B- (sf) B (sf)
PRIMARY RATING DRIVER(S): Ultimate repayment of missed
interest unlikely at higher rating levels.
ABFC 2004-HE1 Trust
2004-HE1 M-1 04542BJP8 B- (sf) B (sf)
PRIMARY RATING DRIVER(S): Ultimate repayment of missed
interest unlikely at higher rating levels.
ACE Securities Corp. Home Equity Loan Trust, Series 2007-ASAP2
2007-ASAP2 A-1 00442UAA7 D (sf) CC (sf)
PRIMARY RATING DRIVER(S): Ultimate repayment of missed
interest unlikely at higher rating levels.
Alternative Loan Trust 2006-OA16
2006-OA16 A-1D 23242GAD6 D (sf) CCC (sf)
PRIMARY RATING DRIVER(S): Ultimate repayment of missed
interest unlikely at higher rating levels.
Alternative Loan Trust 2006-OA16
2006-OA16 A-2 23242GAE4 D (sf) CCC (sf)
PRIMARY RATING DRIVER(S): Ultimate repayment of missed
interest unlikely at higher rating levels.
Asset Backed Securities Corp. Home Equity Loan Trust,
Series AEG 2006-HE1
AEG2006HE1 M1 04541GVL3 B+ (sf) BB (sf)
PRIMARY RATING DRIVER(S): Ultimate repayment of missed
interest unlikely at higher rating levels.
Bayview Financial Mortgage Pass Through Trust 2005-C
2005-C B-2 07325NBU5 D (sf) CCC (sf)
PRIMARY RATING DRIVER(S): Ultimate repayment of missed
interest unlikely at higher rating levels.
Bear Stearns Asset Backed Securities I Trust 2006-HE3
2006-HE3 M-1 07387UHS3 B+ (sf) BB (sf)
PRIMARY RATING DRIVER(S): Ultimate repayment of missed
interest unlikely at higher rating levels.
BNC Mortgage Loan Trust 2007-1
2007-1 A-1 05569GAA4 D (sf) CC (sf)
PRIMARY RATING DRIVER(S): Ultimate repayment of missed
interest unlikely at higher rating levels.
BNC Mortgage Loan Trust 2007-1
2007-1 A5 05569GAE6 D (sf) CC (sf)
PRIMARY RATING DRIVER(S): Ultimate repayment of missed
interest unlikely at higher rating levels.
C-BASS 2005-RP1 Trust
2005-RP1 M-3 124860FD4 A+ (sf) AA (sf)
PRIMARY RATING DRIVER(S): Ultimate repayment of missed
interest unlikely at higher rating levels.
CWABS Inc.
2002-BC3 M-1 126671RE8 BBB- (sf)/CW Neg BBB- (sf)
PRIMARY RATING DRIVER(S): Observed missed interest payments.
GSR Trust 2005-HEL1
2005-HEL1 A-1 362341N39 D (sf) CC (sf)
PRIMARY RATING DRIVER(S): Ultimate repayment of missed
interest unlikely at higher rating levels.
Home Equity Loan Trust 2005-HS1
2005-HS1 A-II 76110VRZ3 D (sf) CC (sf)
PRIMARY RATING DRIVER(S): Ultimate repayment of missed
interest unlikely at higher rating levels.
IndyMac INDX Mortgage Loan Trust 2006-AR27
2006-AR27 2-A-1 45661LAF5 D (sf) CCC (sf)
PRIMARY RATING DRIVER(S): Interest shortfalls.
IndyMac INDX Mortgage Loan Trust 2006-AR27
2006-AR27 2-A-2 45661LAG3 D (sf) CCC (sf)
PRIMARY RATING DRIVER(S): Interest shortfalls.
Long Beach Mortgage Loan Trust 2006-9
2006-9 I-A 54251WAA0 D (sf) CC (sf)
PRIMARY RATING DRIVER(S): repayment of missed interest
unlikely at higher rating levels.
PHH Alternative Mortgage Trust, Series 2007-2
2007-2 1-A-2 69337HAB7 D (sf) CCC (sf)
PRIMARY RATING DRIVER(S): Ultimate repayment of missed
interest unlikely at higher rating levels.
PHH Alternative Mortgage Trust, Series 2007-2
2007-2 1-A-3 69337HAC5 D (sf) CCC (sf)
PRIMARY RATING DRIVER(S): Ultimate repayment of missed
interest unlikely at higher rating levels.
PHH Alternative Mortgage Trust, Series 2007-2
2007-2 1-A-4 69337HAD3 D (sf) CCC (sf)
PRIMARY RATING DRIVER(S): Ultimate repayment of missed
interest unlikely at higher rating levels.
Alternative Mortgage Trust, Series 2007-2
2007-2 1-A-5 69337HAE1 D (sf) CC (sf)
PRIMARY RATING DRIVER(S): Ultimate repayment of missed
interest unlikely at higher rating levels.
Structured Asset Investment Loan Trust 2006-3
2006-3 A1 863587AA9 D (sf) CC (sf)
PRIMARY RATING DRIVER(S): Ultimate repayment of missed
interest unlikely at higher rating levels.
Structured Asset Investment Loan Trust 2006-3
2006-3 A5 863587AE1 D (sf) CCC (sf)
PRIMARY RATING DRIVER(S): Ultimate repayment of missed
interest unlikely at higher rating levels.
Structured Asset Investment Loan Trust 2006-3
2006-3 A6 863587AF8 D (sf) CC (sf)
PRIMARY RATING DRIVER(S): Ultimate repayment of missed
interest unlikely at higher rating levels.
[*] S&P Takes Various Actions on 105 Classes From 34 US RMBS Deals
------------------------------------------------------------------
S&P Global Ratings completed its review of 105 ratings from 34 U.S.
RMBS transactions issued between 2001 and 2007. The review yielded
33 upgrades, eight downgrades, two withdrawals, and 62
affirmations.
A list of Affected Ratings can be viewed at:
https://rb.gy/8jyo6z
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance and/or structural
characteristics and their potential effects on certain classes.
Some of these considerations may include:
-- Collateral performance, including delinquency trends;
-- Increase or decrease in available credit support;
-- Assessment of reduced interest payments due to loan
modifications and other credit-related events;
-- Missed interest payments;
-- Small loan count; and
-- Payment priority.
Rating Actions
S&P said, "The rating changes reflect our view regarding the
associated transaction-specific collateral performance, structural
characteristics, and/or the application of specific criteria
applicable to these classes. See the ratings list below for the
specific rationales associated with each of the classes with rating
transitions.
"The affirmations reflect our view that our projected credit
support, collateral performance, and credit-related reductions in
interest on these classes have remained relatively consistent with
our prior projections.
"We withdrew our ratings on two classes from two transactions due
to the small number of loans remaining in the related group. Once a
pool has declined to a de minimis amount, its future performance
becomes more difficult to project. As such, we believe there is a
high degree of credit instability that is incompatible with any
rating level.
*********
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 2024. 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 ***