/raid1/www/Hosts/bankrupt/TCR_Public/240818.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, August 18, 2024, Vol. 28, No. 230
Headlines
ACCESS GROUP: Moody's Lowers Rating on 2004-1B Notes to C
AGL CLO 21: Moody's Assigns B3 Rating to $250,000 Class F-R Notes
AIMCO CLO 11: S&P Assigns Prelim BB-(sf) Rating on Cl. E-R2 Notes
AMERICAN CREDIT 2023-3: S&P Affirms BB-(sf) Rating on Cl. E Notes
APEX CREDIT 2019: Fitch Assigns B-sf Final Rating on Cl. F-RR Notes
APEX CREDIT 2024-II: S&P Assigns BB- (sf) Rating on Class E Notes
APIDOS CLO XL: S&P Assigns BB- (sf) Rating on Class E-R Notes
APIDOS CLO XX: Moody's Affirms Caa2 Rating on Class E-R Notes
APIDOS CLO XXVII: Moody's Affirms Ba3 Rating on $57.5MM A-2R Notes
APIDOS CLO XXVII: Moody's Affirms Caa2 Rating on Class E Notes
ASCENT CAREER 2024-1: DBRS Gives Prov. BB(low) Rating on C Notes
BAMLL COMMERCIAL 2016-ISQR: S&P Cuts X-B Certs Rating to 'BB-(sf)'
BAMLL COMMERCIAL 2024-BHP: S&P Assigns BB (sf) Rating on E Certs
BANK 2017-BNK6: DBRS Cuts Rating on 2 Classes to C
BANK 2017-BNK7: DBRS Confirms B Rating on Class X-F Certs
BDS 2021-FL10: DBRS Confirms B(low) Rating on Class G Notes
BDS 2021-FL7: DBRS Confirms B(low) Rating on Class G Notes
BELLEMEADE RE 2024-1: DBRS Gives Prov. B Rating on B-1 Notes
BENCHMARK 2021-B23: DBRS Confirms B(low) Rating on 360D Certs
BENCHMARK 2024-V9: Fitch Assigns B-(EXP)sf Rating on Cl. G-RR Certs
BRAVO RESIDENTIAL 2024-NQM5: Fitch Assigns Bsf Rating on B-2 Notes
CHESTNUT NOTES: DBRS Confirms BB(low) Rating on Class C Notes
CIFC FUNDING 2018-II: Moody's Affirms Ba3 Rating on Class D Notes
CIM TRUST 2024-R1: DBRS Finalizes B(low) Rating on B3 Notes
COLT 2024-INV3: S&P Assigns B (sf) Rating on Class B-2 Certs
COLUMBIA CENT 30: S&P Affirms BB- (sf) Rating on Class E Notes
COMM 2014-CCRE15: Moody's Lowers Rating on Cl. D Certs to B1
CONNECTICUT AVE 2023-R07: Moody's Ups Rating on 3 Tranches to Ba1
DIAMOND ISSUER: Fitch Affirms 'BB-sf' Rating on Class C Notes
EATON VANCE 2020-1: S&P Assigns BB- (sf) Rating on Class E-R Notes
ELEMENT NOTES: DBRS Confirms BB(low) Rating on Class C Notes
FS TRUST 2024-HULA: DBRS Gives Prov. BB Rating on 2 Classes
GCAT TRUST 2024-INV3: Moody's Assigns B2 Rating to Cl. B-5 Certs
GEMINI NOTES: DBRS Confirms BB(low) Rating on Class C Notes
GENERATE CLO 17: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
GFCM LLC 2003-1: Moody's Lowers Rating on Cl. X Certs to Caa2
GLS AUTO 2024-3: S&P Assigns BB (sf) Rating on Class E Notes
GOLUB CAPITAL 76(B): Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes
GS MORTGAGE 2016-GS3: S&P Lowers Cl. X-WM Certs Rating to 'BB(sf)'
GS MORTGAGE 2018-GS10: DBRS Cuts Class G-RR Certs Rating to C
GS MORTGAGE 2024-PJ7: Moody's Assigns (P)Ba1 Rating to B-4 Certs
HOUSTON GALLERIA 2015-HGLR: DBRS Confirms BB Rating on E Certs
IVY HILL VII: S&P Assigns BB- (sf) Rating on Class E-RRR Notes
IVY HILL VII: S&P Assigns Prelim BB- (sf) Rating on E-RRR Notes
JEFFERIES CREDIT 2024-I: S&P Assigns Prelim 'BB-' Rating on E Notes
JORDAN NOTES: DBRS Confirms BB(low) Rating on Class C Notes
JP MORGAN 2012-C6: Moody's Lowers Rating on 2 Tranches to Caa3
JP MORGAN 2020-LOOP: Moody's Lowers Rating on 2 Tranches to Ba2
JP MORGAN 2024-7: Moody's Assigns B3 Rating to Cl. B-5 Certs
JPMCC COMMERCIAL 2017-JP7: DBRS Cuts G-RR Certs Rating to CCC
KKR CLO 15: Moody's Assigns Ba3 Rating on $23.5MM Class E-R2 Notes
LCM LTD XIV: Moody's Cuts Rating on $8MM Class F-R Notes to Caa2
LUXE TRUST 2021-TRIP: DBRS Confirms B(low) Rating on 2 Classes
MADISON PARK LVII: Fitch Assigns 'BB+sf' Rating on Class E-R Notes
MADISON PARK LVII: Moody's Assigns B3 Rating to $250,000 F Notes
MADISON PARK XLIII: S&P Assigns Prelim B- (sf) Rating on F-R Notes
MADISON PARK XXXII: Moody's Assigns B3 Rating to $250,000 F Notes
MARINER FINANCE 2024-A: S&P Assigns BB sf) Rating on Class E Notes
MIDOCEAN CREDIT VII: Moody's Cuts Rating on $9MM Cl. F Notes to Ca
MORGAN STANLEY 2024-3: Fitch Assigns 'B' Final Rating on Cl. R Debt
NMEF FUNDING 2023-A: Moody's Affirms Ba3 Rating on Class D Notes
NMEF FUNDING 2024-A: Moody's Assigns (P)Ba3 Rating to Cl. D Notes
OCEAN TRAILS 8: Moody's Assigns Ba3 Rating to $19MM Cl. E-RR Notes
OCP CLO 2017-14: S&P Assigns BB- (sf) Rating on Class E-R Notes
OCP CLO 2020-18: S&P Assigns Prelim BB- (sf) Rating on E-R2 Notes
OCP CLO 2024-34: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
OHA CREDIT 11: S&P Assigns BB- (sf) Rating on Class E-R Notes
OHA CREDIT 11: S&P Assigns BB- (sf) Rating on Class E-R Notes
OPG TRUST 2021-PORT: DBRS Confirms B(low) Rating on G Certs
PRPM 2024-RCF5: DBRS Gives Prov. BB(low) Rating on M-2 Notes
RATE MORTGAGE 2021-J1: Moody's Hikes Rating on Cl. B-5 Certs to B2
RATE MORTGAGE 2024-J2: Moody's Assigns Ba3 Rating on Class B-5 Debt
RIPPLE NOTES: DBRS Confirms BB(low) Rating on Class C Notes
SALUDA GRADE 2024-INV1: DBRS Gives Prov. B Rating on B-2 Certs
SARANAC CLO III: Moody's Lowers Rating on $24MM E-R Notes to Caa2
TIDAL NOTES: DBRS Confirms BB(low) Rating on Class C Notes
TOWD POINT 2024-3: DBRS Finalizes B(high) Rating on B2 Notes
VERUS SECURITIZATION 2024-INV2: S&P Assigns Prelim B- on B-2 Notes
VOYA CLO 2015-1: Moody's Lowers Rating on Class E-R Notes to Ca
VOYA CLO 2017-1: Moody's Affirms B1 Rating on $20MM Class D Notes
VOYA CLO 2019-1: S&P Affirms 'BB- (sf)' Rating on Class E-R Notes
WELLMAN PARK CLO: Moody's Assigns B3 Rating to $1MM Class F Notes
WELLS FARGO 2013-LC12: Moody's Lowers Rating on PEX Certs to Caa1
WESTLAKE AUTOMOBILE 2023-3: S&P Assigns BB (sf) Rating on E Notes
WFRBS COMMERCIAL 2012-C10: Moody's Cuts Rating on X-B Certs to Ba3
WFRBS COMMERCIAL 2014-C22: Moody's Cuts Rating on C Certs to Ba1
ZAIS CLO 13: Moody's Upgrades Rating on 2 Tranches From Ba1
[*] Moody's Lowers Ratings on $27MM of US RMBS Issued 2004-2005
[*] Moody's Takes Action on $21MM of US RMBS Issued 2003-2006
[*] Moody's Takes Action on $9.2MM of US RMBS Issued 2001-2004
*********
ACCESS GROUP: Moody's Lowers Rating on 2004-1B Notes to C
---------------------------------------------------------
Moody's Ratings has downgraded nine tranches of notes issued by two
Access Group, Inc. student loan securitizations. The
securitizations are backed by student loans originated under the
Federal Family Education Loan Program (FFELP) that are guaranteed
by the US government for a minimum of 97% of defaulted principal
and accrued interest.
The complete rating actions are as follows:
Issuer: Access Group Inc. Federal Student Loan Asset-Backed Notes,
(2002 Trust Indenture)
2004-1B, Downgraded to C; previously on Nov 17, 2016 Downgraded to
Ca
Senior Ser. 2002-1 Cl. A-3, Downgraded to Ba1; previously on Nov
17, 2016 Downgraded to Baa3
Senior Ser. 2002-1 Cl. A-4, Downgraded to Ba1; previously on Nov
17, 2016 Downgraded to Baa3
Senior Ser. 2003 Cl. A-5, Downgraded to Ba1; previously on Nov 17,
2016 Downgraded to Baa3
Senior Ser. 2003-1 Cl. A-4, Downgraded to Ba1; previously on Nov
17, 2016 Downgraded to Baa3
Senior Ser. 2003-1 Cl. A-6, Downgraded to Ba1; previously on Nov
17, 2016 Downgraded to Baa3
Subordinate 2002-1 Cl. B, Downgraded to C; previously on Nov 17,
2016 Downgraded to Ca
Sub. Ser. 2003-1 Cl. B, Downgraded to C; previously on Nov 17, 2016
Downgraded to Ca
Issuer: Access Group, Inc. Series 2004-2
2004-2-A-5, Downgraded to A2; previously on Nov 17, 2016 Downgraded
to Aa3
RATINGS RATIONALE
The rating actions reflect updated performance of the transactions
and updated expected loss on the tranches across Moody's cash flow
scenarios. Moody's quantitative analysis derives the expected loss
for a tranche using 28 cash flow scenarios with weights accorded to
each scenario.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Moody's
Approach to Rating Securities Backed by FFELP Student Loans"
published in April 2021.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the ratings if the paydown speed of the loan
pool increases as a result of declining borrower usage of
deferment, forbearance and IBR, increasing voluntary prepayment
rates, or prepayments with proceeds from sponsor repurchases of
student loan collateral. Moody's could also upgrade the ratings
owing to a build-up in credit enhancement.
Down
Moody's could downgrade the ratings if the paydown speed of the
loan pool declines as a result of lower than expected voluntary
prepayments, and higher than expected deferment, forbearance and
IBR rates, which would threaten full repayment of the class by its
final maturity date. In addition, because the US Department of
Education guarantees at least 97% of principal and accrued interest
on defaulted loans, Moody's could downgrade the rating of the notes
if it were to downgrade the rating on the United States government.
AGL CLO 21: Moody's Assigns B3 Rating to $250,000 Class F-R Notes
-----------------------------------------------------------------
Moody's Ratings has assigned ratings to two classes of CLO
refinancing notes (the Refinancing Notes) issued by AGL CLO 21 Ltd.
(the Issuer):
US$256,000,000 Class A-1-R Senior Secured Floating Rate Notes due
2037, Assigned Aaa (sf)
US$250,000 Class F-R Junior Secured Deferrable Floating Rate Notes
due 2037, 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 90%
of the portfolio must consist of first lien senior secured loans,
cash and eligible investments and up to 10% of the portfolio may
consist of second-lien loans, unsecured loans, senior secured bonds
and senior secured notes.
AGL CLO Credit 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 and six other
classes of secured 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; and 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: $400,000,000
Diversity Score: 80
Weighted Average Rating Factor (WARF): 3225
Weighted Average Spread (WAS): 3.40%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 46.0%
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.
AIMCO CLO 11: S&P Assigns Prelim BB-(sf) Rating on Cl. E-R2 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1R2, A-2R2, B-R2, C-R2, D-1R2, D-2R2, and E-R2 replacement debt
from AIMCO CLO 11 Ltd./AIMCO CLO 11 LLC, a CLO managed by Allstate
Investment Management Co. that was originally issued in September
2020 and previously refinanced in November 2021.
The preliminary ratings are based on information as of Aug. 15,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Aug. 20, 2024, refinancing date, the proceeds from the
replacement debt will be used to redeem the November 2021 debt. At
that time, S&P expects to withdraw our ratings on the November 2021
debt and assign ratings to the replacement debt. However, if the
refinancing doesn't occur, S&P may affirm its ratings on the
November 2021 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 Aug. 20, 2026.
-- The reinvestment period will be extended to July 17, 2029.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) will be extended to July 17,
2037.
-- The required minimum overcollateralization coverage ratios will
be amended.
-- Of the identified underlying collateral obligations, 99.02%
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, 94.28%
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
AIMCO CLO 11 Ltd./AIMCO CLO 11 LLC
Class A-1R2, $384.00 million: AAA (sf)
Class A-2R2, $18.00 million: AAA (sf)
Class B-R2, $54.00 million: AA (sf)
Class C-R2 (deferrable), $36.00 million: A (sf)
Class D-1R2 (deferrable), $36.00 million: BBB (sf)
Class D-2R2 (deferrable), $7.50 million: BBB- (sf)
Class E-R2 (deferrable), $16.50 million: BB- (sf)
Subordinated notes, $53.20 million: Not rated
AMERICAN CREDIT 2023-3: S&P Affirms BB-(sf) Rating on Cl. E Notes
-----------------------------------------------------------------
S&P Global Ratings raised its ratings on nine classes and affirmed
its ratings on five classes of notes from four American Credit
Acceptance Receivables Trust (ACAR) transactions. These ABS
transactions are backed by subprime retail auto loan receivables
originated and serviced by American Credit Acceptance LLC.
The rating actions reflect:
-- Each transaction's collateral performance to date and our
expectations regarding future collateral performance;
-- S&P's remaining cumulative net loss (CNL) expectations for each
transaction, and the transactions' structures and credit
enhancement levels; and
-- Other credit factors, including credit stability, payment
priorities under various scenarios, and sector- and issuer-specific
analyses, including S&P's most recent macroeconomic outlook that
incorporates a baseline forecast for U.S. GDP and unemployment.
Considering all these factors, S&P believes the notes'
creditworthiness is consistent with the raised and affirmed
ratings.
S&P said, "ACAR 2021-2, 2021-3, and 2021-4 are performing worse
than our prior CNL expectations. These series, which received a
more substantial benefit from COVID-19 pandemic-era stimulus, are
now experiencing higher back-end gross losses than our prior
expectations, which, combined with relatively weaker recovery
rates, are resulting in elevated net losses. As such, we revised
and raised our expected CNLs for these transactions. Series
2023-3--which did not receive a pandemic performance benefit and
benefitted from tighter underwriting standards--albeit early, is
performing in line with our initial expectations, and our expected
CNL is unchanged."
Table 1
Collateral performance (%)(i)
Pool Current 60+ day
Series Mo. factor CNL Extensions delinq.
2021-2 38 20.77 17.97 4.17 9.40
2021-3 35 23.14 22.36 4.25 9.96
2021-4 32 24.90 22.90 3.81 9.60
2023-3 11 71.82 8.85 2.88 7.97
(i)As of the July 2024 distribution date.
Mo.--Month.
Delinq.--Delinquencies.
CNL--Cumulative net loss.
Table 2
CNL expectations (%)
Original Previous Revised
lifetime lifetime lifetime
Series CNL exp. CNL exp.(i) CNL exp.(ii)
2021-2 27.75-28.75 19.00 19.75
2021-3 26.50-27.50 24.00 25.00
2021-4 25.50-26.50 25.00 26.00
2023-3 27.25 N/A 27.25
(i)Revised in September 2023.
(ii)As of July 2024.
CNL exp.--Cumulative net loss expectations.
N/A–-Not applicable.
Each transaction has a sequential principal payment structure--in
which the notes are paid principal by seniority--that will increase
the credit enhancement for the senior notes as the pool amortizes.
Each transaction also has credit enhancement consisting of
overcollateralization, a non-amortizing reserve account,
subordination for the more senior classes, and excess spread. As of
the July 2024 distribution date, each transaction is at its
specified target overcollateralization level and specified reserve
level.
The raised and affirmed ratings reflect our view that the total
credit support as a percentage of the amortizing pool balance (as
of the collection period ended June 30, 2024), compared with our
expected remaining losses, is commensurate with each rating.
Table 3
Hard credit support(i)
Total hard Current total hard
credit support credit support
Series Class at issuance (%) (% of current)
2021-2 D 19.00 73.79
2021-2 E 11.00 35.26
2021-2 F 8.00 20.82
2021-3 D 18.35 64.21
2021-3 E 12.50 38.93
2021-3 F 7.50 17.32
2021-4 D 19.35 66.13
2021-4 E 10.00 28.58
2021-4 F 6.50 14.52
2023-3 A 63.60 87.61
2023-3 B 54.80 75.36
2023-3 C 38.40 52.52
2023-3 D 24.90 33.72
2023-3 E 17.30 23.14
(i)As of the July 2024 distribution date. Calculated as a
percentage of the total gross receivable pool balance, consisting
of a reserve account, overcollateralization, and, if applicable,
subordination. Excludes excess spread that can also provide
additional enhancement.
S&P said, "We analyzed the current hard credit enhancement compared
to the remaining expected CNL for those classes where hard credit
enhancement alone--without credit to the expected excess
spread--was sufficient, in our view, to raise the ratings or affirm
them at 'AAA (sf)'. For other classes, we incorporated a cash flow
analysis to assess the loss coverage levels, giving credit to
stressed excess spread. Our various cash flow scenarios included
forward-looking assumptions on recoveries, the timing of losses,
and voluntary absolute prepayment speeds that we believe are
appropriate given each transaction's performance to date.
"In addition to our break-even cash flow analysis, we also
conducted a sensitivity analysis for the series to determine the
impact that a moderate ('BBB') stress scenario would have on our
ratings if losses began trending higher than our revised loss
expectation.
"In our view, the results demonstrated that all of the classes have
adequate credit enhancement at their respective raised and affirmed
rating levels, which is based on our analysis as of the collection
period ended June 30, 2024 (the July 2024 distribution date).
"We will continue to monitor the performance of all the outstanding
transactions to ensure credit enhancement remains sufficient, in
our view, to cover our CNL expectations under our stress scenarios
for each of the rated classes."
RATINGS RAISED
American Credit Acceptance Receivables Trust
Rating
Series Class To From
2021-2 E AAA (sf) AA- (sf)
2021-2 F AA- (sf) A+ (sf)
2021-3 D AAA (sf) AA+ (sf)
2021-3 E AA+ (sf) A+ (sf)
2021-3 F A- (sf) BBB+ (sf)
2021-4 D AAA (sf) AA (sf)
2021-4 E A+ (sf) A- (sf)
2023-3 B AAA (sf) AA (sf)
2023-3 C AA- (sf) A (sf)
RATINGS AFFIRMED
American Credit Acceptance Receivables Trust
Series Class Rating
2021-2 D AAA (sf)
2021-4 F BBB (sf)
2023-3 A AAA (sf)
2023-3 D BBB (sf)
2023-3 E BB- (sf)
APEX CREDIT 2019: Fitch Assigns B-sf Final Rating on Cl. F-RR Notes
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings of Apex Credit CLO 2019
Ltd. reset transaction.
Entity/Debt Rating
----------- ------
Apex Credit CLO
2019 Ltd. - Reset
X-RR LT NRsf New Rating
A-1RR LT NRsf New Rating
A-JRR LT AAAsf New Rating
B-RR LT AAsf New Rating
C-RR LT Asf New Rating
D-1RR LT BBBsf New Rating
D-JRR LT BBB-sf New Rating
E-RR LT BB-sf New Rating
F-RR LT B-sf New Rating
Subordinated LT NRsf New Rating
Transaction Summary
Apex Credit CLO 2019 Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by Apex
Credit Partners LLC. The CLO originally closed in 2019 and had the
first refinancing in 2021. On Aug. 8, 2024, the reset deal will
refinance all existing secured notes. Net proceeds from the
issuance of the secured and subordinated notes will provide
financing on a portfolio of approximately $390 million of primarily
first lien senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 23.73, versus a maximum covenant, in accordance with
the initial expected matrix point of 24.00. 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
96.17% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 73.55% versus a
minimum covenant, in accordance with the initial expected matrix
point of 68.75%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 40% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a 4.9-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting to the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The weighted average life (WAL) used for the transaction stress
portfolio 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-JRR, between
'BB+sf' and 'A+sf' for class B-RR, between 'B+sf' and 'BBB+sf' for
class C-RR, between less than 'B-sf' and 'BBB-sf' for class D-1RR,
between less than 'B-sf' and 'BB+sf' for class D-JRR, between less
than 'B-sf' and 'B+sf' for class E-RR, and less than 'B-sf' for
class F-RR.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-JRR 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-RR, 'AAsf' for class C-RR, 'A+sf'
for class D-1RR, 'BBB+sf' for class D-JRR, 'BBB+sf' for class E-RR,
and 'BB+sf' for class F-RR.
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 assesses the asset portfolio
information.
Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the rating
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 Apex Credit CLO
2019 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.
APEX CREDIT 2024-II: S&P Assigns BB- (sf) Rating on Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Apex Credit CLO 2024-II
Ltd./Apex Credit CLO 2024-II LLC's fixed- and 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 Apex Credit Partners 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 notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Apex Credit CLO 2024-II Ltd./Apex Credit CLO 2024-II LLC
Class A, $248.00 million: AAA (sf)
Class B-1, $50.20 million: AA (sf)
Class B-2, $5.80 million: AA (sf)
Class C (deferrable), $24.00 million: A (sf)
Class D-1 (deferrable), $16.00 million: BBB+ (sf)
Class D-2 (deferrable), $9.00 million: BBB- (sf)
Class E (deferrable), $13.00 million: BB- (sf)
Subordinated notes, $38.35 million: Not rated
APIDOS CLO XL: S&P Assigns BB- (sf) Rating on Class E-R Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
D-1-R, D-2-R, and E-R replacement debt and new class X-R debt from
Apidos CLO XL Ltd./Apidos CLO XL LLC, a CLO originally issued in
July 2022 that is managed by CVC Credit Partners LLC and was not
rated by S&P Global Ratings.
On the Aug. 9, 2024, refinancing date, the proceeds from the
replacement debt were used to redeem the original debt.
The ratings reflect S&P's assessment of:
-- The diversification of the collateral pool, which consists
primarily of broadly syndicated speculative-grade (rated 'BB+' and
lower) senior secured term loans.
-- 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.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
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.
"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
Apidos CLO XL Ltd./Apidos CLO XL LLC
Class X-R, $1.5 million: AAA (sf)
Class A-R, $315.0 million: AAA (sf)
Class B-R, $65.0 million: AA (sf)
Class C-R (deferrable), $30.0 million: A (sf)
Class D-1-R (deferrable), $30.0 million: BBB- (sf)
Class D-2-R (deferrable), $5.0 million: BBB- (sf)
Class E-R (deferrable), $15.0 million: BB- (sf)
Subordinated notes, $42.9 million: not rated
APIDOS CLO XX: Moody's Affirms Caa2 Rating on Class E-R Notes
-------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by Apidos CLO XX:
US$26.3M Class B-RR Mezzanine Secured Deferrable Floating Rate
Notes, Upgraded to Aa2 (sf); previously on May 25, 2023 Upgraded to
Aa3 (sf)
US$33.2M Class C-R Mezzanine Secured Deferrable Floating Rate
Notes, Upgraded to Baa2 (sf); previously on Jul 16, 2018 Assigned
Baa3 (sf)
Moody's have also affirmed the ratings on the following notes:
US$295M (Current Outstanding Balance US$185,725,452) Class A-1R-A
Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously
on Jul 16, 2018 Assigned Aaa (sf)
US$25M (Current Outstanding Balance US$15,739,445) Class A-1RR-B
Senior Secured Fixed Rate Notes, Affirmed Aaa (sf); previously on
Oct 23, 2020 Assigned Aaa (sf)
US$54.8M Class A-2RR Senior Secured Floating Rate Notes, Affirmed
Aaa (sf); previously on May 25, 2023 Upgraded to Aaa (sf)
US$25.7M Class D-R Mezzanine Deferrable Floating Rate Notes,
Affirmed Ba3 (sf); previously on Jul 16, 2018 Assigned Ba3 (sf)
US$8M Class E-R Mezzanine Deferrable Floating Rate Notes, Affirmed
Caa2 (sf); previously on May 25, 2023 Downgraded to Caa2 (sf)
Apidos CLO XX, originally issued in February 2015 and most recently
refinanced in October 2020, is a collateralised loan obligation
(CLO) backed by a portfolio of mostly high-yield senior secured US
loans. The portfolio is managed by CVC Credit Partners, LLC. The
transaction's reinvestment period ended in July 2023.
RATINGS RATIONALE
The rating upgrades on the Class B-RR and C-R notes are primarily a
result of the significant deleveraging of the senior notes
following amortisation of the underlying portfolio since the
payment date in July 2023.
The affirmations on the ratings on the Class A-1R-A, A-1RR-B,
A-2RR, D-R and E-R notes are primarily a result of the expected
losses on the notes remaining consistent with their current rating
levels, after taking into account the CLO's latest portfolio, its
relevant structural features and its actual over-collateralisation
ratios.
The Class A-1R-A and A-1RR-B notes have paid down by approximately
USD 118.5 million (37.0%) in the last 12 months. As a result of the
deleveraging, over-collateralisation (OC) has increased across the
capital structure. According to the trustee report dated July 2024
[1], the Class A, Class B, Class C and Class D OC ratios are
reported at 133.79%, 123.80%, 113.13% and 106.06% compared to July
2023 [2] levels of 129.99%, 121.46%, 112.18% and 105.91%,
respectively. Moody's note that the July 2024 principal payments
are not reflected in the reported OC ratios.
The key model inputs Moody's use in Moody's analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on Moody's published methodology
and could differ from the trustee's reported numbers.
In Moody's base case, Moody's used the following assumptions:
Performing par and principal proceeds balance: USD364.50m
Defaulted Securities: USD3.28m
Diversity Score: 72
Weighted Average Rating Factor (WARF): 2987
Weighted Average Life (WAL): 3.67 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.22%
Weighted Average Recovery Rate (WARR): 47.07%
Par haircut in OC tests and interest diversion test: none
The default probability derives from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporate these default and recovery
characteristics of the collateral pool into Moody's cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability Moody's are analysing.
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.
Counterparty Exposure:
The rating action took into consideration the notes' exposure to
relevant counterparties using the methodology "Moody's Approach to
Assessing Counterparty Risks in Structured Finance methodology"
published in October 2023. Moody's concluded the ratings of the
notes are not constrained by these risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.
Additional uncertainty about performance is due to the following:
-- Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.
-- Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assume have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Recoveries higher
than Moody's expectations would have a positive impact on the
notes' ratings.
In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
Moody's other analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
APIDOS CLO XXVII: Moody's Affirms Ba3 Rating on $57.5MM A-2R Notes
------------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by Apidos CLO XXVII:
US$28.75M Class B-R Mezzanine Secured Deferrable Floating Rate
Notes, Upgraded to Aaa (sf); previously on Apr 17, 2024 Upgraded to
Aa1 (sf)
US$31.25M Class C-R Mezzanine Secured Deferrable Floating Rate
Notes, Upgraded to A3 (sf); previously on Aug 15, 2023 Downgraded
to Baa2 (sf)
Moody's have also affirmed the ratings on the following notes:
US$320M (Current Outstanding Balance US$99,505,833) Class A-1R
Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously
on Jun 15, 2021 Assigned Aaa (sf)
US$57.5M Class A-2R Senior Secured Floating Rate Notes, Affirmed
Aaa (sf); previously on Aug 15, 2023 Upgraded to Aaa (sf)
US$22.5M Class D Mezzanine Deferrable Floating Rate Notes,
Affirmed Ba3 (sf); previously on Aug 15, 2023 Downgraded to Ba3
(sf)
US$7.5M Class E Junior Deferrable Floating Rate Notes, Affirmed
Caa2 (sf); previously on Apr 17, 2024 Downgraded to Caa2 (sf)
Apidos CLO XXVII, issued in July 2017, is a collateralised loan
obligation (CLO) backed by a portfolio of mostly high-yield senior
secured US loans. The portfolio is managed by CVC Credit Partners
U.S. CLO Management LLC. The transaction's reinvestment period
ended in July 2022.
RATINGS RATIONALE
The rating upgrades on the Class B-R and C-R notes are primarily a
result of the significant deleveraging of the Class A-1R notes
following amortisation of the underlying portfolio since the last
rating action in April 2024.
The affirmations on the ratings on the Class A-1R, A-2R, D and E
notes are primarily a result of the expected losses on the notes
remaining consistent with their current rating levels, after taking
into account the CLO's latest portfolio, its relevant structural
features and its actual over-collateralisation ratios.
The Class A-1R notes have paid down by approximately USD 120
million (37.5%) since the last rating action in April 2024 and USD
220.5 million (68.9%) since closing. As a result of the
deleveraging, over-collateralisation (OC) has increased across the
capital structure. According to the trustee report dated July 2024
[1], the Class A, Class B, Class C and Class D OC ratios are
reported at 144.2%, 128.3%, 114.6% and 106.4% compared to March
2024 levels [2], on which the last rating action was based, of
137.8%, 124.8%, 113.3% and 106.2%, respectively. Moody's note that
the July 2024 principal payments (USD 75.3m) are not reflected in
the reported OC ratios.
The deleveraging and OC improvements primarily resulted from high
prepayment rates of leveraged loans in the underlying portfolio.
Most of the prepaid proceeds have been applied to amortise the
liabilities. All else held equal, such deleveraging is generally a
positive credit driver for the CLO's rated liabilities.
The key model inputs Moody's use in Moody's analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on Moody's published methodology
and could differ from the trustee's reported numbers.
In Moody's base case, Moody's used the following assumptions:
Performing par and principal proceeds balance: USD259.3m
Defaulted Securities: USD6.6m
Diversity Score: 59
Weighted Average Rating Factor (WARF): 3053
Weighted Average Life (WAL): 3.12 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.11%
Weighted Average Recovery Rate (WARR): 47.0%
The default probability derives from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporate these default and recovery
characteristics of the collateral pool into Moody's cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.
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.
Counterparty Exposure:
The rating action took into consideration the notes' exposure to
relevant counterparties using the methodology "Moody's Approach to
Assessing Counterparty Risks in Structured Finance methodology"
published in October 2023. Moody's concluded the ratings of the
notes are not constrained by these risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.
Additional uncertainty about performance is due to the following:
-- Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.
-- Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assume have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Moody's analysed
defaulted recoveries assuming the lower of the market price or the
recovery rate to account for potential volatility in market prices.
Recoveries higher than Moody's expectations would have a positive
impact on the notes' ratings.
In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
Moody's other analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
APIDOS CLO XXVII: Moody's Affirms Caa2 Rating on Class E Notes
--------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by Apidos CLO XXVII:
US$28.75M Class B-R Mezzanine Secured Deferrable Floating Rate
Notes, Upgraded to Aaa (sf); previously on Apr 17, 2024 Upgraded to
Aa1 (sf)
US$31.25M Class C-R Mezzanine Secured Deferrable Floating Rate
Notes, Upgraded to A3 (sf); previously on Aug 15, 2023 Downgraded
to Baa2 (sf)
Moody's have also affirmed the ratings on the following notes:
US$320M (Current Outstanding Balance US$99,505,833) Class A-1R
Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously
on Jun 15, 2021 Assigned Aaa (sf)
US$57.5M Class A-2R Senior Secured Floating Rate Notes, Affirmed
Aaa (sf); previously on Aug 15, 2023 Upgraded to Aaa (sf)
US$22.5M Class D Mezzanine Deferrable Floating Rate Notes,
Affirmed Ba3 (sf); previously on Aug 15, 2023 Downgraded to Ba3
(sf)
US$7.5M Class E Junior Deferrable Floating Rate Notes, Affirmed
Caa2 (sf); previously on Apr 17, 2024 Downgraded to Caa2 (sf)
Apidos CLO XXVII, issued in July 2017, is a collateralised loan
obligation (CLO) backed by a portfolio of mostly high-yield senior
secured US loans. The portfolio is managed by CVC Credit Partners
US CLO Management LLC. The transaction's reinvestment period ended
in July 2022.
RATINGS RATIONALE
The rating upgrades on the Class B-R and C-R notes are primarily a
result of the significant deleveraging of the Class A-1R notes
following amortisation of the underlying portfolio since the last
rating action in April 2024.
The affirmations on the ratings on the Class A-1R, A-2R, D and E
notes are primarily a result of the expected losses on the notes
remaining consistent with their current rating levels, after taking
into account the CLO's latest portfolio, its relevant structural
features and its actual over-collateralisation ratios.
The Class A-1R notes have paid down by approximately USD 120
million (37.5%) since the last rating action in April 2024 and USD
220.5 million (68.9%) since closing. As a result of the
deleveraging, over-collateralisation (OC) has increased across the
capital structure. According to the trustee report dated July 2024
[1], the Class A, Class B, Class C and Class D OC ratios are
reported at 144.2%, 128.3%, 114.6% and 106.4% compared to March
2024 levels [2], on which the last rating action was based, of
137.8%, 124.8%, 113.3% and 106.2%, respectively. Moody's note that
the July 2024 principal payments (USD 75.3m) are not reflected in
the reported OC ratios.
The deleveraging and OC improvements primarily resulted from high
prepayment rates of leveraged loans in the underlying portfolio.
Most of the prepaid proceeds have been applied to amortise the
liabilities. All else held equal, such deleveraging is generally a
positive credit driver for the CLO's rated liabilities.
The key model inputs Moody's use in Moody's analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on Moody's published methodology
and could differ from the trustee's reported numbers.
In Moody's base case, Moody's used the following assumptions:
Performing par and principal proceeds balance: USD259.3m
Defaulted Securities: USD6.6m
Diversity Score: 59
Weighted Average Rating Factor (WARF): 3053
Weighted Average Life (WAL): 3.12 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.11%
Weighted Average Recovery Rate (WARR): 47.0%
The default probability derives from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporate these default and recovery
characteristics of the collateral pool into Moody's cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.
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.
Counterparty Exposure:
The rating action took into consideration the notes' exposure to
relevant counterparties using the methodology "Moody's Approach to
Assessing Counterparty Risks in Structured Finance methodology"
published in October 2023. Moody's concluded the ratings of the
notes are not constrained by these risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.
Additional uncertainty about performance is due to the following:
-- Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.
-- Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assume have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Moody's analysed
defaulted recoveries assuming the lower of the market price or the
recovery rate to account for potential volatility in market prices.
Recoveries higher than Moody's expectations would have a positive
impact on the notes' ratings.
In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
Moody's other analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
ASCENT CAREER 2024-1: DBRS Gives Prov. BB(low) Rating on C Notes
----------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the classes of
notes (the Notes) to be issued by Ascent Career Funding Trust
2024-1 (Ascent 2024-1) as follows:
-- $40,509,000 Fixed Rate Class A Notes at A (low) (sf)
-- $7,448,000 Fixed Rate Class B Notes at BBB (low) (sf)
-- $7,120,000 Fixed Rate Class C Notes at BB (low) (sf)
CREDIT RATING RATIONALE/DESCRIPTION
The provisional credit ratings on the Notes are based upon
Morningstar DBRS' review of the following considerations:
The transaction's capital structure and the form and sufficiency of
available credit enhancement.
-- Overcollateralization (OC), subordination, the Reserve Account,
and excess spread create credit enhancement levels that are
commensurate with the proposed credit ratings.
-- OC for each class of Notes will build to its respective target
amount (Specified Overcollateralization Amount). Funds may not be
released from the trust until the respective OC targets are
reached.
-- Transaction cash flows are sufficient to repay investors under
all credit rating stress scenarios in accordance with the terms of
the Ascent 2024-1 transaction documents.
The quality and credit characteristics of the consumer loan
borrowers.
Structural features of the transaction that require the Notes to
enter into full turbo principal amortization, if credit enhancement
deteriorates.
The experience, origination, and underwriting capabilities of
Ascent Funding, LLC (Ascent) and its bank partners.
-- Morningstar DBRS has performed a satisfactory assessment of
Ascent and its bank partners, DR Bank and Richland State Bank.
The ability of the Servicer and the Master Servicer to perform
collections on the collateral pool and other required activities.
-- Morningstar DBRS has performed an operational assessment of
Launch Servicing, LLC and considers the entity to be an acceptable
servicer.
The legal structure and expected legal opinions that will address
the true sale of the consumer loans, the nonconsolidation of the
trust, that the trust has a valid first-priority security interest
in the assets, and the consistency with the Morningstar DBRS "Legal
Criteria for U.S. Structured Finance."
The transaction assumptions consider Morningstar DBRS' baseline
macroeconomic scenarios for rated sovereign economies, available in
its commentary, "Baseline Macroeconomic Scenarios for Rated
Sovereigns June 2024 Update," published on June 28, 2024. These
baseline macroeconomic scenarios replace Morningstar DBRS' moderate
and adverse coronavirus pandemic scenarios, which were first
published in April 2020.
Notes: All figures are in U.S. dollars unless otherwise noted.
BAMLL COMMERCIAL 2016-ISQR: S&P Cuts X-B Certs Rating to 'BB-(sf)'
------------------------------------------------------------------
S&P Global Ratings lowered its ratings on seven classes of
commercial mortgage pass-through certificates from BAMLL Commercial
Mortgage Securities Trust 2016-ISQR, a U.S. CMBS transaction.
This U.S. CMBS transaction is backed by a portion of a 10-year,
fixed-rate, interest-only (IO) mortgage whole loan secured by the
borrower's fee interest in International Square, which comprises
three interconnected, 12-story, class-A office buildings with
ground-floor retail space totaling 1.2 million sq. ft. in downtown
Washington, D.C.
Rating Actions
The downgrades on classes A, B, C, D, and E reflect that:
-- Occupancy, which was 76.7% as of the March 31, 2024, rent roll,
has not materially improved since S&P's last review in August 2023.
According to the master servicer, Wells Fargo Bank N.A., there has
been no new leasing activity at the property since its last
review.
-- The office submarket continues to experience high vacancy and
availability rates. S&P believes that the sponsor will need to
provide significant tenant improvement (TI) and concessions package
to retain and attract tenants to the subject property. According to
Wells Fargo, the last new tenant making up 3.1% of net rentable
area (NRA) received over $200 per sq. ft. in TI allowance.
-- S&P said, "Given these factors, we further revised our
expected-case valuation for the property, which is now 11.6% lower
than the value we derived in our August 2023 review and 27.3% lower
than the valuation we derived at issuance. To arrive at this value,
we assumed higher TI costs and a higher capitalization rate for the
property."
-- S&P said, "The downgrades on classes D and E to 'CCC (sf)' also
reflect our view that these classes are at heightened risk of
default and losses and are susceptible to liquidity interruption,
based on our analysis, the current market conditions, and their
positions in the payment waterfall."
-- S&P said, "We lowered our ratings on the class X-A and X-B IO
certificates based on our criteria for rating IO securities, in
which the ratings on the IO securities would not be higher than
that of the lowest-rated reference class. Class X-A's notional
amount references class A, while class X-B references classes B and
C.
-- S&P said, "We will continue to monitor the tenancy and
performance of the property and the loan. If we receive information
including a special servicing transfer and resolution strategies
that differs materially from our expectations, we may revisit our
analysis and take additional rating actions as we determine
necessary."
Property-Level Analysis
The loan collateral, International Square, consists of three
interconnected, 12-story, class-A office buildings with
ground-floor retail space, totaling 1.2 million sq. ft. in downtown
Washington, D.C. The buildings were built from 1979-1982, and the
entire property occupies almost a full city block between K and I
streets to the north and south and 18th and 19th streets NW in the
city's central business district (CBD).
The sponsor, a joint venture between affiliates of Tishman Speyer
Properties L.P. and the Abu Dhabi Investment Authority, commenced a
capital project in 2020 for approximately $50 million that included
revamping the ground-floor retail space into a new food hall,
building out and renovating common areas, and creating new amenity
spaces (including tenant lounges and a fitness center). Wells Fargo
indicated that the food hall project was completed in September
2023, and the new amenity spaces and common areas opened in May
2023. The food hall is managed by One Market LLC, which signed an
operating lease in 2022 and pays rent based on a percentage of
sales. Since S&P did not receive any sales data, it did not include
its income in its current analysis.
S&P said, "In our Aug. 11, 2023, review, we noted that the
property's operating performance had not improved and continued to
underperform our expectations. Due to weak office submarket
fundamentals, the property had limited new leasing activity. At
that time, we assumed a 25.0% vacancy rate (versus a 73.6% in place
occupancy), an S&P Global Ratings' gross rent of $65.42 per sq.
ft., and a 44.0% operating expense ratio to derive our long-term
sustainable net cash flow (NCF) of $29.6 million. Utilizing a 6.8%
capitalization rate and including the present value of the future
rent steps for the investment-grade rated tenant, the Board of
Governors of the Federal Reserve, we arrived at an expected-case
value of $450.8 million, or $373 per sq. ft."
The servicer reported a 48.7% increase in NCF to $18.5 million in
2023 from $12.4 million in 2022 due primarily to free rent burning
off for the renewing tenant, the Board of Governors of the Federal
Reserve. For the three months ended March 31, 2024, the reported
NCF was $6.9 million and the debt service coverage was 1.68x. As of
the March 31, 2024, rent roll, the property was 76.7% leased.
The five largest tenants at the property comprised 59.5% of NRA:
-- The Board of Governors of the Federal Reserve System
(AA+/Stable/A-1+; 32.7% of NRA; 44.4% of gross rent, as calculated
by S&P Global Ratings; January 2026 through May 2033 lease
expirations);
-- Blank Rome LLP (13.9%; 20.8%; July 2029). According to Wells
Fargo, the tenant has subleased 1.5% of its leased NRA until 2029;
Daniel J. Edelman Inc. (5.2%; 7.3%; July 2030);
-- Milbank LLP (4.5%; 5.0%; August 2025); and
-- One Market LLC (3.2%; pays percentage rent; August 2033).
-- The property faces minimal (less than 10% of NRA and S&P Global
Ratings' gross rent) tenant rollover each year until 2029, when
leases comprising 30.7% of NRA (43.3% of S&P Global Ratings' gross
rent) expire.
According to CoStar, the Washington, D.C., CBD office submarket,
where the subject property is located, continues to experience
elevated vacancy and availability rates. Despite a lack of new
construction in the submarket, CoStar projects vacancy will
continue to increase over the next four years as more companies
leave the area or downsize. As of year-to-date August 2024, for 4-
and 5-star office properties the submarket vacancy rate was 19.3%,
the availability rate was 23.1%, and the asking rent was $59.41 per
sq. ft. CoStar predicts the vacancy rate will increase to 20.9% and
asking rent will decline to $57.50 per sq. ft. in 2028. This
compares with the property's current in-place vacancy rate of 23.3%
and an S&P Global Ratings' gross rent of $62.09 per sq. ft.
S&P said, "In our current analysis, we assumed an in-place vacancy
rate of 23.3%, a $62.09-per-sq.-ft. S&P Global Ratings' gross rent,
a 44.6% operating expense ratio, and higher TI costs to arrive at
our revised NCF of $28.3 million, 4.4% lower than our last review's
NCF. Using a 7.25% capitalization rate (50 basis points higher than
our last review's 6.75% rate) to reflect our view of the higher
office risk premium, lack of leasing activity in a weak office
submarket, and the property's age and quality, and including the
present value of the future rent steps for the Board of Governors
of the Federal Reserve of $8.5 million, we derived an expected-case
value of $398.6 million, or $329 per sq. ft., 11.6% lower than our
last review value and 47.4% below the issuance appraisal value of
$757.0 million."
Table 1
Servicer-reported collateral performance
MONTHS ENDING MARCH
2024(I) 2023(I) 2022(I) 2021(I)
Occupancy rate (%) 73.5 73.3 68.7 68.2
Net cash flow (mil. $) 6.9 18.5 12.4 25.0
Debt service coverage (x) 1.68 1.12 0.75 1.52
Appraisal value (mil. $) 757.0 757.0 757.0 757.0
(i)Reporting period.
Table 2
S&P Global Ratings' key assumptions
CURRENT LAST REVIEW ISSUANCE
(AUGUST 2024) (AUGUST 2023) (AUGUST 2016)
Occupancy rate (%) 76.7 75.0 91.0
Net cash flow (mil. $) 28.3 29.6 35.9
Capitalization rate (%) 7.25 6.75 6.75
Add to value ($) 8.5 12.6 16.2
Value (mil. $) 398.6 450.8 548.3
Value per sq. ft. ($) 329 373 453
Loan-to-value ratio (%)(ii)112.9 99.8 82.1
(i)Review period.
(ii)On the whole loan balance of $450.0 million.
Transaction Summary
The IO mortgage whole loan had an initial and current balance of
$450.0 million, pays a per annum fixed rate of 3.615%, and matures
on Aug. 10, 2026. The whole loan is split into three senior A notes
totaling $246.7 million and a subordinate B note totaling $203.3
million. The $370.0 million trust balance (as of the July 16, 2024,
trustee remittance report) comprises a senior A note totaling
$166.7 million and a subordinate B note totaling $203.3 million.
The remaining two senior A notes totaling $80.0 million are in
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C30, Morgan
Stanley Bank of America Merrill Lynch Trust 2016-C31, and Morgan
Stanley Capital I Trust 2016-BNK2, all of which are U.S. CMBS
transactions. The senior A notes are pari passu to each other and
senior to the B note.
In addition, the transaction documents permit the borrower to
obtain up to $100.0 million in mezzanine financing, subject to
certain performance hurdles, such as a loan-to-value ratio of 56.5%
or less on the total debt, a debt yield of no less than 8.6% on the
total debt, and a total debt service coverage of 2.35x. The master
servicer confirmed that no mezzanine debt has been incurred to
date. To date, the trust has not incurred any principal losses.
Ratings Lowered
BAMLL Commercial Mortgage Securities Trust 2016-ISQR
Class A to 'A- (sf)' from 'AAA (sf)'
Class B to 'BB+ (sf)' from 'AA- (sf)'
Class C to 'BB- (sf)' from 'A- (sf)'
Class D to 'CCC (sf)' from 'BB+ (sf)'
Class E to 'CCC (sf)' from 'B- (sf)'
Class X-A to 'A- (sf)' from 'AAA (sf)'
Class X-B to 'BB- (sf)' from 'A- (sf)'
BAMLL COMMERCIAL 2024-BHP: S&P Assigns BB (sf) Rating on E Certs
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to BAMLL Commercial
Mortgage Securities Trust 2024-BHP's commercial mortgage
pass-through certificates.
The note issuance is a CMBS transaction backed by a commercial
mortgage loan secured by the borrowers' fee simple and/or leasehold
interests and the assignment of the operating lessees' leasehold
interests, as applicable, in five full-service hotel properties in
Florida, California, and St. Thomas, U.S. Virgin Islands.
The ratings reflect our view of the collateral's historical and
projected performance, the sponsor's and manager's experience, the
trustee-provided liquidity, the mortgage loan terms, and the
transaction's structure.
Ratings Assigned
BAMLL Commercial Mortgage Securities Trust 2024-BHP(i)
Class A, $183,160,000: AAA (sf)
Class B, $59,185,000: AA- (sf)
Class C, $43,890,000: A- (sf)
Class D, $58,178,000: BBB- (sf)
Class E, $42,237,000: BB (sf)
RR interest(ii), $20,350,000: Not rated
(i)The issuer will issue the certificates to qualified
institutional buyers in line with Rule 144A of the Securities Act
of 1933.
(ii)Eligible vertical residual interest.
BANK 2017-BNK6: DBRS Cuts Rating on 2 Classes to C
--------------------------------------------------
DBRS Limited downgraded its credit ratings on eight classes of
Commercial Mortgage Pass-Through Certificates, Series 2017-BNK6
issued by BANK 2017-BNK6 as follows:
-- Class C to A (high) (sf) from AA (sf)
-- Class X-B to AA (low) (sf) from AA (high) (sf)
-- Class X-D to BBB (low) (sf) from A (low) (sf)
-- Class D to BB (high) (sf) from BBB (high) (sf)
-- Class X-E to CCC (sf) from BB (high) (sf)
-- Class E to CCC (sf) from BB (sf)
-- Class F to C (sf) from B (sf)
-- Class X-F to C (sf) from B (high) (sf)
In addition, Morningstar DBRS confirmed its credit ratings on the
following classes:
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class B at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
Morningstar DBRS changed the trends on Classes B, C, D, X-B, and
X-D to Negative from Stable. The trends on all other classes are
Stable with the exception of Classes E, F, X-E and X-F, which are
assigned credit ratings that do not typically carry a trend in
commercial mortgage-backed securities (CMBS) transactions.
The credit rating downgrades and Negative trends reflect
Morningstar DBRS' increased loss projections for the pool,
primarily attributed to liquidation scenarios for several
distressed assets, the details of which are described below. In
addition, Morningstar DBRS notes increased credit risk for a select
number of office-backed loans that could see reduced commitment
from the respective borrowers and/or face difficulty securing
replacement financing as performance declines from issuance and
softening market conditions have likely eroded property values. In
addition to liquidating the sole specially serviced loan, Trumbull
Marriott (Prospectus ID#12: 2.3% of the pool), Morningstar DBRS
also considered a liquidation scenario for the Hall Office G4 loan
(Prospectus ID#16; 2.0% of the pool) given the property is now
100.0% vacant. Cumulative projected losses totaling $30.3 million
would erode the entirety of the non-rated Class G balance and a
portion of the Class F balance, significantly reducing credit
support to the lowest-rated principal bonds in the transaction.
Furthermore, the fourth-largest loan in the pool, Gateway Net Lease
Portfolio loan (Prospectus ID#2; 6.2% of the pool), matured in June
2024 and recently received a forbearance. Morningstar DBRS also has
concerns with the accruing interest shortfalls currently affecting
Classes F and G. Shortfalls are accruing at a rate of approximately
$80,000 per month, having increased to $2.1 million as of the July
2024 reporting from $1.2 million in August 2023. The classes above
Class F are now more susceptible to additional shortfalls, a
consideration for the Negative trends assigned with this review.
As of the July 2024 remittance, 65 of the original 72 loans remain
in the pool with a trust balance of $830.2 million representing a
collateral reduction of 11.0% since issuance. Loans secured by
retail properties represent the largest property-type
concentration, accounting for 28.0% of the current pool balance,
followed by loans secured by office properties at 17.5%. Twelve
loans, representing 27.6% of the pool balance, are on the
servicer's watchlist; however, only four of those loans,
representing 10.8% of the pool balance, are being monitored for
performance-related reasons. In addition, one loan, representing
2.3% of the pool balance, is in special servicing and eight loans,
representing 5.4% of the pool balance, are fully defeased.
The Hall Office G4 loan is secured by a 117,500 square foot Class B
suburban office building in Frisco, Texas. The loan was added to
the servicer's watchlist in November 2020 for upcoming lease
expirations primarily related to the former largest tenant Randstad
Professional (Randstad; previously 34.9% of net rentable area
(NRA)). Randstad subsequently vacated the property in August 2021,
triggering a cash flow sweep. In February 2022, the second-largest
tenant Schlumberger (previously 33.4% of NRA) also vacated the
property after its lease expired, causing the occupancy rate to
fall to just 16.0%. Consequently, cash flow and the debt service
coverage ratio (DSCR) have declined since issuance and have been
well below breakeven since YE2021. The borrower has not been
successful in backfilling vacant space and a property inspection
dated March 2024 indicated that the only remaining tenant,
University of Northern Texas (16.0% of NRA), had also vacated the
property ahead of its lease expiration in December 2025 although it
continues to pay rent at a rate of $25.30 per square foot.
According to Reis, office properties in the Plano/Allen submarket
reported a Q1 2024 vacancy rate of 28.7% compared with the Q1 2023
vacancy rate of 26.6%. No updated appraisal has been provided since
issuance when the property was valued at $25.8 million; however,
given the sponsor's inability to backfill vacant space, combined
with soft submarket fundamentals and general challenges for office
properties in today's environment, Morningstar DBRS expects that
the collateral's as-is value has likely declined significantly,
elevating the credit risk to the trust. Morningstar DBRS'
liquidation scenario considered a conservative haircut to the
property's appraised value at issuance resulting in a loss severity
in excess of 60.0%.
The second-largest loan on the watchlist, Gateway Net Lease
Portfolio, is secured by a portfolio of 41 single-tenant office and
industrial properties across 20 states, all of which operate under
triple-net leases. The loan transferred to special servicing in
2021 for imminent monetary default and a subsequent loan
modification included a conversion to interest-only payments until
the loan's maturity date in June 2024. The loan was added to the
servicer's watchlist in December 2023 given the impending maturity
date. The borrower requested a forbearance in May 2024 that was
granted by the lender and has taken effect for the 60-day period
between June 5, 2024, and August 5, 2024, during which time the
borrower is attempting to obtain replacement financing. Morningstar
DBRS has requested additional information from the servicer;
however, as of the date of this press release, a response remains
pending. According to the YE2023 financial reporting, the
portfolio-level occupancy rate and net cash flow (NCF) remain
relatively consistent with the prior year at 96.2% and $47.9
million (reflecting DSCR of 2.20 times (x)), respectively. Although
the borrower is actively attempting to obtain replacement
financing, the loan is past its maturity date and the portfolio has
significant exposure to single-tenant office properties. As a
result, Morningstar DBRS removed the BBB (high) (sf) shadow rating
assigned to the loan at issuance in addition to applying an
elevated probability of default penalty in its analysis.
The specially serviced loan, Trumbull Marriott, is secured by a
325-key full-service hotel in Trumbull, Connecticut. The loan
transferred to special servicing in May 2020 for imminent default.
A friendly foreclosure agreement was filed at which time GF Hotels
& Resorts was appointed receiver. The hotel is managed by Marriott
International with no formal franchise agreement. A receivership
sale was conducted, which reportedly yielded an offer the lender
has recommended moving forward with.
The property was reappraised in November 2023 for $7.3 million, a
significant decline from both the January 2023 and issuance
appraised values of $11.5 million and $35.1 million, respectively.
The property is significantly underperforming its competitive set
with a revenue per available room (RevPAR) penetration rate of just
76.6% as of the March 2024 STR report. According to the financial
reporting for the trailing12 months ended June 30, 2023, the
property was 57.0% occupied with a reported NCF of $1.8 million (a
DSCR of 1.33x), an improvement from the YE2022 figure of -$1.7
million (a DSCR of -1.23x) but well below the issuance figure of
$2.5 million (a DSCR of 1.8x).The property was underperforming
prior to the pandemic and is in need of significant upgrades that
are estimated to cost in excess of $20.0 million -- further
contributing to the collateral's decline in value. In the analysis
for this review, Morningstar DBRS assumed a full loss to the loan.
At issuance, Morningstar DBRS shadow-rated three loans -- General
Motors Building (Prospectus ID#1; 10.8% of the pool), Gateway Net
Lease Portfolio, and Del Amo Fashion Center (Prospectus ID#3; 7.2%
of the pool) -- as investment grade. With this review, Morningstar
DBRS removed the shadow rating from the Gateway Net Lease Portfolio
loan, as outlined above. Morningstar DBRS confirms that the
characteristics of the other two loans remain consistent with the
investment-grade shadow ratings, as supported by the strong credit
metrics, strong sponsorship strength, and the historically stable
performance of the collateral underlying those loans.
Notes: All figures are in U.S. dollars unless otherwise noted.
BANK 2017-BNK7: DBRS Confirms B Rating on Class X-F Certs
---------------------------------------------------------
DBRS Limited confirmed its credit ratings on the Commercial
Mortgage Pass-Through Certificates, Series 2017-BNK7 issued by BANK
2017-BNK7 as follows:
-- Class A-3 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class X-B at A (high) (sf)
-- Class C at A (sf)
-- Class X-D at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class X-E at BB (sf)
-- Class E at BB (low) (sf)
-- Class X-F at B (sf)
-- Class F at B (low) (sf)
Morningstar DBRS changed the trends on Classes X-D, D, X-E, E, X-F
and F to Negative from Stable. The trends on all remaining Classes
are Stable.
The credit rating confirmations reflect the stable performance of
the transaction as exhibited by a healthy weighted-average (WA)
debt service coverage ratio (DSCR) of 2.8 times (x) based on the
most recent financial reporting available. However, there is a high
concentration of loans collateralized by office and retail
properties, which represent 34.6% and 22.9%, respectively, of the
current pool balance. While select office loans in the transaction
continue to perform as expected, several others, including the
pool's second- and fifth-largest loans, 222 Second Street
(Prospectus ID# 2; 10.1% of the pool balance) and Corporate Woods
(Prospectus ID# 4; 5.7% of the pool balance), are exhibiting
increased credit risk with exposure to upcoming lease roll-overs,
softening office submarket fundamentals, and/or sustained
performance declines. In addition, two top-10 loans, Mall of
Louisiana (Prospectus ID# 6; 5.6% of the pool balance) and Overlook
at King of Prussia (Prospectus ID# 9; 3.8% of the pool balance),
are secured by regional malls that have experienced declines in
cash flow since issuance. The Negative trends assigned to the three
lowest-rated classes reflect these loan-specific challenges
considering those classes are most exposed to loss if the
performance of the underlying collateral continues to deteriorate.
Mitigating factors include a sizable unrated first-loss piece
totaling $34.6 million with no losses incurred to the trust to
date. In addition, the largest loan in the pool, which is secured
by an office property, is shadow-rated investment grade, as further
described below.
According to the July 2024 remittance, 62 of the original 65 loans
remain within the transaction with a trust balance of $1.1 billion,
reflecting a collateral reduction of 10.7% since issuance. Eight
loans, representing 17.0% of the pool balance, are on the
servicer's watchlist. Only one loan, representing 2.3% of the pool
balance, is in special servicing and one other loan, representing
1.5% of the pool balance, is fully defeased.
The 222 Second Street loan is secured by a 452,418 square foot (sf)
office property in the South Financial District submarket of San
Francisco. The trust debt of $110.0 million is a pari passu portion
of a $291.5 million whole loan. The 26-story office tower was
developed in 2015 and is currently 100.0% leased to LinkedIn.
LinkedIn invested more than $60.0 million ($132.00 per square foot
(psf)) to build out its space in addition to a $43.1 million
($95.00 psf) tenant improvement (TI) contribution from the sponsor.
LinkedIn's 26 leases at the property are guaranteed by its parent
company, Microsoft, and are scheduled to expire between December
2025 and December 2027. Although LinkedIn's leases are structured
with renewal options, it is unlikely that the tenant will exercise
the majority of those options considering its adoption of a
flexible work policy that allows the majority of its employees to
work remotely on a part-time or full-time basis. LinkedIn continues
to jettison underused office space, having put approximately
115,000 sf of space (about 25.0% of net rentable area (NRA)) up for
sublease, of which 63,000 sf was subleased to Silicon Valley Bank
and 13,000 sf was subleased to Early Warning Services, LLC.
According to CBRE, Class A office properties within the South
Financial District submarket reported an average vacancy rate of
34.3% as of Q2 2024.
The loan is structured with a cash flow sweep should LinkedIn not
renew within 17 months of its staggered lease expiration dates.
During a cash sweep period, monthly reserves for periodic repairs
and improvements are required in the amount of $0.20 psf, per annum
(to be capped at two years of accumulations), in addition to
monthly reserves for TIs and leasing commissions in the amount of
$3.00 psf, per annum (to be capped at $50.00 psf of accumulations).
The loan also benefits from a low going-in loan-to-value ratio
(LTV) of 56.0% (based on the whole-loan balance and the issuance
appraised value of $516.0 million) providing some cushion against
value declines. Moreover, the loan has an anticipated repayment
date in September 2027 with a maturity date two years later in
September 2029, providing the sponsor time to backfill vacant space
and work toward stabilization, if required. The property also
benefits from a strong loan sponsor, Tishman Speyer, one of the
world's leading real estate investment and development firms. Given
the submarket's soft fundamentals and the high probability that
LinkedIn will give up the majority of its space as its leases roll,
Morningstar DBRS analyzed the loan with an elevated probability of
default (POD) penalty and stressed LTV, resulting in an expected
loss that was significantly above the base-level expected loss and
relatively in line with the pool average.
The sole loan in special servicing, First Stamford Plaza
(Prospectus ID#15; 2.3% of the pool), is secured by a Class A
office complex in Stamford, Connecticut. The trust debt of $25.0
million is a pari passu portion of a $164.0 million whole loan
securitized across three other CMBS transactions, including JPMCC
2017-JP7 and JPMDB 2017-C7, which are also rated by Morningstar
DBRS. The loan had previously been monitored on the servicer's
watchlist for performance declines and was transferred to special
servicing in December 2023 for payment default. The most recent
special servicer commentary notes that a receiver was appointed in
May 2024 as the borrower has expressed its intention to give back
the keys to the property. Occupancy has been declining since
issuance with the YE2023 occupancy rate reported at 75.0%.
Consequently, the loan's YE2023 DSCR was reported at 1.19x compared
with the YE2022 DSCR of 1.57x, and the Morningstar DBRS DSCR of
2.38x derived at issuance. In addition, near-term lease rollover is
elevated as leases representing approximately 17.0% of the NRA are
scheduled to expire within the next 12 months. According to Reis,
office properties in the Stamford submarket reported a vacancy rate
of 28.8% with an average rental rate of $34.36 psf as of Q1 2024.
The property was most recently appraised in February 2024 at a
value of $135.9 million, a substantial decline from the issuance
appraised value of $285.0 million. Morningstar DBRS liquidated the
loan in its analysis based on a haircut to the most recent
appraised value, resulting in a loss severity approaching 40.0%.
The largest loan on the servicer's watchlist, Redondo Beach Hotel
Portfolio (Prospectus ID#7; 5.3% of the pool), is secured by two
hotels--a 172-key Residence Inn by Marriott and an adjacent 147-key
Hilton Garden Inn. The hotels are in Redondo Beach, California,
approximately seven miles southeast of the Los Angeles
International Airport. The hotels' performance was trending
downward even prior to the pandemic and the loan continues to be
monitored on the servicer's watchlist for a low DSCR, which was
reported at 0.91x as of the trailing 12 months (T-12) ended March
31, 2024. The properties underwent renovations during H1 2023,
which significantly affected the occupancy rate as entire floors
were unavailable. In addition, an increase in insurance premiums
and franchise fees has placed further downward pressure on cash
flow. However, with renovations completed, operating performance is
expected to improve as the borrower works toward stabilization.
Occupancy rate, average daily rate, and revenue per available room
(RevPAR) metrics continue to incrementally improve with the figures
for the T-12 ended March 31, 2024, reported at 77.4%, $164.00, and
$126.90, respectively. Although RevPAR has exceeded the YE2023
figure of $122.20, it remains below the issuance figure of $151.40.
Morningstar DBRS analyzed this loan with an elevated POD penalty,
resulting in an expected loss that is approximately 2.3x greater
than the pool average.
At issuance, five loans, representing 24.8% of the pool balance,
were shadow-rated investment grade. With this review, Morningstar
DBRS confirms that the performance of four of those loans--General
Motors Building (Prospectus ID#1; 10.3% of the pool), Westin
Building Exchange (Prospectus ID#5; 6.2% of the pool), The
Churchill (Prospectus ID#8; 4.5% of the pool), and Moffett Place B4
(Prospectus ID#13; 2.8% of the pool)--remains consistent with
investment-grade loan characteristics, given the strong credit
metrics, experienced sponsorship, and the underlying collateral's
historically stable performance.
Morningstar DBRS' credit ratings on the applicable classes address
the credit risk associated with the identified financial
obligations in accordance with the relevant transaction documents.
Where applicable, a description of these financial obligations can
be found in the transactions' respective press releases at
issuance.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued. The Morningstar DBRS short-term debt rating scale
provides an opinion on the risk that an issuer will not meet its
short-term financial obligations in a timely manner.
Notes: All figures are in U.S. dollars unless otherwise noted.
BDS 2021-FL10: DBRS Confirms B(low) Rating on Class G Notes
-----------------------------------------------------------
DBRS Limited confirmed all credit ratings on the classes of notes
issued by BDS 2021-FL10 Ltd. as follows:
-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)
All trends are Stable.
The credit rating confirmations reflect the favorable collateral
composition of the transaction as the trust continues to be
primarily secured by the multifamily collateral. Historically,
loans secured by multifamily properties have exhibited lower
default rates and the ability to retain and increase asset value.
Additionally, the majority of individual borrowers are progressing
the stated business plans to increase property cash flow asset
value. In conjunction with this press release, Morningstar DBRS has
published a Surveillance Performance Update report with in-depth
analysis and credit metrics for the transaction and with business
plan updates on select loans. For access to this report, please
click on the link under Related Documents below or contact us at
info-DBRS@morningstar.com.
The transaction closed in December 2021 with an initial collateral
pool of 32 short-term, floating-rate mortgage loans secured by 35
mostly transitional properties with a cut-off date balance of
$932.1 million. Most of the loans were in a period of transition
with plans to stabilize and improve asset value. The transaction
was structured with a Reinvestment Period that expired with the
November 2023 Payment Date. As of the July 2024 remittance, the
pool comprised 38 loans secured by 39 properties with a cumulative
trust balance of $1.2 billion. Since issuance, eight loans with a
cumulative trust balance of $237.6 million have been paid in full,
six of which (totaling $194.2 million) were paid in full since
Morningstar DBRS' previous credit rating action in August 2023.
Additionally, four loans, totaling $162.2 million have been added
to the trust since Morningstar DBRS' previous credit rating action
in August 2023.
The transaction benefits from a significant concentration of loans
backed by multifamily properties, representing 91.7% of the current
trust balance. The remaining assets are concentrated by industrial,
manufactured housing, and hotel properties. The loans are primarily
secured by properties in suburban markets with 33 loans,
representing 88.3% of the current trust balance, in locations with
Morningstar DBRS Market Ranks of 3, 4, and 5. One additional loan,
representing 1.7% of the pool, is secured by a property in an urban
location with a Morningstar DBRS Market Rank of 7, and four loans,
representing 10.0% of the pool, are secured by properties in
tertiary markets, as defined by Morningstar DBRS, with a
Morningstar DBRS Market Rank of 2. In terms of leverage, the pool
has a current weighted-average (WA) appraised loan-to-value ratio
(LTV) of 72.3% and a WA Stabilized LTV of 62.6%. In comparison,
these figures were 71.6% and 65.1%, respectively, at issuance.
Morningstar DBRS recognizes that select property values may be
inflated as the majority of the individual property appraisals were
completed in 2021 and may not reflect the current environment of
rising interest rates or widening capitalization rates faced by
borrowers and lenders. In its analysis, Morningstar DBRS applied
upward LTV adjustments across 15 loans, representing 53.6% of the
current trust balance.
Through June 2024, the lender advanced a cumulative $85.0 million
in loan future funding allocated to 29 individual borrowers to aid
in property stabilization efforts. The largest advance, $18.7
million was made to the borrower of American Steel Collection (3.3%
of the current pool balance), which is secured by a portfolio of
four industrial properties in Oakland, California. The borrower's
business plan focuses on increased occupancy and rental rates to
market levels by completing approximately $32.8 million in capital
expenditures. An additional $37.4 million of loan future funding
allocated to nine individual borrowers remains available. The
largest unadvanced portion of $16.5 million is allocated to the
borrower of the aforementioned American Steel Collection.
Approximately $6.6 million in future funding allocated to the
borrowers of seven individual loans has been forfeited as funds
were not utilized within the specified term. In addition to this
loan, Morningstar DBRS identified a number of loans that are
lagging in their original business plans. Morningstar DBRS'
analysis includes additional adjustments to the loan-level
probability of default for these assets to reflect these concerns.
Thirty-two of the outstanding loans, representing 84.0% of the
current trust balance, are scheduled to mature by YE2025; however,
almost all of the loans have remaining extension options. While
required performance tests may not be met across all collateral
properties, borrowers and lenders may agree to terms to allow loan
maturity dates to be extended. As of July 2024, there are no loans
in special servicing, and 28 loans are on the servicer's watchlist,
representing 72.6% of the current trust balance. Twenty-one of
these loans are primarily being monitored for upcoming maturities,
the remaining loans being flagged for deferred maintenance items
and/or performance-related concerns as the borrowers execute their
business plans. Occupancy rates and cash flow may remain depressed
at select properties as the borrowers work toward property
stabilization.
Notes: All figures are in U.S. dollars unless otherwise noted.
BDS 2021-FL7: DBRS Confirms B(low) Rating on Class G Notes
----------------------------------------------------------
DBRS, Inc. confirmed its credit ratings on the classes of notes
issued by BDS 2021-FL7 Ltd. as follows:
-- Class A Notes at AAA (sf)
-- Class B Notes at AA (high) (sf)
-- Class C Notes at A (high) (sf)
-- Class D Notes at BBB (sf)
-- Class E Notes at BBB (low) (sf)
-- Class F Notes at BB (low) (sf)
-- Class G Notes at B (low) (sf)
All trends are Stable.
The credit rating confirmations reflect the favorable collateral
composition of the transaction as the trust continues to be
primarily secured by the multifamily collateral (14 loans,
representing 90.0% of the current pool balance). Historically,
loans secured by multifamily properties have exhibited lower
default rates and the ability to retain and increase asset value.
Additionally, the majority of individual borrowers are progressing
with the stated business plans to increase property cash flow asset
value. In conjunction with this press release, Morningstar DBRS has
published a Surveillance Performance Update report with in-depth
analysis and credit metrics for the transaction and with business
plan updates on select loans. For access to this report, please
click on the link under Related Documents below or contact us at
info-DBRS@morningstar.com.
At issuance, the pool consisted of 22 floating-rate mortgage loans
secured by 22 mostly transitional real estate properties. The
majority of the collateral was in a period of transition, with
plans to stabilize and improve asset value. The transaction was
structured with a Reinvestment Period that expired with the May
2023 Payment Date.
As of the July 2024 remittance, the pool comprised 17 loans secured
by 17 properties with a cumulative trust balance of $381.3 million.
Since issuance there has been a collateral reduction of 23.1%.
Since Morningstar DBRS' previous credit rating action in August
2023, eight loans with a former cumulative trust balance of $172
million have been repaid in full, four of which, totaling $60.3
million, were purchased out of the trust via a credit risk exchange
in May 2024. The four previously defaulted loans, including The
Life at Beverly Palms, The Life at Westland Estates, The Reserve at
Eagle Landing, and The Life at Highland Village, were replaced with
Avidor Edina, Rise on McClintock, and Rise on Country Club.
Morningstar DBRS considers the exchange credit positive as the
average expected loss across the replacement loans is below the
current pool average.
The remaining collateral in the transaction beyond the multifamily
concentration noted above includes two industrial properties (5.1%
of the current trust balance) and one manufactured housing
community (4.9% of the current trust balance). In comparison with
August 2023 when Morningstar DBRS last published a Surveillance
Performance Update report for the transaction, multifamily
properties represented 92.2% of the collateral, industrial
properties represented 4.0% of the collateral, and the same
manufactured housing community represented 3.8% of the collateral.
The loans are concentrated by properties in suburban locations,
which Morningstar DBRS defines as markets with a Morningstar DBRS
Market Rank of 3, 4, or 5. As of July 2024, 16 loans, representing
95.1% of the current trust balance, were secured by properties in
suburban markets. The remaining loan, representing 4.9% of the
pool, is secured by a property with a Morningstar DBRS Market Rank
of 2, denoting a tertiary market. In comparison, in July 2023,
properties in suburban markets represented 92.8% of the collateral,
and properties in tertiary markets represented 7.2% of the
collateral.
Leverage across the pool has remained stable. As of the July 2024
reporting, the weighted-average (WA) as-is appraised value
loan-to-value (LTV) ratio is 64.5%, with a WA as-stabilized LTV
ratio of 57.1%. In comparison, these figures were 74.5% and 69.2%,
respectively, as of July 2023. Morningstar DBRS recognizes that
select property values may be inflated as the majority of the
individual property appraisals were completed in 2021 and 2022 and
may not reflect the current rising interest rate or widening
capitalization rate environments. In the analysis for this review,
Morningstar DBRS applied upward LTV adjustments across 13 loans,
representing 85.5% of the current trust balance.
Through June 2024, the collateral manager had advanced cumulative
loan future funding of $43.1 million across all 14 remaining
individual borrowers to aid in property stabilization efforts. The
largest advances have been made to the borrowers of the Mailwell
Drive ($6.6 million) and Seventh Apartments ($5.8 million) loans.
The Mailwell Drive loan is secured by an industrial property in
Milwaukie, Oregon. The advanced funds have been used to complete
the borrower's capital expenditure (capex) plan to modernize the
property and to fund accretive leasing costs. According to the
March 2024 rent roll, the property was 100% occupied. The borrower
recently exercised the first of two 12-month extension options,
extending loan maturity to May 2025. The Seventh Apartments loan is
secured by a multifamily property in Phoenix. The advanced funds
were used to complete the borrower's capex plan across the property
to upgrade unit interiors, amenities, common areas, and building
exteriors. There remains $0.4 million of future funding available
to the borrower. As of the March 2024 rent roll, the property was
approximately 74.0% occupied and the borrower appeared to be behind
in its business plan. The borrower recently exercised the first of
two 12-month extension options, extending loan maturity to May
2025.
An additional $16.3 million of loan future funding allocated to
eight individual borrowers remains available. The largest portion
of available funds, $9.2 million, is allocated to the borrower of
the 40th Avenue Industrial loan, which is secured by an industrial
property in Denver. The borrower's business plan entails a complete
modernization of the existing collateral budgeted at $13.1 million
with an additional $5.7 million of budgeted leasing costs.
According to the Q1 2024 update from the collateral manager, site
improvement work remains ongoing but is behind schedule because of
permit delays with the City of Denver. As of March 2024, the
property was 17% occupied.
As of the July 2024 remittance, there were no delinquent loans or
loans in special servicing, and there were three loans on the
servicer's watchlist, representing 31.2% of the current trust
balance. The loans were flagged for below-breakeven debt service
coverage ratios, deferred maintenance items, or upcoming maturity
dates. The largest loan in the pool, Landmark at Wynton Pointe
(Prospectus ID#31, 13.4% of the current trust balance), is secured
by a 380-unit, garden-style multifamily property in Nashville. The
loan is being monitored on the servicer's watchlist for
performance-related concerns after occupancy decreased to 48.4% as
of the January 2024 rent roll, down from 92.1% at closing.
Additionally, the loan was assumed by Fairfield Residential in
April 2024 for a purchase price of $51.8 million, implying an LTV
of 100% based on the current A note balance. As part of the sale,
Fairfield Residential will assume the subject loan and cover all
outstanding interest payments as well as deposit $0.8 million into
the debt service reserve and $0.8 million into the capex reserve,
of which $50,000 will be used to address immediate repairs. In its
analysis, Morningstar DBRS applied upward as-is and as-stabilized
LTV adjustments based on the recent sale price. The resulting loan
expected loss is similar to the expected loss for the pool.
Regarding upcoming loan maturity, only two loans, representing
23.0% of the current trust balance, have scheduled maturity dates
within the next six months and both borrowers have loan extension
options available.
Notes: All figures are in U.S. dollars unless otherwise noted.
BELLEMEADE RE 2024-1: DBRS Gives Prov. B Rating on B-1 Notes
------------------------------------------------------------
DBRS, Inc. assigned the following provisional credit ratings to the
Mortgage Insurance-Linked Notes, Series 2024-1 (the Notes) to be
issued by Bellemeade Re 2024-1 Ltd. (BMIR 2024-1 or the Issuer):
-- $35.0 million Class M-1A at BBB (low) (sf)
-- $53.6 million Class M-1B at BB (high) (sf)
-- $37.3 million Class M-1C at BB (low) (sf)
-- $25.6 million Class M-2 at B (high) (sf)
-- $11.7 million Class B-1 at B (sf)
The BBB (low) (sf) credit rating reflects 5.75% of credit
enhancement, provided by subordinated notes in the transaction. The
BB (high) (sf), BB (low) (sf), B (high) (sf), and B (sf) credit
ratings reflect 4.60%, 3.80%, 3.25%, and 3.00% of credit
enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
BMIR 2024-1 is Arch Mortgage Insurance Company's (Arch MI) and
United Guaranty Residential Insurance Company's (UGRIC;
collectively the ceding insurers) 19th rated mortgage insurance
(MI)-linked note transaction. The Notes are backed by reinsurance
premiums, eligible investments, and related account investment
earnings, in each case relating to a pool of MI policies linked to
residential loans. The Notes are exposed to the risk arising from
losses the ceding insurer pays to settle claims on the underlying
MI policies. As of the Cut-Off Date, the pool of insured mortgage
loans consists of 91,613 fully amortizing first-lien fixed- and
variable-rate mortgages. They all have been underwritten to a full
documentation standard, have original loan-to-value ratios less
than or equal to 100.0%, and have never been reported to the ceding
insurer as 60 or more days delinquent. As of the Cut-Off Date,
these loans have not been reported to be in a payment forbearance
plan. The mortgage loans have MI policies effective in or after
January 2023 and in or before June 2024.
Approximately 1.7% (by balance) of the underlying insured mortgage
loans in this transaction are not eligible to be acquired by
Freddie Mac and Fannie Mae (government-sponsored enterprises or
agencies).
All of the mortgage loans (by Cut-Off Date) are insured under the
new master policy that was introduced on March 1, 2020, to conform
to government-sponsored enterprises' revised rescission relief
principles under the Private Mortgage Insurer Eligibility
Requirements guidelines (see the Representations and Warranties
section of the related presale report for more detail). On the
Closing Date, the Issuer will enter into the Reinsurance Agreement
with the ceding insurer. As per the agreement, the ceding insurer
will get protection for the funded portion of the MI losses. In
exchange for this protection, the ceding insurer will make premium
payments related to the underlying insured mortgage loans to the
Issuer.
The Issuer is expected to use the proceeds from the sale of the
Notes to purchase certain eligible investments that will be held in
the reinsurance trust account. The eligible investments are
restricted to at least Aaa-mf by Moody's or AAAm by S&P rated U.S.
Treasury money-market funds and securities. Unlike other
residential mortgage-backed security (RMBS) transactions, cash flow
from the underlying loans will not be used to make any payments;
rather, in MI-linked notes (MILN) transactions, a portion of the
eligible investments held in the reinsurance trust account will be
liquidated to make principal payments to the noteholders and to
make loss payments to the ceding insurer when claims are settled
with respect to the MI policy.
The Issuer will use the investment earnings on the eligible
investments, together with the ceding insurer's premium payments,
to pay interest to the noteholders.
The calculation of principal payments to the Notes will be based on
the reduction in aggregate exposed principal balance on the
underlying MI policy that is allocated to the Notes. The
subordinate Notes will receive their pro rata share of available
principal funds if the performance tests minimum credit enhancement
test and delinquency test are satisfied. This is the first MILN
transaction with dynamic thresholds for performance tests. The
minimum credit enhancement test has been set to fail at the Closing
Date, thus locking out the rated classes from initially receiving
any principal payments until the subordinate percentage reaches
target credit enhancement percentage. The delinquency test will be
satisfied if the three-month average of the 60+ day delinquency
percentage is below the applicable delinquency threshold percentage
times the subordinate percentage. Additionally, if these
performance tests are met and the subordinate percentage is greater
than the target credit enhancement percentage, then the subordinate
Notes will be entitled to accelerated principal payments until the
subordinate percentage comes down to the target credit enhancement.
See the Cash Flow Structure and Features section of the related
report for more detail.
The coupon rates for the Notes are based on the Secured Overnight
Financing Rate (SOFR). There are replacement provisions in place in
the event that SOFR is no longer available; please see the Offering
Circular for more details. Morningstar DBRS did not run interest
rate stresses for this transaction, as the interest is not linked
to the performance of the underlying loans. Instead, interest
payments are funded via (1) premium payments that the ceding
insurer must make under the reinsurance agreement and (2) earnings
on eligible investments.
On the Closing Date, the ceding insurer will establish a cash and
securities account, the premium deposit account. In case of the
ceding insurer's default in paying coverage premium payments to the
Issuer, the amount available in this account will be used to make
interest payments to the noteholders. The premium deposit account
will not be funded at closing. The ceding insurer will make a
deposit into this account up to the applicable target balance only
when one of the following Premium Deposit Events occur. Please
refer to the related report for more detail.
The Notes are scheduled to mature on August 2034, but will be
subject to early redemption at the option of the ceding insurer (1)
for a 10% clean-up call or (2) on or following the payment date in
August 2029, among others. The Notes are also subject to mandatory
redemption before the scheduled maturity date upon the termination
of the Reinsurance Agreement. Additionally, there is a provision
for the Ceding Insurers to issue a tender offer to reduce all or a
portion of the outstanding Notes.
Arch MI and UGRIC, together, act as the ceding insurers. The Bank
of New York Mellon (rated AA (high) with a Stable trend by
Morningstar DBRS) will act as the Indenture Trustee, Paying Agent,
Note Registrar, and Reinsurance Trustee.
Notes: All figures are in U.S. dollars unless otherwise noted.
BENCHMARK 2021-B23: DBRS Confirms B(low) Rating on 360D Certs
-------------------------------------------------------------
DBRS, Inc. confirmed its credit ratings on all classes of
Commercial Mortgage Pass-Through Certificates, Series 2021-B23
issued by Benchmark 2021-B23 Mortgage Trust as follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-4A1 at AAA (sf)
-- Class A-4A2 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class 360A at A (low) (sf)
-- Class 360B at BBB (low) (sf)
-- Class 360C at BB (low) (sf)
-- Class 360D at B (low) (sf)
All trends are Stable.
The credit rating confirmations reflect the overall stable
performance of the transaction since issuance. At closing, the
transaction consisted of 53 fixed-rate loans secured by 65
properties, with the pooled certificates totaling $1.53 billion.
Per the July 2024 reporting, all 53 loans remain in the pool, with
no losses or defeasance to date. There has been minimal
amortization, with only 1.1% collateral reduction since issuance.
Amortization will be limited through the life of the deal as 34
loans, representing 77.9% of the pool, are interest-only (IO) for
the full term. An additional seven loans, representing 4.9% of the
pool, have partial IO periods that remain active. As noted at
issuance, the pool is expected to pay down by only 3.6% prior to
maturity.
The pool is concentrated with loans backed by office properties,
which represent 44.8% of the pool, followed by mixed-use and
industrial properties, which represent 22.8% and 11.6% of the pool,
respectively. In general, the office sector has been challenged,
given the low investor appetite for the property type and high
vacancy rates in many submarkets as a result of the post-pandemic
shift in workplace dynamics. Although the office sector has seen
significant challenges in the current economic environment, the
majority of office properties secured in this transaction continue
to perform as expected, reporting a weighted-average debt service
coverage ratio of 2.78 times as of the most recent year-end
financials.
As of the July 2024 reporting, there are no delinquent or specially
serviced loans. There are, however, seven loans on the servicer's
watchlist, representing 10.8% of the pool, including one loan in
the top 10. All of these loans, are being monitored for
credit-related reasons, including Millennium Corporate Park
(Prospectus ID#2, 6.9% of the pool), which was added to the
watchlist in June 2024 following a site inspection that indicated
much of the space has gone dark, with a large portion of employees
working from home.
The five-year IO loan is secured by a 537,000 square foot (sf)
office complex consisting of six-, two-, and three-story buildings
about 15 miles east of Seattle in Redmond, Washington. The
property's largest tenant, Microsoft Corporation, has been at the
property for more than 20 years. The tenant initially occupied
89.2% of the net rentable area (NRA) with lease expirations in May
2022 (24.4% of NRA), May 2024 (26.6% of NRA), and April 2028 (37.2%
of NRA), each of which had two-, three-, or five-year renewal
options; however, no termination options are available. While
property occupancy was reported at 91.0% in March 2024, servicer
commentary indicates that Microsoft is actively attempting to
sublease the entire 479,193 sf of space it occupies. Additionally,
Quantarium LLC (2.2% of NRA) terminated its lease in March 2024 and
People Tech Group Inc. (1.5% of NRA) is vacating at its lease
expiry in July 2024. Additional information regarding the tenancy
status has been requested and is pending as of the date of this
press release.
The $132.0 million fixed-rate whole loan along with $95.2 million
of borrower equity was used to purchase the property. The property
resides in the Kirkland/Redmond/Bothell Submarket of Seattle, which
reported a vacancy rate of 9.9% as of Q1 2024, with an average
asking rental rate of $33.90 psf, per Reis. As the most recent rent
roll Morningstar DBRS has on hand is dated as of October 2020,
Morningstar DBRS derived an updated base rent for the remaining
Microsoft leases based on a 3.0% annual rent step that Morningstar
DBRS assumed at issuance. The resulting base rent is approximately
$28.96 psf, which is notably lower than the Q1 2024 submarket
asking rent. Despite relatively low vacancy rates for the
submarket, job losses in the tech sector and the ever-growing
work-from-home and hybrid work models will continue to negatively
affect the property's surrounding area. Given the uncertainty
surrounding future tenancy and the potential refinance risk,
Morningstar DBRS conducted a dark value exercise, which resulted in
a loan-to-value (LTV) of 165.0%. For this review, Morningstar DBRS
analyzed the loan with a stressed LTV resulting in an expected loss
(EL) for the loan that was almost 70.0% greater than the pool
average.
Three additional loans- 360 Spear (Prospectus ID#3, 6.1% of pool),
MGM Grand & Mandalay Bay (Prospectus ID#5, 5.0% of pool), and the
Grace Building (Prospectus ID#9, 4.0% of pool)¿were assigned
investment-grade shadow ratings at issuance. Combined, these loans
represent 15.1% of the pool. As part of this review, Morningstar
DBRS concluded that current and expected ongoing performance
remains consistent with investment-grade loan characteristics.
Class 360A, Class 360B, Class 360C, and Class 360D are
loan-specific certificates (rake bonds) collateralized by the
subordinate companion note for the 360 Spear whole loan. The
loan-specific certificates will only be entitled to receive
distributions from, and will only incur losses with respect to, the
trust subordinate companion loan. The trust subordinate companion
loan is included as an asset of the issuing entity but is not part
of the mortgage pool backing the pooled certificates. No class of
pooled certificates will have any interest in the trust subordinate
companion loan.
Notes: All figures are in U.S. dollars unless otherwise noted.
BENCHMARK 2024-V9: Fitch Assigns B-(EXP)sf Rating on Cl. G-RR Certs
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
Benchmark 2024-V9 Mortgage Trust commercial mortgage pass-through
certificates series V9 as follows:
Transaction Summary
- $1,595,000 class A-1 'AAAsf'; Outlook Stable;
- $250,000,000d class A-2 'AAAsf'; Outlook Stable;
- $372,886,000d class A-3 'AAAsf'; Outlook Stable;
- $98,133,000 class A-S 'AAAsf'; Outlook Stable;
- $722,614,000a class X-A 'AAAsf'; Outlook Stable;
- $43,490,000 class B 'AA-sf'; Outlook Stable;
- $32,338,000 class C 'A-sf'; Outlook Stable;
- $75,828,000a class X-B 'A-sf'; Outlook Stable;
- $14,454,000 class D 'BBBsf'; Outlook Stable;
- $14,454,000a class X-D 'BBBsf'; Outlook Stable;
- $13,424,000b,c class E-RR 'BBB-sf'; Outlook Stable;
- $17,844,000b,c class F-RR 'BB-sf'; Outlook Stable;
- $10,037,000b,c class G-RR 'B-sf'; Outlook Stable.
Fitch does not expect to rate the following classes:
- $37,915,230b,c class J-RR.
- N/A class R
Notes:
(a) Notional amount and interest only.
(b) Privately placed and pursuant to Rule 144A.
(c) Classes E-RR, F-RR, G-RR and J-RR certificates comprise the
transaction's horizontal risk retention interest.
(d) The initial certificate balances of classes A-2 and A-3 are
unknown and expected to be $622,886,000 in aggregate, subject to a
5% variance. The certificate balances will be determined based on
the final pricing of those classes of certificates. The expected
class A-2 balance range is $0 to $250,000,000, and the expected
class A-3 balance range is $372,886,000 to $622,886,000. Fitch's
certificate balances for classes A-2 and A-3 reflect the highest
and lowest respective value of each range.
The expected ratings are based on information provided by the
issuer as of Aug. 8, 2024.
KEY RATING DRIVERS
Fitch Net Cash Flow: Fitch performed cash flow analyses on 20 loans
totaling 86.6% of the pool by balance, including the largest 19
loans and all office loans in the pool. Fitch's resulting net cash
flow (NCF) of $87.4 million represents a 13.4% decline from the
issuer's underwritten NCF of $100.9 million.
Higher Fitch Leverage: The pool has higher leverage compared to
recent U.S. private label multiborrower transactions rated by
Fitch. The pool's Fitch loan-to-value ratio (LTV) of 98.1% is
higher than recent similar private label multiborrower YTD 2024
transactions and 2023 averages of 89.7% and 88.3%, respectively.
The pool's Fitch NCF debt yield (DY) of 9.8% is lower than the YTD
2024 and 2023 NCF DY averages of 11.2% and 10.9%, respectively.
Shorter-Duration Loans: Loans with five-year terms constitute 100%
of the pool, whereas Fitch-rated multiborrower transactions have
historically included mostly loans with 10-year terms. Fitch's
historical loan performance analysis shows that five-year loans
have a modestly lower probability of default (PD) than 10-year
loans, all else equal. This is mainly attributed to the shorter
window of exposure to potential adverse economic conditions. Fitch
considered its loan performance regression in analyzing the pool.
Pool Concentration: The pool's concentration is in line with
recently rated 2024 Fitch transactions. The top 10 loans in the
pool make up 62.6% of the pool, in between the YTD 2024 average of
59.3% but below the 2023 average of 63.7%. The pool's effective
loan count of 22.9, in line with the YTD 2024 average of 23.1 and
higher than the 2023 average of 20.6. Fitch views diversity as a
key mitigant to idiosyncratic risk. Fitch raises the overall loss
for pools with effective loan counts below 40.
Geographic Diversity: The pool has greater geographic diversity
compared to recent multiborrower transactions Fitch has rated. The
three largest MSA concentrations are New York-Newark-Jersey City,
NY-NJ-PA (10.9% of pool), Dallas-Fort Worth-Arlington, TX (10.0%)
and Washington-Arlington-Alexandria, DC-VA-MD-WV (6.4%). The pool's
effective geographic count of 20.5 is well above the YTD 2024 and
2023 averages of 11.1 and 13.3, respectively. Pools with a greater
concentration by geography are at a greater risk of losses, all
else equal. Fitch therefore raises overall losses for pools with
effective geographic counts below 15.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Reduction in cash flow decreases property value and capacity to
meet its debt service obligations. The table below indicates the
model implied rating sensitivity to changes to the same one
variable, Fitch NCF:
- Original Rating:
'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'
- 10% NCF Decline:
'AA-sf'/'A-sf'/'BBBsf'/'BB+sf'/'BB-sf'/'CCC+sf'/'
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Similarly, improvement in cash flow increases property value and
capacity to meet its debt service obligations. The list below
indicates the model implied rating sensitivity to changes in one
variable, Fitch NCF:
- Original Rating:
'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'
- 10% NCF Increase:
'AAAsf'/'AAsf'/'Asf'/'A-sf'/'BBBsf'/'BB+sf'/'B+sf'
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Ernst & Young LLP. The third-party due diligence
described in Form 15E focused on a comparison and re-computation of
certain characteristics with respect to each of the mortgage loans.
Fitch considered this information in its analysis and it did not
have an effect on Fitch's analysis or conclusions.
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-NQM5: Fitch Assigns Bsf Rating on B-2 Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings to BRAVO Residential Funding
Trust 2024-NQM5 (BRAVO 2024-NQM5).
The BRAVO 2024-NQM5 notes are supported by 928 loans with a total
balance of approximately $413 million as of the cutoff date.
Approximately 47.8% of the loans in the pool were originated by
Citadel (dba Acra Lending) [Citadel], 13.7% by ClearEdge Lending
LLC (ClearEdge), and the remaining loans by multiple originators,
each of which originated less than 5% of the mortgage loans.
Approximately 71.1% of the loans will be serviced by Citadel
Servicing Corporation (Citadel), primarily subserviced by
ServiceMac, 20.6% by Select Portfolio Servicing Inc (SPS) and the
remaining by Shellpoint Mortgage Servicing (Shellpoint).
Entity/Debt Rating Prior
----------- ------ -----
BRAVO 2024-NQM5
A-1 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
AIOS LT NRsf New Rating NR(EXP)sf
R LT NRsf New Rating NR(EXP)sf
SA LT NRsf New Rating NR(EXP)sf
XS LT NRsf New Rating NR(EXP)sf
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 10.2% above a long-term sustainable level (vs.
11.1% on a national level as of 4Q23, which 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 had 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 928 loans totaling approximately $413 million and
seasoned at approximately six months in aggregate, calculated by
Fitch as the difference between the origination date and the cutoff
date. The borrowers have a moderate credit profile, a 718 model
FICO and a 45% debt to income (DTI) ratio, accounting for Fitch's
approach of mapping debt service coverage ratio (DSCR) loans to
DTI, and moderate leverage of 77% for a sustainable loan to value
(sLTV) ratio.
Of the pool, 56% of loans are treated as owner-occupied, while 44%
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, 6% of the loans were originated
through a retail channel. Of the loans, 57.4% are non-qualified
mortgages (non-QMs) and 0.2% are high-priced qualified mortgages
(HPQM), while the Ability to Repay/Qualified Mortgage Rule (ATR) is
not applicable for the remaining portion.
Loan Documentation (Negative): Approximately 92.3% of the pool
loans were underwritten to less than full documentation, as
determined by Fitch, and 49.1% 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, 30.5% 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, 3.8% (51 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-1, A-2 and A-3 notes until
they are reduced to zero.
The structure includes a step-up coupon feature whereby the fixed
interest rate for classes A-1, A-2 and A-3 will increase by 100
bps, subject to the net WAC, after four years. This reduces the
modest excess spread available to repay losses. Interest
distribution amounts otherwise allocable to the unrated class B-3,
to the extent available, may be used to reimburse any unpaid cap
carryover amount for classes A-1, A-2 and A-3, prior to the payment
of any current interest and interest carryover amounts due to the
class B-3 notes on such payment date. The class B-3 notes will not
be reimbursed for any amounts that were paid to the senior classes
as cap carryover amounts.
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
structure.
No P&I Advancing (Mixed): There will be no servicer advancing of
delinquency principal and interest. The lack of 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. The structure has enough internal liquidity through
the use of principal to pay interest, excess spread and credit
enhancement 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 9.5% at the base case. 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 47 bps as a
result of the diligence review.
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.
CHESTNUT NOTES: DBRS Confirms BB(low) Rating on Class C Notes
-------------------------------------------------------------
DBRS, Inc. upgraded and confirmed as follows the following
provisional credit ratings on the Class A Notes, the Class B Notes,
the Class C Notes, and the Class D Notes (together, the Secured
Notes) issued by Chestnut Notes Issuer LLC pursuant to the
Indenture dated as of July 28, 2023 (the Indenture), as amended by
the First Supplemental Indenture dated as of July 25, 2024, entered
into between Chestnut Notes Issuer LLC, as the Issuer and U.S. Bank
Trust Company, National Association, as Trustee:
Upgrade:
-- Class A Notes to A (high) (sf) from A (sf)
-- Class D Notes to B (high) (sf) from B (sf)
Confirm:
-- Class B Notes at BBB (sf)
-- Class C Notes at BB (low) (sf)
The provisional credit rating on the Class A Notes addresses the
timely payment of interest (excluding any Defaulted Interest, as
defined in the Indenture) and the ultimate return of principal on
or before the Stated Maturity (as defined in the Indenture). The
provisional credit ratings on the Class B Notes, the Class C Notes,
and the Class D Notes address the ultimate payment of interest
(excluding any Defaulted Interest, as defined in the Indenture) and
the ultimate return of principal on or before the Stated Maturity
(as defined in the Indenture).
CREDIT RATING RATIONALE/DESCRIPTION
The credit rating actions are a result of Morningstar DBRS' review
of the First Supplemental Indenture, dated July 25, 2024, which
increased the total Commitment Amounts, reduced the spread on
liabilities, and reduced the Minimum Weighted Average Spread Test
(WAS Test) among other changes. The Stated Maturity is July 25,
2035. The Reinvestment Period ends on July 25, 2027.
The Secured Notes are collateralized primarily by a portfolio of
U.S. middle-market corporate loans. Chestnut Notes Issuer LLC is
managed by 26North Direct Lending II LP, an affiliate of 26North
Partners LP. Morningstar DBRS considers 26North Direct Lending II
LP to be an acceptable middle-market corporate loan manager.
In its analysis, Morningstar DBRS considered the following aspects
of the transaction:
(1) The First Supplemental Indenture dated as of July 25, 2024.
(2) The integrity of the transaction structure.
(3) Morningstar DBRS' assessment of the portfolio quality.
(4) Adequate credit enhancement to withstand projected collateral
loss rates under various cash flow stress scenarios.
(5) Morningstar DBRS' assessment of the origination, servicing, and
middle-market corporate loan management capabilities of 26North
Direct Lending II LP.
The transaction has a dynamic structural configuration that permits
variations of certain asset metrics via the selection of an
applicable row from a collateral quality matrix (the CQM).
Depending on a given Diversity Score, the following metrics are
selected accordingly from the applicable row of the CQM:
Morningstar DBRS Risk Score, WAS Test, and Weighted-Average
Recovery Rate (WARR). Morningstar DBRS analyzed each structural
configuration as a unique transaction and all configurations (rows)
passed the applicable Morningstar DBRS rating stress levels. The
Coverage Tests and triggers as well as the Collateral Quality Tests
that Morningstar DBRS reviewed in its analysis are presented
below.
Coverage Tests:
Class A Overcollateralization Ratio Test: Actual 155.08%; Threshold
140.00%
Class B Overcollateralization Ratio Test: Actual 141.24%; Threshold
115.00%
Class C Overcollateralization Ratio Test: Actual 125.85%; Threshold
113.00%
Class D Overcollateralization Ratio Test: Actual 122.46%; Threshold
113.00%
Class A Interest Coverage Ratio Test: Actual 200.17%; Threshold
150.00%
Class B Interest Coverage Ratio Test: Actual 172.59%; Threshold
130.00%
Class C Interest Coverage Ratio Test: Actual 139.79; Threshold
120.00%
Class D Interest Coverage Ratio Test: Actual 132.15%; Threshold
120.00%
Advance Rate Tests:
Class A Advance Rate: Actual 58.74%; Threshold 60.00%
Class B Advance Rate: Actual 66.08%; Threshold 67.50%
Class C Advance Rate: Actual 76.14%; Threshold 77.50%
Class D Advance Rate: Actual 78.69 %; Threshold 80.00%
Collateral Quality Tests:
Minimum Diversity Score Test: Actual 5.60; Threshold 8
Maximum Morningstar DBRS Risk Score Test: Actual 31.42%; Threshold
40.00%
Minimum WA Spread: Actual 5.22%; Threshold 5.00%
Minimum Average Recovery Rate Test: Actual 60.50%; Threshold
59.04%
Some particular strengths of the transaction are (1) the collateral
quality, which consists of at least 95% of senior-secured middle
market loans; (2) the expected adequate diversification of the
portfolio of collateral obligations (Minimum Diversity Score Test
of 8); and (3) the Collateral Manager's expertise in CLOs and
overall approach to selection of Collateral Obligations.
Some challenges that were identified: (1) the expected
weighted-average (WA) credit quality of the underlying obligors may
fall below investment grade (per the Collateral Quality Matrix) and
the majority may not have public ratings once purchased; and (2)
the underlying collateral portfolio may be insufficient to redeem
the Secured Notes in an Event of Default.
As of May 31, 2024, the transaction is failing the Minimum
Diversity Score Test
(5.60 vs. 8.00) and the concentration limitation in Senior Secured
Loans due to currently being in the ramp-up period. The WAS Test
will be in compliance after the implementation of a lower WAS Test,
pursuant to this amendment.
Morningstar DBRS analyzed the transaction using the Morningstar
DBRS CLO Insight Model and its proprietary cash flow engine, which
incorporated assumptions regarding principal amortization,
principal prepayment, amount of interest generated, principal
prepayments, default timings, and recovery rates, among other
credit considerations referenced in Morningstar DBRS' "Global
Methodology for Rating CLOs and Corporate CDOs" (February 23, 2024;
https://dbrs.morningstar.com/research/428544) and CLO Insight Model
v. 1.0.1.2.
Model-based analysis, which incorporated the above-mentioned
amendment, produced satisfactory results. Considering the analysis,
as well as the transaction's legal aspects and structure,
Morningstar DBRS upgraded and confirmed the credit ratings on the
Secured Notes.
To assess portfolio credit quality, Morningstar DBRS provides a
credit estimate or internal assessment for each nonfinancial
corporate obligor in the portfolio not rated by Morningstar DBRS.
Credit estimates are not ratings; rather, they represent a
model-driven default probability for each obligor that is used in
assigning ratings to a facility.
A provisional credit rating is not a final credit rating with
respect to the above-mentioned Secured Notes and may change or be
different than the final credit rating assigned or may be
discontinued. The assignment of final credit ratings on the
above-mentioned Secured Notes is subject to receipt by Morningstar
DBRS of all data and/or information and final documentation that
Morningstar DBRS deems necessary to finalize the credit ratings.
Notes: All figures are in U.S. Dollars unless otherwise noted.
CIFC FUNDING 2018-II: Moody's Affirms Ba3 Rating on Class D Notes
-----------------------------------------------------------------
Moody's Ratings has upgraded the rating on the following notes
issued by CIFC Funding 2018-II, Ltd.:
US$2M Class B Mezzanine Secured Deferrable Floating Rate Notes,
Upgraded to Aa3 (sf); previously on Mar 21, 2023 Upgraded to A1
(sf)
Moody's have also affirmed the ratings on the following notes:
US$520M (current outstanding amount US$404,477,869) Class A-1
Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously
on May 31, 2018 Assigned Aaa (sf)
US$84.5M Class A-2 Senior Secured Floating Rate Notes, Affirmed
Aaa (sf); previously on Mar 21, 2023 Upgraded to Aaa (sf)
US$52.5M Class C Mezzanine Secured Deferrable Floating Rate Notes,
Affirmed Baa3 (sf); previously on May 31, 2018 Assigned Baa3 (sf)
US$37.3M Class D Junior Secured Deferrable Floating Rate Notes,
Affirmed Ba3 (sf); previously on May 31, 2018 Assigned Ba3 (sf)
CIFC Funding 2018-II, Ltd., issued in May 2018 is a managed
cashflow CLO. The notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. The portfolio
is managed by CIFC CLO Management II LLC. The transaction's
reinvestment period ended April 2023.
RATINGS RATIONALE
The rating upgrade on the Class B notes is primarily a result of
the deleveraging of the senior notes following amortisation of the
underlying portfolio since the last rating action in March 2023.
The affirmations on the ratings on the Class A-1, Class A-2, Class
C and Class D notes are primarily a result of the expected losses
on the notes remaining consistent with their current rating levels,
after taking into account the CLO's latest portfolio, its relevant
structural features and its actual over-collateralisation ratios.
The Class A1 notes have paid down by approximately USD 115.5
million (22.2%) since the last rating action in March 2023. As a
result of the deleveraging, over-collateralisation (OC) has
increased across the capital structure. According to the trustee
report dated July 2024 [1] the Class A, Class B, Class C and Class
D OC ratios are reported at 133.66%, 123.98%, 113.69% and 107.36%
compared to February 2023 [2] levels of 130.63%, 122.15%, 112.97%
and 107.25%, respectively. Moody's note that the July 2024
principal payments are not reflected in the reported OC ratios.
The key model inputs Moody's use in Moody's analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on Moody's published methodology
and could differ from the trustee's reported numbers.
In Moody's base case, Moody's used the following assumptions:
Performing par and principal proceeds balance: USD669.2m
Defaulted Securities: USD2.5m
Diversity Score: 74
Weighted Average Rating Factor (WARF): 2830
Weighted Average Life (WAL): 3.41 years
Weighted Average Spread (WAS): 3.15%
Weighted Average Recovery Rate (WARR): 47.43%
Par haircut in OC tests and interest diversion test: none
The default probability derives from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporate these default and recovery
characteristics of the collateral pool into Moody's cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.
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.
Counterparty Exposure:
The rating action took into consideration the notes' exposure to
relevant counterparties, such as account bank, using the
methodology "Moody's Approach to Assessing Counterparty Risks in
Structured Finance methodology" published in October 2023. Moody's
concluded the ratings of the notes are not constrained by these
risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change.
Additional uncertainty about performance is due to the following:
-- Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.
-- Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assume have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Moody's analysed
defaulted recoveries assuming the lower of the market price or the
recovery rate to account for potential volatility in market prices.
Recoveries higher than Moody's expectations would have a positive
impact on the notes' ratings.
In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
Moody's other analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
CIM TRUST 2024-R1: DBRS Finalizes B(low) Rating on B3 Notes
-----------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings on the
Mortgage-Backed Notes, Series 2024-R1 (the Notes) issued by CIM
Trust 2024-R1 (CIM 2024-R1 or the Trust) as follows:
-- $351.8 million Class A1 at AAA (sf)
-- $25.7 million Class A2 at AA (high) (sf)
-- $23.9 million Class M1 at A (high) (sf)
-- $17.8 million Class M2 at BBB (high) (sf)
-- $10.5 million Class B1 at BBB (low) (sf)
-- $9.4 million Class B2 at BB (low) (sf)
-- $14.5 million Class B3 at B (low) (sf)
The AAA (sf) credit rating on the Notes reflects 24.85% of credit
enhancement provided by subordinated notes. The AA (high) (sf), A
(high) (sf), BBB (high) (sf), BBB (low) (sf), BB (low) and B (low)
(sf) credit ratings reflect 19.35%, 14.25%, 10.45%, 8.20%, 6.20%
and 3.10% of credit enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
This transaction is a securitization of a portfolio of primarily
seasoned performing and reperforming first-lien residential
mortgages and funded by the issuance of the Notes. The Notes are
backed by 2,055 loans with a total principal balance of
$468,148,081 as of the Cut-Off Date (June 30, 2024).
The loans are approximately 87 months seasoned on average, with
approximately 38.8% of the pool originated within the last 24
months. As of the Cut-Off Date, 91.3% of the pool is current, 8.1%
is 30 days delinquent under the Mortgage Bankers Association (MBA)
delinquency method, and 0.6% is in bankruptcy (all except six of
the bankruptcy loans are performing). Approximately 65.8% and 55.6%
of the mortgage loans have been zero times (x) 30 days delinquent
for the past 12 months and 24 months, respectively, or life of the
loan if less than 12 or 24 months under the MBA delinquency
method.
In the portfolio, 30.6% of the loans have been modified. The
modifications happened more than two years ago for 82.3% of the
modified loans. Within the pool, 660 mortgages have
non-interest-bearing deferred amounts totaling $14,655,559, which
equates to 3.1% of the total principal balance. Unless specified
otherwise, all statistics on the mortgage loans in this report are
based on the current balance, including the applicable
non-interest-bearing deferred amounts.
The majority of the pool (45.2%) is exempt from the Consumer
Financial Protection Bureau Ability-to-Repay (ATR)/Qualified
Mortgage (QM) rules. Morningstar DBRS assumed the loans subject to
the ATR rules are designated as QM Safe Harbor (40.6%), Non-QM
(9.8%), and QM Rebuttable (4.4%) by unpaid principal balance (UPB)
based upon the third-party due diligence results.
Fifth Avenue Trust (the Seller) acquired the mortgage loans prior
to the Cut-Off Date and, through a wholly owned subsidiary, Funding
Depositor LLC (the Depositor), will contribute the loans to the
Trust. As the Sponsor, Chimera Investment Corporation (Chimera) or
one of its majority-owned affiliates will acquire and retain a 5%
eligible horizontal residual interest in the Notes (other than the
Class A-IO-S, PRA, and R notes), consisting of a portion of the
Class B2 notes and all of the Class B3, B4, and C notes, in the
aggregate, to satisfy the credit risk retention requirements.
Various entities originated and previously serviced the loans
through purchases in the secondary market.
Prior to CIM 2024-R1, Chimera had issued 52 seasoned
securitizations under the CIM shelf since 2014, all of which were
backed by subprime, reperforming, or nonperforming loans.
Morningstar DBRS has rated 121 of the previously issued CIM
reperforming loan deals. Morningstar DBRS reviewed the historical
performance of both the rated and unrated transactions issued under
the CIM shelf, particularly with respect to the reperforming
transactions, which may not have collateral attributes similar to
CIM 2024-R1. The delinquencies and losses in the reperforming CIM
transactions have been generally in line with expectations for
previously distressed assets.
All loans will be serviced by Fay Servicing, LLC(the Servicer).
There will not be any advancing of delinquent principal or interest
on any mortgages by the Servicer or any other party to the
transaction; however, the related Servicer is obligated to make
advances in respect of homeowner's association fees, taxes, and
insurance as well as reasonable costs and expenses incurred in the
course of servicing and disposing of properties.
On or after any Payment Date when the aggregate UPB of the mortgage
loans is reduced to 30% of the Cut-Off Date balance, the Purchase
Option Holder (the Depositor or any successor or assignee) has the
option to purchase all of the mortgage loans and any real estate
owned (REO) properties at a certain purchase price equal to the UPB
of the mortgage loans, plus the fair market value of the REO
properties and any unpaid expenses and reimbursement amounts.
The transaction employs a sequential-pay cash flow structure.
Principal proceeds can be used to cover interest shortfalls on the
Notes, but such shortfalls on Class A2 and more subordinate bonds
will not be paid from principal proceeds until the Class A1 notes
are retired.
Notes: All figures are in US Dollars unless otherwise noted.
COLT 2024-INV3: S&P Assigns B (sf) Rating on Class B-2 Certs
------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to COLT
2024-INV3 Mortgage Loan Trust's mortgage-backed certificates.
The certificate issuance is an RMBS transaction backed by 867
first-lien, fixed- and adjustable-rate, fully amortizing,
ability-to-repay-exempt, business-purpose investment property
residential mortgage loans to prime and nonprime borrowers (some
with interest-only periods). The loans are secured by single-family
residential properties, planned-unit developments, condominiums,
townhomes, two- to four-family residential properties, and
condotels.
The preliminary ratings are based on information as of Aug. 12,
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, representation and warranty framework, and geographic
concentration;
-- The mortgage aggregator and reviewed originators; and
-- The potential impact current and near-term macroeconomic
conditions may have on the performance of the mortgage borrowers in
the pool. S&P said, "Per our latest update ("A Cooling U.S. Labor
Market Sets Up A September Start For Rate Cuts," published Aug. 6,
2024) to our third-quarter macroeconomic outlook ("Economic Outlook
U.S. Q3 2024: Milder Growth Ahead," published June 24, 2024), we
have recalibrated our views on the trajectory of interest rates in
the U.S. We now expect 50 basis points (bps) of rate cuts coming
this year and another 100 bps of cuts coming next year, with the
balance of risks tilting toward more of those cuts happening sooner
rather than later. Our base-case forecast for GDP growth and
inflation have not changed, and we attribute the recent loosening
of the labor market to normalization, not to an economy that's
about to slip into a recession. A soft landing remains the most
likely scenario, at least into 2025. We therefore maintain our
current market outlook as it relates to the 'B' projected
archetypal foreclosure frequency of 2.50%, which reflects our
benign view of the mortgage and housing market as demonstrated
through general national-level home price behavior, unemployment
rates, mortgage performance, and underwriting."
Preliminary Ratings Assigned(i)
COLT 2024-INV3 Mortgage Loan Trust
Class A-1, $146,394,000: AAA (sf)
Class A-2, $13,670,000: AA (sf)
Class A-3, $24,472,000: A (sf)
Class M-1, $13,780,000: BBB (sf)
Class B-1, $9,811,000: BB (sf)
Class B-2, $7,606,000: B (sf)
Class B-3, $4,740,970: NR
Class A-IO-S, notional(ii): NR
Class X, notional(ii): NR
Class R, not applicable: NR
(i)The collateral and structural information in this report
reflects the Aug. 7, 2024, term sheet. 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 will equal the aggregate principal balance
of the mortgage loans as of the first day of the related due
period.
NR--Not rated.
COLUMBIA CENT 30: S&P Affirms BB- (sf) Rating on Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class X-R, A-1-R,
A-2-R, B-1-R, B-2-R, and C-R replacement debt from Columbia Cent
CLO 30 Ltd./Columbia Cent CLO 30 Corp., a CLO managed by Columbia
Cent CLO Advisers LLC, that was originally issued in January 2021.
At the same time, S&P withdrew its ratings on the class X, A-1,
A-2, B, and C debt following payment in full on the Aug. 14, 2024,
refinancing date. S&P also affirmed its ratings on the class D and
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:
-- Class A-1-R and A-2-R balances were adjusted from the class A-1
and A-2 balances, respectively, with the aggregate balance
unchanged.
-- Class B was split into classes B-1-R and B-2-R, with the
aggregate balance unchanged.
-- The non-call period for the refinancing notes was extended to
April 20, 2025.
-- To reinvest the principal proceeds one year after the
reinvestment period, the weighted average life test must be
strictly satisfied.
Replacement And Original Debt Issuances
Replacement debt
-- Class X-R, $1.3 million: Three-month CME term SOFR + 1.10%
-- Class A-1-R, $234.1 million: Three-month CME term SOFR + 1.28%
-- Class A-2-R, $25.9 million: Three-month CME term SOFR + 1.53%
-- Class B-1-R, $36.6 million: Three-month CME term SOFR + 1.80%
-- Class B-2-R, $7.4 million: Three-month CME term SOFR + 2.00%
-- Class C-R(deferrable), $24.0 million: Three-month CME term SOFR
+ 2.30%
Original debt
-- Class X, $1.3 million: Three-month CME term SOFR + 1.00% +
CSA(i)
-- Class A-1, $248.0 million: Three-month CME term SOFR + 1.31% +
CSA(i)
-- Class A-2, $12.0 million: Three-month CME term SOFR + 1.60% +
CSA(i)
-- Class B, $44.0 million: Three-month CME term SOFR + 1.75% +
CSA(i)
-- Class C (deferrable), $24.0 million: Three-month CME term SOFR
+ 2.55% + 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
Columbia Cent CLO 30 Ltd./Columbia Cent CLO 30 Corp.
Class X-R, $1.3 million: AAA (sf)
Class A-1-R, $234.1 million: AAA (sf)
Class A-2-R, $25.9 million: AAA (sf)
Class B-1-R, $36.6 million: AA (sf)
Class B-2-R, $7.4 million: AA (sf)
Class C-R (deferrable), $24.0 million: A (sf)
Ratings Withdrawn
Columbia Cent CLO 30 Ltd./Columbia Cent CLO 30 Corp.
Class X to NR from 'AAA (sf)'
Class A-1 to NR from 'AAA (sf)'
Class A-2 to NR from 'AAA (sf)'
Class B to NR from 'AA (sf)'
Class C to NR from 'A (sf)'
Ratings Affirmed
Columbia Cent CLO 30 Ltd./Columbia Cent CLO 30 Corp.
Class D: BBB- (sf)
Class E: BB- (sf)
Other Debt
Columbia Cent CLO 30 Ltd./Columbia Cent CLO 30 Corp.
Subordinated notes, $39.3 million: NR
NR--Not rated.
COMM 2014-CCRE15: Moody's Lowers Rating on Cl. D Certs to B1
------------------------------------------------------------
Moody's Ratings has downgraded the ratings on seven classes in COMM
2014-CCRE15 Mortgage Trust, Commercial Pass-Through Certificates,
Series 2014-CCRE15 as follows:
Cl. B, Downgraded to Baa1 (sf); previously on May 26, 2023
Downgraded to A2 (sf)
Cl. C, Downgraded to Ba1 (sf); previously on May 26, 2023
Downgraded to Baa2 (sf)
Cl. D, Downgraded to B1 (sf); previously on May 26, 2023 Downgraded
to Ba2 (sf)
Cl. E, Downgraded to B3 (sf); previously on May 26, 2023 Downgraded
to B1 (sf)
Cl. F, Downgraded to Caa3 (sf); previously on May 26, 2023
Downgraded to Caa2 (sf)
Cl. PEZ, Downgraded to Baa3 (sf); previously on May 26, 2023
Downgraded to A2 (sf)
Cl. X-B*, Downgraded to Ba2 (sf); previously on May 26, 2023
Downgraded to Baa3 (sf)
* Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings on five P&I classes were downgraded due to potential
for higher losses and interest shortfalls driven primarily by the
significant exposure to loans in special servicing with declining
performance. All the remaining loans are in special servicing and
have passed their original maturity dates. Furthermore, two of the
specially serviced loans, representing 38% of the pool, are
classified as in foreclosure. Interest shortfalls may increase if
the remaining loans are unable to payoff and loans either continue
to be delinquent or experience further performance declines.
The rating on the interest-only (IO) class, Cl. X-B, was downgraded
due to the decline in the credit quality of its referenced
classes.
The rating on the exchangeable class, Cl. PEZ, was downgraded due
to the decline in the credit quality of its reference classes
resulting from principal paydowns of higher quality reference
class. Cl. PEZ originally referenced classes A-M, B and C, however,
the most senior reference class, Cl. A-M, has paid off in full.
Moody's rating action reflects a base expected loss of 25.2% of the
current pooled balance, compared to 7.9% at Moody's last review.
Moody's base expected loss plus realized losses is now 6.7% of the
original pooled balance, compared to 6.3% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected. Additionally, significant
changes in the 5-year rolling average of 10-year US Treasury rates
will impact the magnitude of the interest rate adjustment and may
lead to future rating actions.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating all classes except
interest-only classes was "Large Loan and Single Asset/Single
Borrower Commercial Mortgage-backed Securitizations" published in
July 2024.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since100% of the pool is in
special servicing. In this approach, Moody's determine a
probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then apply the aggregate loss
from specially serviced to the most junior class(es) and the
recovery as a pay down of principal to the most senior class(es).
DEAL PERFORMANCE
As of the July 12, 2024 distribution date, the transaction's
aggregate certificate balance has decreased by 81% to $194 million
from $1.01 billion at securitization. The certificates are
collateralized by 5 mortgage loans ranging in size from less than
6% to 37.9% of the pool.
As of the July 2024 remittance report, all remaining loans are
either in special servicing or have passed their original maturity
dates. Loans representing 45% were current or within their grace
period on their debt service payments, 16% were classified as
non-performing maturity balloon, and 38% were in foreclosure.
Three loans have been liquidated from the pool resulting in an
aggregate realized loss of $18.8 million (for an average loss
severity of 64.7%). Five loans, constituting 100% of the pool, are
currently in special servicing. Moody's have estimated an aggregate
loss of $48.9 million (a 25% expected loss on average) from these
specially serviced loans.
The largest specially serviced loan is the 625 Madison Avenue loan
($73.6 million - 37.9% of the pool), which represents a pari-passu
portion of a $168.9 million first mortgage loan. The loan was
originally secured by the fee interest in a 0.81-acre parcel of
land located at 625 Madison Avenue between East 58th and East 59th
Street in New York City. However, the loan transferred to special
servicing in July 2023 due to imminent default and subsequently the
mezzanine Lender foreclosed on the equity collateral. Furthermore,
a modification agreement was executed in December 2023 which
involved, among other items, the termination of the ground lease, a
completion and carry guaranty as well as a $25 million principal
paydown. The senior loan is the only debt currently on the property
as the mezzanine loan was extinguished through the UCC foreclosure
sale. After being more than 60 days delinquent in late 2023, as of
the July 2024 remittance statement the loan was last paid through
June 2024 and the special servicer indicated they will continue to
monitor the performance of this loan. Based on the value of the
collateral and the executed modification, Moody's do not anticipate
a loss on the mortgage loan.
The second largest specially serviced loan is the 25 West 45th
Street loan ($63.8 million – 32.8% of the pool), which is secured
by the fee simple interest in a 17-story, 185,000 SF, office
building located in New York, New York. Property performance has
declined as a result of decline in occupancy. Per the December 2023
rent roll, the property was 71% leased, compared to 82% in November
2022, and 95% at securitization. WeWork (12.5% of NRA), the largest
tenant at securitization, vacated in 2023 as a result of their
bankruptcy terminating the lease 12 years prior to its expiration.
An updated appraisal in April 2024 valued the property at $65
million, a 39% decline in value since securitization. The loan
entered foreclosure in June 2024 and the lender is actively seeking
the appointment of a receiver. As of the July 2024 remittance, the
loan has amortized by 8.8% since securitization.
The third largest specially serviced loan is the 600 Commonwealth
Loan ($31.9 million – 16.4% of the pool), which is secured by the
borrower's fee simple interest in an office building located in Los
Angeles, California. Per the December 2023 rent roll, the property
was 38% leased, compared to 64% in December 2022 and 92% at
securitization. An updated appraisal from February 2024 valued the
property at $31.4 million, a 37% decline in value since
securitization and slightly below the outstanding loan balance.
Per servicer commentary, the borrower is seeking an extension of
the loan from the lender, and counsel has been engaged. As of the
July 2024 remittance, the loan has amortized by 14.3% since
securitization.
The fourth largest specially serviced loan is the River Falls
Shopping Center Loan ($14.6 million – 7.5% of the pool), which is
secured by an approximately 288,000 square feet (SF) portion of an
873,000 SF retail center located in Clarksville, Indiana. The
property was originally constructed in 1990 as an indoor regional
mall, redeveloped into a power center in 2005, and was renovated in
2013. The loan transferred to special servicing in May 2020 for
imminent monetary default at the borrower's request due to business
disruptions related to the pandemic. The borrower and lender
entered into a forbearance agreement effective September 2021.
Property performance has declined further with the NOI DSCR at
1.23X in September 2023 compared to 1.77X in December 2020 and
1.52X at securitization. An updated appraisal from November 2023
valued the property at $18.5 million, a 23% decline in value since
securitization. As of the July 2024 remittance, the loan was
current and has amortized by 18.5% since securitization.
The fifth largest specially serviced loan is the 840 Westchester
loan ($10.3 million – 5.3% of the pool), which is secured by the
borrower's lease hold interest in a mixed-use development located
in the Bronx, New York. The second largest tenant, Rite Aid (29% of
the NRA) vacated prior to lease expiration in August 2027. The loan
transferred to special servicing in January 2021 due to payment
default. As of July 2024 remittance, this loan was in foreclosure
and has amortized by 26% since securitization.
CONNECTICUT AVE 2023-R07: Moody's Ups Rating on 3 Tranches to Ba1
-----------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 62 bonds of credit risk
transfer (CRT) RMBS, which are issued by Connecticut Avenue
Securities Trust 2023-R07 to share the credit risk on a reference
pool of mortgages with the capital markets.
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: Connecticut Avenue Securities Trust 2023-R07
Cl. 2-J1, Upgraded to Baa1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa3 (sf)
Cl. 2-J2, Upgraded to Baa1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa3 (sf)
Cl. 2-J3, Upgraded to Baa1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa3 (sf)
Cl. 2-J4, Upgraded to Baa1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa3 (sf)
Cl. 2-K1, Upgraded to Baa1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa3 (sf)
Cl. 2-K2, Upgraded to Baa1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa3 (sf)
Cl. 2-K3, Upgraded to Baa1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa3 (sf)
Cl. 2-K4, Upgraded to Baa1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa3 (sf)
Cl. 2-X1*, Upgraded to A3 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa2 (sf)
Cl. 2-X2*, Upgraded to A3 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa2 (sf)
Cl. 2-X3*, Upgraded to A3 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa2 (sf)
Cl. 2-X4*, Upgraded to A3 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa2 (sf)
Cl. 2-Y1*, Upgraded to Baa1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa3 (sf)
Cl. 2-Y2*, Upgraded to Baa1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa3 (sf)
Cl. 2-Y3*, Upgraded to Baa1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa3 (sf)
Cl. 2-Y4*, Upgraded to Baa1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa3 (sf)
Cl. 2A-I1*, Upgraded to A3 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa1 (sf)
Cl. 2A-I2*, Upgraded to A3 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa1 (sf)
Cl. 2A-I3*, Upgraded to A3 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa1 (sf)
Cl. 2A-I4*, Upgraded to A3 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa1 (sf)
Cl. 2B-1, Upgraded to Ba1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Ba2 (sf)
Cl. 2B-1A, Upgraded to Baa3 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Ba1 (sf)
Cl. 2B-1B, Upgraded to Ba2 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Ba3 (sf)
Cl. 2B-1X*, Upgraded to Ba1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Ba2 (sf)
Cl. 2B-1Y, Upgraded to Ba1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Ba2 (sf)
Cl. 2B-I1*, Upgraded to A3 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa2 (sf)
Cl. 2B-I2*, Upgraded to A3 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa2 (sf)
Cl. 2B-I3*, Upgraded to A3 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa2 (sf)
Cl. 2B-I4*, Upgraded to A3 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa2 (sf)
Cl. 2C-I1*, Upgraded to Baa1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa3 (sf)
Cl. 2C-I2*, Upgraded to Baa1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa3 (sf)
Cl. 2C-I3*, Upgraded to Baa1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa3 (sf)
Cl. 2C-I4*, Upgraded to Baa1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa3 (sf)
Cl. 2E-A1, Upgraded to A3 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa1 (sf)
Cl. 2E-A2, Upgraded to A3 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa1 (sf)
Cl. 2E-A3, Upgraded to A3 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa1 (sf)
Cl. 2E-A4, Upgraded to A3 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa1 (sf)
Cl. 2E-B1, Upgraded to A3 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa2 (sf)
Cl. 2E-B2, Upgraded to A3 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa2 (sf)
Cl. 2E-B3, Upgraded to A3 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa2 (sf)
Cl. 2E-B4, Upgraded to A3 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa2 (sf)
Cl. 2E-C1, Upgraded to Baa1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa3 (sf)
Cl. 2E-C2, Upgraded to Baa1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa3 (sf)
Cl. 2E-C3, Upgraded to Baa1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa3 (sf)
Cl. 2E-C4, Upgraded to Baa1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa3 (sf)
Cl. 2E-D1, Upgraded to A3 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa2 (sf)
Cl. 2E-D2, Upgraded to A3 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa2 (sf)
Cl. 2E-D3, Upgraded to A3 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa2 (sf)
Cl. 2E-D4, Upgraded to A3 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa2 (sf)
Cl. 2E-D5, Upgraded to A3 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa2 (sf)
Cl. 2E-F1, Upgraded to Baa1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa3 (sf)
Cl. 2E-F2, Upgraded to Baa1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa3 (sf)
Cl. 2E-F3, Upgraded to Baa1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa3 (sf)
Cl. 2E-F4, Upgraded to Baa1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa3 (sf)
Cl. 2E-F5, Upgraded to Baa1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa3 (sf)
Cl. 2M-1, Upgraded to A1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned A3 (sf)
Cl. 2M-2, Upgraded to Baa1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa2 (sf)
Cl. 2M-2A, Upgraded to A3 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa1 (sf)
Cl. 2M-2B, Upgraded to A3 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa2 (sf)
Cl. 2M-2C, Upgraded to Baa1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa3 (sf)
Cl. 2M-2X*, Upgraded to Baa1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa2 (sf)
Cl. 2M-2Y, Upgraded to Baa1 (sf); previously on Oct 11, 2023
Definitive Rating Assigned Baa2 (sf)
* Reflects Interest-Only Classes
RATINGS RATIONALE
The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying pool. The
transaction Moody's reviewed continues to display strong collateral
performance, with no cumulative loss to date and only 0.7% of loans
in 60 day plus delinquency as of July 2024. In addition,
enhancement levels for all tranches have grown as the pool
amortized. The credit enhancement since closing has grown 3.8% for
the non-exchangeable tranches upgraded.
In addition, while Moody's analysis applied a greater probability
of default stress on loans that have experienced modifications,
Moody's decreased that stress to the extent the modifications were
in the form of temporary payment relief.
The rating actions also reflect the further seasoning of the
collateral and increased clarity regarding the impact of borrower
relief programs on collateral performance. Information obtained
from loan servicers in recent years has shed light on their current
strategies regarding borrower relief programs and the impact those
programs may have on collateral performance and transaction
liquidity, through servicer advancing. Moody's recent analysis has
found that in addition to robust home price appreciation, many of
these borrower relief programs have contributed to stronger
collateral performance than Moody's had previously expected, thus
supporting the upgrades.
Moody's analysis also considered the relationship of exchangeable
bonds to the bonds they could be exchanged for.
Principal Methodologies
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in July 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds and/or pools.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
DIAMOND ISSUER: Fitch Affirms 'BB-sf' Rating on Class C Notes
-------------------------------------------------------------
Fitch Ratings has affirmed Diamond Issuer LLC's fixed-rate Cellular
Site revenue notes, Series 2021-1. The Rating Outlook is Stable for
all of the classes of notes.
Entity/Debt Rating Prior
----------- ------ -----
Diamond Issuer LLC
Fixed Rate Cellular
Site Revenue Notes,
Series 2021-1
Class A 25267TAN1 LT Asf Affirmed Asf
Class B 25267TAQ4 LT BBB-sf Affirmed BBB-sf
Class C 25267TAS0 LT BB-sf Affirmed BB-sf
Transaction Summary
The transaction is an issuance of notes backed by mortgages
representing approximately 93.0% of the annualized run rate net
cash flow (ARRNCF) on the tower sites, and guaranteed by the direct
parent of the borrower issuer.
This guarantee is secured by a pledge and first-priority-perfected
security interest in 100% of the equity interest of the borrowers,
which own or lease 1,083 wireless communication sites (towers and
the tenant leases) and mortgages on applicable sites and the
capacity use and service agreements and any and all associated
rights, remedies and proceeds, including the exclusive and
perpetual relationship with FirstEnergy Corp.'s (FE) 10 utility
subsidiaries to sublease FE transmission and communication towers,
and FE controlled property.
The ratings reflect a structured finance analysis of the cash flows
from the ownership interest in cellular sites not an assessment of
the corporate default risk of the ultimate parent, Diamond
Communications LLC (not rated by Fitch), which is also the
transaction manager. This transaction is the fifth ABS transaction
managed by Diamond.
KEY RATING DRIVERS
Net Cash Flow and Trust Leverage: As of the June 2024 data tape,
the issuer net cash flow (NCF) on the pool is $41.0 million, up
19.7% since issuance. The debt multiple relative to issuer NCF on
the rated classes is 10.6x, down from 12.1x as of issuance. Fitch
has not redetermined Fitch Net Cash Flow and Maximum Potential
Leverage as there have not been material migrations in the
performance, cash flow and collateral asset characteristics.
Credit Risk Factors: The major factors impacting Fitch's
determination of cash flow and MPL include the large and diverse
collateral pool, creditworthy customer base with limited historical
churn, market position of the operator, capability of the operator,
limited operational requirements, high barriers to entry and
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 tower space, similar to most wireless tower
transactions, the senior classes of this transaction do not achieve
ratings above 'Asf'. The securities have a rated final payment date
30 years after closing, and the long-term tenor of the securities
increases the risk that an alternative technology — rendering
obsolete the current transmission of wireless signals through
cellular sites — will be developed. Wireless service providers
(WSPs) currently depend on towers to transmit their signals and
continue to invest in this technology.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Declining cash flow as a result of higher site expenses, lease
churn, lease amendments, or the development of an alternative
technology for the transmission of wireless signal could lead to
downgrades.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Increasing cash flow without an increase in corresponding debt,
from contractual lease escalators, new tenant leases, or lower site
expenses could lead to upgrades.
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
Diamond Issuer LLC Fixed Rate Cellular Site Revenue Notes, Series
2021-1 has an ESG Relevance Score of '4' for Transaction &
Collateral Structure due to several factors, including the issuer's
ability to issue additional notes, which has a negative impact on
the credit profile and is relevant to the rating 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.
EATON VANCE 2020-1: S&P Assigns BB- (sf) Rating on Class E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-RR, B-RR,
C-RR, D-1RR, and E-RR replacement debt and the new class D-2 debt
from Eaton Vance CLO 2020-1 Ltd./Eaton Vance CLO 2020-1 LLC, a CLO
managed by Eaton Vance Management that was originally issued in
August 2020 and underwent a first refinancing in September 2021. At
the same time, S&P withdrew its ratings on the class A-R, B-R, C-R,
D-R, and E-R debt following payment in full on the Aug. 8, 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 to Aug. 8, 2026.
-- The reinvestment period was extended to Oct. 15, 2029.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) were extended by approximately
three years to Oct. 15, 2037.
-- No additional assets were purchased on the Aug. 8, 2024
refinancing date, and the target initial par amount decreased to
approximately $444.85 million. There was no additional effective
date or ramp-up period, and the first payment date following the
refinancing is Oct. 15, 2024.
-- The class D-2 debt was issued on the refinancing date.
-- The required minimum overcollateralization and interest
coverage ratios were amended.
-- Approximately $10.1 million in additional subordinated notes
were issued on the refinancing date.
-- The concentration limitations were amended. The documents also
added the prohibition to acquire ESG collateral obligations.
Replacement And September 2021 Debt Issuances
Replacement debt
-- Class A-RR, $284.806 million: Three-month CME term SOFR +
1.39%
-- Class B-RR, $53.401 million: Three-month CME term SOFR + 1.75%
-- Class C-RR (deferrable), $26.701 million: Three-month CME term
SOFR + 2.00%
-- Class D-1RR (deferrable), $26.701 million: Three-month CME term
SOFR + 3.10%
-- Class D-2 (deferrable), $4.450 million: Three-month CME term
SOFR + 4.50%
-- Class E-RR (deferrable), $13.350 million: Three-month CME term
SOFR + 6.25%
September 2021 debt
-- Class A-R, $279.000 million: Three-month CME term SOFR + 1.17%
+ CSA(i)
-- Class B-R, $63.000 million: Three-month CME term SOFR + 1.65% +
CSA(i)
-- Class C-R (deferrable), $24.750 million: Three-month CME term
SOFR + 2.05% + CSA(i)
-- Class D-R (deferrable), $27.000 million: Three-month CME term
SOFR + 3.10% + CSA(i)
-- Class E-R (deferrable), $20.250 million: Three-month CME term
SOFR + 6.25% + 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
Eaton Vance CLO 2020-1 Ltd./Eaton Vance CLO 2020-1 LLC
Class A-RR, $284.806 million: AAA (sf)
Class B-RR, $53.401 million: AA (sf)
Class C-RR (deferrable), $26.701 million: A (sf)
Class D-1RR (deferrable), $26.701 million: BBB- (sf)
Class D-2 (deferrable), $4.450 million: BBB- (sf)
Class E-RR (deferrable), $13.350 million: BB- (sf)
Ratings Withdrawn
Eaton Vance CLO 2020-1 Ltd./Eaton Vance CLO 2020-1 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 Debt
Eaton Vance CLO 2020-1 Ltd./Eaton Vance CLO 2020-1 LLC
Subordinated notes, $54.800 million: Not rated
ELEMENT NOTES: DBRS Confirms BB(low) Rating on Class C Notes
------------------------------------------------------------
DBRS, Inc. upgraded and confirmed as follows the following
provisional credit ratings on the Class A Notes, the Class B Notes,
the Class C Notes, and the Class D Notes (together, the Secured
Notes) issued by Element Notes Issuer LLC pursuant to the Indenture
dated as of July 28, 2023 (the Indenture), as amended by the First
Supplemental Indenture dated as of July 25, 2024, entered into
between Element Notes Issuer LLC, as the Issuer and U.S. Bank Trust
Company, National Association, as Trustee:
Upgrade:
-- Class A Notes to A (high) (sf) from A (sf)
-- Class D Notes to B (high) (sf) from B (sf)
Confirm:
-- Class B Notes at BBB (sf)
-- Class C Notes at BB (low) (sf)
The provisional credit rating on the Class A Notes addresses the
timely payment of interest (excluding any Defaulted Interest, as
defined in the Indenture) and the ultimate return of principal on
or before the Stated Maturity (as defined in the Indenture). The
provisional credit ratings on the Class B Notes, the Class C Notes,
and the Class D Notes address the ultimate payment of interest
(excluding any Defaulted Interest, as defined in the Indenture) and
the ultimate return of principal on or before the Stated Maturity
(as defined in the Indenture).
CREDIT RATING RATIONALE/DESCRIPTION
The credit rating actions are a result of Morningstar DBRS' review
of the First Supplemental Indenture, dated July 25, 2024, which
increased the total Commitment Amounts, reduced the spread on
liabilities, and reduced the Minimum Weighted Average Spread Test
(WAS Test) among other changes. The Stated Maturity is July 25,
2035. The Reinvestment Period ends on July 25, 2027.
The Secured Notes are collateralized primarily by a portfolio of
U.S. middle-market corporate loans. Element Notes Issuer LLC is
managed by 26North Direct Lending II LP, an affiliate of 26North
Partners LP. Morningstar DBRS considers 26North Direct Lending II
LP to be an acceptable middle-market corporate loan manager.
In its analysis, Morningstar DBRS considered the following aspects
of the transaction:
(1) The First Supplemental Indenture dated as of July 25, 2024
(2) The integrity of the transaction structure.
(3) Morningstar DBRS' assessment of the portfolio quality.
(4) Adequate credit enhancement to withstand projected collateral
loss rates under various cash flow stress scenarios.
(5) Morningstar DBRS' assessment of the origination, servicing, and
middle-market corporate loan management capabilities of 26North
Direct Lending II LP.
The transaction has a dynamic structural configuration that permits
variations of certain asset metrics via the selection of an
applicable row from a collateral quality matrix (the CQM).
Depending on a given Diversity Score, the following metrics are
selected accordingly from the applicable row of the CQM:
Morningstar DBRS Risk Score, WAS Test, and Weighted-Average
Recovery Rate (WARR). Morningstar DBRS analyzed each structural
configuration as a unique transaction and all configurations (rows)
passed the applicable Morningstar DBRS rating stress levels. The
Coverage Tests and triggers as well as the Collateral Quality Tests
that Morningstar DBRS reviewed in its analysis are presented
below.
Coverage Tests:
Class A Overcollateralization Ratio Test: Actual 155.08%; Threshold
140.00%
Class B Overcollateralization Ratio Test: Actual 141.24%; Threshold
115.00%
Class C Overcollateralization Ratio Test: Actual 125.85%; Threshold
113.00%
Class D Overcollateralization Ratio Test: Actual 122.46%; Threshold
113.00%
Class A Interest Coverage Ratio Test: Actual 200.17%; Threshold
150.00%
Class B Interest Coverage Ratio Test: Actual 172.58%; Threshold
130.00%
Class C Interest Coverage Ratio Test: Actual 139.78; Threshold
120.00%
Class D Interest Coverage Ratio Test: Actual 132.15%; Threshold
120.00%
Advance Rate Tests:
Class A Advance Rate: Actual 59.02%; Threshold 60.00%
Class B Advance Rate: Actual 66.40%; Threshold 67.50%
Class C Advance Rate: Actual 76.51%; Threshold 77.50%
Class D Advance Rate: Actual 79.07%; Threshold 80.00%
Collateral Quality Tests:
Minimum Diversity Score Test: Actual 5.60; Threshold 8
Maximum Morningstar DBRS Risk Score Test: Actual 31.42%; Threshold
40.00%
Minimum WA Spread: Actual 5.22%; Threshold 5.00%
Minimum Average Recovery Rate Test: Actual 60.50%; Threshold
59.038%
Maximum Weighted Average (WA) Maturity Date Test: Actual 5.99
years; Threshold 7.50 years
Some particular strengths of the transaction are (1) the collateral
quality, which consists of at least 95% of senior-secured middle
market loans; (2) the expected adequate diversification of the
portfolio of collateral obligations (Minimum Diversity Score Test
of 8); and (3) the Collateral Manager's expertise in CLOs and
overall approach to selection of Collateral Obligations.
Some challenges that were identified: (1) the expected
weighted-average (WA) credit quality of the underlying obligors may
fall below investment grade (per the Collateral Quality Matrix) and
the majority may not have public ratings once purchased; and (2)
the underlying collateral portfolio may be insufficient to redeem
the Secured Notes in an Event of Default.
As of May 31, 2024, the transaction is failing the Minimum
Diversity Score Test
(5.60 vs. 8.00) and the concentration limitation in Senior Secured
Loans due to currently being in the ramp-up period. The WAS Test
will be in compliance after the implementation of a lower WAS Test,
pursuant to this amendment.
Morningstar DBRS analyzed the transaction using the Morningstar
DBRS CLO Insight Model and its proprietary cash flow engine, which
incorporated assumptions regarding principal amortization,
principal prepayment, amount of interest generated, principal
prepayments, default timings, and recovery rates, among other
credit considerations referenced in Morningstar DBRS' "Global
Methodology for Rating CLOs and Corporate CDOs" (February 23, 2024;
https://dbrs.morningstar.com/research/428544) and CLO Insight Model
v. 1.0.1.2.
Model-based analysis, which incorporated the above-mentioned
amendment, produced satisfactory results. Considering the analysis,
as well as the transaction's legal aspects and structure,
Morningstar DBRS upgraded and confirmed the credit ratings on the
Secured Notes.
To assess portfolio credit quality, Morningstar DBRS provides a
credit estimate or internal assessment for each nonfinancial
corporate obligor in the portfolio not rated by Morningstar DBRS.
Credit estimates are not ratings; rather, they represent a
model-driven default probability for each obligor that is used in
assigning ratings to a facility.
A provisional credit rating is not a final credit rating with
respect to the above-mentioned Secured Notes and may change or be
different than the final credit rating assigned or may be
discontinued. The assignment of final credit ratings on the
above-mentioned Secured Notes is subject to receipt by Morningstar
DBRS of all data and/or information and final documentation that
Morningstar DBRS deems necessary to finalize the credit ratings.
Notes: All figures are in US Dollars unless otherwise noted.
FS TRUST 2024-HULA: DBRS Gives Prov. BB Rating on 2 Classes
------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2024-HULA (the Certificates) to be issued by FS Trust 2024-HULA
(the Trust):
-- Class A at AAA (sf)
-- Class B at AAA (sf)
-- Class C at AA (high) (sf)
-- Class D at AA (sf)
-- Class E at A (low) (sf)
-- Class F at BBB (low) (sf)
-- Class G at BB (high) (sf)
-- JRR Interest at BB (sf)
-- KRR Interest at BB (sf)
All trends are Stable.
The Trust is secured by the borrower's fee-simple and leasehold
interest in a 249-key full-service resort private, members-only
Hualalai Club, Parcel A (16.3 acres approved for buildout of 20
residential lots) and Parcel 21 (4.8 acres and approved for the
buildout of four residential lots), all of which are located on the
Big Island of Hawaii. Surrounded by the blue waters of the Pacific,
white-sand beaches, and black-lava landscapes, the luxury resort is
well situated in the northwest coastline of the Kona Island of
Hawaii, epitomizing the allure of a premier Big Island resort. The
Four Seasons Resort Hualalai has long been viewed as one of the
most luxurious vacation destinations for aspirational travelers and
high-net-worth individuals. Morningstar DBRS expects its
competitive position to persist given the transformative capital
improvements at the property.
The resort features 249 total keys, 37,000 sf of meeting space,
including 10,400 sf of indoor meeting space and 26,600 sf of
outdoor group space, and an extensive amenity package including six
food and beverage (F&B) outlets, eight pools, Sports Club & Spa,
four retail shops, and two 18-hole golf courses. Other
revenue-generating property operations include the Hualalai Club,
Realty Company (brokers' the majority of the Hualalai residential
sales), and Utility Companies (Kaupulehu Water Company and
Kaupulehu Wastewater Company). The resort was built and opened in
1996, renovated in 2009 and again from 2019 to 2021, aiming to
provide the most luxuries hospitality experience in one of the most
renowned travel destinations, the big island of Hawaii. The
sponsor's unwavering commitment to conceptualizing the luxurious
Hawaiian resort experience has earned the resort the only AAA Five
Diamond and Forbes Five Star resort on the Big Island.
The subject mortgage loan of $400.0 million along with
approximately $15.0 million of sponsor equity will be used to
retire $406.7 million of existing debt, fund an upfront ground
lease reserve of approximately $600,000, and cover closing costs of
approximately $7.7 million. The loan is a two-year floating-rate IO
mortgage loan, with three one-year extension options. The floating
rate will be based on the one-month Secured Overnight Financing
Rate (SOFR) plus the initial WA component spread, which is assumed
to be 2.40%. The borrower will be required to enter into an
interest rate cap agreement, with a one-month Term SOFR strike
price of 2.50% during the initial term, and the strike price equal
to the greater of 4.50% and a strike rate that, when added to the
spread of each component, results in a minimum DSCR of 1.10x on the
Mortgage Loan, which as of the date of this report is less than the
spot rate.
MSD Sponsor, an affiliate of BDT & MSD, and Walton Sponsor, which
is controlled by certain members of the Walton Family, are the Loan
Sponsors and the Borrower Sponsor, respectively, for this
transaction. Backed by Dell Technologies founder Michael Dell, BDT
& MSD is currently invested in and managing more than $11 billion
of real estate. The property is flagged as a Four Seasons hotel, a
privately-owned hotel management company that has been managing the
resort since its inception in 1996. The management agreement
expires in 2035 and has two renewal options of 15-years each
remaining for a fully extended maturity date of 2065.
Notes: All figures are in US dollars unless otherwise noted.
GCAT TRUST 2024-INV3: Moody's Assigns B2 Rating to Cl. B-5 Certs
----------------------------------------------------------------
Moody's Ratings has assigned definitive ratings to 59 classes of
residential mortgage-backed securities (RMBS) issued by GCAT
2024-INV3 Trust, and sponsored by Blue River Mortgage III LLC.
The securities are backed by a pool of GSE-eligible residential
mortgages aggregated by Blue River Mortgage III LLC originated by
multiple entities and serviced by NewRez LLC d/b/a Shellpoint
Mortgage Servicing, PennyMac Loan Services LLC and PennyMac Corp.
(collectively, PennyMac)
The complete rating actions are as follows:
Issuer: GCAT 2024-INV3 Trust
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-5, Definitive Rating Assigned Aaa (sf)
Cl. A-6, Definitive Rating Assigned Aaa (sf)
Cl. A-7, Definitive Rating Assigned Aaa (sf)
Cl. A-8, Definitive Rating Assigned Aaa (sf)
Cl. A-9, Definitive Rating Assigned Aaa (sf)
Cl. A-10, Definitive Rating Assigned Aaa (sf)
Cl. A-11, Definitive Rating Assigned Aaa (sf)
Cl. A-12, Definitive Rating Assigned Aaa (sf)
Cl. A-13, Definitive Rating Assigned Aa1 (sf)
Cl. A-14, Definitive Rating Assigned Aa1 (sf)
Cl. A-15, Definitive Rating Assigned Aa1 (sf)
Cl. A-16, Definitive Rating Assigned Aa1 (sf)
Cl. A-17, Definitive Rating Assigned Aaa (sf)
Cl. A-18, Definitive Rating Assigned Aaa (sf)
Cl. A-19, Definitive Rating Assigned Aaa (sf)
Cl. A-20, Definitive Rating Assigned Aaa (sf)
Cl. A-21, Definitive Rating Assigned Aaa (sf)
Cl. A-22, Definitive Rating Assigned Aaa (sf)
Cl. A-23, Definitive Rating Assigned Aa1 (sf)
Cl. A-24, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-2*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-3*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-4 *, Definitive Rating Assigned Aaa (sf)
Cl. A-X-5*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-6 *, Definitive Rating Assigned Aaa (sf)
Cl. A-X-7*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-8*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-9*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-10*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-11*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-12*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-13*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-14*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-15*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-16*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-17*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-18*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-19*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-20*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-21*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-22*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-23*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-24*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-25*, Definitive Rating Assigned Aa1 (sf)
Cl. B-1-A, Definitive Rating Assigned Aa3 (sf)
Cl. B-1, Definitive Rating Assigned Aa3 (sf)
Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf)
Cl. B-2-A, Definitive Rating Assigned A2 (sf)
Cl. B-2, Definitive Rating Assigned A2 (sf)
Cl. B-X-2*, Definitive Rating Assigned A2 (sf)
Cl. B-3, Definitive Rating Assigned Baa1 (sf)
Cl. B-4, Definitive Rating Assigned Ba1 (sf)
Cl. B-5, Definitive Rating Assigned B2 (sf)
Cl. A-1A Loans, Definitive Rating Assigned Aaa (sf)
*Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings are based on the credit quality of the mortgage loans,
the structural features of the transaction, the origination quality
and the servicing arrangement, the third-party review, and the
representations and warranties framework.
Moody's expected loss for this pool in a baseline scenario-mean is
0.76%, in a baseline scenario-median is 0.45% and reaches 8.18% at
a stress level consistent with Moody's Aaa ratings.
PRINCIPAL METHODOLOGY
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in July 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
GEMINI NOTES: DBRS Confirms BB(low) Rating on Class C Notes
-----------------------------------------------------------
DBRS, Inc. upgraded and confirmed as follows the following
provisional credit ratings on the Class A Notes, the Class B Notes,
the Class C Notes, and the Class D Notes (together, the Secured
Notes) issued by Gemini Notes Issuer LLC pursuant to the Indenture
dated as of July 28, 2023 (the Indenture), as amended by the First
Supplemental Indenture dated as of July 25, 2024, entered into
between Gemini Notes Issuer LLC, as the Issuer and U.S. Bank Trust
Company, National Association, as Trustee:
Upgrade:
-- Class A Notes to A (high) (sf) from A (sf)
-- Class D Notes to B (high) (sf) from B (sf)
Confirm:
-- Class B Notes at BBB (sf)
-- Class C Notes at BB (low) (sf)
The provisional credit rating on the Class A Notes addresses the
timely payment of interest (excluding any Defaulted Interest, as
defined in the Indenture) and the ultimate return of principal on
or before the Stated Maturity (as defined in the Indenture). The
provisional credit ratings on the Class B Notes, the Class C Notes,
and the Class D Notes address the ultimate payment of interest
(excluding any Defaulted Interest, as defined in the Indenture) and
the ultimate return of principal on or before the Stated Maturity
(as defined in the Indenture).
CREDIT RATING RATIONALE/DESCRIPTION
The credit rating actions are a result of Morningstar DBRS' review
of the First Supplemental Indenture, dated July 25, 2024, which
increased the total Commitment Amounts, reduced the spread on
liabilities, and reduced the Minimum Weighted Average Spread Test
(WAS Test) among other changes. The Stated Maturity is July 25,
2035. The Reinvestment Period ends on July 25, 2027.
The Secured Notes are collateralized primarily by a portfolio of
U.S. middle-market corporate loans. Gemini Notes Issuer LLC is
managed by 26North Direct Lending II LP, an affiliate of 26North
Partners LP. Morningstar DBRS considers 26North Direct Lending II
LP to be an acceptable middle-market corporate loan manager.
In its analysis, Morningstar DBRS considered the following aspects
of the transaction:
(1) The First Supplemental Indenture dated as of July 25, 2024.
(2) The integrity of the transaction structure.
(3) Morningstar DBRS' assessment of the portfolio quality.
(4) Adequate credit enhancement to withstand projected collateral
loss rates under various cash flow stress scenarios.
(5) Morningstar DBRS' assessment of the origination, servicing, and
middle-market corporate loan management capabilities of 26North
Direct Lending II LP.
The transaction has a dynamic structural configuration that permits
variations of certain asset metrics via the selection of an
applicable row from a collateral quality matrix (the CQM).
Depending on a given Diversity Score, the following metrics are
selected accordingly from the applicable row of the CQM:
Morningstar DBRS Risk Score, WAS Test, and Weighted-Average
Recovery Rate (WARR). Morningstar DBRS analyzed each structural
configuration as a unique transaction and all configurations (rows)
passed the applicable Morningstar DBRS rating stress levels. The
Coverage Tests and triggers as well as the Collateral Quality Tests
that Morningstar DBRS reviewed in its analysis are presented
below.
Coverage Tests:
Class A Overcollateralization Ratio Test: Actual 155.08%; Threshold
140.00%
Class B Overcollateralization Ratio Test: Actual 141.24%; Threshold
115.00%
Class C Overcollateralization Ratio Test: Actual 125.86%; Threshold
113.00%
Class D Overcollateralization Ratio Test: Actual 122.47%; Threshold
113.00%
Class A Interest Coverage Ratio Test: Actual 200.17%; Threshold
150.00%
Class B Interest Coverage Ratio Test: Actual 172.59%; Threshold
130.00%
Class C Interest Coverage Ratio Test: Actual 139.79; Threshold
120.00%
Class D Interest Coverage Ratio Test: Actual 132.16%; Threshold
120.00%
Advance Rate Tests:
Class A Advance Rate: Actual 58.74%; Threshold 60.00%
Class B Advance Rate: Actual 66.08%; Threshold 67.50%
Class C Advance Rate: Actual 76.13%; Threshold 77.50%
Class D Advance Rate: Actual 78.69 %; Threshold 80.00%
Collateral Quality Tests:
Minimum Diversity Score Test: Actual 5.60; Threshold 8
Maximum Morningstar DBRS Risk Score Test: Actual 31.42%; Threshold
40.00%
Minimum WA Spread: Actual 5.22%; Threshold 5.00%
Minimum Average Recovery Rate Test: Actual 60.50%; Threshold
59.038%
Maximum Weighted Average (WA) Maturity Date Test: Actual 5.99
years; Threshold 7.50 years
Some particular strengths of the transaction are (1) the collateral
quality, which consists of at least 95% of senior-secured middle
market loans; (2) the expected adequate diversification of the
portfolio of collateral obligations (Minimum Diversity Score Test
of 8); and (3) the Collateral Manager's expertise in CLOs and
overall approach to selection of Collateral Obligations.
Some challenges that were identified: (1) the expected
weighted-average (WA) credit quality of the underlying obligors may
fall below investment grade (per the Collateral Quality Matrix) and
the majority may not have public ratings once purchased; and (2)
the underlying collateral portfolio may be insufficient to redeem
the Secured Notes in an Event of Default.
As of May 31, 2024, the transaction is failing the Minimum
Diversity Score Test
(5.60 vs. 8.00) and the concentration limitation in Senior Secured
Loans due to currently being in the ramp-up period. The WAS Test
will be in compliance after the implementation of a lower WAS Test,
pursuant to this amendment.
Morningstar DBRS analyzed the transaction using the Morningstar
DBRS CLO Insight Model and its proprietary cash flow engine, which
incorporated assumptions regarding principal amortization,
principal prepayment, amount of interest generated, principal
prepayments, default timings, and recovery rates, among other
credit considerations referenced in Morningstar DBRS' "Global
Methodology for Rating CLOs and Corporate CDOs" (February 23, 2024;
https://dbrs.morningstar.com/research/428544) and CLO Insight Model
v. 1.0.1.2.
Model-based analysis, which incorporated the above-mentioned
amendment, produced satisfactory results. Considering the analysis,
as well as the transaction's legal aspects and structure,
Morningstar DBRS upgraded and confirmed the credit ratings on the
Secured Notes.
To assess portfolio credit quality, Morningstar DBRS provides a
credit estimate or internal assessment for each nonfinancial
corporate obligor in the portfolio not rated by Morningstar DBRS.
Credit estimates are not ratings; rather, they represent a
model-driven default probability for each obligor that is used in
assigning ratings to a facility.
A provisional credit rating is not a final credit rating with
respect to the above-mentioned Secured Notes and may change or be
different than the final credit rating assigned or may be
discontinued. The assignment of final credit ratings on the
above-mentioned Secured Notes is subject to receipt by Morningstar
DBRS of all data and/or information and final documentation that
Morningstar DBRS deems necessary to finalize the credit ratings.
Notes: All figures are in US Dollars unless otherwise noted.
GENERATE CLO 17: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Generate CLO
17 Ltd./Generate CLO 17 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 Generate Advisors LLC.
The preliminary ratings are based on information as of Aug. 13,
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 diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Generate CLO 17 Ltd./Generate CLO 17 LLC
Class A-1, $341.00 million: AAA (sf)
Class A-2, $16.50 million: AAA (sf)
Class B, $60.50 million: AA (sf)
Class C (deferrable), $33.00 million: A (sf)
Class D-1 (deferrable), $33.00 million: BBB- (sf)
Class D-2 (deferrable), $5.50 million: BBB- (sf)
Class E (deferrable), $16.50 million: BB- (sf)
Subordinated notes, $55.00 million: Not rated
GFCM LLC 2003-1: Moody's Lowers Rating on Cl. X Certs to Caa2
-------------------------------------------------------------
Moody's Ratings has affirmed the ratings on three classes and
downgraded the ratings on one class in GFCM LLC, Mortgage
Pass-Through Certificates, Series 2003-1 as follows:
Cl. F, Affirmed Baa1 (sf); previously on Jun 22, 2021 Upgraded to
Baa1 (sf)
Cl. G, Affirmed B3 (sf); previously on Jun 22, 2021 Upgraded to B3
(sf)
Cl. H, Affirmed C (sf); previously on Jun 22, 2021 Affirmed C (sf)
Cl. X*, Downgraded to Caa2 (sf); previously on Jun 22, 2021
Affirmed B3 (sf)
* Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings on two P&I classes, Cl. F and Cl. G, were affirmed
based on their credit support and the expected principal paydowns
from the remaining loans in the pool. Cl. F has already paid down
74% since securitization and is now the most senior outstanding
class and will benefit from payment priority from any principal
paydowns. Cl. H was affirmed at C (sf) due to its realized plus
expected losses. Cl. H has already experienced a 43% realized loss
based on its original balance.
The ratings on the interest only (IO) class, Cl. X, was downgraded
due to the decline in the credit quality of its reference classes
resulting from principal paydowns of higher quality reference
classes. Cl. X originally referenced all P&I classes including
Class J (which Moody's did not rate and has experienced a 100% loss
based on its original balance), however, only Classes Cl. F, G and
H remain outstanding. All referenced classes senior to Cl. F have
previously paid off in full.
Moody's rating action reflects a minimal base expected loss based
on the current pooled balance, compared to 1.4% at Moody's last
review. Moody's base expected loss plus realized losses is now 0.4%
of the original pooled balance, unchanged from the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or a significant improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, an increase in realized and
expected losses from specially serviced and troubled loans or
interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in rating all classes except interest-only
classes were "US and Canadian Conduit/Fusion Commercial
Mortgage-backed Securitizations" published in June 2024.
DEAL PERFORMANCE
As of the July 2024 distribution date, the transaction's aggregate
certificate balance has decreased by over 98% to $11.6 million from
$822 million at securitization. The certificates are collateralized
by ten mortgage loans ranging in size from less than 5% to 31% of
the pool. The remaining loans are amortizing and in aggregate have
amortized approximately 79% since securitization.
Six loans have been liquidated from the pool, contributing to an
aggregate realized loss of $2.9 million and there are no loans
currently in special servicing.
The credit risk of loans is determined primarily by two factors: 1)
Moody's assessment of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessment of the
severity of loss upon a default, which is largely driven by each
loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV.
As described in the CMBS methodology used to rate this
transaction, Moody's make various adjustments to the MLTV. Moody's
adjust the MLTV for each loan using a value that reflects
capitalization (cap) rates that are between Moody's sustainable cap
rates and market cap rates. Moody's also use an adjusted loan
balance that reflects each loan's amortization profile. The MLTV
reported in this publication reflects the MLTV before the
adjustments described in the methodology.
Moody's received full year 2020 operating results for 100% of the
pool, and full or partial year 2021 operating results for 81% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 23%, compared to 34% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 29% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.5%.
Moody's actual and stressed conduit DSCRs are 1.85X and 6.34X,
respectively, compared to 1.73X and 5.51X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 64% of the pool balance. The
largest loan is the Charlotte Apartments Loan ($3.6 million --
31.1% of the pool), which is secured by two cross-collateralized
and cross defaulted loans. The collateral represents an 11
building, 208-unit apartment complex and a 16,100 square foot (SF)
medical office building. As of July 2024, the properties were
collectively 87% leased. The loan is scheduled to fully amortize by
its maturity date in October 2027 and has amortized 77% since
securitization. Moody's LTV and stressed DSCR are 25% and 4.09X,
respectively.
The second largest loan is the Cortland Ridge Apartments Loan ($2.5
million -- 22.1% of the pool), which is secured by a 144-unit
multifamily property located in Orem, Utah. The property was 98%
leased as of July 2024 compared to 96% in February 2021 and 99% in
December 2017. The loan is scheduled to fully amortize by its
maturity date in May 2033 and has amortized 72% since
securitization. Moody's LTV and stressed DSCR are 38% and 2.54X,
respectively.
The third largest loan is the Del Norte Industrial Loan ($1.2
million -- 10.5% of the pool), which is secured by a 126,000 square
foot (SF) industrial property located in Oxnard, California. The
property is fully leased to Pacific Beverage Co through February
2027. The loan is scheduled to fully amortize by its maturity date
in April 2027 and has amortized 78% since securitization. Moody's
LTV and stressed DSCR are 14% and 7.25X, respectively.
GLS AUTO 2024-3: S&P Assigns BB (sf) Rating on Class E Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to GLS Auto Receivables
Issuer Trust 2024-3's automobile receivables-backed notes.
The note issuance is an ABS securitization backed by subprime auto
loan receivables.
The ratings reflect S&P's view of:
-- The availability of approximately 56.5%, 47.8%, 37.4%, 28.7%,
and 24.6% of 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
post-pricing stressed cash flow scenarios. These credit support
levels provide at least 3.20x, 2.70x, 2.10x, 1.60x, and 1.38x our
17.50% expected cumulative net loss (ECNL) for the class A, B, C,
D, and E notes, respectively.
-- The expectation that under a moderate ('BBB') stress scenario
(1.60x S&P's expected loss level), all else being equal, its 'AAA
(sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on
the class A, B, C, D, and E notes, respectively, are within its
credit stability limits.
-- The timely payment of interest and principal by the designated
legal final maturity dates under S&P's stressed cash flow modeling
scenarios, which it believes are appropriate for the assigned
ratings.
-- The collateral characteristics of the series' subprime
automobile loans, including the representation in the transaction
documents that all contracts in the pool have made at least one
payment, 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 UMB Bank N.A., which do not
constrain the ratings.
-- S&P's operational risk assessment of Global Lending Services
LLC, as servicer, and its view of the company's underwriting and
backup servicing arrangement with UMB Bank N.A.
-- S&P's assessment of the transaction's potential exposure to
environmental, social, and governance credit factors that are in
line with our sector benchmark.
-- The transaction's payment and legal structures.
Ratings Assigned
GLS Auto Receivables Issuer Trust 2024-3
Class A-1, $54.900 million: A-1+ (sf)
Class A-2, $165.000 million: AAA (sf)
Class A-3, $57.984 million: AAA (sf)
Class B, $88.566 million: AA (sf)
Class C, $83.217 million: A (sf)
Class D, $78.164 million: BBB (sf)
Class E, $36.556 million: BB (sf)
GOLUB CAPITAL 76(B): Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
Golub Capital Partners CLO 76(B), Ltd.
Entity/Debt Rating
----------- ------
Golub Capital
Partners
CLO 76(B), Ltd.
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 LT NR(EXP)sf Expected Rating
Transaction Summary
Golub Capital Partners CLO 76(B), Ltd. (the issuer) is an arbitrage
cash flow collateralized loan obligation (CLO) that will be managed
by OPAL BSL LLC. Net proceeds from the issuance of the secured and
subordinated notes will provide financing on a portfolio of
approximately $450 million of primarily first lien senior secured
leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 23.87, versus a maximum covenant, in accordance with
the initial expected matrix point of 25. Issuers rated in the 'B'
rating category denote a highly speculative credit quality;
however, the notes benefit from appropriate credit enhancement and
standard U.S. CLO structural features.
Asset Security (Positive): The indicative portfolio consists of
100% first-lien senior secured loans. The weighted average recovery
rate (WARR) of the indicative portfolio is 77.32% versus a minimum
covenant, in accordance with the initial expected matrix point of
75.1%.
Portfolio Composition (Negative): The largest three industries may
comprise up to 55% 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
obligor and geographic concentrations is in line with other recent
CLOs. The level of diversity resulting from the industry
concentration is higher than other recent CLOs but was accounted
for in its stressed analysis.
Portfolio Management (Neutral): The transaction has a 5.1-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 ofthe 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-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
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for
class D-1, 'Asf' 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, 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 Golub Capital
Partners CLO 76(B), 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.
GS MORTGAGE 2016-GS3: S&P Lowers Cl. X-WM Certs Rating to 'BB(sf)'
------------------------------------------------------------------
S&P Global Ratings lowered its ratings on the class WM-A, WM-B, and
X-WM loan-specific (nonpooled) commercial mortgage pass-through
certificates from GS Mortgage Securities Trust 2016-GS3, a U.S.
CMBS transaction.
The three class WM nonpooled certificates in the aforementioned
U.S. CMBS transaction are backed by the subordinate nonpooled trust
component ($54.2 million) of a 10-year, fixed-rate, interest-only
(IO) mortgage whole loan secured by the borrower's fee simple
interest in a 1.1 million-sq.-ft. class A office building located
at 540 West Madison St. in Chicago's West Loop submarket.
Rating Actions
The downgrades on classes WM-A and WM-B primarily reflect that:
-- While the property's reported performance has been relatively
stable, occupancy has fallen to 81.6% as of the June 30, 2024, rent
roll from 93.9%, using the March 31, 2023, rent roll at the time of
our July 2023 review. S&P expects it may fall below 80.0% by
year-end if the sponsor is not able to backfill vacancies at the
property timely.
-- S&P revised its expected-case valuation for the property, which
is now 9.2% lower than the value it derived in its July 2023 review
and at issuance. To arrive at this value, S&P assumed the in-place
vacancy rate (which is in line with the current office submarket
fundamentals) and higher tenant improvement (TI) costs.
-- S&P lowered its rating on the class X-WM IO certificates based
on its 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 notional amount of class X-WM references
classes WM-A and WM-B.
-- S&P will continue to monitor the tenancy and performance of the
property and the loan. If it receives information that differs
materially from our expectations, S&P may revisit its analysis and
take additional rating actions as S&P determines necessary.
Property-Level Analysis
The collateral property is a 31-story, 1.1 million-sq.-ft. class A,
LEED platinum certified office tower at 540 West Madison St., also
known as Bank of America Plaza, in Chicago's West Loop office
submarket. The property is adjacent to the Ogilvie Transportation
Center, which connects Chicago's western and northern suburbs to
the central business district, between West Madison and West
Washington Streets. It is also two blocks south of Union Station,
which connects the central business district with Chicago's
southern and southeastern suburbs, and less than a half mile from
Interstates 90 and 94.
The property has nearly column-free floorplates with
floor-to-ceiling windows ranging from 67,750 sq. ft. on the lower
floors to 41,500 sq. ft. on the upper floors, seven backup power
generators, on-site uninterruptable power supply and emergency
power supply systems, and fiber-optic connections. Amenities at the
building include a media room, a conference room, food court, a
fitness center, a Starbucks coffee shop, a restaurant, and a
266-space underground parking garage.
S&P said, "The servicer had reported relatively stable occupancy
and net cash flow (NCF) historically. However, in our last review
in July 2023, we expected full-year 2023 NCF to decline due to
higher real estate taxes and 12 months of gross rent abatements for
the largest tenant, Bank of America (35.3% of net rentable area
[NRA]), in connection with its November 2017 lease amendment. At
that time, we considered that while the property generally
outperformed the submarket historically, given near-term known
tenant movements and increases in submarket vacancy and
availability rates, we used a 12.8% vacancy rate assumption to
arrive at our NCF of $22.4 million.
"Since our last review, the property's occupancy fell to 81.6% as
of the June 30, 2024, rent roll, due primarily to the third-largest
tenant, Marsh USA Inc. (10.5% of NRA), vacating in March 2024. We
expect occupancy to further decline to 79.3% at the end of 2024
after Segall, Bryan & Hamill LLC (2.3% of NRA) moves out (lease
expires November 2024, and according to CoStar, its space is
currently being marketed for lease) if the borrower is not able to
backfill vacancies at the property timely."
According to the June 2024 rent roll, the five largest tenants
comprised 64.1% of NRA:
-- Bank of America (35.3% of NRA, 44.5% of gross rent as
calculated by S&P Global Ratings, December 2032 lease expiration).
We noted in our last review that the tenant exercised one of its
contraction options for the 28th floor in June 2022. It also has
contraction options for the 23rd floor exercisable as of December
2025, an additional full floor as of December 2027, and another
full floor as of December 2029, with at least 15 months' advance
notice for each. Additionally, the tenant has a termination option
for the entire remaining leased space as of December 2029 with
notice due by July 2028. Bank of America also leased approximately
514,000 sq. ft. in a nearby office building, the Bank of America
-- Tower at 110 North Wacker, which was built in 2020.
-- DRW Investments LLC (11.5%, 15.5%, December 2029).
-- Ryan Specialty Group LLC (7.2%, 9.3%, February 2038).
-- DRW Property LLC (5.8%, 7.4%, December 2029).
-- iManage (4.2%, 5.4%, July 2029).
The property faces minimal (less than 5.0% of NRA) tenant rollover
each year until 2029 when the leases of three of the largest
tenants (21.5% of NRA; 28.3% of S&P Global Ratings' in-place gross
rent) expire. Additionally, Bank of America can also terminate its
lease as of December 2029. According to the August 2024 CRE Finance
Council loan-level reserve report, there is about $606,596 in
various reserve accounts. The master servicer, Midland Loan
Services, stated that as of early August 2024 there was also
$658,492 in an excess cash flow reserve account.
According to CoStar, 4- and 5-star properties in the West Loop
office submarket, where the subject property is located, continued
to experience elevated vacancy (19.2%) and availability (24.7%)
levels and flat average asking rent ($46.63 per sq. ft.) as of
year-to-date August 2024. CoStar projects the vacancy rate and
average asking rent to marginally increase to 19.5% and $48.34 per
sq. ft., respectively, in 2028.
"In our current analysis, we utilized the in-place 18.4% vacancy
rate (generally in line with the current submarket fundamentals),
$67.72 per sq. ft. S&P Global Ratings gross rent, 60.0% operating
expense ratio, and higher TI costs to arrive at our revised NCF of
$20.6 million, 8.1% below our last review's NCF. Using a 7.00% S&P
Global Ratings capitalization rate (unchanged from our last
review), we derived an S&P Global Ratings expected-case value of
$294.7 million, or $268 per sq. ft., 9.2% below our last review's
value of $324.6 million and a 50.1% decline from the issuance
appraised value of $591.0 million. This yielded an S&P Global
Ratings loan-to-value ratio of 73.5% on the A and B notes totaling
$216.5 million and 110.3% on the whole loan balance of $325.0
million."
Table 1
Servicer-reported collateral performance
ENDING JUNE 2024 2023 2022 2021
(I)(II) (I) (I) (I)
Occupancy rate (%) 81.6 92.4 95.0 88.4
Net cash flow (mil. $) 28.4 4.7 32.7 30.3
Debt service coverage (x)(iii) 3.90 0.65 4.49 4.15
Appraisal value (mil. $) 591.0 591.0 591.0 591.0
(i)Reporting period.
ii)TTM--Trailing 12 months.
(iii)On the A and B notes totaling $216.5 million.
Table 2
S&P Global Ratings' key assumptions
CURRENT LAST REVIEW ISSUANCE
(AUGUST 2024) (JULY 2023) (OCTOBER 2016)
(I) (I) (I)
Occupancy rate (%) 81.6 87.2 87.5
Net cash flow (mil. $) 20.6 22.4 22.4
Capitalization rate (%) 7.00 7.00 7.00
Value (mil. $) 294.7 324.6 324.6
Value per sq. ft. ($) 268 295 295
Loan-to-value ratio (%) (ii) 73.5 66.7 66.7
(i)Review period.
(ii)On the A and B notes totaling $216.5 million. Including the
$108.5 million C notes (or based on the $325.0 million whole loan
balance), the loan-to-value ratio increases to 110.3%, 100.1%, and
100.1% respectively.
Transaction Summary
The IO, 10-year mortgage whole loan had an initial and current
balance of $325.0 million, pays an annual fixed weighted average
interest rate of 3.98%, and matures on Sept. 6, 2026. The whole
loan is split into two senior A notes totaling $162.3 million, a
subordinate B note totaling $54.2 million, and a subordinate C note
totaling $108.5 million. The $141.2 million trust balance (as of
the Aug. 12, 2024, trustee remittance report) comprises a $87.0
million senior A note that supports the pooled principal- and
interest-only certificates (not rated by S&P Global Ratings) and
the $54.2 million subordinate B note that supports the nonpooled WM
certificate classes. The other senior A note is held in GS Mortgage
Securities Trust 2016-GS4, a U.S. CMBS transaction. The A notes are
pari passu to each other and senior to the B and C notes. The B
note is junior to the A notes and senior to the C note. The C note
is subordinate to the A and B notes. In addition, there is a
mezzanine loan totaling $75.0 million.
To date, the WM nonpooled classes have not incurred any principal
losses. According to the August 2024 trustee remittance report,
class WM-B had reported cumulative interest shortfalls outstanding
of $324.39, which we deemed de minimis.
The whole loan has a reported current payment status through its
August 2024 debt service payment date. Midland Loan Services
reported a debt service coverage of 3.90x for the trust balance as
of the trailing 12 months ended June 30, 2024.
Ratings Lowered
GS Mortgage Securities Trust 2016-GS3
Class WM-A to 'BBB- (sf)' from 'A- (sf)'
Class WM-B to 'BB (sf)' from 'BBB- (sf)'
Class X-WM to 'BB (sf)' from 'BBB- (sf)'
GS MORTGAGE 2018-GS10: DBRS Cuts Class G-RR Certs Rating to C
-------------------------------------------------------------
DBRS Limited downgraded its credit ratings on four classes of
Commercial Mortgage Pass-Through Certificates, Series 2018-GS10
issued by GS Mortgage Securities Trust 2018-GS10 as follows:
-- Class X-D to BB (low) (sf) from BBB (sf)
-- Class E to B (high) (sf) from BBB (low) (sf)
-- Class F to CCC (sf) from BB (low) (sf)
-- Class G-RR to C (sf) from B (low) (sf)
In addition, Morningstar DBRS confirmed the following credit
ratings:
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (sf)
Morningstar DBRS changed the trends on Classes C, D, E, and X-D to
Negative from Stable. All other trends are Stable, with the
exception of Classes F and G-RR, which have credit ratings that do
not typically carry trends in commercial mortgage-backed securities
(CMBS) credit ratings.
The credit rating downgrades on Classes E, F, X-D, and G-RR are
reflective of Morningstar DBRS' increased loss projections, driven
by the two loans in special servicing: GSK North American HQ
(Prospectus ID#1, 9.5% of the pool) and Capital Complex (Prospectus
ID#25, 1.1% of the pool). Since the last credit rating action, both
loans, which were in special servicing at the time of the last
credit rating action, received new appraisals exhibiting
significant declines in value. Morningstar DBRS' analysis includes
liquidation scenarios for both loans, resulting in total implied
losses approaching $28 million. The projected loss would fully
reduce the unrated Class H-RR certificate and partially reduce the
Class G-RR certificate, eroding credit support to the junior bonds
in the transaction. Outside of loans in special servicing,
Morningstar DBRS also notes 1000 Wilshire (Prospectus ID#2, 8.2% of
the pool) as a loan of concern given its performance deterioration
and upcoming maturity date in March 2025. This loan and the
potential for future value declines for the assets in special
servicing are the primary drivers of the Negative trends on Classes
C, D, E, and X-D.
As of the July 2024 remittance, all 33 of the original loans remain
in the pool with an aggregate principal balance of $792.1 million,
representing a nominal collateral reduction of 2.3% since issuance.
There are eight loans, representing 18.7% of the pool, on the
servicer's watchlist being monitored for low debt service coverage
ratios (DSCRs), occupancy declines, and deferred maintenance.
Excluding collateral that has been fully defeased, the pool is most
concentrated by loans that are secured by office and retail
properties, representing 34.5% and 23.8% of the pool balance,
respectively. Most of the loans secured by office properties in
this transaction continue to perform as expected, based on the most
recent financials available. However, Morningstar DBRS has a
cautious outlook on this asset type as sustained upward pressure on
vacancy rates in the broader office market may challenge landlords'
efforts to backfill vacant space, and, in certain instances,
contribute to value declines, particularly for assets in noncore
markets and/or with disadvantages in location, building quality, or
amenities offered. Where applicable, Morningstar DBRS increased the
probability of default (POD) penalties, and, in certain cases,
applied stressed loan-to-value (LTV) ratios for loans exhibiting
performance concerns.
Morningstar DBRS continues to closely monitor the largest loan in
the pool, GSK North American HQ, following the decision by the
property's single tenant, GlaxoSmithKline (GSK), to vacate its
space in Q1 2022. The loan transferred to special servicing for
imminent maturity default in November 2022. During workout
negotiations, the borrower had requested approval to terminate
GSK's lease, scheduled to expire in 2028, and requested a maturity
extension prior to the June 2023 maturity date; however, these
proposals were rejected and the borrower agreed to a deed in lieu
of foreclosure. The July 2024 servicer commentary indicates that
the foreclosure sale has been completed and a receiver is in place.
Per the most recent appraisal dated April 2024, the property is
valued at $76.7 million, down from the August 2023 value of $89.3
million and the issuance appraised value of $132.7 million.
The subject loan is secured by a Class A office complex in
Philadelphia's Navy Yard submarket. The property was built-to-suit
for GSK at a cost of $80.0 million in 2013, when GSK executed a
15-year lease through September 2028 with no termination options.
Although the space is dark, the former tenant will continue to make
its monthly rental payments until September 2028. The loan is
structured with a cash flow sweep that was activated as GSK went
dark. According to the July 2024 reserve report, approximately $9.0
million was being held in the cash management account and $1.0
million held in a tenant reserve. Given the property's
single-tenant nature, cash flow has historically been stable,
although Morningstar DBRS expects there will be no incoming revenue
once the lease expires, unless the receiver is able to backfill the
dark space. Based on a Q1 2024 Reis report, office properties in
the South Philadelphia submarket reported a vacancy rate of 2.6%.
The developers of Philadelphia's Navy Yard have announced a 20-year
multi-billion-dollar plan to revitalize and redevelop the Navy Yard
site, which could potentially bring new commercial activity to the
area and improve the asset's desirability in the long term.
Although there are mitigating factors to offset the subject's
vacancy, including an in-place lease to 2028, cash reserves, and
stable submarket fundamentals, Morningstar DBRS expects that the
loan will take a loss at resolution given the declined value, lack
of amortization, and lack of liquidity for vacant office assets in
the current environment. With this review, Morningstar DBRS
analyzed the loan with a liquidation scenario based on a haircut to
the most recent appraised value, indicating an implied loss
severity in excess of 30%.
The second-largest loan in the pool, 1000 Wilshire, is also a noted
loan of concern, though it is not currently on the servicer's
watchlist or in special servicing. The loan is secured by a
477,774-square-foot Class A office building in Los Angeles. The
subject has experienced occupancy declines over the last several
years and was 74.5% occupied according to the December 2023 rent
roll. Media sources indicate that the largest tenant, Wedbush
Securities (Wedbush; 21% of the net rentable area, lease expiry in
December 2025), has marketed the entirety of its space for
sublease, although Morningstar DBRS has not located any listings
for the space online. Morningstar DBRS has inquired to the servicer
about the sublease. Wedbush's lease, which is currently scheduled
to expire nine months after the loan's March 2025 maturity, has
extension options remaining, though Morningstar DBRS believes it is
likely the tenant will not renew.
According to the most recent financials, the subject reported a
YE2023 DSCR of 2.50 times and net cash flow (NCF) of $5.6 million.
Although this represents an increase from the YE2022 reported
figures, performance remains below issuance expectations. At
issuance, Morningstar DBRS derived an NCF of $8.8 million.
According to a Reis report from Q1 2024, Los Angeles' downtown
submarket reported a vacancy rate of 17.1%, up from the Q1 2023
figure of 16.1%. At issuance, Morningstar DBRS shadow-rated the
loan because of its strong historical occupancy and high debt
service coverage. With this review, Morningstar DBRS has removed
the shadow rating on this loan given sustained occupancy and cash
flow declines relative to issuance expectations. Given these
factors, combined with the loan's near-term maturity and the
potential departure of the largest tenant, Morningstar DBRS views
this loan as at increased risk of default. Morningstar DBRS
analyzed this loan with an elevated POD and stressed LTV, which
resulted in an expected loss (EL) above the weighted-average pool
EL.
Two loans: Aliso Creek Apartments (Prospectus ID#3, 7.9% of the
pool balance) and Marina Heights State Farm (Prospectus ID#11, 3.4%
of the pool balance)¿were shadow-rated investment grade by
Morningstar DBRS at issuance. With this review, Morningstar DBRS
confirmed that the performance of these two loans remains
consistent with investment-grade loan characteristics.
Notes: All figures are in U.S. dollars unless otherwise noted.
GS MORTGAGE 2024-PJ7: Moody's Assigns (P)Ba1 Rating to B-4 Certs
----------------------------------------------------------------
Moody's Ratings has assigned provisional ratings to 71 classes of
residential mortgage-backed securities (RMBS) to be issued by GS
Mortgage-Backed Securities Trust 2024-PJ7, and sponsored by Goldman
Sachs Mortgage Company, L.P.
The securities are backed by a pool of prime jumbo (81.7% by
balance) and GSE-eligible (18.3% by balance) residential mortgages
aggregated by Maxex Clearing LLC (MAXEX, 2.9% by balance),
originated by multiple entities and serviced by NewRez LLC d/b/a
Shellpoint Mortgage Servicing (Shellpoint).
The complete rating actions are as follows:
Issuer: GS Mortgage-Backed Securities Trust 2024-PJ7
Cl. A-1, Assigned (P) Aaa (sf)
Cl. A-1-X*, Assigned (P) Aaa (sf)
Cl. A-2, Assigned (P) Aaa (sf)
Cl. A-3, Assigned (P) Aaa (sf)
Cl. A-3A, Assigned (P) Aaa (sf)
Cl. A-3L Loans, Assigned (P) Aaa (sf)
Cl. A-3-X*, Assigned (P) Aaa (sf)
Cl. A-4, Assigned (P) Aaa (sf)
Cl. A-4A, Assigned (P) Aaa (sf)
Cl. A-4L Loans, Assigned (P) Aaa (sf)
Cl. A-5, Assigned (P) Aaa (sf)
Cl. A-5-X*, Assigned (P) Aaa (sf)
Cl. A-6, Assigned (P) Aaa (sf)
Cl. A-7, Assigned (P) Aaa (sf)
Cl. A-7-X*, Assigned (P) Aaa (sf)
Cl. A-8, Assigned (P) Aaa (sf)
Cl. A-9, Assigned (P) Aaa (sf)
Cl. A-9-X*, Assigned (P) Aaa (sf)
Cl. A-10, Assigned (P) Aaa (sf)
Cl. A-11, Assigned (P) Aaa (sf)
Cl. A-11-X*, Assigned (P) Aaa (sf)
Cl. A-12, Assigned (P) Aaa (sf)
Cl. A-13, Assigned (P) Aaa (sf)
Cl. A-13-X*, Assigned (P) Aaa (sf)
Cl. A-14, Assigned (P) Aaa (sf)
Cl. A-15, Assigned (P) Aaa (sf)
Cl. A-15-X*, Assigned (P) Aaa (sf)
Cl. A-16, Assigned (P) Aaa (sf)
Cl. A-16L Loans, Assigned (P) Aaa (sf)
Cl. A-17, Assigned (P) Aaa (sf)
Cl. A-17-X*, Assigned (P) Aaa (sf)
Cl. A-18, Assigned (P) Aaa (sf)
Cl. A-19, Assigned (P) Aaa (sf)
Cl. A-19-X*, Assigned (P) Aaa (sf)
Cl. A-20, Assigned (P) Aaa (sf)
Cl. A-21, Assigned (P) Aaa (sf)
Cl. A-21-X*, Assigned (P) Aaa (sf)
Cl. A-22, Assigned (P) Aaa (sf)
Cl. A-22L Loans, Assigned (P) Aaa (sf)
Cl. A-23, Assigned (P) Aaa (sf)
Cl. A-23-X*, Assigned (P) Aaa (sf)
Cl. A-24, Assigned (P) Aaa (sf)
Cl. A-24-X*, Assigned (P) Aaa (sf)
Cl. A-25, Assigned (P) Aaa (sf)
Cl. A-25-X*, Assigned (P) Aaa (sf)
Cl. A-26, Assigned (P) Aaa (sf)
Cl. A-27, Assigned (P) Aaa (sf)
Cl. A-27-X*, Assigned (P) Aaa (sf)
Cl. A-28, Assigned (P) Aaa (sf)
Cl. A-28-X*, Assigned (P) Aaa (sf)
Cl. A-29, Assigned (P) Aaa (sf)
Cl. A-30, Assigned (P) Aaa (sf)
Cl. A-31, Assigned (P) Aaa (sf)
Cl. A-32, Assigned (P) Aaa (sf)
Cl. A-33, Assigned (P) Aaa (sf)
Cl. A-34, Assigned (P) Aaa (sf)
Cl. A-34-X*, Assigned (P) Aaa (sf)
Cl. A-X*, Assigned (P) Aaa (sf)
Cl. B-1, Assigned (P) Aa3 (sf)
Cl. B-1-A, Assigned (P) Aa3 (sf)
Cl. B-1-X*, Assigned (P) Aa3 (sf)
Cl. B-2, Assigned (P) A3 (sf)
Cl. B-2-A, Assigned (P) A3 (sf)
Cl. B-2-X*, Assigned (P) A3 (sf)
Cl. B-3, Assigned (P) Baa3 (sf)
Cl. B-3-A, Assigned (P) Baa3 (sf)
Cl. B-3-X*, Assigned (P) Baa3 (sf)
Cl. B-4, Assigned (P) Ba1 (sf)
Cl. B-5, Assigned (P) Ba3 (sf)
Cl. B, Assigned (P) A1 (sf)
Cl. B-X*, Assigned (P) A2 (sf)
*Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings are based on the credit quality of the mortgage loans,
the structural features of the transaction, the origination quality
and the servicing arrangement, the third-party review, and the
representations and warranties framework.
Moody's expected loss for this pool in a baseline scenario-mean is
0.37%, in a baseline scenario-median is 0.17% and reaches 5.07% at
a stress level consistent with Moody's Aaa ratings.
PRINCIPAL METHODOLOGY
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in July 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
HOUSTON GALLERIA 2015-HGLR: DBRS Confirms BB Rating on E Certs
--------------------------------------------------------------
DBRS Limited confirmed its credit ratings on the Commercial
Mortgage Pass-Through Certificates, Series 2015-HGLR (the
Certificates) issued by Houston Galleria Mall Trust 2015-HGLR (the
Issuer) as follows:
-- Class A-1A1 at AAA (sf)
-- Class A-1A2 at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class X-NCP at BB (high) (sf)
-- Class E at BB (sf)
All trends are Stable. The credit rating confirmations reflect the
stable performance of the underlying collateral, as demonstrated by
positive cash flow growth as of the most recent reporting over the
prior year, as well as historically strong sales figures and
generally healthy occupancy rates for the collateral mall.
The Certificates are backed by a $1.05 billion component of a $1.2
billion, 10-year, fixed-rate, interest-only (IO) mortgage loan. The
remaining $150.0 million pari passu companion loan was securitized
in the JPMBB Commercial Mortgage Securities Trust 2015-C28
transaction, which is also rated by Morningstar DBRS. The sponsors
for the loan are Simon Property Group (SPG) and Institutional Mall
Investors. SPG, considered the largest real estate investment trust
in the United States, is also the loan's guarantor and an affiliate
of SPG manages the collateral property. The loan is scheduled to
mature in March 2025 and, considering the strong performance of the
collateral, the loan is well positioned to repay.
The loan is secured by the fee interest in a 1.2
million-square-foot (sf) portion of the Houston Galleria, a 2.1
million-sf enclosed, super-regional mall in Houston, about 10 miles
west of the central business district. The mall is the largest
shopping center in Texas and one of the largest in the country.
Anchors include the non-collateral tenants Macy's, Nordstrom,
Neiman Marcus, and Saks Fifth Avenue (Saks). Macy's and Nordstrom
own their sites and spaces, while Neiman Marcus and Saks own their
respective improvements but are subject to ground leases. The
overall tenant mix is strong and comprises approximately 400
retailers and restaurants, including many upscale tenants such as
Tiffany & Co., Celine, Gucci, Saint Laurent, Balenciaga, and
Tesla.
The collateral was 84.4% occupied as of March 2024 compared with
89.8% per the April 2023 rent roll. The largest in-line tenants are
Life Time Fitness (6.5% of the collateral net rentable area (NRA),
lease expires in January 2038), Forever 21 (2.3% of the NRA, lease
expires in January 2026), and H&M (1.9% of the NRA, lease expires
in January 2025). There is tenant rollover risk in the next 12
months as tenants accounting for nearly 20.0% of the NRA have
leases that are expired or will expire; however, this risk is
mitigated by the granularity of the tenant roster, strong tenant
sales, and the property's historically stable occupancy rate
despite the slight dip seen in the most recent rent roll.
The most recent tenant sales report provided was from December
2022, when Saks reported sales of $794 per square foot (psf),
in-line tenants occupying less than 10,000 sf (excluding Apple)
reported sales of $1,186 psf, and in-line tenants occupying at
least 10,000 sf reported sales of $936 psf compared with reported
sales at issuance of $557 psf, $883 psf, and $936 psf,
respectively. An updated tenant sales report was requested from the
servicer. Despite the slight dip in occupancy and the dated tenant
sales report, the sponsor remains committed to the property as a
multimillion upgrade was recently announced. According to recent
news articles, the renovation will entail enhancements to valet
entrances, fixtures, and approximately 155,000 sf of flooring with
the work expected to be completed by early 2025.
The collateral net cash flow (NCF) has been increasing year over
year, with YE2023 NCF of $124.0 million compared with YE2022 NCF of
$118.3 million and YE2021 NCF of $117.9 million. The property
experienced a relatively mild disruption during the initial stages
of the coronavirus pandemic; however, performance has since
rebounded with NCF exceeding the Morningstar DBRS NCF of $115.0
million derived in 2020.
Given the NCF growth, Morningstar DBRS updated the loan-to-value
(LTV) Sizing Benchmark in the analysis based on 2% haircut to the
YE2023 NCF. A stressed capitalization rate of 8.0% was maintained
from the prior review to evaluate the stability of the credit
ratings, considering the loan's near-term maturity at a time when
interest rates have increased. This resulted in a Morningstar DBRS
value of $1.5 billion, representing an implied LTV of 79.0% on the
whole loan. Positive qualitative adjustments totaling 4.5% were
maintained to reflect the good property quality, historically
strong sales, and the subject's dominant market positioning.
Morningstar DBRS' credit ratings on the applicable classes address
the credit risk associated with the identified financial
obligations in accordance with the relevant transaction documents.
Where applicable, a description of these financial obligations can
be found in the transactions' respective press releases at
issuance.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued. The Morningstar DBRS short-term debt rating scale
provides an opinion on the risk that an issuer will not meet its
short-term financial obligations in a timely manner.
Notes: All figures are in U.S. dollars unless otherwise noted.
IVY HILL VII: S&P Assigns BB- (sf) Rating on Class E-RRR Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-RRR, B-RRR,
C-RRR, D-RRR and E-RRR replacement debt and new class A-LRRR loans
and class A-LRRR notes from Ivy Hill Middle Market Credit Fund VII
Ltd./Ivy Hill Middle Market Credit Fund VII LLC, a CLO originally
issued in 2021 that is managed by Ivy Hill Asset Management L.P., a
subsidiary of Ares Capital Corp. At the same time, S&P withdrew its
ratings on the original class X-RR, A-RR, B-1-RR, B-2-RR, C-RR,
D-RR, and E-RR debt following payment in full on the Aug. 15, 2024,
refinancing date.
The replacement debt and new debt was issued via a supplemental
indenture, which outlines the terms of the replacement and new
debt. According to the supplemental indenture:
-- The replacement class A-RRR, B-RRR, C-RRR, D-RRR, and E-RRR
debt and new class A-LRRR loans and class A-LRRR notes were issued
at a floating spread.
-- The original class B-1-RR, issued at a floating spread, and
class B-2-RR, issued at a fixed coupon, were combined into a single
class B-RRR, which was issued at a floating spread.
-- The stated maturity and reinvestment period were extended by
2.99 years, and the non-call date was extended by 2.82 years.
-- The new class A-LRRR loans are convertible in whole or in part
into only the class A-LRRR notes. The new class A-LRRR notes are
not convertible into loans.
Replacement And Original Debt Issuances
Replacement debt
-- Class A-RRR, $177.00 million: Three-month CME term SOFR +
1.60%
-- Class A-LRRR loans, $55.00 million: Three-month CME term SOFR +
1.60%
-- Class A-LRRR, $0.00 million: Three-month CME term SOFR + 1.60%
-- Class B-RRR, $40.00 million: Three-month CME term SOFR + 1.90%
-- Class C-RRR (deferrable), $32.00 million: Three-month CME term
SOFR + 2.35%
-- Class D-RRR (deferrable), $24.00 million: Three-month CME term
SOFR + 3.90%
-- Class E-RRR (deferrable), $24.00 million: Three-month CME term
SOFR + 7.35%
-- Subordinated notes, $112.50 million: Not applicable
Original debt
-- Class X-RR, $4.20 million: Three-month CME term SOFR + 1.00% +
CSA(i)
-- Class A-RR, $237.30 million: Three-month CME term SOFR + 1.48%
+ CSA(i)
-- Class B-1-RR, $39.00 million: Three-month CME term SOFR + 1.90%
+ CSA(i)
-- Class B-2-RR, $15.60 million: 3.226%
-- Class C-RR (deferrable), $31.50 million: Three-month CME term
SOFR + 2.60% + CSA(i)
-- Class D-RR (deferrable), $18.90 million: Three-month CME term
SOFR + 3.80% + CSA(i)
-- Class E-RR (deferrable), $27.30 million: Three-month CME term
SOFR + 8.42% + CSA(i)
-- Subordinated notes, $65.08 million: Not applicable
(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.
"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
Ivy Hill Middle Market Credit Fund VII Ltd./
Ivy Hill Middle Market Credit Fund VII LLC
Class A-RRR, $177.0 million: AAA (sf)
Class A-LRRR loans, $55.0 million: AAA (sf)
Class A-LRRR, $0.0 million: AAA (sf)
Class B-RRR, $40.0 million: AA (sf)
Class C-RRR (deferrable), $32.0 million: A (sf)
Class D-RRR (deferrable), $24.0 million: BBB- (sf)
Class E-RRR (deferrable), $24.0 million: BB- (sf)
Ratings Withdrawn
Ivy Hill Middle Market Credit Fund VII Ltd./
Ivy Hill Middle Market Credit Fund VII LLC
Class X-RR to not rated from 'AAA (sf)'
Class A-RR to not rated from 'AAA (sf)'
Class B-1-RR to not rated from 'AA (sf)'
Class B-2-RR to not rated from 'AA (sf)'
Class C-RR to not rated from 'A- (sf)'
Class D-RR to not rated from 'BBB- (sf)'
Class E-RR to not rated from 'BB- (sf)'
Other Debt
Ivy Hill Middle Market Credit Fund VII Ltd./
Ivy Hill Middle Market Credit Fund VII LLC
Subordinated notes, $112.5 million: Not rated
IVY HILL VII: S&P Assigns Prelim BB- (sf) Rating on E-RRR Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-RRR, B-RRR, C-RRR, D-RRR and E-RRR replacement debt and proposed
new class A-LRRR loans and class A-LRRR notes from Ivy Hill Middle
Market Credit Fund VII Ltd./Ivy Hill Middle Market Credit Fund VII
LLC, a CLO originally issued in 2021 that is managed by Ivy Hill
Asset Management L.P., a subsidiary of Ares Capital Corp.
The preliminary ratings are based on information as of Aug. 8,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Aug. 15, 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 and proposed new debt will be issued via a
proposed supplemental indenture, which outlines the terms of the
replacement and new debt. According to the proposed supplemental
indenture:
-- The replacement class A-RRR, B-RRR, C-RRR, D-RRR, and E-RRR
debt and proposed new class A-LRRR loans and class A-LRRR notes are
expected to be issued at a floating spread.
-- The original class B-1-RR, issued at a floating spread, and
class B-2-RR, issued at a fixed coupon, are being combined into a
single class B-RRR, which will be issued at a floating spread.
-- The stated maturity and reinvestment period are being extended
by 2.99 years, and the non-call date is being extended by 2.82
years.
-- The proposed new class A-LRRR loans are convertible in whole or
in part into only the class A-LRRR notes. The proposed new class
A-LRRR notes are not convertible into loans.
Replacement And Original Debt Issuances
Replacement debt
-- Class A-RRR, $177.00 million: Three-month CME term SOFR +
1.60%
-- Class A-LRRR loans, $55.00 million: Three-month CME term SOFR +
1.60%
-- Class A-LRRR, $0.00 million: Three-month CME term SOFR + 1.60%
-- Class B-RRR, $40.00 million: Three-month CME term SOFR + 1.90%
-- Class C-RRR (deferrable), $32.00 million: Three-month CME term
SOFR + 2.35%
-- Class D-RRR (deferrable), $24.00 million: Three-month CME term
SOFR + 3.90%
-- Class E-RRR (deferrable), $24.00 million: Three-month CME term
SOFR + 7.35%
-- Subordinated notes, $112.50 million: Not applicable
Original debt
-- Class X-RR, $4.20 million: Three-month CME term SOFR + 1.00% +
CSA(i)
-- Class A-RR, $237.30 million: Three-month CME term SOFR + 1.48%
+ CSA(i)
-- Class B-1-RR, $39.00 million: Three-month CME term SOFR + 1.90%
+ CSA(i)
-- Class B-2-RR, $15.60 million: 3.226%
-- Class C-RR (deferrable), $31.50 million: Three-month CME term
SOFR + 2.60% + CSA(i)
-- Class D-RR (deferrable), $18.90 million: Three-month CME term
SOFR + 3.80% + CSA(i)
-- Class E-RR (deferrable), $27.30 million: Three-month CME term
SOFR + 8.42% + CSA(i)
-- Subordinated notes, $65.08 million: Not applicable
(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.
"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
Ivy Hill Middle Market Credit Fund VII Ltd./
Ivy Hill Middle Market Credit Fund VII LLC
Class A-RRR, $177.0 million: AAA (sf)
Class A-LRRR loans, $55.0 million: AAA (sf)
Class A-LRRR, $0.0 million: AAA (sf)
Class B-RRR, $40.0 million: AA (sf)
Class C-RRR (deferrable), $32.0 million: A (sf)
Class D-RRR (deferrable), $24.0 million: BBB- (sf)
Class E-RRR (deferrable), $24.0 million: BB- (sf)
Other Debt
Ivy Hill Middle Market Credit Fund VII Ltd./
Ivy Hill Middle Market Credit Fund VII LLC
Subordinated notes, $112.5 million: Not rated
JEFFERIES CREDIT 2024-I: S&P Assigns Prelim 'BB-' Rating on E Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Jefferies
Credit Partners Direct Lending CLO 2024-I Ltd./Jefferies Credit
Partners Direct Lending CLO 2024-I LLC's floating- and fixed-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 Jefferies Credit Partners LLC.
The preliminary ratings are based on information as of Aug. 15,
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 collateral pool's diversification;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Jefferies Credit Partners Direct Lending CLO 2024-I Ltd./
Jefferies Credit Partners Direct Lending CLO 2024-I LLC
Class A loans, $50.00 million: AAA (sf)
Class A-1, $176.00 million: AAA (sf)
Class A-JF, $8.42 million: AAA (sf)
Class A-JN, $5.58 million: AAA (sf)
Class B, $38.00 million: AA (sf)
Class C (deferrable), $26.00 million: A (sf)
Class D (deferrable), $24.00 million: BBB- (sf)
Class E (deferrable), $24.00 million: BB- (sf)
Subordinated notes, $55.20 million: Not rated
JORDAN NOTES: DBRS Confirms BB(low) Rating on Class C Notes
-----------------------------------------------------------
DBRS, Inc. upgraded and confirmed as follows the following
provisional credit ratings on the Class A Notes, the Class B Notes,
the Class C Notes, and the Class D Notes (together, the Secured
Notes) issued by Jordan Notes Issuer LLC pursuant to the Indenture
dated as of July 28, 2023 (the Indenture), as amended by the First
Supplemental Indenture dated as of July 25, 2024, entered into
between Jordan Notes Issuer LLC, as the Issuer and U.S. Bank Trust
Company, National Association, as Trustee:
Upgrade:
-- Class A Notes to A (high) (sf) from A (sf)
-- Class D Notes to B (high) (sf) from B (sf)
Confirm:
-- Class B Notes at BBB (sf)
-- Class C Notes at BB (low) (sf)
The provisional credit rating on the Class A Notes addresses the
timely payment of interest (excluding any Defaulted Interest, as
defined in the Indenture) and the ultimate return of principal on
or before the Stated Maturity (as defined in the Indenture). The
provisional credit ratings on the Class B Notes, the Class C Notes,
and the Class D Notes address the ultimate payment of interest
(excluding any Defaulted Interest, as defined in the Indenture) and
the ultimate return of principal on or before the Stated Maturity
(as defined in the Indenture).
CREDIT RATING RATIONALE/DESCRIPTION
The credit rating actions are a result of Morningstar DBRS' review
of the First Supplemental Indenture, dated July 25, 2024, which
increased the total Commitment Amounts, reduced the spread on
liabilities, and reduced the Minimum Weighted Average Spread Test
(WAS Test) among other changes. The Stated Maturity is July 25,
2035. The Reinvestment Period ends on July 25, 2027.
The Secured Notes are collateralized primarily by a portfolio of
U.S. middle-market corporate loans. Jordan Notes Issuer LLC is
managed by 26North Direct Lending II LP, an affiliate of 26North
Partners LP. Morningstar DBRS considers 26North Direct Lending II
LP to be an acceptable middle-market corporate loan manager.
In its analysis, Morningstar DBRS considered the following aspects
of the transaction:
(1) ) The First Supplemental Indenture dated as of July 25, 2024
(2) The integrity of the transaction structure.
(3) Morningstar DBRS' assessment of the portfolio quality.
(4) Adequate credit enhancement to withstand projected collateral
loss rates under various cash flow stress scenarios.
(5) Morningstar DBRS' assessment of the origination, servicing, and
middle-market corporate loan management capabilities of 26North
Direct Lending II LP.
The transaction has a dynamic structural configuration that permits
variations of certain asset metrics via the selection of an
applicable row from a collateral quality matrix (the CQM).
Depending on a given Diversity Score, the following metrics are
selected accordingly from the applicable row of the CQM:
Morningstar DBRS Risk Score, WAS Test, and Weighted-Average
Recovery Rate (WARR). Morningstar DBRS analyzed each structural
configuration as a unique transaction and all configurations (rows)
passed the applicable Morningstar DBRS rating stress levels. The
Coverage Tests and triggers as well as the Collateral Quality Tests
that Morningstar DBRS reviewed in its analysis are presented
below.
Coverage Tests:
Class A Overcollateralization Ratio Test: Actual 155.08%; Threshold
140.00%
Class B Overcollateralization Ratio Test: Actual 141.24%; Threshold
115.00%
Class C Overcollateralization Ratio Test: Actual 125.85%; Threshold
113.00%
Class D Overcollateralization Ratio Test: Actual 122.46%; Threshold
113.00%
Class A Interest Coverage Ratio Test: Actual 200.17%; Threshold
150.00%
Class B Interest Coverage Ratio Test: Actual 172.58%; Threshold
130.00%
Class C Interest Coverage Ratio Test: Actual 139.78%; Threshold
120.00%
Class D Interest Coverage Ratio Test: Actual 132.15%; Threshold
120.00%
Advance Rate Tests:
Class A Advance Rate: Actual 59.02%; Threshold 60.00%
Class B Advance Rate: Actual 66.40%; Threshold 67.50%
Class C Advance Rate: Actual 76.51%; Threshold 77.50%
Class D Advance Rate: Actual 79.07%; Threshold 80.00%
Collateral Quality Tests:
Minimum Diversity Score Test: Actual 5.60; Threshold 8.00
Maximum Morningstar DBRS Risk Score Test: Actual 31.42; Threshold
40.00
Minimum WA Spread: Actual 5.22%; Threshold 5.00%
Minimum Average Recovery Rate Test: Actual 60.50%; Threshold
59.038%
Maximum Weighted Average (WA) Maturity Date Test: Actual 5.99
years; Threshold 7.50 years
Some particular strengths of the transaction are (1) the collateral
quality, which consists of at least 95% of senior-secured middle
market loans; (2) the expected adequate diversification of the
portfolio of collateral obligations (Minimum Diversity Score Test
of 8); and (3) the Collateral Manager's expertise in CLOs and
overall approach to selection of Collateral Obligations.
Some challenges that were identified: (1) the expected
weighted-average (WA) credit quality of the underlying obligors may
fall below investment grade (per the Collateral Quality Matrix) and
the majority may not have public ratings once purchased; and (2)
the underlying collateral portfolio may be insufficient to redeem
the Secured Notes in an Event of Default.
As of May 31, 2024, the transaction is failing the Minimum
Diversity Score Test
(5.60 vs. 8.00) and the concentration limitation in Senior Secured
Loans due to currently being in the ramp-up period. The WAS Test
will be in compliance after the implementation of a lower WAS Test,
pursuant to this amendment.
Morningstar DBRS analyzed the transaction using the Morningstar
DBRS CLO Insight Model and its proprietary cash flow engine, which
incorporated assumptions regarding principal amortization,
principal prepayment, amount of interest generated, principal
prepayments, default timings, and recovery rates, among other
credit considerations referenced in Morningstar DBRS' "Global
Methodology for Rating CLOs and Corporate CDOs" (February 23, 2024;
https://dbrs.morningstar.com/research/428544) and CLO Insight Model
v. 1.0.1.2.
Model-based analysis, which incorporated the above-mentioned
amendment, produced satisfactory results. Considering the analysis,
as well as the transaction's legal aspects and structure,
Morningstar DBRS upgraded and confirmed the credit ratings on the
Secured Notes.
To assess portfolio credit quality, Morningstar DBRS provides a
credit estimate or internal assessment for each nonfinancial
corporate obligor in the portfolio not rated by Morningstar DBRS.
Credit estimates are not ratings; rather, they represent a
model-driven default probability for each obligor that is used in
assigning ratings to a facility.
A provisional credit rating is not a final credit rating with
respect to the above-mentioned Secured Notes and may change or be
different than the final credit rating assigned or may be
discontinued. The assignment of final credit ratings on the
above-mentioned Secured Notes is subject to receipt by Morningstar
DBRS of all data and/or information and final documentation that
Morningstar DBRS deems necessary to finalize the credit ratings.
Notes: All figures are in US Dollars unless otherwise noted.
JP MORGAN 2012-C6: Moody's Lowers Rating on 2 Tranches to Caa3
--------------------------------------------------------------
Moody's Ratings has affirmed the ratings on two classes and
downgraded the ratings on four classes in J.P. Morgan Chase
Commercial Mortgage Securities Trust 2012-C6, Commercial Mortgage
Pass-Through Certificates Series 2012-C6 as follows:
Cl. D, Affirmed Ba1 (sf); previously on Apr 23, 2021 Downgraded to
Ba1 (sf)
Cl. E, Affirmed Caa1 (sf); previously on Apr 23, 2021 Downgraded to
Caa1 (sf)
Cl. F, Downgraded to Caa3 (sf); previously on Apr 23, 2021
Downgraded to Caa2 (sf)
Cl. G, Downgraded to Caa3 (sf); previously on Apr 23, 2021
Downgraded to Caa2 (sf)
Cl. H, Downgraded to C (sf); previously on Jun 15, 2020 Downgraded
to Caa3 (sf)
Cl. X-B*, Downgraded to Ca (sf); previously on Apr 23, 2021
Downgraded to Caa1 (sf)
* Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings on two P&I classes, Cl. D and Cl. E, were affirmed
because of the credit support and the expected principal paydowns
from the remaining loans in the pool. Cl. D has already paid down
44% since securitization and is now the most senior outstanding
class and will benefit from payment priority from any principal
paydowns.
The ratings on three P&I classes, Cl. F, Cl. G, and Cl. H, were
downgraded due to the potential for higher expected losses driven
by the performance and exposure to Class B regional mall loans that
have been previously extended after being unable to payoff at their
original maturity dates. The two outstanding loans (representing
100% of the remaining pool balance) are secured by regional malls
sponsored by CBL Properties. Due to the exposure to previously
defaulted loans that have experienced declines in performance since
securitization, the outstanding classes may be at higher risk of
loss and/or interest shortfalls if the performance of the remaining
loans deteriorates and they become delinquent on debt service
payments.
The ratings on interest only (IO) class, Cl. X-B, was downgraded
due to the decline in the credit quality of the referenced classes
partially resulting from principal paydowns of higher referenced
classes. Two of the original referenced classes, Cl. B and Cl. C,
have previously paid off in full.
Moody's rating action reflects a base expected loss of 64.4% of the
current pooled balance, compared to 14.2% at Moody's last review.
Moody's base expected loss plus realized losses is now 8.4% of the
original pooled balance, compared to 9.0% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or a significant improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, an increase in realized and
expected losses from specially serviced and troubled loans or
interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating all classes except
interest-only classes was "Large Loan and Single Asset/Single
Borrower Commercial Mortgage-backed Securitizations" published in
July 2024.
DEAL PERFORMANCE
As of the July 2024 distribution date, the transaction's aggregate
certificate balance has decreased by 87% to $143 million from $1.13
billion at securitization. The certificates are collateralized by
two mortgage loans secured by Class B regional malls sponsored by
CBL that have been previously modified after failing to payoff at
their original maturity dates.
One loan has been liquidated from the pool, contributing to an
aggregate realized loss of $2.8 million.
The largest remaining loan is the Arbor Place Mall ($91.3 million
-- 63.6% of the pool), which is secured by an approximately 546,000
square feet (SF) portion of a 1.16 million SF super-regional mall
located in Douglasville, Georgia. The property was built in 1999
and is currently anchored by Dillard's, Belk, Macy's, and J.C.
Penney. A former anchor, Sears (133,000 SF), vacated in February
2020 and the space remains vacant. The loan previously transferred
to special servicing in April 2020 and returned to the master
servicer in June 2022 as a resolved loan after receiving a 48-month
maturity date extension. Since returning from special servicing the
loan has remained current on its amortizing debt service payments
as of the July 2024 remittance statement. The collateral was 96%
leased in March 2024, which is an improvement from the 92%
reflected in December 2023 and 81% in December 2022. The loan has
amortized approximately 25% since securitization and now matures in
May 2026. However, the property's cash flow has gradually declined
annually since 2021 and the year-end 2023 NOI was 20% lower than in
2012. If property performance continues to decline, the loan may
face increased refinance risk at its extended maturity date and
Moody's have identified this as a troubled loan.
The other remaining loan is the Northwood Mall Loan ($52.2 million
– 36.4% of the pool), which is secured by an approximately
404,000 SF portion of a 791,000 SF regional mall located in North
Charleston, South Carolina. The mall is anchored by Dillard's,
Belk, and J.C. Penney. All anchors except for J.C. Penney are owned
by their respective tenant and are not part of the collateral. At
securitization, Sears was included as a non-collateral anchor,
however, they vacated in 2017 and Burlington Coat Factory
subsequently backfilled approximately half of the space. The loan
previously transferred to special servicing in February 2021 and
was subsequently returned to the master servicer as a resolved loan
in June 2022 after receiving a 48-month maturity date extension to
April 2026. The loan has remained current through the July 2024
remittance statement has now amortized 28% since securitization.
The collateral was 98% leased in March 2024, compared to 94% in
December 2023, 91% in December 2020, and 96% at securitization. The
property's cash flow has remained below securitization levels since
2022 and the year-end 2023 NOI was 7% lower than in 2012. As a
result of the decline in performance and prior loan modification,
the loan may face increased refinance risk at its extended maturity
date and Moody's have identified this as a troubled loan.
Moody's estimate an aggregate $59 million loss for the two
remaining loans (a 41% expected loss on average).
JP MORGAN 2020-LOOP: Moody's Lowers Rating on 2 Tranches to Ba2
---------------------------------------------------------------
Moody's Ratings has downgraded six classes in J.P. Morgan Chase
Commercial Mortgage Securities Trust 2020-LOOP, Commercial Mortgage
Pass-Through Certificates, Series 2020-LOOP:
Cl. B, Downgraded to Baa2 (sf); previously on Sep 21, 2023
Downgraded to A2 (sf)
Cl. C, Downgraded to Ba2 (sf); previously on Sep 21, 2023
Downgraded to Baa2 (sf)
Cl. D, Downgraded to B2 (sf); previously on Sep 21, 2023 Downgraded
to Ba2 (sf)
Cl. E, Downgraded to Caa1 (sf); previously on Sep 21, 2023
Downgraded to B2 (sf)
Cl. F, Downgraded to Caa3 (sf); previously on Sep 21, 2023
Downgraded to Caa2 (sf)
Cl. X-B*, Downgraded to Ba2 (sf); previously on Sep 21, 2023
Downgraded to Baa2 (sf)
* Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings on five P&I classes were downgraded due to an increase
in Moody's LTV ratio driven by the continued decline in loan and
property performance as well as the uncertainty around the timing
and the extent of any cash flow recovery given the weak Chicago
office market fundamentals. Furthermore, the loan will likely face
heightened refinance risk if performance does not improve
materially ahead of its December 2026 maturity date.
The loan is secured by a Class A office building in the Chicago
Central Loop market and both the property's net operating income
(NOI) and occupancy have continued to decline since securitization.
The property's was 74% leased in May 2024 compared to 84% in March
2023. Despite the drop in NOI, the property continues to generate
sufficient cash flow to service the debt service requirements due
to its low fixed interest rate of 3.9%.
The loan previously transferred to special servicing in November
2021 due to the borrower filing a petition for bankruptcy with
eight other entities, related to HNA of China. A mortgage loan
modification agreement was subsequently closed in August 2023 that
transferred the equity interest to SinOceanic I Limited, an
affiliate of the original sponsor. The loan was returned to master
servicer as of November 2023 and has remained current on its debt
service obligations.
In this credit rating action Moody's considered qualitative and
quantitative factors in relation to the senior-sequential structure
and quality of the asset, and Moody's analyzed multiple scenarios
to reflect various levels of stress in property values could impact
loan proceeds at each rating level.
The rating on the interest only (IO) class, Cl. X-B, was downgraded
due to decline in the credit quality of its referenced classes.
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 what Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization or a
significant improvement in the loan's performance.
Factors that could lead to a downgrade of the ratings include a
further decline in actual or expected performance of the loan or
interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating all classes except
interest-only classes was "Large Loan and Single Asset/Single
Borrower Commercial Mortgage-backed Securitizations" published in
July 2024.
DEAL PERFORMANCE
As of the July 8, 2024 distribution date, the transaction's
certificate balance was $133.1 million, the same as at
securitization. The interest only, fixed rate loan (3.9%) matures
in December 2026. The loan is secured by a fee simple interest in
181 W. Madison Street, a 946,099 SF, Class A, multi-tenant office
building located in the Central Loop submarket of downtown Chicago,
Illinois.
The whole loan balance is $240 million, which includes the trust
balance of $133.1 million and three other companion loans ($106.9
million) that have been securitized in BMARK 2020-IG1 (A-3 Note),
BMARK 2020-IG2 (A-4 Note), and BMARK 2020-B16 (Note A-2). The trust
portion contains senior note ($1 million A-1 Note) and junior note
($132.1 million B-note). The non-trust A-notes and trust A-note are
senior in right of payment to trust B-note.
The property was built in 1990 and renovated in 2016. As of May
2024, the property was 74% leased compared to 88% at
securitization. The three largest tenants at the property include
The Northern Trust Company (42% of NRA expires in December 2027),
Quantitative Risk Management (11% of NRA expires in February 2026
having extended from January 2025), and GSA (4% of NRA expires in
September 2025). A new tenant, Union Tank Car Company recently
signed a lease for 44,600 SF (or 5% of NRA) that commenced in March
2024 for a 15-year term. Quantitative Risk Management was founded
while at the property and has grown into their current space and
Northern Trust has occupied space at the property since 2000.
The Chicago Central Loop submarket fundamentals have continued to
weaken since securitization and the coronavirus pandemic. According
to Cushman & Wakefield the Class A vacancy rate was 22% as of 2Q
2024, compared to 13% at securitization.
The property's NOI for the trailing twelve month period ending May
2024 was $12.5 million (adjusted for non-recurring expenses
associated with the sponsor's bankruptcy), compared to $13.5
million for the full year 2023 (with the same adjustment) and $14.7
million and $13.0 million in 2022 and 2021, respectively. The
property was generating $21.8 million of NOI at securitization.
Moody's net cash flow (NCF) has been lowered to $11.5 million from
$13.8 million at the last review.
Moody's LTV ratio for the first mortgage balance is 183% based on
Moody's Value. The Adjusted Moody's LTV ratio for the first
mortgage balance is 166% based on Moody's Value using a cap rate
adjusted for the current interest rate environment compared to 132%
at the last review. Moody's stressed debt service coverage ratio
(DSCR) is 0.52X compared to 0.62X at the last review. There are no
outstanding advances but there is interest shortfalls of $72
affecting Class HRR as of the current distribution date.
JP MORGAN 2024-7: Moody's Assigns B3 Rating to Cl. B-5 Certs
------------------------------------------------------------
Moody's Ratings has assigned definitive ratings to 31 classes of
residential mortgage-backed securities (RMBS) issued by J.P. Morgan
Mortgage Trust 2024-7, and sponsored by J.P. Morgan Mortgage
Acquisition Corp. (JPMMAC).
The securities are backed by a pool of prime jumbo (78.9% by
balance) and GSE-eligible (21.1% by balance) residential mortgages
aggregated by JPMMAC, including loans aggregated by MAXEX Clearing
LLC (MAXEX; 5.3% by loan balance), Redwood Residential Acquisition
Corporation (Redwood; 1.0% by loan balance) and Oceanview
Dispositions, LLC (Oceanview, 0.4% by loan balance), and originated
and serviced by multiple entities.
The complete rating actions are as follows:
Issuer: J.P. Morgan Mortgage Trust 2024-7
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-2-A, Definitive Rating Assigned Aaa (sf)
Cl. A-2-X*, Definitive Rating Assigned Aa1 (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-3-A, Definitive Rating Assigned Aaa (sf)
Cl. A-3-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-4-A, Definitive Rating Assigned Aaa (sf)
Cl. A-4-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-5, Definitive Rating Assigned Aaa (sf)
Cl. A-5-A, Definitive Rating Assigned Aaa (sf)
Cl. A-5-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-6, Definitive Rating Assigned Aaa (sf)
Cl. A-6-A, Definitive Rating Assigned Aaa (sf)
Cl. A-6-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-7, Definitive Rating Assigned Aaa (sf)
Cl. A-7-A, Definitive Rating Assigned Aaa (sf)
Cl. A-7-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-8, Definitive Rating Assigned Aaa (sf)
Cl. A-8-A, Definitive Rating Assigned Aaa (sf)
Cl. A-8-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-9, Definitive Rating Assigned Aa1 (sf)
Cl. A-9-A, Definitive Rating Assigned Aa1 (sf)
Cl. A-9-X*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf)
Cl. B-1, Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Definitive Rating Assigned A2 (sf)
Cl. B-3, Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Definitive Rating Assigned Ba3 (sf)
Cl. B-5, Definitive Rating Assigned B3 (sf)
*Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings are based on the credit quality of the mortgage loans,
the structural features of the transaction, the origination quality
and the servicing arrangement, the third-party review, and the
representations and warranties framework.
Moody's expected loss for this pool in a baseline scenario-mean is
0.73%, in a baseline scenario-median is 0.52% and reaches 4.84% at
a stress level consistent with Moody's Aaa ratings.
PRINCIPAL METHODOLOGY
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in July 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
JPMCC COMMERCIAL 2017-JP7: DBRS Cuts G-RR Certs Rating to CCC
-------------------------------------------------------------
DBRS Limited downgraded the credit ratings on four classes of
Commercial Mortgage Pass-Through Certificates, Series 2017-JP7
issued by JPMCC Commercial Mortgage Securities Trust 2017-JP7 as
follows:
-- Class D to BBB (low) (sf) from A (low) (sf)
-- Class E-RR to BB (low) (sf) from BBB (low) (sf)
-- Class F-RR to B (low) (sf) from BB (sf)
-- Class G-RR to CCC (sf) from B (high) (sf)
In addition, Morningstar DBRS confirmed the following credit
ratings:
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class X-B at A (high) (sf)
-- Class C at A (sf)
Morningstar DBRS changed the trends on Classes B, X-B, and C to
Negative from Stable. The trends on Classes D, E-RR, and F-RR
remain Negative. The trends on all other classes are Stable with
the exception of Class G-RR, which now has a rating that does not
typically carry a trend in commercial mortgage backed securities
(CMBS) credit ratings.
The credit rating downgrades on Classes D, ERR, FRR, and GRR are
reflective of Morningstar DBRS' increased loss projections, driven
by two of the three loans in special servicing: First Stamford
Place (Prospectus ID #5; 8.7% of the pool) and Springhill Suites
Newark Airport (Prospectus ID#13; 2.4% of the pool). Since the last
credit rating action, First Stamford Place transferred to special
servicing and both loans have reported new appraised values
exhibiting larger than anticipated declines in value. Morningstar
DBRS' analysis includes liquidation scenarios for both loans,
resulting in total implied losses approaching $31 million. The
projected loss would nearly reduce the unrated Class HRR
certificate entirely, eroding credit support to the junior bonds in
the transaction. Morningstar DBRS believes that current performance
trends for these loans indicate the potential for further value
decline, and this concern is reflected in the Negative trends
maintained on classes D, ERR, and FRR. Outside of the loans in
special servicing, Morningstar DBRS also notes the high
concentration of loans backed by office properties, with a number
of those loans exhibiting performance declines from issuance
coupled with significant upcoming rollover risk. These loans are
considered primary drivers of the Negative trends on Classes X-B,
B, and C.
As of the July 2024 remittance, 33 of the original 37 loans remain
in the pool with an aggregate principal balance of $685.7 million,
representing a collateral reduction of 15.4% since issuance. Seven
loans, representing 28.9% of the pool, are on the servicer's
watchlist being monitored for low debt service coverage ratios
(DSCRs), occupancy declines, upcoming maturities, and deferred
maintenance. Excluding collateral that has been fully defeased, the
pool is most concentrated by loans that are secured by office
properties, which represent 41.7% of the pool balance. Morningstar
DBRS has a cautious outlook on this asset type as sustained upward
pressure on vacancy rates in the broader office market may
challenge landlords' efforts to backfill vacant space and, in
certain instances, contribute to value declines, particularly for
assets in noncore markets and/or with disadvantages in location,
building quality, or amenities offered. Where applicable,
Morningstar DBRS increased the probability of default (POD)
penalties and, in certain cases, applied stressed loan-to-value
ratios (LTVs) for loans exhibiting performance concerns.
The largest loan in special servicing, First Stamford, is secured
by a Class A office complex in Stamford, Connecticut. The pari
passu loan is securitized across five CMBS transactions, including
the subject transaction as well as JPMDB 2017-C7 and BANK
2017-BNK7, which are also rated by Morningstar DBRS. The loan
transferred to special servicing in December 2023 for payment
default. The most recent special servicer commentary notes that a
receiver was appointed in May 2024 and the workout strategy is
foreclosure. The occupancy rate has declined to 75% as of YE2023
from 91% at issuance as a result of departing or downsizing
tenants. Consequently, the loan's cash flow and DSCR have also
declined since issuance. There is concentrated near-term lease
rollover as tenant leases representing approximately 17.0% of the
net rentable area are scheduled to expire within the next 12
months. According to Reis, as of Q2 2024, the average office
vacancy rate in the Stamford submarket was 28.8%. An appraisal
dated February 2024 indicated an as-is value of $135.9 million, a
substantial decline from the issuance appraised value of $285.0
million. Morningstar DBRS liquidated the loan in its analysis based
on a haircut to the most recent appraised value, resulting in a
loss severity of approximately 40.0%.
The second largest loan in special servicing, 211 Main Street
(Prospective ID#6; 6.6% of the pool), transferred to the special
servicer in April 2024 following the sponsor's inability to repay
the loan at maturity. The subject note is pari passu with notes
securitized in JPMCC 2016-JP6 and DPJPM 2017-C6, both of which are
rated by Morningstar DBRS. The collateral is a 417,266-square foot
(sf) office building constructed in 1973 and located in the heart
of downtown San Francisco. Although unconfirmed by the servicer,
media sources indicate the borrower was granted a four-year loan
extension, which would extend the loan's maturity date to April
2028. At issuance, the building was 100% occupied by Charles
Schwab, which maintained its global headquarters at the subject on
a lease through April 2028. In 2021, the tenant moved its
headquarters to the Dallas-Fort Worth area and has reduced its
footprint at the subject to six floors from 17 floors. Charles
Schwab has no termination options and Morningstar DBRS expects that
all excess cash is being trapped according to the loan triggers.
The tenant continues to honor its original lease terms, as
evidenced by the stable reported cash flow and DSCR. According to
Reis, the South Financial District office submarket reported a Q2
2024 vacancy rate of 23.3% and net absorption of -1.84 million sf
for YE2023, indicating an uphill battle to find suitable tenants
during the loan's proposed extension period. If a loan extension
was indeed granted, it will provide a longer runway with which the
borrower may locate replacement tenants but also expose the loan to
increased maturity default risk as the sole in-place lease is
co-terminus with the extended maturity. Morningstar DBRS expects
the property value has likely declined from the issuance value of
$294 million given the decline in space utilization in addition to
the challenged office landscape, weakened submarket conditions, and
age of the asset. Morningstar DBRS analyzed this loan with an
elevated POD and LTV.
The last specially serviced loan, Springhill Suites Newark Airport
(Prospectus ID#13; 2.4% of the pool), is secured by a 200-key
limited-service hotel in Newark, New Jersey. The loan transferred
to special servicing in June 2020 and became real estate owned in
January 2023. The special servicer continues to work to stabilize
property performance while finalizing the timing for an eventual
disposition. An updated STR report was not provided; however,
according to the servicer commentary, the subject reported an
occupancy rate, average daily rate, and revenue per available room
(RevPAR) of 83%, $145.40, and $120.62, respectively for the
trailing 12-months ended March 31, 2024. The property's RevPAR
penetration for the same time period was 109%. Although these
metrics have improved since the loan's transfer to special
servicing, the most recent appraised value of $20.3 million, dated
February 2024, represents a -29% variance from the issuance
appraised. In its analysis, Morningstar DBRS liquidated this loan
from the pool based on a 10% haircut to the February 2024 value
with the loss severity approaching 45%.
At issuance, Morningstar DBRS assigned an investment-grade shadow
rating to the Gateway Net Lease Portfolio loan (Prospectus ID#2;
8.8% of the pool). As part of the current review, Morningstar DBRS
removed the shadow rating in light of the borrower's inability to
repay the loan at maturity in June 2024. The loan is secured by a
portfolio of 41 single-tenant industrial and office properties
totaling approximately 5.3 million sf situated across 20 states.
Although financial performance remains in line with issuance
expectations, the borrower has entered into a forbearance agreement
effective to August 2024 to allow it additional time to obtain
takeout financing.
Notes: All figures are in U.S. dollars unless otherwise noted.
KKR CLO 15: Moody's Assigns Ba3 Rating on $23.5MM Class E-R2 Notes
------------------------------------------------------------------
Moody's Ratings has assigned ratings to six classes of CLO
refinancing notes (the "Refinancing Notes") issued by KKR CLO 15
Ltd. (the "Issuer").
Moody's rating actions are as follows:
US$208,323,441 Class A-1-R2 Senior Secured Floating Rate Notes due
2032, Assigned Aaa (sf)
US$15,000,000 Class A-2-R2 Senior Secured Floating Rate Notes due
2032, Assigned Aaa (sf)
US$40,500,000 Class B-R2 Senior Secured Floating Rate Notes due
2032, Assigned Aaa (sf)
US$19,750,000 Class C-R2 Senior Secured Deferrable Floating Rate
Notes due 2032, Assigned A1 (sf)
US$24,250,000 Class D-R2 Senior Secured Deferrable Floating Rate
Notes due 2032, Assigned Baa3 (sf)
US$23,500,000 Class E-R2 Senior Secured Deferrable Floating Rate
Notes due 2032, Assigned Ba3 (sf)
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
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, including the expectation that the
notes will continue to be paid down given the end of the
reinvestment period in January 2024.
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.
KKR Financial Advisors II, LLC (the "Manager") will continue to
direct the selection, acquisition and disposition of the assets on
behalf of the Issuer.
The Issuer previously issued one other class of secured notes and
one class of subordinated notes, which will remain outstanding.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the Refinancing Notes'
non-call period and changes to the definition of "Adjusted Weighted
Average Moody's Rating Factor".
No action was taken on the Class F-R notes because its expected
loss remains commensurate with its current rating, 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: $355,658,557
Defaulted par: $4,263,424
Diversity Score: 71
Weighted Average Rating Factor (WARF): 3099
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.78%
Weighted Average Recovery Rate (WARR): 47.28%
Weighted Average Life (WAL): 3.9 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 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 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.
LCM LTD XIV: Moody's Cuts Rating on $8MM Class F-R Notes to Caa2
----------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by LCM XIV Limited Partnership:
US$47,500,000 Class B-R Senior Floating Rate Notes due 2031 (the
"Class B-R Notes"), Upgraded to Aaa (sf); previously on June 2,
2023 Upgraded to Aa1 (sf)
US$22,250,000 Class C-R Deferrable Mezzanine Floating Rate Notes
due 2031 (the "Class C-R Notes"), Upgraded to Aa2 (sf); previously
on June 2, 2023 Upgraded to A1 (sf)
US$23,000,000 Class D-R Deferrable Mezzanine Floating Rate Notes
due 2031 (the "Class D-R Notes"), Upgraded to Baa2 (sf); previously
on September 21, 2020 Confirmed at Baa3 (sf)
Moody's have also downgraded the rating on the following notes:
US$8,000,000 Class F-R Deferrable Mezzanine Floating Rate Notes due
2031 (the "Class F-R Notes"), Downgraded to Caa2 (sf); previously
on June 2, 2023 Downgraded to Caa1 (sf)
LCM XIV Limited Partnership, originally issued in July 2013 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 July 2023.
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
RATINGS RATIONALE
The upgrade rating actions are primarily a result of deleveraging
of the senior notes and an increase in the transaction's
over-collateralization (OC) ratios since July 2023. The Class A-R
notes have been paid down by approximately 48.0% or $122.9 million
since then. Based on the trustee's July 2024 report[1], the OC
ratios for the Class A-R/B-R, Class C-R and Class D-R notes are
reported at 133.82%, 121.86% and 111.55%, respectively, versus July
2023[2] levels of 127.24%, 118.55% and 110.73%, respectively.
Moody's note that the July 2024 trustee-reported OC ratios do not
reflect the July 2024 payment distribution, when $44.7 million of
principal proceeds were used to pay down the Class A-R Notes.
The downgrade rating action on the Class F-R notes reflects the
specific risks to the junior notes posed by par loss and credit
deterioration observed in the underlying CLO portfolio. Based on
the trustee's July 2024 report[3], the OC ratio for the Class F-R
notes is reported at 101.39% versus July 2023[4] level of 102.71%.
Furthermore, the trustee-reported weighted average rating factor
(WARF) has been deteriorating and the current level is 3306[5],
compared to 3083[6] in July 2023.
No actions were taken on the Class A-R and Class E-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: $258,611,511
Defaulted par: $0.00
Diversity Score: 69
Weighted Average Rating Factor (WARF): 3076
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.52%
Weighted Average Recovery Rate (WARR): 47.05%
Weighted Average Life (WAL): 3.67 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.
LUXE TRUST 2021-TRIP: DBRS Confirms B(low) Rating on 2 Classes
--------------------------------------------------------------
DBRS Limited confirmed its credit ratings on all classes of
Commercial Mortgage Pass-Through Certificates, Series 2021-TRIP
issued by LUXE Trust 2021-TRIP as follows:
-- Class B at AAA (sf)
-- Class C at AAA (sf)
-- Class D at AA (sf)
-- Class E at A (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)
-- Class HRR at B (low) (sf)
All trends are Stable.
The credit rating confirmations reflect the overall stable
performance of the underlying collateral, as evidenced by the
growth in weighted average (WA) occupancy rates, average daily rate
(ADR), and revenue per available room (RevPAR) figures since
issuance. The loan has been added to the servicer's watchlist ahead
of its upcoming maturity in October 2024, and per the most recent
servicer commentary, the borrower is expected to pay off the loan
in full at that time and is not expected to exercise its last two
remaining extensions options.
At issuance, the $1.8 billion floating-rate, interest-only loan was
collateralized by the fee-simple and/or leasehold interest in a
portfolio of nine luxury hospitality properties, totaling 3,269
rooms, located across five states. The hotels were distributed
among four different flags, namely the Four Seasons, Fairmont,
Loews, and Marriott (Ritz-Carlton). Since issuance, three of the
original nine properties have been successfully released from the
pool: the Four Seasons Jackson Hole (released in November 2022),
the Four Seasons Scottsdale Troon North (released in December
2022), and Loews Santa Monica (release in February 2023). The
current pool balance is $1.1 billion, representing a collateral
reduction of $685.7 million or 38.1% since issuance. Property
releases are permitted but subject to a release premium of 110% for
the first 25% of the collateral, followed by 115% until a 50%
collateral reduction is reached, and 120% thereafter, based on the
allocated loan amount (ALA). Furthermore, immediately prior to the
release the property, the debt yield must equal or be greater than
5.5%. The sponsor is an affiliate of Strategic Hotels and Resorts,
which was acquired by AB Stable VII, LLC and is an indirect
subsidiary of Anbang Insurance Group Co., Ltd., the owner of the
borrowers.
The remaining collateral consists of six hotels totaling 2,558
rooms across Arizona, California, Illinois, and Texas. Four of the
six properties have reported improved performance since issuance,
while two properties slightly lag issuance expectations. The YE2023
reported net cash flow (NCF) for the remaining assets was $114.0
million, which remains in line with Morningstar DBRS' concluded NCF
of $106.8 million at issuance for those same properties. According
to the STR report for the trailing 12-month period (T-12) ended
December 31, 2024, the WA occupancy rate, ADR, and RevPAR for the
remaining six properties were reported at 61%, $548, and $333,
respectively, representing a WA RevPAR penetration rate of 118%.
For those same properties, the Morningstar DBRS WA figures from
issuance were 67%, $416, and $280, respectively, illustrating a
marked increase in ADR and RevPAR over issuance expectations.
At last review, given the property releases, Morningstar DBRS
updated the loan-to-value ratio (LTV) sizing in its analysis to
reflect both the impact of that paydown and the ability of the
ratings to withstand fluctuations in property value over the
remainder of the term. Morningstar DBRS derived a stressed value of
$1.15 billion using an NCF of $86.7 million and a capitalization
rate of 7.5%. The implied Morningstar DBRS LTV for the stressed
scenario is 96.8%. This updated value represented a -41.3% variance
from the issuance appraised value of $1.96 billion, reflecting the
property releases. Morningstar DBRS maintained the positive
qualitative adjustments totaling 5.75% to account for the
historically strong performance, property quality, and market
fundamentals.
Notes: All figures are in U.S. dollars unless otherwise noted.
MADISON PARK LVII: Fitch Assigns 'BB+sf' Rating on Class E-R Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Madison
Park Funding LVII, Ltd. first refinancing.
Entity/Debt Rating Prior
----------- ------ -----
Madison Park
Funding LVII, Ltd.
A-1 55822GAA2 LT PIFsf Paid In Full AAAsf
A-1R LT AAAsf New Rating
A-2 55822GAC8 LT PIFsf Paid In Full AAAsf
A-2R LT AAAsf New Rating
B-1 55822GAE4 LT PIFsf Paid In Full AAsf
B-2 55822GAG9 LT PIFsf Paid In Full AAsf
B-R LT AA+sf New Rating
C-1 55822GAJ3 LT PIFsf Paid In Full A+sf
C-1R LT A+sf New Rating
C-2 55822GAL8 LT PIFsf Paid In Full A+sf
C-2R LT A+sf New Rating
D 55822GAN4 LT PIFsf Paid In Full BBB-sf
D-R LT BBB+sf New Rating
E-R LT BB+sf New Rating
F LT NRsf New Rating
Transaction Summary
Madison Park Funding LVII, Ltd. (the issuer) is an arbitrage cash
flow collateralized loan obligation (CLO) that will be managed by
UBS Asset Management (Americas) LLC that originally closed on June
2022. This is the first refinancing where the class A-1, A-2, B-1,
B-2, C-1, C-2, D and E are expected to be refinanced in Aug. 8,
2024 with net proceeds from the issuance of the new notes, which
includes a new class F note. The class B-1 and B-2 are also being
combined into a new refinancing class B-R. Net proceeds from the
issuance of the secured and subordinated notes will provide
financing on a portfolio of approximately $496 million of primarily
first lien senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B'/'B-', which is in line with that of
recent CLOs. Issuers rated in the 'B' rating category denote a
highly speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard CLO structural
features.
Asset Security (Positive): The indicative portfolio consists of
97.42% first-lien senior secured loans and has a weighted average
recovery assumption of 75.26%. Fitch stressed the indicative
portfolio by assuming a higher portfolio concentration of assets
with lower recovery prospects and further reduced recovery
assumptions for higher rating stresses.
Portfolio Composition (Positive): The largest three industries may
comprise up to 37% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity required by industry,
obligor and geographic concentrations is in line with other recent
CLOs.
Portfolio Management (Neutral): The transaction has a three-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting to the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The weighted average life (WAL) used for the transaction stress
portfolio is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
KEY PROVISION CHANGES
The refinancing is being implemented via the supplemental
indenture, which amended certain provisions of the transaction.
The changes include but are not limited to:
- Class A-1, A-2, B-1, B-2, C-1, C-2, D, and E notes will be
refinanced into the class A-1R, A-2R, B-R, C-1R, C-2R, D-R, and E-R
notes;
- Class B-1 and B-2 notes are combined in one new class B-R notes
and a new class F is being issued
- The spread for class A-1R notes is 1.28%, compared to the class
A-1 notes spread of 1.53%;
- The spread for class A-2R notes is 1.50%, compared to the class
A-2 notes spread of 1.75%;
- The spread for class B-R notes is 1.70%, compared to the class
B-1 and B-2 notes spread of 2.15% and 4.66% respectively;
- The spread for class C-1R notes is 1.85%, compared to the class
C-1 notes spread of 2.80%;
- The interest rate for class C-2R notes is 5.75%, compared to the
class C-2 notes spread of 5.31%;
- The spread for class D-R notes is 2.95%, compared to the class D
notes spread of 4.35%;
- The spread for class E-R notes is 6.70%, compared to the class E
notes spread of 7.34%;
- The spread for class F notes is 7.86%;
- The non-call period for the refinancing notes will end in July
2025;
- The WAL test is being extended to 8.0 years;
- Stated maturity on refinanced notes remained the same as compared
to the original notes.
FITCH ANALYSIS
The current portfolio dated June 14, 2024 includes 372 primarily
high yield obligors (excluding defaulted obligations). Fitch
reviewed the July trustee report and confirmed it was approximately
the same as the June trustee report, which is the report Fitch used
for its analysis.
The portfolio balance, including the amount of principal cash, was
approximately $493 million. As per the trustee report, the
transaction passes all of its coverage tests and concentration
limitations, except for the CCC/Caa limits.
The weighted average rating factor of the current portfolio is
'B'/'B-'.
Analysis focused on the Fitch stressed portfolio (FSP) and cash
flow model analysis was conducted for the first refinancing. The
FSP included the following concentrations and test levels,
reflecting the maximum limitations per the indenture or Fitch's
assumption:
- Largest five obligors: 2.5% each, for an aggregate of 12.5%;
- Largest three industries: 15%, 12%, and 10%, respectively;
- Assets rated 'CCC+' or below: 7.5%;
- Assumed risk horizon: 7.0 years; the current indicative portfolio
WAL is 4.5 years
- Minimum weighted average coupon of 7.0%;
- Minimum weighted average spread of 3.50%;
- Fixed rate Assets: 5.0%;
- Non-First priority senior secured assets: 4.0%.
Fitch conducted cash flow analysis based on a revolving structure
due to the likelihood that the CLO will continue to reinvest
unscheduled principal proceeds and/or sale proceeds from credit
risk obligations, subject to certain conditions.
Projected default and recovery statistics for the performing
collateral of the FSP were generated using Fitch's portfolio credit
model (PCM). The PCM default rate outputs for the FSP at the
'AAAsf' rating stress were 53.9%, at the 'AA+' rating stress were
52.6%, at the 'A+' rating stress were 46.7%, at the 'BBB+' rating
stress were 40.3% and at the 'BB+' rating stress were 33.9%. The
PCM recovery rate outputs for the FSP at the 'AAAsf' rating stress
were 39.0%, at the 'AA+' rating stress were 48.1%, at the 'A+'
rating stress were 57.6%, at the 'BBB+' rating stress were 67.0%
and at the 'BB+' rating stress were 72.3%.
In the analysis of the current portfolio the class A-1R, A-2R, B-R,
C-1R, C-2R, D-R and E-R notes passed their respective rating
thresholds in all nine cash flow scenarios with minimum cushion of
14.0%, 11.5%, 10.50%, 12.70%, 12.70%, 9.20% and 13.30%
respectively.
In the analysis of the FSP, the class A-1R, A-2R, B-R, C-1R, C-2R,
D-R and E-R notes passed their respective rating thresholds in all
nine cash flow scenarios with minimum cushion of 7.20%, 4.70%,
3.70%, 5.70%, 5.70%, 3.70% and 8.50% respectively.
Fitch assigned 'AAAsf', 'AAAsf', 'AA+sf', 'A+sf', 'A+sf', 'BBB+sf',
'BB+sf' ratings with a Stable Rating Outlook to the class A-1R,
A-2R, B-R, C-1R, C-2R D-R and E-R because it believes the notes can
sustain a robust level of defaults combined with low recoveries, as
well as other factors, such as the degree of cushion when analyzing
the indicative portfolio and the strong performance in the
sensitivity scenarios.
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 'AA+sf' for class A-1R, between
'BBB+sf' and 'AA+sf' for class A-2R, between 'BBB-sf' and 'AAsf'
for class B-R, between 'BB-sf' and 'BBB+sf' for class C-R, between
less than 'B-sf' and 'BBB-sf' for class D-R, and between less than
'B-sf' and 'BBsf' 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-1R and class
A-2R 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-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.
ESG Considerations
Fitch does not provide ESG relevance scores for Madison Park
Funding LVII, 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.
MADISON PARK LVII: Moody's Assigns B3 Rating to $250,000 F Notes
----------------------------------------------------------------
Moody's Ratings has assigned ratings to two classes of CLO
refinancing notes (the "Refinancing Notes") issued by Madison Park
Funding LVII, Ltd. (the "Issuer").
Moody's rating action is as follows:
US$307,500,000 Class A-1R Floating Rate Senior Notes due 2034,
Assigned Aaa (sf)
US$250,000 Class F Deferrable Floating Rate Junior Notes due 2034,
Assigned B3 (sf)
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
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.
UBS Asset Management (Americas) 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 remaining
reinvestment period.
The Issuer previously issued one class of subordinated notes, which
will remain outstanding.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extensions of the stated non-call
period; changes to certain collateral quality tests; and changes to
the overcollateralization test 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 o Moody's ur 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: $498,505,133
Defaulted par: $4,036,980
Diversity Score: 71
Weighted Average Rating Factor (WARF): 3300
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.72%
Weighted Average Coupon (WAC): 4.45%
Weighted Average Recovery Rate (WARR): 45.99%
Weighted Average Life (WAL): 7 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 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 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.
MADISON PARK XLIII: S&P Assigns Prelim B- (sf) Rating on F-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R and F-R replacement debt from Madison Park Funding XLIII
Ltd./Madison Park Funding XLIII LLC, a CLO managed by UBS Asset
Management (Americas) LLC that was originally issued in August 2018
as Atrium XIV Ltd./Atrium XIV LLC and underwent a partial
refinancing in August 2020. S&P Global Ratings rated the original
transaction, but it did not rate the previous refinancing.
The preliminary ratings are based on information as of Aug. 13,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Sept. 5, 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-RR, B-1-R, B-2-R, C-R, D-1-R,
D-2-R, E-R, and F-R debt is expected to be issued at a lower spread
or coupon than the original debt.
-- The stated maturity will be extended to Oct. 16, 2037.
-- The new non-call date will be Oct. 16, 2026.
-- There will be no additional effective date or ramp-up period,
and the first payment date following the refinancing will be Jan.
16, 2025.
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
Madison Park Funding XLIII Ltd./Madison Park Funding XLIII LLC
Class A-1-R, $492.00 million: AAA (sf)
Class F-R (deferrable), $0.25 million: B- (sf)
Other Debt
Madison Park Funding XLIII Ltd./Madison Park Funding XLIII LLC
Class A-2-RR, $44.00 million: NR
Class B-1-R, $56.00 million: NR
Class B-2-R, $16.00 million: NR
Class C-R (deferrable), $48.00 million: NR
Class D-1-R (deferrable), $48.00 million: NR
Class D-2-R (deferrable), $8.00 million: NR
Class E-R (deferrable), $24.00 million: NR
Subordinated notes, $89.20 million: NR
NR--Not rated.
MADISON PARK XXXII: Moody's Assigns B3 Rating to $250,000 F Notes
-----------------------------------------------------------------
Moody's Ratings has assigned ratings to two classes of CLO
refinancing notes (the Refinancing Notes) issued by Madison Park
Funding XXXII, Ltd. (the Issuer):
US$512,000,000 Class A-1-R2 Floating Rate Senior Notes due 2037,
Rating Assigned Aaa (sf)
US$250,000 Class F Deferrable Floating Rate Junior Notes due 2037,
Rating 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
90.0% of the portfolio must consist of first lien senior secured
loans and up to 10.0% of the portfolio may consist of not senior
secured loans
UBS Asset Management (Americas) LLC (the Manager) will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's 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, six other
classes of secured notes and one additional class of 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; and 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: $800,000,000
Diversity Score: 75
Weighted Average Rating Factor (WARF): 3294
Weighted Average Spread (WAS): 3.70%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 45.75%
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.
MARINER FINANCE 2024-A: S&P Assigns BB sf) Rating on Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Mariner Finance Issuance
Trust 2024-A's asset-backed 2024-A.
The note issuance is ABS transaction backed by personal consumer
loan receivables.
The ratings reflect:
-- The availability of approximately 54.48%, 47.77%, 42.76%,
35.41%, and 30.48% credit support for the class A, B, C, D, and E
notes, respectively, in the form of subordination,
overcollateralization, a reserve account, and excess spread. These
credit support levels are sufficient to withstand stresses
commensurate with the ratings assigned to the notes based on our
stressed cash flow scenarios.
-- S&P's worst-case, weighted average, base-case default
assumption for this transaction of 18.45%. S&P's default assumption
is a function of the transaction-specific reinvestment criteria and
historical Mariner Finance LLC (Mariner) portfolio loan
performance.
-- Mariner's long performance history as originator and servicer.
Mariner has been profitable every year since 2002.
-- S&P's expectation that under a moderate ('BBB') stress
scenario, all else being equal, the assigned ratings will be
consistent with the credit stability section of "S&P Global Ratings
Definitions," published June 9, 2023.
-- The timely interest and full principal payments expected to be
made by the final maturity date under stressed cash flow modeling
scenarios appropriate to the assigned ratings.
-- The characteristics of the pool being securitized and
receivables expected to be purchased during the three-year
revolving period, which considers the worst-case pool according to
the transaction's concentration limits.
-- The transaction's payment and legal structures.
Ratings Assigned
Mariner Finance Issuance Trust 2024-A
Class A, $270.67 million: AAA (sf)
Class B, $52.23 million: AA (sf)
Class C, $28.49 million: A (sf)
Class D, $33.24 million: BBB- (sf)
Class E, $40.37 million: BB (sf)
MIDOCEAN CREDIT VII: Moody's Cuts Rating on $9MM Cl. F Notes to Ca
------------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by MidOcean Credit CLO VII:
US$36,000,000 Class C-R Deferrable Floating Rate Notes due 2029
(the "Class C-R Notes"), Upgraded to Aaa (sf); previously on
November 9, 2023 Upgraded to Aa2 (sf)
US$34,500,000 Class D Deferrable Floating Rate Notes due 2029 (the
"Class D Notes"), Upgraded to A2 (sf); previously on November 9,
2023 Upgraded to Baa2 (sf)
Moody's have also downgraded the ratings on the following notes:
US$28,500,000 Class E Deferrable Floating Rate Notes due 2029 (the
"Class E Notes"), Downgraded to Caa1 (sf); previously on September
2, 2020 Confirmed at Ba3 (sf)
US$9,000,000 Class F Deferrable Floating Rate Notes due 2029 (the
"Class F Notes") (current outstanding balance of $10,661,038.32),
Downgraded to Ca (sf); previously on April 4, 2023 Downgraded to
Caa3 (sf)
MidOcean Credit CLO VII, originally issued in July 2017 and
partially refinanced in February 2020 is a managed cashflow CLO.
The notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The transaction's
reinvestment period ended in July 2021.
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
RATINGS RATIONALE
These upgrade rating actions are primarily a result of deleveraging
of the senior notes and an increase in the transaction's
over-collateralization (OC) ratios since November 2023. The Class
A-1-R notes have been paid down by approximately 98% or $169.7
million since that time. Based on Moody's calculation, the OC
ratios for the Class C and Class D notes are currently 156.14% and
119.94%, respectively, versus November 2023 levels of 130.22% and
116.11%, respectively.
The downgrade rating actions on the Class E and F notes reflects
the specific risks to the junior notes posed by deterioration in OC
ratios by par loss from additional defaults and trading observed in
the underlying CLO portfolio since November 2023. Based on Moody's
calculation, the OC ratios for the Class E and F notes at currently
modeled at 100.66% and 94.96%, respectively versus November 2023
levels of 106.58% and 103.70%, respectively.
No actions were taken on the Class A-1-R, Class A-2-R, Class B-R
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: $179,981,438
Defaulted par: $5,794,002
Diversity Score: 38
Weighted Average Rating Factor (WARF): 2768
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.22%
Weighted Average Recovery Rate (WARR): 47.88%
Weighted Average Life (WAL): 2.99 years
Par haircut in OC tests and interest diversion test: 1.92%
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.
MORGAN STANLEY 2024-3: Fitch Assigns 'B' Final Rating on Cl. R Debt
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings to Morgan Stanley
Residential Mortgage Loan Trust 2024-3 (MSRM 2024-3).
Entity/Debt Rating Prior
----------- ------ -----
MSRM 2024-3
A1 LT AAAsf New Rating AAA(EXP)sf
A2 LT AAAsf New Rating AAA(EXP)sf
A3 LT AAAsf New Rating AAA(EXP)sf
A4 LT AAAsf New Rating AAA(EXP)sf
A4IO LT AAAsf New Rating
A5 LT AAAsf New Rating AAA(EXP)sf
A5IO LT AAAsf New Rating AAA(EXP)sf
A6 LT AAAsf New Rating AAA(EXP)sf
A6IO LT AAAsf New Rating AAA(EXP)sf
A7 LT AAAsf New Rating AAA(EXP)sf
A7IO LT AAAsf New Rating
A8 LT AAAsf New Rating AAA(EXP)sf
A8IO LT AAAsf New Rating AAA(EXP)sf
A9 LT AAAsf New Rating
A9IO LT AAAsf New Rating
A10 LT AAAsf New Rating
A10IO LT AAAsf New Rating
AF LT AAAsf New Rating AAA(EXP)sf
AX LT AAAsf New Rating AAA(EXP)sf
AXIO1 LT AAAsf New Rating AAA(EXP)sf
B1 LT AA-sf New Rating AA-(EXP)sf
B1A LT AA-sf New Rating AA-(EXP)sf
B1X LT AA-sf New Rating AA-(EXP)sf
B2 LT A-sf New Rating A-(EXP)sf
B2A LT A-sf New Rating A-(EXP)sf
B2X LT A-sf New Rating A-(EXP)sf
B3 LT BBB-sf New Rating BBB-(EXP)sf
B3A LT BBB-sf New Rating BBB-(EXP)sf
B3X LT BBB-sf New Rating BBB-(EXP)sf
B4 LT BBsf New Rating BB(EXP)sf
B5 LT Bsf New Rating B(EXP)sf
B6 LT NRsf New Rating NR(EXP)sf
R LT NRsf New Rating NR(EXP)sf
Transaction Summary
MSRM 2024-3 is the 20th post-crisis transaction off the Morgan
Stanley Residential Mortgage Loan Trust (MSRM) shelf. The first
MSRM transaction was issued in 2014. This is also the 18th MSRM
transaction to comprise loans from various sellers that were
acquired by Morgan Stanley in its prime-jumbo aggregation process
and their third prime transaction in 2024.
The certificates are supported by 435 prime-quality loans with a
total balance of approximately $386.48 million as of the cutoff
date. The pool consists of 100% fixed-rate mortgages (FRMs) from
various mortgage originators. The largest originators are
CrossCountry Mortgage at 21.7% and Guaranteed Rate at 12.7%. United
Wholesale Mortgage either originated or purchased 12.4% of loans
with all other originators making up less than 10% of the overall
pool. The servicers for this transaction are Shellpoint servicing
91.7% of the loans, and PennyMac (which includes PennyMac Corp. and
PennyMac Loan Services) servicing 8.3% of the loans. Nationstar
Mortgage LLC (Nationstar) will be the master servicer.
Of the loans, 99.5% qualify as Safe Harbor qualified mortgage
(SHQM) average prime offer rate (APOR) loans. The remaining 0.5%
are higher-priced QM (HPQM) APOR loans.
There is no exposure to LIBOR in this transaction. The collateral
comprises 100% fixed-rate loans, and the certificates are (i) fixed
rate and capped at the net weighted average coupon (WAC), (ii)
floating rate based on the SOFR index or (ii) have a coupon based
on the net WAC.
As with other prime transactions, this transaction utilizes a
senior-subordinate, shifting-interest structure with subordination
floors to protect against tail risk.
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 11.1% above a long-term sustainable level (vs.
11.5% on a national level as of 1Q24, up 0.4% 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 5.9% YoY nationally as of May 2024 despite modest
regional declines, but are still being supported by limited
inventory.
High Quality Prime Mortgage Pool (Positive): The collateral
consists of 100% first-lien, prime-quality mortgage loans with
terms of mainly 30 years. More specifically, the collateral
consists of 15-, 20- or 30-year, fixed-rate fully amortizing loans
seasoned at approximately 4.4 months in aggregate as determined by
Fitch (two months per the transaction documents). Of the loans,
65.6% were originated through the sellers' retail channels.
The borrowers in this pool have strong credit profiles with a 775
WA FICO, according to Fitch's analysis (FICO scores range from 660
to 839), and represent either owner-occupied homes or second homes.
Of the pool, 93.8% of loans are collateralized by single-family
homes, including single-family, planned unit development (PUD) and
single-family attached homes, while condominiums make up 6.0% and
manufactured housing make up 0.2%. There are no investor loans in
the pool, which Fitch views favorably.
The WA combined loan-to-value ratio (CLTV) is 71.8%, which
translates into an 79.7% sustainable LTV (sLTV) as determined by
Fitch. The 71.8% CLTV is driven by the large percentage of purchase
loans (93.0%), which have a WA CLTV of 72.0%.
A total of 158 loans are over $1.0 million, and the largest loan
totals $3.0 million. Fitch considered 100% of the loans in the pool
to be fully documented loans.
Six loans in the pool comprise a nonpermanent resident, and none of
the loans in the pool were made to foreign nationals. Based on
historical performance, Fitch found that nonpermanent residents
performed in line with U.S. citizens; as a result, these loans did
not receive additional adjustments in the loss analysis.
Approximately 25% of the pool is concentrated in California with
moderate MSA concentration for the pool as a whole. The largest MSA
concentration is in the Seattle MSA (10.7%), followed by the San
Francisco MSA (7.9%) and the Washington MSA (5.9%). The top three
MSAs account for 24.6% of the pool. There was no adjustment for
geographic concentration.
Loan Count Concentration (Negative): The loan count for this pool
(435 loans) results in a loan count concentration penalty. The loan
count concentration penalty applies when the WA number (WAN) of
loans is less than 300; in this pool, the WAN is 297. The loan
count concentration for this pool results in a 1.005x penalty,
which increases loss expectations by three basis points (bps) at
the 'AAAsf' rating category.
Shifting-Interest Structure and Full Advancing (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. The lockout feature helps maintain subordination for a
longer period should losses occur later in the life of the
transaction. The applicable credit support percentage feature
redirects subordinate principal to classes of higher seniority if
specified credit enhancement (CE) levels are not maintained.
The servicers will provide full advancing for the life of the
transaction. Although full principal and interest (P&I) advancing
will provide liquidity to the certificates, it will also increase
the loan-level loss severity (LS) since the servicers look to
recoup P&I advances from liquidation proceeds, which results in
less recoveries.
Nationstar is the master servicer and will advance if the servicers
are unable to. If the master servicer is not able to advance, then
the securities administrator (Citibank, N.A.) will advance.
Credit Enhancement Floor (Positive): A CE or senior subordination
floor of 2.15% has been considered to mitigate potential tail-end
risk and loss exposure for senior tranches as the pool size
declines and performance volatility increases due to adverse loan
selection and small loan count concentration. Additionally, a
junior subordination floor of 1.40% has been considered to mitigate
potential tail-end risk and loss exposure for subordinate tranches
as the pool size declines and performance volatility increases due
to adverse loan selection and small loan count concentration.
Since the presale was published, additional interest only and
exchangeable classes have been added to the structure. The ratings
on these classes are based off of the lowest rating(s) they are
notional off of or exchangeable for. In addition, Fitch updated its
sustainable market value decline assumptions to reflect updated
home price and economic data. This had no material impact on its
loss assumptions. The credit enhancement remains the same for all
classes since the expected ratings were assigned and the final
ratings assigned are the same as the expected ratings that were
previously assigned.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. Sensitivity analyses were conducted at
the state and national levels to assess the effect of higher MVDs
for the subject pool as well as lower MVDs, illustrated by a gain
in home prices.
This defined 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 MVD, which is 42.0% in the 'AAAsf' stress. The analysis
indicates that there is some potential rating migration with higher
MVDs, 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
This defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all of the rated classes.
Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated class excluding those being assigned
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 modelling 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 SitusAMC. The third-party due diligence described in
Form 15E focused on four areas: compliance review, credit review,
valuation review and data integrity. Fitch considered this
information in its analysis and, as a result, Fitch did not make
any adjustments to its analysis based on the findings. Due to the
fact that there was 100% due diligence provided and there were no
material findings, Fitch reduced the 'AAAsf' expected loss by
0.31%.
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review
performed on 100% of the pool. The third-party due diligence was
generally consistent with Fitch's "U.S. RMBS Rating Criteria."
SitusAMC was engaged to perform the review. Loans reviewed under
this engagement were given compliance, credit and valuation grades,
and assigned initial grades for each subcategory. Minimal
exceptions and waivers were noted in the due diligence reports.
Refer to the Third-Party Due Diligence section of the presale
report for more detail.
Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. Fitch received
loan-level information based on the American Securitization Forum's
(ASF) data layout format, and the data are considered to be
comprehensive. The ASF data tape layout was established with input
from various industry participants, including rating agencies,
issuers, originators, investors and others to produce an industry
standard for the pool-level data in support of the U.S. RMBS
securitization market. The data contained in the ASF layout data
tape were reviewed by the due diligence companies, and no material
discrepancies were noted.
ESG Considerations
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.
NMEF FUNDING 2023-A: Moody's Affirms Ba3 Rating on Class D Notes
----------------------------------------------------------------
Moody's Ratings has affirmed Class A-2 notes, Class B notes and
Class C notes issued by NMEF Funding 2022-B, LLC (NMEF 2022-B) and
Class A-2 notes and Class D notes issued by NMEF Funding 2023-A,
LLC (NMEF 2023-A), and has upgraded Class B notes and Class C notes
issued by NMEF 2023-A. The transactions are securitizations of
fixed-rate loan and lease contracts secured primarily by
transportation, medical and construction equipment. North Mill
Equipment Finance LLC (North Mill) is the sponsor of the
transaction, and the originator and servicer of the assets.
The complete rating action is as follows:
Issuer: NMEF Funding 2022-B, LLC
Class A-2 Notes, Affirmed Aaa (sf); previously on Oct 14, 2022
Definitive Rating Assigned Aaa (sf)
Class B Notes, Affirmed Aa2 (sf); previously on Sep 29, 2023
Upgraded to Aa2 (sf)
Class C Notes, Affirmed Baa1 (sf); previously on Oct 14, 2022
Definitive Rating Assigned Baa1 (sf)
Issuer: NMEF Funding 2023-A, LLC
Class A-2 Notes, Affirmed Aaa (sf); previously on Sep 20, 2023
Definitive Rating Assigned Aaa (sf)
Class B Notes, Upgraded to Aa2 (sf); previously on Sep 20, 2023
Definitive Rating Assigned Aa3 (sf)
Class C Notes, Upgraded to Baa1 (sf); previously on Sep 20, 2023
Definitive Rating Assigned Baa2 (sf)
Class D Notes, Affirmed Ba3 (sf); previously on Sep 20, 2023
Definitive Rating Assigned Ba3 (sf)
RATINGS RATIONALE
The rating actions considered amortization of the notes and level
of credit enhancement including subordination,
overcollateralization and non-declining reserve accounts. The notes
feature sequential payment structure with the higher priority notes
benefitting from the subordination of notes with lower payment
priority. Moody's also considered the transaction's high exposure
to the trucking and transportation industry which is generally
cyclical and highly correlated with the health of the overall
economy.
The portfolio's losses have worsened due to the downturn in the
trucking industry, and the overcollateralization has decreased and
below target. Due to deterioration in performance of the
collateral, the Cumulative Net Loss (CNL) expectation for NMEF
2022-B was increased to 11.0% from 6.5% and the loss at a Aaa
stress was increased to 35.0% from 32.0% since Moody's last rating
action. CNL expectation for NMEF 2023-A was increased to 7.0% from
5.5% at closing and the loss at a Aaa stress remained unchanged at
32.0%. The increase of the NMEF 2022-B is larger than the NMEF
2023-A given the pool's greater exposure to long-haul trucking
which is the worst performing sector within the portfolio.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Equipment
Lease and Loan Securitizations" published in July 2024.
Factors that would lead to an upgrade or downgrade of the rating:
Up
Moody's could upgrade the notes if, given Moody's expectations of
portfolio losses, levels of credit enhancement are consistent with
higher ratings. In sequential pay structures, such as the one in
this transaction, credit enhancement grows as a percentage of the
collateral balance as collections pay down senior notes. Moody's
expectation of pool losses could decline as a result of a lower
number of obligor defaults. Portfolio losses also depend greatly on
the US macroeconomy, the equipment markets, and changes in
servicing practices.
Down
Moody's could downgrade the notes if, given Moody's expectations of
portfolio losses, levels of credit enhancement are consistent with
lower ratings. Credit enhancement could decline if excess spread is
not sufficient to cover losses in a given month. Moody's
expectation of pool losses could rise as a result of a higher
number of obligor defaults or deterioration in the value of the
equipment securing an obligor's promise of payment. Portfolio
losses also depend greatly on the US macroeconomy, the equipment
markets, and poor servicer performance. Other reasons for
worse-than-expected performance include error on the part of
transaction parties, inadequate transaction governance, and fraud.
NMEF FUNDING 2024-A: Moody's Assigns (P)Ba3 Rating to Cl. D Notes
-----------------------------------------------------------------
Moody's Ratings has assigned provisional ratings to the notes to be
issued by NMEF Funding 2024-A, LLC (NMEF 2024-A). North Mill
Equipment Finance LLC (NMEF) will sponsor the transaction and will
be the servicer of the loan pool to be securitized. The notes will
be backed by a pool of loans and leases secured by mainly new and
used trucking and transportation equipment such as vocational
trucks, trailers, heavy duty trucks, as well as medical and
construction equipment. NMEF Funding 2024-A, LLC will be NMEF's
eighth ABS transaction and the third transaction rated by us.
The complete rating actions are as follows:
Issuer: NMEF Funding 2024-A, LLC
Class A-1 Notes, Assigned (P)P-1 (sf)
Class A-2 Notes, Assigned (P)Aaa (sf)
Class B Notes, Assigned (P)Aa2 (sf)
Class C Notes, Assigned (P)Baa2 (sf)
Class D Notes, Assigned (P)Ba3 (sf)
RATINGS RATIONALE
The provisional ratings for the notes are based on the credit
quality of the equipment loan and lease pool to be securitized and
its expected performance, the historical performance of NMEF's
managed portfolio and that of its prior securitizations, the
experience and expertise of NMEF as the originator and servicer of
the underlying pool, the back-up servicing arrangement with
GreatAmerica Portfolio Services Group LLC, the transaction
structure including the level of credit enhancement supporting the
notes, and the legal aspects of the transaction.
Moody's cumulative net loss expectation for the NMEF 2024-A
collateral pool is 7%, 1.50% higher than the NMEF 2023-A pool, and
loss at a Aaa stress is 32.0%, the same as that for the NMEF 2023-A
pool. Moody's cumulative net loss expectation and loss at a Aaa
stress is based on its analysis of the credit quality of the
underlying collateral pool and the historical performance of
similar collateral, including NMEF's managed portfolio and
transaction performance, the track-record, ability and expertise of
NMEF to perform the servicing functions, and current expectations
for the macroeconomic environment during the life of the
transaction including the current inflationary environment,
increased fuel costs, and decreasing consumer spending leading to
weakening freight demand which is pressuring the margins of
operators in the transportation sector.
The classes of notes will be paid sequentially. At transaction
closing, the Class A, Class B, Class C, and Class D notes will
benefit from approximately 35.3%, 25.4%, 15.9%, and 13.2% of hard
credit enhancement, respectively. Initial hard credit enhancement
for the notes will consist of (1) subordination, (2)
over-collateralization (OC) of 12.15% of the initial adjusted
discounted pool balance with the transaction utilizing excess
spread to build to an OC target of 19.00% of the outstanding
adjusted discounted pool balance subject to a 0.50% OC floor, and
(3) a fully funded, non-declining reserve account of 1.00% of the
initial adjusted discounted pool balance. Excess spread may be
available as additional credit protection for the notes. The
sequential-pay structure and non-declining reserve account will
result in a build-up of credit enhancement supporting the rated
notes.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Equipment
Lease and Loan Securitizations" published in July 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the ratings on the Class B, Class C, and
Class D notes if levels of credit protection are greater than
necessary to protect investors against current expectations of
loss. Moody's then current expectations of loss may be better than
its original expectations because of lower frequency of default by
the underlying obligors or slower depreciation in the value of the
equipment securing obligors' promise of payment. As the primary
drivers of performance, positive changes in the US macro economy
and the performance of various sectors in which the obligors
operate could also affect the ratings. This transaction has a
sequential pay structure and therefore credit enhancement will grow
as a percentage of the collateral balance as collections pay down
senior notes. Prepayments and interest collections directed toward
note principal payments will accelerate this build-up of
enhancement.
Down
Moody's could downgrade the notes if levels of credit enhancement
are insufficient to protect investors against current expectations
of portfolio losses. Losses could rise above Moody's original
expectations as a result of a higher number of obligor defaults or
deterioration in the value of the equipment that secure the
obligor's promise of payment. Portfolio losses also depend on the
health of the trucking and transportation industries. Other reasons
for worse-than-expected performance could include poor servicing,
error on the part of transaction parties, inadequate transaction
governance or fraud.
OCEAN TRAILS 8: Moody's Assigns Ba3 Rating to $19MM Cl. E-RR Notes
------------------------------------------------------------------
Moody's Ratings has assigned ratings to five classes of CLO
refinancing notes (the "Refinancing Notes") issued by Ocean Trails
CLO 8 (the "Issuer").
Moody's rating actions are as follows:
US$228,000,000 Class A-RR Floating Rate Notes due 2034 (the "Class
A-RR Notes"), Assigned Aaa (sf)
US$60,800,000 Class B-RR Floating Rate Notes due 2034 (the "Class
B-RR Notes"), Assigned Aa1 (sf)
US$19,000,000 Class C-RR Deferrable Floating Rate Notes due 2034
(the "Class C-RR Notes"), Assigned A2 (sf)
US$22,800,000 Class D-RR Deferrable Floating Rate Notes due 2034
(the "Class D-RR Notes"), Assigned Baa3 (sf)
US$19,000,000 Class E-RR Deferrable Floating Rate Notes due 2034
(the "Class E-RR Notes"), Assigned Ba3 (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.
Five Arrows Managers North America 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
remaining reinvestment period.
The Issuer previously issued one class of subordinated notes, which
will remain outstanding.
In addition to the issuance of the Refinancing Notes, other changes
to transaction features in connection with the refinancing include
extension of the non-call period, changes to the definition of
"Benchmark Rate", and changes to the Concentration Limitation of
"Obligations with terms that provide for the payment of interest
less frequently than quarterly".
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: $376,470,025
Defaulted par: $1,294,134
Diversity Score: 71
Weighted Average Rating Factor (WARF): 2939
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.62%
Weighted Average Recovery Rate (WARR): 46.84%
Weighted Average Life (WAL): 5.38 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, deterioration in the credit quality
of the underlying portfolio, and lower recoveries on defaulted
assets.
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 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.
OCP CLO 2017-14: S&P Assigns BB- (sf) Rating on Class E-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned ratings to the class A-1R, A-2R, B-1R,
B-2R, C-R, D-1R, and D-2R replacement debt and the new class E-R
and X-R debt from OCP CLO 2017-14 Ltd./OCP CLO 2017-14 LLC, a CLO
originally issued in 2017 that is managed by Onex Credit Partners
LLC, a subsidiary of Onex. At the same time, S&P withdrew its
ratings on the original class A-1a, A-2, B, C, and D debt following
payment in full on the Aug. 8, 2024, refinancing date. The original
class A-1b was not rated.
The replacement debt was issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the supplemental indenture:
-- The non-call period was extended to July 2026.
-- The reinvestment period was extended to July 2029.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) were extended to July 2037.
-- The target initial par amount decreased to $450 million.
-- The class X-R debt was issued on the refinancing date and is
expected to be paid down using interest proceeds during the first
12 payment dates beginning in January 2025.
-- The required minimum overcollateralization and interest
coverage ratios were amended.
-- 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 Original Debt Issuances
Replacement debt
-- Class X-R, $3.00 million: Three-month CME term SOFR + 1.10%
-- Class A-1R, $288.00 million: Three-month CME term SOFR + 1.37%
-- Class A-2R, $8.55 million: Three-month CME term SOFR + 1.57%
-- Class B-1R, $40.50 million: Three-month CME term SOFR + 1.70%
-- Class B-2R, $4.95 million: 5.597%
-- Class C-R (deferrable), $27.00 million: Three-month CME term
SOFR + 2.00%
-- Class D-1R (deferrable), $24.75 million: Three-month CME term
SOFR + 3.10%
-- Class D-2R (deferrable), $6.75 million: Three-month CME term
SOFR + 4.50%
-- Class E-R (deferrable), $13.50 million: Three-month CME term
SOFR + 6.55%
-- Subordinated notes, $74.95 million: Not applicable
Original debt
-- Class A-1a, $345.60 million: Three-month CME term SOFR + 1.15%
+ CSA(i)
-- Class A-1b, $44.40 million: Three-month CME term SOFR + 1.25% +
CSA(i)
-- Class A-2, $64.80 million: Three-month CME term SOFR + 1.50% +
CSA(i)
-- Class B (deferrable), $33.60 million: Three-month CME term SOFR
+ 1.95% + CSA(i)
-- Class C (deferrable), $39.60 million: Three-month CME term SOFR
+ 2.60% + CSA(i)
-- Class D (deferrable), $24.00 million: Three-month CME term SOFR
+ 5.80% + CSA(i)
-- Subordinated notes, $59.45 million: Not applicable
(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.
"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
OCP CLO 2017-14 Ltd./OCP CLO 2017-14 LLC
Class X-R, $3.00 million: AAA (sf)
Class A-1R, $288.00 million: AAA (sf)
Class A-2R, $8.55 million: AAA (sf)
Class B-1R, $40.50 million: AA (sf)
Class B-2R, $4.95 million: AA (sf)
Class C-R (deferrable), $27.00 million: A (sf)
Class D-1R (deferrable), $24.75 million: BBB (sf)
Class D-2R (deferrable), $6.75 million: BBB- (sf)
Class E-R (deferrable), $13.50 million: BB- (sf)
Ratings Withdrawn
OCP CLO 2017-14 Ltd./OCP CLO 2017-14 LLC
Class A-1a 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
OCP CLO 2017-14 Ltd./OCP CLO 2017-14 LLC
Subordinated notes, $74.95 million: NR
NR--Not rated.
OCP CLO 2020-18: S&P Assigns Prelim BB- (sf) Rating on E-R2 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1R2, A-2R2, B-1R2, B-2R2, C-R2, D-1R2, D-2R2, and E-R2
replacement debt from OCP CLO 2020-18 Ltd./OCP CLO 2020-18 LLC, a
CLO managed by Onex Credit Partners LLC that was originally issued
in May 2020 and underwent a previous refinancing in May 2021.
The preliminary ratings are based on information as of Aug. 9,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Aug. 20, 2024, refinancing date, the proceeds from the
replacement debt will be used to redeem the May 2021 debt. At that
time, S&P expects to withdraw our ratings on the May 2021 debt and
assign ratings to the replacement debt. However, if the refinancing
doesn't occur, S&P may affirm its ratings on the May 2021 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 preference shares) will be extended to July 20, 2037.
-- The target initial par amount will remain at $400.00 million.
-- There will be no additional effective date or ramp-up period,
and the first payment date following the second refinancing is Jan.
20, 2025.
-- The required minimum overcollateralization and interest
coverage ratios will be amended.
-- Additional preference shares with a notional balance of $25.11
million will be issued on the second refinancing date.
-- 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."
Preliminary Ratings Assigned
OCP CLO 2020-18 Ltd./OCP CLO 2020-18 LLC
Class A-1R2, $256.00 million: AAA (sf)
Class A-2R2, $6.00 million: AAA (sf)
Class B-1R2, $30.00 million: AA+ (sf)
Class B-2R2, $12.00 million: AA+ (sf)
Class C-R2 (deferrable), $24.00 million: A+ (sf)
Class D-1R2 (deferrable), $24.00 million: BBB- (sf)
Class D-2R2 (deferrable), $4.00 million: BBB- (sf)
Class E-R2 (deferrable, $12.00 million: BB- (sf)
Other Debt
OCP CLO 2020-18 Ltd./OCP CLO 2020-18 LLC
Preference shares(i), $79.95 million: Not rated
(i)The notional amount of preference share will increase from
$54.84 to $79.95 million in connection with this second
refinancing.
OCP CLO 2024-34: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to OCP CLO
2024-34 Ltd./OCP CLO 2024-34 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 Onex Credit Partners LLC.
The preliminary ratings are based on information as of Aug. 9,
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 diversification of the collateral pool, which consists
primarily of broadly syndicated speculative-grade (rated 'BB+' and
lower) senior secured term loans.
-- 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.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
OCP CLO 2024-34 Ltd. /OCP CLO 2024-34 LLC
Class A-1, $416.00 million: AAA (sf)
Class A-2, $13.00 million: AAA (sf)
Class B, $65.00 million: AA (sf)
Class C (deferrable), $39.00 million: A (sf)
Class D-1 (deferrable), $39.00 million: BBB- (sf)
Class D-2 (deferrable), $6.50 million: BBB- (sf)
Class E (deferrable), $22.75 million: BB- (sf)
Subordinated notes, $60.40 million: Not rated
OHA CREDIT 11: S&P Assigns BB- (sf) Rating on Class E-R Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, B-1-R,
B-2-R, C-R, D-1-R, D-2-R, and E-R replacement debt and new class
X-R debt from OHA Credit Funding 11 Ltd./OHA Credit Funding 11 LLC,
a CLO originally issued in May 2022 that is managed by Oak Hill
Advisors L.P. and was not rated by S&P Global Ratings. S&P Global
Ratings did not rate the class A-2-R replacement debt on the Aug.
14, 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 to July 19, 2026.
-- The reinvestment period was extended to July 19, 2029.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) were extended to July 19, 2037.
-- The weighted average life test was extended to 10 years from
the Aug. 14, 2024, refinancing date.
-- No additional assets were purchased on the Aug. 14, 2024,
refinancing date, and the target initial par amount remained at
$625.00 million. There was no additional effective date or ramp-up
period, and the first payment date following the refinancing is
Oct. 19, 2024.
-- The class X-R debt was issued on the refinancing date and will
be paid down using interest proceeds during the first four payment
dates, in equal installments of $0.25 million, beginning on the
Oct. 19, 2024, payment date.
-- The required minimum overcollateralization ratios were amended.
There was no change to the required minimum interest coverage
ratios.
-- No additional subordinated notes were issued on the refinancing
date.
Replacement And Original Debt Issuances
Replacement debt
-- Class X-R, $1.00 million: Three-month CME term SOFR + 0.75%
-- Class A-1-R, $387.50 million: Three-month CME term SOFR +
1.35%
-- Class A-2-R, $35.50 million: Three-month CME term SOFR + 1.52%
-- Class B-1-R, $46.75 million: Three-month CME term SOFR + 1.60%
-- Class B-2-R, $5.00 million: 5.248%
-- Class C-R (deferrable), $37.50 million: Three-month CME term
SOFR + 1.90%
-- Class D-1-R (deferrable), $37.50 million: Three-month CME term
SOFR + 2.85%
-- Class D-2-R (deferrable), $7.75 million: Three-month CME term
SOFR + 4.20%
-- Class E-R (deferrable), $17.25 million: Three-month CME term
SOFR + 5.40%
-- Subordinated notes, $54.00 million: Not applicable
Original debt
-- Class A, $400.00 million: Three-month CME term SOFR + 1.44%
-- Class B, $75.00 million: Three-month CME term SOFR + 2.00%
-- Class C (deferrable), $37.50 million: Three-month CME term SOFR
+ 2.30%
-- Class D (deferrable), $37.50 million: Three-month CME term SOFR
+ 3.60%
-- Class E (deferrable), $25.00 million: Three-month CME term SOFR
+ 7.25%
-- Class F (deferrable), $1.25 million: Three-month CME term SOFR
+ 8.00%
-- Subordinated notes, $54.00 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
OHA Credit Funding 11 Ltd./OHA Credit Funding 11 LLC
Class X-R, $1.00 million: AAA (sf)
Class A-1-R, $387.50 million: AAA (sf)
Class A-2-R, $35.50 million: Not rated
Class B-1-R, $46.75 million: AA (sf)
Class B-2-R, $5.00 million: AA (sf)
Class C-R (deferrable), $37.50 million: A (sf)
Class D-1-R (deferrable), $37.50 million: BBB- (sf)
Class D-2-R (deferrable), $7.75 million: BBB- (sf)
Class E-R (deferrable), $17.25 million: BB- (sf)
Subordinated notes, $54.00 million: Not rated
OHA CREDIT 11: S&P Assigns BB- (sf) Rating on Class E-R Notes
-------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R, B-1-R, B-2-R, C-R, D-1-R, D-2-R, and E-R replacement debt
and proposed new class X-R debt from OHA Credit Funding 11 Ltd./OHA
Credit Funding 11 LLC, a CLO originally issued in May 2022 that is
managed by Oak Hill Advisors L.P. and was not rated by S&P Global
Ratings. S&P Global Ratings is not expected to rate the class A-2-R
replacement debt on the Aug. 14, 2024, refinancing date.
The preliminary ratings are based on information as of Aug. 13,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Aug. 14, 2024, refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. At that
time, S&P expects to assign ratings to the replacement debt.
However, if the refinancing doesn't occur, S&P may 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 19, 2026.
-- The reinvestment period will be extended to July 19, 2029.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) will be extended to July 19,
2037.
-- The weighted average life test will be extended to 10 years
from the Aug. 14, 2024, refinancing date.
-- No additional assets will be purchased on the Aug. 14, 2024,
refinancing date, and the target initial par amount will remain at
$625.00 million. There will be no additional effective date or
ramp-up period, and the first payment date following the
refinancing is Oct. 19, 2024.
-- The class X-R debt will be issued on the refinancing date and
is expected to be paid down using interest proceeds during the
first four payment dates, in equal installments of $0.25 million,
beginning on the Oct. 19, 2024, payment date.
-- The required minimum overcollateralization ratios will be
amended. There will be no change to the required minimum interest
coverage ratios.
-- No additional subordinated notes will be issued on the
refinancing date.
Replacement And Original Debt Issuances
Replacement debt
-- Class X-R, $1.00 million: Three-month CME term SOFR + 0.75%
-- Class A-1-R, $387.50 million: Three-month CME term SOFR +
1.35%
-- Class A-2-R, $35.50 million: Three-month CME term SOFR + 1.52%
-- Class B-1-R, $46.75 million: Three-month CME term SOFR + 1.60%
-- Class B-2-R, $5.00 million: 5.25%
-- Class C-R (deferrable), $37.50 million: Three-month CME term
SOFR + 1.90%
-- Class D-1-R (deferrable), $37.50 million: Three-month CME term
SOFR + 2.85%
-- Class D-2-R (deferrable), $7.75 million: Three-month CME term
SOFR + 4.20%
-- Class E-R (deferrable), $17.25 million: Three-month CME term
SOFR + 5.40%
-- Subordinated notes, $54.00 million: Not applicable
Original debt
-- Class A, $400.00 million: Three-month CME term SOFR + 1.44%
-- Class B, $75.00 million: Three-month CME term SOFR + 2.00%
-- Class C (deferrable), $37.50 million: Three-month CME term SOFR
+ 2.30%
-- Class D (deferrable), $37.50 million: Three-month CME term SOFR
+ 3.60%
-- Class E (deferrable), $25.00 million: Three-month CME term SOFR
+ 7.25%
-- Class F (deferrable), $1.25 million: Three-month CME term SOFR
+ 8.00%
-- Subordinated notes, $54.00 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
OHA Credit Funding 11 Ltd./OHA Credit Funding 11 LLC
Class X-R, $1.00 million: AAA (sf)
Class A-1-R, $387.50 million: AAA (sf)
Class A-2-R, $35.50 million: Not rated
Class B-1-R, $46.75 million: AA (sf)
Class B-2-R, $5.00 million: AA (sf)
Class C-R (deferrable), $37.50 million: A (sf)
Class D-1-R (deferrable), $37.50 million: BBB- (sf)
Class D-2-R (deferrable), $7.75 million: BBB- (sf)
Class E-R (deferrable), $17.25 million: BB- (sf)
Subordinated notes, $54.00 million: Not rated
OPG TRUST 2021-PORT: DBRS Confirms B(low) Rating on G Certs
-----------------------------------------------------------
DBRS, Inc. confirmed its credit ratings on all classes of the
Commercial Mortgage Pass-Through Certificates, Series 2021-PORT
issued by OPG Trust 2021-PORT (the Issuer) as follows:
-- Class A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at AA (low) (sf)
-- Class X-NCP at A (high) (sf)
-- Class D at A (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)
All trends are Stable.
The credit rating confirmations reflect the overall stable
performance of the underlying loan, which is secured by a portfolio
of industrial properties as further described below, as well as the
deleveraging of the loan as a result of 39 property releases
processed in accordance with the loan documents. Since Morningstar
DBRS' last credit rating action in August 2023, six properties,
representing 3.3% of the allocated loan amount (ALA) at issuance,
have been released. Despite the transaction's collateral reduction
of a little more than 35% since issuance, increases to credit
support have been limited because of the pay structure that allows
for pro rata paydown of the first 35% of the original principal
balance accounting for the majority of the property releases
processed to date. Morningstar DBRS expects continued stable
performance given the transaction portfolio benefits from its
composition of last-mile urban infill logistics properties,
position in strong industrial markets, granular tenant roster, and
elevated cash flow stability attributable to multiple property
pooling.
This deal is collateralized by a single mortgage loan evidenced by
four componentized promissory notes with an original aggregate
principal amount of $1.4 billion. At issuance, the loan was secured
by the borrower's fee-simple interest in a portfolio of 109
industrial properties across 11 markets in seven states. The
interest-only (IO) mortgage loan bears interest at a floating rate
and had an initial maturity date in October 2023, subject to three
successive one-year extension options. The borrower exercised the
first extension option and, according to the servicer, the borrower
intends to exercise the second extension option to extend the
maturity to October 2025. The sponsor for the transaction is OMERS
Administration Corporation, a benefit pension plan for Ontario,
Canada's municipal employees.
The transaction is structured with weak release premiums and a pro
rata prepayment structure on the first 35.0% of the initial loan
balance. The release provisions for individual properties within
the portfolio, among other stipulations, are outlined in the
offering documents and are subject to no event of default, a
debt-yield test, payment of a spread maintenance premium, and
release payment that is equal to 100% of the ALA until the original
principal balance has been reduced to 90%; 105% of the ALA until
the original loan amount is reduced to 65%; and 110% thereafter. As
of the July 2024 remittance, there are 70 properties remaining; 39
property releases have been processed, including the previously
mentioned six properties, that have been released since Morningstar
DBRS' last credit rating action. The trust balance of $902.1
million reflects a reduction of 36.9% since issuance.
The servicer reported consolidated financial statement for the
portfolio showed a YE2023 net cash flow (NCF) of $58.2 million;
however, that figure includes revenue and expenses for the
properties released throughout the year. The YE2023 NCF is in line
with the Issuer's NCF of $58.9 million for the remaining pool at
that time and a decline of 4.3% from the Morningstar DBRS' NCF of
$55.8 million for those same properties. The resulting in-place
debt service coverage ratio for YE2023 was 1.23 times (x) compared
with 3.36x at issuance, in large part because of increases in
interest rates for the floating-rate debt. According to the
servicer, portfolio occupancy as of March 2024 was 92.9%, which is
consistent with the portfolio occupancy at issuance.
In the analysis for this review, Morningstar DBRS removed the cash
flows for the released properties, resulting in a Morningstar DBRS
NCF of $53.1 million. Morningstar DBRS maintained the cap rate of
7.00% applied at issuance, which resulted in a Morningstar DBRS
value of $758.2 million, a variance of -45.5% from the issuance
appraised value of $1.4 billion for the remaining collateral. The
updated Morningstar DBRS value implies a loan to value ratio (LTV)
of 119.0%, compared with the LTV of 64.9% on the issuance appraised
value for the remaining collateral. The Morningstar DBRS value at
issuance implied an LTV of 125.9% on the closing balance.
Morningstar DBRS maintained positive qualitative adjustments
totaling 8.0% in the LTV Sizing Benchmark to reflect the favorable
diversification of cash flow and geography, granular tenancy, and
proximity to gateway markets.
Notes: All figures are in U.S. dollars unless otherwise noted.
PRPM 2024-RCF5: DBRS Gives Prov. BB(low) Rating on M-2 Notes
------------------------------------------------------------
DBRS, Inc. assigned the following provisional credit ratings to the
Mortgage-Backed Notes, Series 2024-RCF5 (the Notes) to be issued by
PRPM 2024-RCF5, LLC (PRPM 2024-RCF5 or the Trust):
-- $94.1 million Class A-1 at AAA (sf)
-- $17.3 million Class A-2 at AA (sf)
-- $14.8 million Class A-3 at A (high) (sf)
-- $14.5 million Class M-1 at BBB (high) (sf)
-- $19.0 million Class M-2 at BB (low) (sf)
The AAA (sf) credit rating on the Class A-1 Notes reflects 47.75%
of credit enhancement provided by the subordinated notes. The AA
(sf), A (high) (sf), BBB (high) (sf), and BB (low) (sf) credit
ratings reflect 38.15%, 29.95%, 21.90%, and 11.35% of credit
enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
The Trust is a securitization of a portfolio of newly originated
and seasoned, performing and reperforming, first-lien residential
mortgages to be funded by the issuance of the Notes. The Notes are
backed by 738 loans with a total principal balance of $180,171,348
as of the Cut-Off Date (June 30, 2024).
Morningstar DBRS calculated the portfolio to be approximately 55
months seasoned on average, though the age of the loans is quite
dispersed, ranging from seven months to 314 months. Approximately
63.8% of the loans had origination guideline or document
deficiencies, which prevented these loans from being sold to Fannie
Mae, Freddie Mac, or another purchaser, and the loans were
subsequently put back to the sellers. In its analysis, Morningstar
DBRS assessed such defects and applied certain penalties,
consequently increasing expected losses on the mortgage pool.
No originator accounted for more than 15% of loans in the pool.
In the portfolio, 13.0% of the loans are modified. The
modifications happened more than two years ago for 80.3% of the
modified loans. Within the portfolio, 124 mortgages have
non-interest-bearing deferred amounts, equating to 0.9% of the
total unpaid principal balance (UPB). Unless specified otherwise,
all statistics on the mortgage loans in this report are based on
the current UPB, including the applicable non-interest-bearing
deferred amounts.
Based on Issuer-provided information, certain loans in the pool
(31.1%) are not subject to or are exempt from the Consumer
Financial Protection Bureau's Ability-to-Repay (ATR)/Qualified
Mortgage (QM) rules because of seasoning or because they are
business-purpose loans. The loans subject to the ATR rules are
designated as QM Safe Harbor (49.3%), QM Rebuttable Presumption
(10.4%), and Non-Qualified Mortgage (Non-QM; 9.2%) by UPB.
PRP-LB 2024-RCF5, LLC (the Sponsor) acquired the mortgage loans
prior to the upcoming Closing Date and, through a wholly owned
subsidiary, PRP Depositor 2024-RCF5, LLC (the Depositor), will
contribute the loans to the Trust. As the Sponsor, PRP-LB
2024-RCF5, LLC or one of its majority-owned affiliates will acquire
and retain a portion of the Class B Notes and the membership
certificate representing the initial overcollateralization amount
to satisfy the credit risk retention requirements.
PRPM 2024-RCF5 is the seventh scratch and dent rated securitization
for the Issuer. The Sponsor has securitized many rated and unrated
transactions under the PRPM shelf, most of which have been
seasoned, reperforming, and nonperforming securitizations.
SN Servicing Corporation (88.5%) and Fay Servicing, LLC 11.5%) will
act as the Servicers of the mortgage loans.
The Servicers will not advance any delinquent principal and
interest on the mortgages; however, the Servicers are obligated to
make advances in respect of prior liens, insurance, real estate
taxes, and assessments as well as reasonable costs and expenses
incurred in the course of servicing and disposing of properties.
The Issuer has the option to redeem the Notes in full at a price
equal to the sum of (1) the remaining aggregate Note Amount; (2)
any accrued and unpaid interest due on the Notes through the
redemption date (including any Cap Carryover); and (3) any fees and
expenses of the transaction parties, including any unreimbursed
servicing advances (Redemption Price). Such Optional Redemption may
be exercised on or after the payment date in August 2026.
Additionally, failure to pay the Notes in full by the Payment Date
in August 2029 will trigger a mandatory auction of the underlying
certificates by the Asset Manager or an agent appointed by the
Asset Manager. If the auction fails to elicit sufficient proceeds
to make-whole the Notes, another auction will follow every four
months for the first year and subsequent auctions will be carried
out every six months. If the Asset Manager fails to conduct the
auction, the holder of more than 50% of the Class M-2 Notes will
have the right to appoint an auction agent to conduct the auction.
The transaction employs a sequential-pay cash flow structure with a
bullet feature to Class A-2 and more subordinate notes on the
Expected Redemption Date or the occurrence of a Credit Event.
Interest and principal collections are first used to pay interest
and any Cap Carryover amount to the Notes sequentially and then to
pay Class A-1 until its balance is reduced to zero, which may
provide for timely payment of interest on certain rated Notes.
Class A-2 and below are not entitled to any payments of principal
until the Expected Redemption Date or upon the occurrence of a
Credit Event, except for remaining available funds representing net
sales proceeds of the mortgage loans. Prior to the Expected
Redemption Date or a Credit Event, any available funds remaining
after Class A-1 is paid in full will be deposited into a Redemption
Account. Beginning on the Payment Date in August 2028, the Class
A-1 and the other offered Notes will be entitled to its initial
Note Rate plus the step-up note rate of 1.00% per annum. If the
Issuer does not redeem the rated Notes in full by the payment date
in September 2029, the Mortgage Loans have been liquidated in full,
or an Event of Default occurs and is continuing, a Credit Event
will have occurred. Upon the occurrence of a Credit Event, accrued
interest on Class A-2 and the other offered Notes will be paid as
principal to Class A-1 or the succeeding senior Notes until it has
been paid in full. The redirected amounts will accrue on the
balances of the respective Notes and will later be paid as
principal payments.
Morningstar DBRS' credit rating on the Notes addresses the credit
risk associated with the identified financial obligations in
accordance with the relevant transaction documents. The associated
financial obligations are Interest Payment Amount, Cap Carryover
Amount, and Note Amount.
Morningstar DBRS' credit rating on the Notes also addresses the
credit risk associated with the increased rate of interest
applicable to the Notes if the Notes are not redeemed on the
Expected Redemption Date as defined in and in accordance with the
applicable transaction documents.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued.
Notes: All figures are in U.S. dollars unless otherwise noted.
RATE MORTGAGE 2021-J1: Moody's Hikes Rating on Cl. B-5 Certs to B2
------------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 15 bonds from one US
residential mortgage-backed transaction (RMBS), backed by prime
jumbo and agency eligible mortgage loans.
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: RATE Mortgage Trust 2021-J1
Cl. A-31, Upgraded to Aaa (sf); previously on Jul 6, 2021
Definitive Rating Assigned Aa1 (sf)
Cl. A-32, Upgraded to Aaa (sf); previously on Jul 6, 2021
Definitive Rating Assigned Aa1 (sf)
Cl. A-33, Upgraded to Aaa (sf); previously on Jul 6, 2021
Definitive Rating Assigned Aa1 (sf)
Cl. A-X-32*, Upgraded to Aaa (sf); previously on Jul 6, 2021
Definitive Rating Assigned Aa1 (sf)
Cl. A-X-33*, Upgraded to Aaa (sf); previously on Jul 6, 2021
Definitive Rating Assigned Aa1 (sf)
Cl. A-X-34*, Upgraded to Aaa (sf); previously on Jul 6, 2021
Definitive Rating Assigned Aa1 (sf)
Cl. B-1, Upgraded to Aa1 (sf); previously on Jul 6, 2021 Definitive
Rating Assigned Aa3 (sf)
Cl. B-1A, Upgraded to Aa1 (sf); previously on Jul 6, 2021
Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Upgraded to A2 (sf); previously on Jul 6, 2021 Definitive
Rating Assigned A3 (sf)
Cl. B-2A, Upgraded to A2 (sf); previously on Jul 6, 2021 Definitive
Rating Assigned A3 (sf)
Cl. B-3, Upgraded to Baa2 (sf); previously on Jul 6, 2021
Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Upgraded to Ba2 (sf); previously on Jul 6, 2021 Definitive
Rating Assigned Ba3 (sf)
Cl. B-5, Upgraded to B2 (sf); previously on Jul 6, 2021 Definitive
Rating Assigned B3 (sf)
Cl. B-X-1*, Upgraded to Aa1 (sf); previously on Jul 6, 2021
Definitive Rating Assigned Aa3 (sf)
Cl. B-X-2*, Upgraded to A2 (sf); previously on Jul 6, 2021
Definitive Rating Assigned A3 (sf)
* Reflects Interest-Only Classes
RATINGS RATIONALE
The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying pools.
The transaction Moody's reviewed continues to display strong
collateral performance, with no cumulative losses and had zero
loans in delinquency. In addition, enhancement levels for the
tranches have grown significantly, as the pool amortizes relatively
quickly. The credit enhancement since closing has grown, on
average, 17.7% for the tranches upgraded.
Moody's analysis also considered the existence of historical
interest shortfalls for some of the bonds. While all shortfalls
have since been recouped, the size and length of the past
shortfalls, as well as the potential for recurrence, were analyzed
as part of the upgrades.
The rating actions also reflect the further seasoning of the
collateral and increased clarity regarding the impact of borrower
relief programs on collateral performance. Information obtained
from loan servicers in recent years has shed light on their current
strategies regarding borrower relief programs and the impact those
programs may have on collateral performance and transaction
liquidity, through servicer advancing. Moody's recent analysis has
found that in addition to robust home price appreciation, many of
these borrower relief programs have contributed to stronger
collateral performance than Moody's had previously expected, thus
supporting the upgrades.
No actions were taken on the remaining rated classes in this deal
as those classes are already at the highest achievable levels
within Moody's rating scale.
Principal Methodologies
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in July 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds and/or pools.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
RATE MORTGAGE 2024-J2: Moody's Assigns Ba3 Rating on Class B-5 Debt
-------------------------------------------------------------------
Moody's Ratings has assigned definitive ratings to 60 classes of
residential mortgage-backed securities (RMBS) issued by RATE
Mortgage Trust 2024-J2, and sponsored by Guaranteed Rate, Inc.
The securities are backed by a pool of non GSE-eligible residential
mortgages originated by Guaranteed Rate, Inc. and serviced by
ServiceMac, LLC.
The complete rating actions are as follows:
Issuer: RATE Mortgage Trust 2024-J2
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-5, Definitive Rating Assigned Aaa (sf)
Cl. A-6, Definitive Rating Assigned Aaa (sf)
Cl. A-7, Definitive Rating Assigned Aaa (sf)
Cl. A-8, Definitive Rating Assigned Aaa (sf)
Cl. A-9, Definitive Rating Assigned Aaa (sf)
Cl. A-10, Definitive Rating Assigned Aaa (sf)
Cl. A-11, Definitive Rating Assigned Aaa (sf)
Cl. A-12, Definitive Rating Assigned Aaa (sf)
Cl. A-13, Definitive Rating Assigned Aaa (sf)
Cl. A-14, Definitive Rating Assigned Aaa (sf)
Cl. A-15, Definitive Rating Assigned Aaa (sf)
Cl. A-16, Definitive Rating Assigned Aaa (sf)
Cl. A-17, Definitive Rating Assigned Aaa (sf)
Cl. A-18, Definitive Rating Assigned Aaa (sf)
Cl. A-19, Definitive Rating Assigned Aa1 (sf)
Cl. A-20, Definitive Rating Assigned Aa1 (sf)
Cl. A-21, Definitive Rating Assigned Aa1 (sf)
Cl. A-22, Definitive Rating Assigned Aaa (sf)
Cl. A-23, Definitive Rating Assigned Aaa (sf)
Cl. A-24, Definitive Rating Assigned Aaa (sf)
Cl. A-25, Definitive Rating Assigned Aaa (sf)
Cl. A-X-1*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-2*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-3*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-4*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-5*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-6*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-7*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-8*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-9*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-10*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-11*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-12*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-13*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-14*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-15*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-16*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-17*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-18*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-19*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-20*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-21*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-22*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-23*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-24*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-25*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-26*, Definitive Rating Assigned Aaa (sf)
Cl. B-1, Definitive Rating Assigned Aa3 (sf)
Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf)
Cl. B-1A, Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Definitive Rating Assigned A3 (sf)
Cl. B-X-2*, Definitive Rating Assigned A3 (sf)
Cl. B-2A, Definitive Rating Assigned A3 (sf)
Cl. B-3, Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Definitive Rating Assigned Ba1 (sf)
Cl. B-5, Definitive Rating Assigned Ba3 (sf)
*Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings are based on the credit quality of the mortgage loans,
the structural features of the transaction, the origination quality
and the servicing arrangement, the third-party review, and the
representations and warranties framework.
Moody's expected loss for this pool in a baseline scenario-mean is
0.23%, in a baseline scenario-median is 0.07% and reaches 4.40% at
a stress level consistent with Moody's Aaa ratings.
PRINCIPAL METHODOLOGY
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in July 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
RIPPLE NOTES: DBRS Confirms BB(low) Rating on Class C Notes
-----------------------------------------------------------
DBRS, Inc. upgraded and confirmed as follows the following
provisional credit ratings on the Class A Notes, the Class B Notes,
the Class C Notes, and the Class D Notes (together, the Secured
Notes) issued by Ripple Notes Issuer LLC pursuant to the Indenture
dated as of July 28, 2023 (the Indenture), as amended by the First
Supplemental Indenture dated as of July 25, 2024, entered into
between Ripple Notes Issuer LLC, as the Issuer and U.S. Bank Trust
Company, National Association, as Trustee:
Upgrade:
-- Class A Notes to A (high) (sf) from A (sf)
-- Class D Notes to B (high) (sf) from B (sf)
Confirm:
-- Class B Notes at BBB (sf)
-- Class C Notes at BB (low) (sf)
The provisional credit rating on the Class A Notes addresses the
timely payment of interest (excluding any Defaulted Interest, as
defined in the Indenture) and the ultimate return of principal on
or before the Stated Maturity (as defined in the Indenture). The
provisional credit ratings on the Class B Notes, the Class C Notes,
and the Class D Notes address the ultimate payment of interest
(excluding any Defaulted Interest, as defined in the Indenture) and
the ultimate return of principal on or before the Stated Maturity
(as defined in the Indenture).
CREDIT RATING RATIONALE/DESCRIPTION
The credit rating actions are a result of Morningstar DBRS' review
of the First Supplemental Indenture, dated July 25, 2024, which
increased the total Commitment Amounts, reduced the spread on
liabilities, and reduced the Minimum Weighted Average Spread Test
(WAS Test) among other changes. The Stated Maturity is July 25,
2035. The Reinvestment Period ends on July 25, 2027.
The Secured Notes are collateralized primarily by a portfolio of
U.S. middle-market corporate loans. Ripple Notes Issuer LLC is
managed by 26North Direct Lending II LP, an affiliate of 26North
Partners LP. Morningstar DBRS considers 26North Direct Lending II
LP to be an acceptable middle-market corporate loan manager.
In its analysis, Morningstar DBRS considered the following aspects
of the transaction:
(1) The First Supplemental Indenture dated as of July 25, 2024.
(2) The integrity of the transaction structure.
(3) Morningstar DBRS' assessment of the portfolio quality.
(4) Adequate credit enhancement to withstand projected collateral
loss rates under various cash flow stress scenarios.
(5) Morningstar DBRS' assessment of the origination, servicing, and
middle-market corporate loan management capabilities of 26North
Direct Lending II LP.
The transaction has a dynamic structural configuration that permits
variations of certain asset metrics via the selection of an
applicable row from a collateral quality matrix (the CQM).
Depending on a given Diversity Score, the following metrics are
selected accordingly from the applicable row of the CQM:
Morningstar DBRS Risk Score, WAS Test, and Weighted-Average
Recovery Rate (WARR). Morningstar DBRS analyzed each structural
configuration as a unique transaction and all configurations (rows)
passed the applicable Morningstar DBRS rating stress levels. The
Coverage Tests and triggers as well as the Collateral Quality Tests
that Morningstar DBRS reviewed in its analysis are presented
below.
Coverage Tests:
Class A Overcollateralization Ratio Test: Actual 155.08%; Threshold
140.00%
Class B Overcollateralization Ratio Test: Actual 141.24%; Threshold
115.00%
Class C Overcollateralization Ratio Test: Actual 125.85%; Threshold
113.00%
Class D Overcollateralization Ratio Test: Actual 122.46%; Threshold
113.00%
Class A Interest Coverage Ratio Test: Actual 200.17%; Threshold
150.00%
Class B Interest Coverage Ratio Test: Actual 172.58%; Threshold
130.00%
Class C Interest Coverage Ratio Test: Actual 139.78%; Threshold
120.00%
Class D Interest Coverage Ratio Test: Actual 132.15%; Threshold
120.00%
Advance Rate Tests:
Class A Advance Rate: Actual 59.02%; Threshold 60.00%
Class B Advance Rate: Actual 66.40%; Threshold 67.50%
Class C Advance Rate: Actual 76.51%; Threshold 77.50%
Class D Advance Rate: Actual 79.07%; Threshold 80.00%
Collateral Quality Tests:
Minimum Diversity Score Test: Actual 5.60; Threshold 8
Maximum Morningstar DBRS Risk Score Test: Actual 31.42; Threshold
40.00
Minimum WA Spread: Actual 5.22%; Threshold 5.00%
Minimum Average Recovery Rate Test: Actual 60.50%; Threshold
59.038%
Maximum Weighted Average (WA) Maturity Date Test: Actual 5.99
years; Threshold 7.50 years
Some particular strengths of the transaction are (1) the collateral
quality, which consists of at least 95% of senior-secured middle
market loans; (2) the expected adequate diversification of the
portfolio of collateral obligations (Minimum Diversity Score Test
of 8); and (3) the Collateral Manager's expertise in CLOs and
overall approach to selection of Collateral Obligations.
Some challenges that were identified: (1) the expected
weighted-average (WA) credit quality of the underlying obligors may
fall below investment grade (per the Collateral Quality Matrix) and
the majority may not have public ratings once purchased; and (2)
the underlying collateral portfolio may be insufficient to redeem
the Secured Notes in an Event of Default.
As of May 31, 2024, the transaction is failing the Minimum
Diversity Score Test
(5.60 vs. 8.00) and the concentration limitation in Senior Secured
Loans due to currently being in the ramp-up period. The WAS Test
will be in compliance after the implementation of a lower WAS Test,
pursuant to this amendment.
Morningstar DBRS analyzed the transaction using the Morningstar
DBRS CLO Insight Model and its proprietary cash flow engine, which
incorporated assumptions regarding principal amortization,
principal prepayment, amount of interest generated, principal
prepayments, default timings, and recovery rates, among other
credit considerations referenced in Morningstar DBRS' "Global
Methodology for Rating CLOs and Corporate CDOs" (February 23, 2024;
https://dbrs.morningstar.com/research/428544) and CLO Insight Model
v. 1.0.1.2.
Model-based analysis, which incorporated the above-mentioned
amendment, produced satisfactory results. Considering the analysis,
as well as the transaction's legal aspects and structure,
Morningstar DBRS upgraded and confirmed the credit ratings on the
Secured Notes.
To assess portfolio credit quality, Morningstar DBRS provides a
credit estimate or internal assessment for each nonfinancial
corporate obligor in the portfolio not rated by Morningstar DBRS.
Credit estimates are not ratings; rather, they represent a
model-driven default probability for each obligor that is used in
assigning ratings to a facility.
A provisional credit rating is not a final credit rating with
respect to the above-mentioned Secured Notes and may change or be
different than the final credit rating assigned or may be
discontinued. The assignment of final credit ratings on the
above-mentioned Secured Notes is subject to receipt by Morningstar
DBRS of all data and/or information and final documentation that
Morningstar DBRS deems necessary to finalize the credit ratings.
Notes: All figures are in US Dollars unless otherwise noted.
SALUDA GRADE 2024-INV1: DBRS Gives Prov. B Rating on B-2 Certs
--------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the Mortgage
Pass-Through Certificates, Series 2024-INV1 (the Certificates) to
be issued by Saluda Grade Alternative Mortgage Trust 2024-INV1
(GRADE 2024-INV1) as follows:
-- $101.9 million Class A-1 at AAA (sf)
-- $10.3 million Class A-2 at AA (sf)
-- $9.4 million Class A-3 at A (sf)
-- $7.9 million Class M-1 at BBB (sf)
-- $6.5 million Class B-1 at BB (sf)
-- $7.8 million Class B-2 at B (sf)
The AAA (sf) credit rating on the Class A-1 Certificate reflects
33.30% of credit enhancement provided by subordinated certificates.
The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) credit ratings
reflect 26.55%, 20.40%, 15.20%, 10.95%, and 5.85% of credit
enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
GRADE 2024-INV1 is a securitization of a portfolio of fixed- and
adjustable-rate, investor debt service coverage ratio (DSCR),
first-lien residential mortgages funded by the issuance of the
Certificates. The Certificates are backed by 603 mortgage loans
(728 properties) with a total principal balance of $152,805,162 as
of the Cut-Off Date (June 30, 2024).
GRADE 2024-INV1 represents the second securitization issued by the
Sponsor, Saluda Grade Opportunities Fund LLC (Saluda Grade), backed
by business purpose investment property loans underwritten using
DSCR. The top three originators for the mortgage pool are CV3 Alpha
Trust (40.9%), CIVIC Financial Services, LLC (27.1%), and Housemax
Funding LLC (13.7%). Fay Servicing, LLC (81.9%) and NewRez LLC
d/b/a Shellpoint Mortgage Servicing (18.1%) are the Servicers of
the loans in this transaction. U.S. Bank Trust Company, National
Association (rated AA with a Stable trend by Morningstar DBRS) will
act as the Trustee and Securities Administrator. U.S. Bank National
Association will act as the Custodian.
The mortgage loans were underwritten to program guidelines for
business-purpose loans that are designed to rely on property value,
the mortgagor's credit profile, and the DSCR, where applicable.
Because the loans were made to investors for business purposes,
they are exempt from the Consumer Financial Protection Bureau's
Ability-to-Repay (ATR) rules and TILA/RESPA Integrated Disclosure
rule.
The Sponsor, or an affiliate, will retain a portion of each class
of the Certificates (other than the Class R Certificates),
representing an eligible vertical interest of at least 5% of the
aggregate fair value of the Certificates to satisfy the credit
risk-retention requirements under Section 15G of the Securities
Exchange Act of 1934 and the regulations promulgated thereunder.
Such retention aligns Sponsor and investor interest in the capital
structure. Additionally, the Sponsor, or an affiliate, will
initially own the remainder of the Class B-3, A-IO-S, X, and P
Certificates on the Closing Date.
The Depositor will have the option on any date on or after the
earlier of (A) the three year anniversary of the Closing Date and
(B) the date on which the total loan balance is less than or equal
to 30% of the loan balance as of the Cut-Off Date, to purchase all
outstanding certificates at the redemption price specified in the
transaction documents, (optional redemption). An optional
redemption will be followed by a qualified liquidation of each
trust REMIC.
The Sponsor or the Depositor will have the option, but not the
obligation, to repurchase any mortgage loan that becomes 60 or more
days delinquent under the Mortgage Bankers Association Method at
the Repurchase Price (par plus interest), provided that such
repurchases in aggregate do not exceed 10% of the total principal
balance as of the Cut-Off Date.
For this transaction, neither Servicer nor any other transaction
party will fund advances on delinquent principal and interest (P&I)
on any mortgage. However, the Servicers are obligated to make
advances in respect of taxes, insurance premiums, and reasonable
costs incurred in the course of servicing and disposing of
properties (servicing advances).
The transaction employs a sequential-pay cash flow structure with a
pro rata principal distribution among the Class A-1, A-2, and A-3
Certificates (Senior Classes) subject to certain performance
triggers related to cumulative losses or delinquencies exceeding a
specified threshold (Trigger Event). However, in contrast to the
prior Morningstar DBRS-rated transaction from this shelf, in the
case of a Credit Event, principal proceeds will be allocated to
cover interest shortfalls on the Class A-1 and then in reduction of
the Class A-1 Certificate balance, before a similar allocation of
funds to the Class A-2 (IPIP). Prior issuance would typically
allocate principal (after a Credit Event) to cover interest
shortfalls on the Class A-1 and Class A-2 Certificates (IIPP)
before being applied sequentially to amortize the balances of the
senior and subordinated certificates. For all other classes,
principal proceeds can be used to cover interest shortfalls after
the more senior classes are paid in full (IPIP).
Excess spread can be used to cover realized losses before being
allocated to unpaid Cap Carryover
Amounts due to Class A-1 down to M-1. The Class A-1, A-2, and A-3
fixed rate coupons step up by 1.00% on and after the distribution
date in August 2028 (Step-Up Date). After the step-up date, on each
distribution date, interest and principal otherwise available to
pay the Class B-3 interest and interest shortfalls may be used to
pay any Class A Cap Carryover amounts.
Notes: All figures are in U.S. dollars unless otherwise noted.
SARANAC CLO III: Moody's Lowers Rating on $24MM E-R Notes to Caa2
-----------------------------------------------------------------
Moody's Ratings has upgraded the rating on the following note
issued by Saranac CLO III Limited:
US$24,500,000 Class C-R Secured Deferrable Floating Rate Notes due
2030 (the "Class C-R Notes"), Upgraded to Aa3 (sf); previously on
November 21, 2023 Upgraded to A1 (sf)
Moody's have also downgraded the rating on the following notes:
US$24,000,000 Class E-R Secured Deferrable Floating Rate Notes due
2030 (the "Class E-R Notes"), Downgraded to Caa2 (sf); previously
on April 20, 2022 Upgraded to B3 (sf)
Saranac CLO III Limited, originally issued in August 2014 and
refinanced in May 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 May 2022.
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
RATINGS RATIONALE
The upgrade rating action is primarily a result of deleveraging of
the senior notes and an increase in the transaction's
over-collateralization (OC) ratios since November 2023. The Class
A-LR notes and the A-FR notes have been paid down by approximately
45.4% or $43.9 million and $21.8 million, respectively since
November 2023. Based on Moody's calculation, the OC ratios for
the Class A-R/B-R and Class C-R notes (before applying excess Caa
asset haircuts) are currently at 161.52% and 134.87%, respectively,
versus November 2023 levels of 144.23% and 127.73%, respectively.
The downgrade rating action on the Class E-R notes reflects the
specific risks to the junior notes posed by par loss and credit
deterioration observed in the underlying CLO portfolio. Based on
Moody's calculation, the OC ratio for the Class E-R notes (before
applying excess Caa asset haircuts) is currently at 101.92% versus
November 2023 level of 104.36%. Furthermore, Moody's calculated
weighted average rating factor (WARF) and weighted average spread
(WAS) have been deteriorating and the current levels are 3768 and
3.52%, respectively, compared to 3393 and 3.77%, respectively, in
November 2023.
No actions were taken on the Class A-LR, Class A-FR, Class B-R and
Class D-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: $196,851,756
Defaulted par: $14,646,938
Diversity Score: 49
Weighted Average Rating Factor (WARF): 3768
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.52%
Weighted Average Coupon (WAC): 10%
Weighted Average Recovery Rate (WARR): 48.76%
Weighted Average Life (WAL): 3.22 years
Par haircut in OC tests and interest diversion test: 4.17%
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.
TIDAL NOTES: DBRS Confirms BB(low) Rating on Class C Notes
----------------------------------------------------------
DBRS, Inc. upgraded and confirmed as follows the following
provisional credit ratings on the Class A Notes, the Class B Notes,
the Class C Notes, and the Class D Notes (together, the Secured
Notes) issued by Tidal Notes Issuer LLC pursuant to the Indenture
dated as of July 28, 2023 (the Indenture), as amended by the First
Supplemental Indenture dated as of July 25, 2024, entered into
between Tidal Notes Issuer LLC, as the Issuer and U.S. Bank Trust
Company, National Association, as Trustee:
Upgrade:
-- Class A Notes to A (high) (sf) from A (sf)
-- Class D Notes to B (high) (sf) from B (sf)
Confirm:
-- Class B Notes at BBB (sf)
-- Class C Notes at BB (low) (sf)
The provisional credit rating on the Class A Notes addresses the
timely payment of interest (excluding any Defaulted Interest, as
defined in the Indenture) and the ultimate return of principal on
or before the Stated Maturity (as defined in the Indenture). The
provisional credit ratings on the Class B Notes, the Class C Notes,
and the Class D Notes address the ultimate payment of interest
(excluding any Defaulted Interest, as defined in the Indenture) and
the ultimate return of principal on or before the Stated Maturity
(as defined in the Indenture).
CREDIT RATING RATIONALE/DESCRIPTION
The credit rating actions are a result of Morningstar DBRS' review
of the First Supplemental Indenture, dated July 25, 2024, which
increased the total Commitment Amounts, reduced the spread on
liabilities, and reduced the Minimum Weighted Average Spread Test
(WAS Test) among other changes. The Stated Maturity is July 25,
2035. The Reinvestment Period ends on July 25, 2027.
The Secured Notes are collateralized primarily by a portfolio of
U.S. middle-market corporate loans. Tidal Notes Issuer LLC is
managed by 26North Direct Lending II LP, an affiliate of 26North
Partners LP. Morningstar DBRS considers 26North Direct Lending II
LP to be an acceptable middle-market corporate loan manager.
In its analysis, Morningstar DBRS considered the following aspects
of the transaction:
(1) The First Supplemental Indenture dated as of July 25, 2024.
(2) The integrity of the transaction structure.
(3) Morningstar DBRS' assessment of the portfolio quality.
(4) Adequate credit enhancement to withstand projected collateral
loss rates under various cash flow stress scenarios.
(5) Morningstar DBRS' assessment of the origination, servicing, and
middle-market corporate loan management capabilities of 26North
Direct Lending II LP.
The transaction has a dynamic structural configuration that permits
variations of certain asset metrics via the selection of an
applicable row from a collateral quality matrix (the CQM).
Depending on a given Diversity Score, the following metrics are
selected accordingly from the applicable row of the CQM:
Morningstar DBRS Risk Score, WAS Test, and Weighted-Average
Recovery Rate (WARR). Morningstar DBRS analyzed each structural
configuration as a unique transaction and all configurations (rows)
passed the applicable Morningstar DBRS rating stress levels. The
Coverage Tests and triggers as well as the Collateral Quality Tests
that Morningstar DBRS reviewed in its analysis are presented
below.
Coverage Tests:
Class A Overcollateralization Ratio Test: Actual 155.08%; Threshold
140.00%
Class B Overcollateralization Ratio Test: Actual 141.24%; Threshold
115.00%
Class C Overcollateralization Ratio Test: Actual 125.85%; Threshold
113.00%
Class D Overcollateralization Ratio Test: Actual 122.46%; Threshold
113.00%
Class A Interest Coverage Ratio Test: Actual 200.17%; Threshold
150.00%
Class B Interest Coverage Ratio Test: Actual 172.59%; Threshold
130.00%
Class C Interest Coverage Ratio Test: Actual 139.79; Threshold
120.00%
Class D Interest Coverage Ratio Test: Actual 132.15%; Threshold
120.00%
Advance Rate Tests:
Class A Advance Rate: Actual 58.74%; Threshold 60.00%
Class B Advance Rate: Actual 66.08%; Threshold 67.50%
Class C Advance Rate: Actual 76.14%; Threshold 77.50%
Class D Advance Rate: Actual 78.69 %; Threshold 80.00%
Collateral Quality Tests:
Minimum Diversity Score Test: Actual 5.60; Threshold 8
Maximum Morningstar DBRS Risk Score Test: Actual 31.42; Threshold
40.00
Minimum WA Spread: Actual 5.22%; Threshold 5.00%
Minimum Average Recovery Rate Test: Actual 60.50%; Threshold
59.038%
Maximum Weighted Average (WA) Maturity Date Test: Actual 5.99
years; Threshold 7.50 years
Some particular strengths of the transaction are (1) the collateral
quality, which consists of at least 95% of senior-secured middle
market loans; (2) the expected adequate diversification of the
portfolio of collateral obligations (Minimum Diversity Score Test
of 8); and (3) the Collateral Manager's expertise in CLOs and
overall approach to selection of Collateral Obligations.
Some challenges that were identified: (1) the expected
weighted-average (WA) credit quality of the underlying obligors may
fall below investment grade (per the Collateral Quality Matrix) and
the majority may not have public ratings once purchased; and (2)
the underlying collateral portfolio may be insufficient to redeem
the Secured Notes in an Event of Default.
As of May 31, 2024, the transaction is failing the Minimum
Diversity Score Test
(5.60 vs. 8.00) and the concentration limitation in Senior Secured
Loans due to currently being in the ramp-up period. The WAS Test
will be in compliance after the implementation of a lower WAS Test,
pursuant to this amendment.
Morningstar DBRS analyzed the transaction using the Morningstar
DBRS CLO Insight Model and its proprietary cash flow engine, which
incorporated assumptions regarding principal amortization,
principal prepayment, amount of interest generated, principal
prepayments, default timings, and recovery rates, among other
credit considerations referenced in Morningstar DBRS' "Global
Methodology for Rating CLOs and Corporate CDOs" (February 23, 2024;
https://dbrs.morningstar.com/research/428544) and CLO Insight Model
v. 1.0.1.2.
Model-based analysis, which incorporated the above-mentioned
amendment, produced satisfactory results. Considering the analysis,
as well as the transaction's legal aspects and structure,
Morningstar DBRS upgraded and confirmed the credit ratings on the
Secured Notes.
To assess portfolio credit quality, Morningstar DBRS provides a
credit estimate or internal assessment for each nonfinancial
corporate obligor in the portfolio not rated by Morningstar DBRS.
Credit estimates are not ratings; rather, they represent a
model-driven default probability for each obligor that is used in
assigning ratings to a facility.
A provisional credit rating is not a final credit rating with
respect to the above-mentioned Secured Notes and may change or be
different than the final credit rating assigned or may be
discontinued. The assignment of final credit ratings on the
above-mentioned Secured Notes is subject to receipt by Morningstar
DBRS of all data and/or information and final documentation that
Morningstar DBRS deems necessary to finalize the credit ratings.
Notes: All figures are in U.S. Dollars unless otherwise noted.
TOWD POINT 2024-3: DBRS Finalizes B(high) Rating on B2 Notes
------------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings to the
Asset-Backed Securities, Series 2024-3 (the Notes) issued by Towd
Point Mortgage Trust 2024-3 (the Trust) as follows:
-- $429.4 million Class A1 at AAA (sf)
-- $395.8 million A1A at AAA (sf)
-- $33.6 million Class A1B AAA (sf)
-- $19.8 million Class A2 at AA (high) (sf)
-- $12.4 million Class M1 at A (high) (sf)
-- $9.2 million Class M2 at BBB (high) (sf)
-- $6.4 million Class B1 at BB (high) (sf)
-- $4.5 million Class B2 at B (high) (sf)
Classes A1A and A1B are exchangeable notes. These classes can be
exchanged for combinations of exchange notes as specified in the
offering documents.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
The AAA (sf) credit rating on the Notes reflects 13.20% of credit
enhancement provided by subordinated certificates. The AA (high)
(sf), A (high) (sf), BBB (high) (sf), BB (high) (sf), and B (high)
(sf) credit ratings reflect 9.20%, 6.70%, 4.85%, 3.55%, and 2.65%
of credit enhancement, respectively.
This transaction is a securitization of a portfolio of
predominantly seasoned performing and reperforming first-lien
mortgages funded by the issuance of asset-backed notes (the Notes).
The Notes are backed by 1,224 loans with a total scheduled
principal balance of $501,316,419 as of the Statistical Calculation
Date (May 31, 2024).
The portfolio is approximately 87 months seasoned, with 95.8% of
the pool seasoned for more than 24 months. The portfolio contains
9.5% modified loans, and modifications happened more than two years
ago for 90.6% of the modified loans in the pool. Within the pool,
249 of the mortgages have non-interest-bearing deferred amounts.
As of the Statistical Calculation Date, 98.4% of the pool is
current under the Mortgage Bankers Association (MBA) delinquency
method. Additionally, seven loans (0.3% of the pool balance) in the
pool are in bankruptcy. Approximately 86.5% of the mortgage loans
have been zero times 30 days delinquent (0 x 30) for at least the
past 24 months under the MBA delinquency method.
Approximately 28.3% of the pool is exempt from the Consumer
Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified
Mortgage (QM) rules. Morningstar DBRS assumed 18.9% of the loans to
be designated as temporary QM safe harbor or QM safe harbor and
52.8% to be non-QM based upon the third party due-diligence
review.
FirstKey Mortgage, LLC (FirstKey) will acquire the loans from
various transferring trusts on the Closing Date. The transferring
trusts acquired the mortgage loans and are beneficially owned by
funds managed by affiliates of Cerberus Capital Management, L.P.
(Cerberus). Upon acquiring the loans from the transferring trusts,
FirstKey, through a wholly owned subsidiary, Towd Point Asset
Funding, LLC (the Depositor), will contribute loans to the Trust.
As the Sponsor, FirstKey, through one or more majority-owned
affiliates, will acquire and retain a 5% eligible vertical interest
in each class of securities to be issued (other than any residual
certificates) to satisfy the credit risk retention requirements.
As of the Statistical Calculation Date (June 1, 2024), 71.8% of the
loans will be serviced by Shellpoint Mortgage Servicing and 28.2%
of the loans will be serviced by Select Portfolio Servicing, Inc.
(SPS). The SPS aggregate servicing fee rate for each payment date
is 0.1575% per annum, and the Shellpoint aggregate servicing fee is
0.1000% per annum. In its analysis, Morningstar DBRS applied a
higher servicing fee rate.
For this transaction, the Servicer will fund advances of delinquent
principal and interest (P&I) until the loans become 180 days
delinquent under the MBA delinquency method or are otherwise deemed
unrecoverable. Additionally, the Servicer is obligated to make
certain advances in respect of homeowner association fees, taxes,
and insurance, installment payments on energy improvement liens,
and reasonable costs and expenses incurred in the course of
servicing and disposing of properties.
FirstKey, as the Asset Manager, has the option to sell certain
nonperforming loans or real estate-owned (REO) properties to
unaffiliated third parties individually or in bulk sales. Such
sales require an asset sale price to at least equal a minimum
reserve amount of the product of (1) 79.08% and (2) the current
principal amount of the mortgage loans or REO properties as of the
sale date.
When the aggregate pool balance of the mortgage loans is reduced to
less than 20% of the Cut-Off Date balance, the Call Option Holder
(TPMT 2024-3 COH, LLC, an affiliate of the Sponsor, the Seller, the
Asset Manager, the Depositor, and the Risk Retention Holder) will
have the option to cause the Issuer to sell all of its remaining
property (other than amounts in the Breach Reserve Account) to one
or more third-party purchasers so long as the aggregate proceeds
meet a minimum price.
When the aggregate pool balance is reduced to less than 10% of the
balance as of the Cut-Off Date, the Call Option Holder may purchase
all of the mortgage loans, REO properties, and other properties
from the Issuer, as long as the aggregate proceeds meet a minimum
price.
The transaction allows for the issuance of Class A1 Loans in which
the Issuer may enter into a Credit Agreement to borrow up to the
balance of the Class A1 Loans from Class A1 Lenders on the Closing
Date. For the TPMT 2024-3 transaction, the Class A1 Loans will not
be issued at closing.
The transaction employs a sequential-pay cash flow structure.
Principal proceeds and excess interest can be used to cover
interest shortfalls on the Notes, but such shortfalls on Class M1
and more subordinate bonds will not be paid from principal proceeds
until the Class A1 and A2 Notes are retired.
Notes: All figures are in U.S. dollars unless otherwise noted.
VERUS SECURITIZATION 2024-INV2: S&P Assigns Prelim B- on B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Verus
Securitization Trust 2024-INV2's mortgage-backed notes.
The note issuance is an RMBS securitization backed by first-lien,
fixed- and adjustable-rate (some with interest-only periods)
residential mortgage loans secured by single-family residences,
townhouses, planned-unit developments, two- to four-family
residential properties, condominiums, condotels, a cooperative,
five– to 10-unit multifamily properties, mixed-use properties,
and condotels to both prime and non-prime borrowers. The pool has
885 residential mortgage loans; five loans are cross-collateralized
loans backed by 21 properties for a total property count of 901.
The preliminary ratings are based on information as of Aug. 12,
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 (R&W) framework, and
geographic concentration;
-- The mortgage aggregator, Invictus Capital Partners (Invictus),
and any S&P Global Ratings reviewed originator; and
-- S&P said, "Per our latest update ("A Cooling U.S. Labor Market
Sets Up A September Start For Rate Cuts," Aug. 6, 2024) to our Q3
macroeconomic outlook ("Economic Outlook U.S. Q3 2024: Milder
Growth Ahead," June 24, 2024), we have recalibrated our views on
the trajectory of interest rates in the U.S. and now expect 50
basis points of rate cuts coming this year and another 100 basis
points of cuts coming next year, with the balance of risks tilting
toward more of those cuts happening sooner rather than later. Our
base-case forecast for GDP growth and inflation have not changed
and we attribute the recent loosening of the labor market to
normalization, not to an economy that's about to slip into a
recession. A soft landing remains the most likely scenario, at
least into 2025. We therefore maintain our current market outlook
as it relates to the 'B' projected archetypal foreclosure frequency
of 2.50% which reflects our benign view of the mortgage and housing
market as demonstrated through general national level home price
behavior, unemployment rates, mortgage performance, and
underwriting."
Preliminary Ratings Assigned
Verus Securitization Trust 2024-INV2
Class A-1, $215,921,000: AAA (sf)
Class A-2, $24,525,000: AA (sf)
Class A-3, $42,473,000: A (sf)
Class M-1, $30,923,000: BBB- (sf)
Class B-1, $18,837,000: BB- (sf)
Class B-2, $12,618,000: B- (sf)
Class B-3, $10,129,998: Not rated
Class A-IO-S, $355,426,998(i): Not rated
Class XS, $355,426,998(i): Not rated
Class R, N/A: Not rated
(i)The notional amount equals the aggregate stated principal
balance of loans in the pool as of the cutoff date.
N/A—Not applicable.
VOYA CLO 2015-1: Moody's Lowers Rating on Class E-R Notes to Ca
---------------------------------------------------------------
Moody's Ratings has taken a variety of rating actions on the
following notes issued by Voya CLO 2015-1, Ltd:
US$30.25M Class C-R Deferrable Floating Rate Notes, Upgraded to
Aaa (sf); previously on Nov 13, 2023 Upgraded to Baa1 (sf)
US$26M Class D-R Deferrable Floating Rate Notes, Upgraded to Ba3
(sf); previously on Sep 10, 2020 Downgraded to B1 (sf)
US$13M Class E-R Deferrable Floating Rate Notes, Downgraded to Ca
(sf); previously on Sep 10, 2020 Downgraded to Caa3 (sf)
Moody's have also affirmed the ratings on the following notes:
US$66.25M (Current outstanding amount US$ 3,581,241) Class A-2-R
Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 15, 2022
Upgraded to Aaa (sf)
US$44.25M Class B-R Deferrable Floating Rate Notes, Affirmed Aaa
(sf); previously on Nov 13, 2023 Upgraded to Aaa (sf)
Voya CLO 2015-1, Ltd., issued in April 2015, is a collateralised
loan obligation (CLO) backed by a portfolio of mostly high-yield
senior secured US loans. The portfolio is managed by Voya
Alternative Asset Management LLC. The transaction's reinvestment
period ended in January 2021.
RATINGS RATIONALE
The upgrades on the ratings on the Class C-R and Class D-R notes
are primarily a result of the significant deleveraging of the Class
A-1-R and A-2-R senior notes following amortisation of the
underlying portfolio since the last rating action in November
2023.
The downgrade to the rating on the Class E-R notes is due to the
deterioration of the key credit metrics of the underlying pool
since the last rating action in November 2023.
The affirmations on the ratings on the Class A-2-R and B-R notes
are primarily a result of the expected losses on the notes
remaining consistent with their current rating levels, after taking
into account the CLO's latest portfolio, its relevant structural
features and its actual over-collateralisation ratios.
Since the last rating action in November 2023, the Class A-1-R has
been repaid in full. Subsequently, the Class A-2-R notes have been
amortising and have paid down approximately USD62.67 (94.6%)
million. As a result of the deleveraging, over-collateralisation
(OC) has increased. According to the trustee report dated July 2024
[1] the Class B, Class C and Class D OC ratios are reported at
170.8%, 129.1%, 106.7% compared to November 2023 [2] levels of
135.8%, 118.0%, 106.0% respectively. Moody's note that the July
2024 principal payments are not reflected in the reported OC
ratios.
The credit quality has deteriorated as reflected in the
deterioration in the average credit rating of the portfolio
(measured by the weighted average rating factor, or WARF). Moody's
WARF has increased to 3052 compared to 2740 in the last rating
action. Additionally, defaults and Credit Risk sales have resulted
in erosion of the par amount of the portfolio, as reflected by a
reduction in the Class E OC ratio, which has decreased to 98.1% as
of July 2024 from 100.2% in November 2023.
The key model inputs Moody's use in Moody's analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on Moody's published methodology
and could differ from the trustee's reported numbers.
In Moody's base case, Moody's used the following assumptions:
Performing par and principal proceeds balance: USD116,946,553
Defaulted Securities: USD1,423,013
Diversity Score: 42
Weighted Average Rating Factor (WARF): 3052
Weighted Average Life (WAL): 2.75 years
Weighted Average Spread (WAS) (before accounting for floors):
3.36%
Weighted Average Recovery Rate (WARR): 46.71%
Par haircut in OC tests and interest diversion test: 2.72%
The default probability derives from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporate these default and recovery
characteristics of the collateral pool into Moody's cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.
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.
Counterparty Exposure:
The rating action took into consideration the notes' exposure to
relevant counterparties, using the methodology "Moody's Approach to
Assessing Counterparty Risks in Structured Finance methodology"
published in October 2023. Moody's concluded the ratings of the
notes are not constrained by these risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change.
Additional uncertainty about performance is due to the following:
-- Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales the collateral manager or be
delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.
-- Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assume have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Recoveries higher
than Moody's expectations would have a positive impact on the
notes' ratings.
-- Long-dated assets: The presence of USD5.7m of assets that
mature beyond the CLO's legal maturity date exposes the deal to
liquidation risk on those assets. Moody's assume that, at
transaction maturity, the liquidation value of such an asset will
depend on the nature of the asset as well as the extent to which
the asset's maturity lags that of the liabilities. Liquidation
values higher than Moody's expectations would have a positive
impact on the notes' ratings.
In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
Moody's other analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
VOYA CLO 2017-1: Moody's Affirms B1 Rating on $20MM Class D Notes
-----------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by Voya CLO 2017-1, LTD.:
US$32.5M Class B-R Deferrable Floating Rate Notes, Upgraded to Aa1
(sf); previously on Dec 8, 2023 Upgraded to Aa3 (sf)
US$27.5M Class C Deferrable Floating Rate Notes, Upgraded to Baa2
(sf); previously on May 18, 2021 Upgraded to Baa3 (sf)
Moody's have also affirmed the ratings on the following notes:
US$320M (current outstanding balance US$100,425,279) Class A-1-R
Floating Rate Notes, Affirmed Aaa (sf); previously on May 18, 2021
Assigned Aaa (sf)
US$60M Class A-2-R Floating Rate Notes, Affirmed Aaa (sf);
previously on Dec 8, 2023 Upgraded to Aaa (sf)
US$20M Class D Deferrable Floating Rate Notes, Affirmed B1 (sf);
previously on Sep 15, 2020 Downgraded to B1 (sf)
Voya CLO 2017-1, LTD., originally issued in April 2017 and
partially refinanced in May 2021 is a managed cashflow CLO. The
notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The portfolio is managed
by Voya Alternative Asset Management LLC. The transaction's
reinvestment period ended in April 2022.
RATINGS RATIONALE
The rating upgrades on the Class B-R and Class C notes are
primarily a result of the significant deleveraging of the Class
A-1-R notes following amortisation of the underlying portfolio
since the last rating action in December 2023.
The Class A-1-R notes have paid down by approximately USD 119.2
million (37.3%) since the last rating action in December 2023 and
USD 219.6 million (68.6%) since closing. As a result of the
deleveraging, over-collateralisation (OC) has increased across the
capital structure. According to the trustee report dated July 2024
[1], the Class A, Class B, Class C and Class D OC ratios are
reported at 147.5%, 126.9%, 113.5% and 105.4% compared to October
2023 [2] levels of 134.8%, 120.7%, 111.0% and 104.8%,
respectively.
The affirmations on the ratings on the Class A-1-R, Class A-2-R and
Class D notes are primarily a result of the expected losses on the
notes remaining consistent with their current rating levels, after
taking into account the CLO's latest portfolio, its relevant
structural features and its actual over-collateralisation ratios.
The key model inputs Moody's use in Moody's analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on Moody's published methodology
and could differ from the trustee's reported numbers.
In Moody's base case, Moody's used the following assumptions:
Performing par and principal proceeds balance: USD256.3 million
Defaulted Securities: USD1.4 million
Diversity Score: 71
Weighted Average Rating Factor (WARF): 2959
Weighted Average Life (WAL): 3.5 years
Weighted Average Spread (WAS): 3.2%
Weighted Average Coupon (WAC): 0%
Weighted Average Recovery Rate (WARR): 47.3%
Par haircut in OC tests and interest diversion test: 0.5%
The default probability derives from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporate these default and recovery
characteristics of the collateral pool into Moody's cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.
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.
Counterparty Exposure:
The rating action took into consideration the notes' exposure to
relevant counterparties using the methodology "Moody's Approach to
Assessing Counterparty Risks in Structured Finance methodology"
published in October 2023. Moody's concluded the ratings of the
notes are not constrained by these risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.
Additional uncertainty about performance is due to the following:
-- Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.
-- Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which could
lengthen as a result of the manager's decision to reinvest in new
issue loans or other loans with longer maturities, or participate
in amend-to-extend offerings.
-- Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assume have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Moody's analysed
defaulted recoveries assuming the lower of the market price or the
recovery rate to account for potential volatility in market prices.
Recoveries higher than Moody's expectations would have a positive
impact on the notes' ratings.
In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
Moody's other analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
VOYA CLO 2019-1: S&P Affirms 'BB- (sf)' Rating on Class E-R Notes
-----------------------------------------------------------------
S&P Global Ratings raised its ratings on the class B-R, C-1-R, and
C-2-R notes from Voya CLO 2019-1 Ltd. At the same time, S&P
affirmed its ratings on the class A-R, D-R, and E-R notes. S&P also
removed the rating on the class E-R notes from CreditWatch, where
S&P placed it with negative implications on May 31, 2024.
The rating actions follow its review of the transaction's
performance using data from the July 2024 trustee report.
The transaction has paid down $116.60 million in collective
paydowns to the class A-R notes since S&P's March 2020 rating
actions when the deal was refinanced. The following are the changes
in the reported overcollateralization (O/C) ratios since the April
2020 trustee report that was published after the deal was
refinanced:
-- The class A/B O/C ratio improved to 134.17% from 129.22%.
-- The class C O/C ratio improved to 121.31% from 119.88%.
-- The class D O/C ratio declined to 112.34% from 113.07%.
-- The class E O/C ratio declined to 106.07% from 108.15%.
While the senior O/C ratios experienced a positive movement due to
the lower balances of the senior notes, the junior O/C ratios
declined, primarily due to a combination of par losses and
increased haircuts following the portfolio's increased exposure to
'CCC' or lower quality assets. This was one of the main reasons for
S&P to place the class E-R note rating on CreditWatch negative on
May 31, 2024.
Since the CreditWatch placement, the class A-R notes have paid down
by $59.66 million, which increased the credit support for all
notes, including the class E O/C ratio, which actually increased
slightly to 106.07% from 105.90% during this period. In addition,
even though the portfolio continues to amortize, collateral
obligations with ratings in the 'CCC' category remained relatively
stable, with $27.03 million reported as of the July 2024 trustee
report, compared with $26.65 million reported as of the February
2024 trustee report.
S&P said, "Although the cash flow results indicated a lower rating
for the class E-R notes, we affirmed our 'BB- (sf)' rating on this
note considering the margin of failure at its current rating, its
current credit enhancement, and the relatively stable performance
of the transaction, and as all O/C ratios currently have a
significant cushion over their respective minimum requirements.
"The upgraded ratings reflect the improved credit support available
to the notes at the prior rating levels. The affirmed ratings
reflect 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.
"On a standalone basis, the results of the cash flow analysis
indicated a higher rating on the class C-1-R, C-2-R, and D-R notes.
However, our rating actions reflect additional sensitivity runs
that considered the exposure to lower-quality assets and distressed
prices we noticed in the portfolio. Additionally, due to relatively
higher exposure to 'CCC' rated collateral obligations, we limited
the upgrade on some classes to offset future potential credit
migration in the underlying collateral.
"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 we will take rating actions as we
deem necessary."
Ratings Raised
Voya CLO 2019-1 Ltd.
Class B-R to 'AA+ (sf)' from 'AA (sf)'
Class C-1-R to 'A+ (sf)' from 'A (sf)'
Class C-2-R to 'A+ (sf)' from 'A (sf)'
Ratings Affirmed And Removed From CreditWatch Negative
Voya CLO 2019-1 Ltd.
Class E-R to 'BB- (sf)' from 'BB- (sf)/Watch Neg'
Ratings Affirmed
Voya CLO 2019-1 Ltd.
Class A-R: AAA (sf)
Class D-R: BBB- (sf)
WELLMAN PARK CLO: Moody's Assigns B3 Rating to $1MM Class F Notes
-----------------------------------------------------------------
Moody's Ratings has assigned ratings to two classes of CLO
refinancing notes (the Refinancing Notes) issued by Wellman Park
CLO, Ltd. (the Issuer):
US$384,000,000 Class A-R Senior Secured Floating Rate Notes due
2037, Assigned Aaa (sf)
US$1,000,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2037, 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
90.0% of the portfolio must consist of first lien senior secured
loans, cash and eligible investments and up to 10.0% of the
portfolio may consist of assets that are not first lien senior
secured loans, cash, and eligible investments.
Blackstone Liquid Credit Strategies 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 and the other
classes of secured 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
and 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: $599,130,767
Defaulted par: 869,233
Diversity Score: 70
Weighted Average Rating Factor (WARF): 3180
Weighted Average Spread (WAS): 3.40%
Weighted Average Coupon (WAC): 6.00%
Weighted Average Recovery Rate (WARR): 46.50%
Weighted Average Life (WAL): 8.0 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
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.
WELLS FARGO 2013-LC12: Moody's Lowers Rating on PEX Certs to Caa1
-----------------------------------------------------------------
Moody's Ratings has affirmed the ratings on two classes and
downgraded the rating on one class in Wells Fargo Commercial
Mortgage Trust 2013-LC12 ("WFCM 2013-LC12"), Commercial Mortgage
Pass-Through Certificates, Series 2013-LC12 as follows:
Cl. B, Affirmed B2 (sf); previously on Mar 7, 2023 Downgraded to B2
(sf)
Cl. C, Affirmed Caa3 (sf); previously on Mar 7, 2023 Downgraded to
Caa3 (sf)
Cl. PEX, Downgraded to Caa1 (sf); previously on Mar 7, 2023
Downgraded to B3 (sf)
RATINGS RATIONALE
The rating on one P&I class, Cl. B, was affirmed because of its
significant credit support in connection with the transaction's
Moody's loan-to-value (LTV) ratio and the expected principal
recovery on the remaining loans in the pool. Cl. B is now the most
senior outstanding class and will benefit from priority of
principal proceeds from any loan payoffs or liquidations and has
already paid down approximately 32% from its original balance. The
rating on Cl. C was affirmed because the rating is consistent with
Moody's expected loss.
The rating on the exchangeable class, Cl. PEX, was downgraded due
to the decline in the credit quality of its exchangeable classes
resulting from principal paydowns of higher quality exchangeable
classes. Cl. PEX originally referenced Classes A-S, B and C,
however, Cl. A-S has previously paid off in full.
Moody's rating action reflects a base expected loss of 58.7% of the
current pooled balance, compared to 22.5% at Moody's last review.
Moody's base expected loss plus realized losses is now 12.0% of the
original pooled balance, compared to 13.8% at Moody's last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, an increase in realized and
expected losses from specially serviced and troubled loans or
interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Large Loan and
Single Asset/Single Borrower Commercial Mortgage-backed
Securitizations" published in July 2024.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 86% of the pool is in
special servicing. In this approach, Moody's determine a
probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then apply the aggregate loss
from specially serviced loans to the most junior classes and the
recovery as a pay down of principal to the most senior classes.
DEAL PERFORMANCE
As of the July 17, 2024 distribution date, the transaction's
aggregate certificate balance has decreased by 81% to $265.7
million from $1.4 billion at securitization. The certificates are
collateralized by seven mortgage loans ranging in size from less
than 2% to 30% of the pool.
As of the July 2024 remittance report, loans representing 5% were
current or within their grace period on their debt service payments
and 95% were past maturity, in foreclosure or real estate owned
(REO).
Four loans have been liquidated from the pool, resulting in an
aggregate realized loss of $12.9 million (for an average loss
severity of 38%). Four loans, constituting 86% of the pool, are
currently in special servicing.
The largest specially serviced loan is the White Marsh Mall Loan
($78.7 million -- 29.6% of the pool), which represents a pari passu
portion of a $186.9 million mortgage loan. The loan is secured by
an approximately 700,000 square feet (SF) component of a 1.2
million SF super-regional mall located in Baltimore, Maryland. The
mall is anchored by Macy's, JC Penney, Boscov's, and Macy's Home
Store. Macy's and JC Penny are not part of the loan collateral and
Sears, a former non-collateral anchor, closed in April 2020. As of
June 2023, inline and collateral occupancy were 77% and 86%,
respectively, compared to 81% and 89% in December 2021 and 89% and
93% in June 2020. Property performance declined annually between
2018 and 2021 primarily due to lower rental revenues and the 2021
net operating income (NOI) was approximately 43% lower than in
2013. While the NOI improved year over year in 2022, it then
modestly declined again in 2023 and the 2023 NOI was still
approximately 36% lower than in 2013. The property's revenue
remains well below levels at securitization and has been in special
servicing since August 2020 and failed to pay off at its May 2021
maturity date. The most recent appraisal from April 2024 valued the
property 57% below the outstanding loan balance and as of the July
2024 remittance statement, the master servicer has recognized a 54%
appraisal reduction based on the current loan balance. A receiver
was appointed in January 2023 and the special servicing continues
to evaluate the collateral including leasing and potential loan
assumption. As of the July 2024 remit, the loan was current on its
monthly debt service payments.
The second largest specially serviced loan is the Carolina Place
Loan ($75.3 million -- 28.3% of the pool), which represents a pari
passu portion of a $146.4 million mortgage loan. The loan is
secured by a 693,000 SF component of a 1.2 million SF
super-regional mall located in Pineville, North Carolina, 10 miles
south of Charlotte. The mall is anchored by Dillard's, Belk, Dick's
Sporting Goods, and JCPenney. JCPenney is the only current anchor
that is part of the collateral. A former collateral anchor, Sears,
had vacated the property in early 2019 and the space remains
vacant. As of December 2023, collateral and inline occupancy were
72% and 91%, respectively, compared to 67% and 85% in September
2021. The property's revenue and NOI generally improved through
2018, however, the NOI has since declined. The year-end 2023 NOI
was 13% lower than in 2018 and 5% lower than in 2013. After an
initial three-year IO period, the loan has amortized 16% since
securitization and the year-end 2023 NOI DSCR was 1.65X based on
amortizing loan payments and a 3.8% fixed interest rate. The loan
has been in special servicing since May 2023, however, was current
on its monthly debt service payments as of the July 2024 remittance
statement. A February 2024 appraisal valued the property 51% lower
than at securitization and 12% lower than the outstanding whole
loan amount. As a result, an appraisal reduction of 20% of the
outstanding loan balance has been recognized as of the July 2024
remittance statement. The loan was recently modified and extended
for two years, maturing in June 2025.
The third largest specially serviced loan is the Rimrock Mall Loan
($68.6 million -- 25.8% of the pool) which is secured by an
approximately 430,000 SF portion of a 586,000 SF regional mall
located in Billings, Montana. The Rimrock Mall is the only dominant
mall within a 150-mile radius and is currently anchored by
Dillard's, Dillard's Men & Children (both Dillard's spaces are
non-collateral) and JCPenney. A former anchor, Herberger's, vacated
in 2018 and accounted for approximately 14% of net rentable area
(NRA). As of June 2022, collateral and inline occupancy were 81%
and 88%, respectively, compared to 79% and 82% in April 2022, 85%
and 92% in September 2020 and 95% and 91% in September 2019.
Property performance has declined significantly since
securitization due to declining revenue and increased vacancy. The
2023 year-end NOI was already approximately 45% lower than in 2014
and the December 2023 NOI DSCR was 0.84X. The loan has been in
special servicing since May 2020 and is last paid through its June
2023 payment date. A receiver was previously appointed and the
property became REO in January 2022. The loan has amortized
approximately 11% since securitization, however, the most recent
appraisal from April 2024 valued the property approximately 48%
below the outstanding loan balance and as of the July 2024
remittance statement, the master servicer has recognized a 63%
appraisal reduction based on the outstanding loan balance.
The remaining specially serviced loan is secured by a hotel
property located in Queens, New York. Moody's estimate an aggregate
$155.9 million loss for the specially serviced loans (68% expected
loss on average).
As of the July 2024 remittance statement cumulative interest
shortfalls were $10.5 million and impact up to class E. Moody's
anticipate interest shortfalls will continue because of the
exposure to specially serviced loans and/or modified loans.
Interest shortfalls are caused by special servicing fees, including
workout and liquidation fees, appraisal entitlement reductions
(ASERs), loan modifications and extraordinary trust expenses.
The largest non-specially serviced loan is the Queens Tower Loan
($24.8 million -- 9.4% of the pool) which is secured by a 175,459
SF office property located in Queens, New York. The loan previously
transferred to special servicing in April 2023 ahead of its June
2023 maturity and a loan modification and extension was
subsequently closed in November 2023. As part of the modification,
the maturity date was extended to June 2024 with an additional
12-month extension option and the loan returned to the master
servicer in January 2024. The property was 89% leased as of
September 2023, compared to 98% at securitization and a recent
lease was approved in October 2023 which should increase the
property's occupancy to 100%. The loan has amortized 11% since
securitization. Moody's LTV and stressed DSCR are 83% and 1.31X,
respectively, compared to 86% and 1.26X at the last review.
The remaining non-specially serviced loans represent 4.7% of the
pool balance and are secured by a loan secured by an office
property and a loan secured by a portfolio of single tenant retail
properties. Both loans have passed their anticipated repayment
dates (ARD) in 2023 and are now amortizing until their respective
legal final maturity dates.
WESTLAKE AUTOMOBILE 2023-3: S&P Assigns BB (sf) Rating on E Notes
-----------------------------------------------------------------
S&P Global Ratings raised its ratings on 12 classes of notes from
10 Westlake Automobile Receivables Trust transactions that are
backed by subprime retail auto loan receivables originated and
serviced by Westlake Services LLC. At the same time, we affirmed
our ratings on 39 classes of notes from these transactions.
The rating actions reflect:
-- Each transaction's collateral performance to date and S&P's
expectations regarding future collateral performance;
-- S&P's remaining cumulative net loss (CNL) expectations for each
transaction, and the transactions' structures and credit
enhancement levels; and
-- Other credit factors, including credit stability, payment
priorities under various scenarios, and sector- and issuer-specific
analyses, including our most recent macroeconomic outlook that
incorporates a baseline forecast for U.S. GDP and unemployment.
Considering all these factors, S&P believes each notes'
creditworthiness is consistent with the raised and affirmed
ratings.
S&P said, "The Westlake 2020-3, 2021-1, 2021-2, 2021-3, 2022-1,
2022-2, 2022-3, and 2023-1 transactions are performing worse than
our prior CNL expectations. Series 2020-3 through 2021-3, which
received a more substantial benefit from COVID-19 pandemic-era
stimulus, are now experiencing higher back-end gross losses than
our prior expectations. For later series, specifically 2022-1
through 2023-1, which did not receive a pandemic performance
benefit, cumulative gross losses are higher than for recent
pre-pandemic transactions, which, combined with relatively weaker
recovery rates, are resulting in elevated net losses. As such, we
revised and raised our expected CNL for these transactions. The
Westlake 2023-2 and 2023-3 transactions, albeit early, are
performing in line with our initial expectations, and our expected
CNLs for these transactions are unchanged."
Table 1
Collateral performance (%)(i)
Pool Current 60-plus-day
Series Month factor CNL delinq. Extensions
2020-3 45 11.06 6.46 1.77 7.88
2021-1 40 17.09 7.63 2.12 9.04
2021-2 37 21.96 9.50 2.07 9.25
2021-3 32 26.69 10.94 1.89 8.00
2022-1 28 31.56 12.27 2.14 8.01
2022-2 25 40.66 11.48 1.99 8.35
2022-3 21 45.73 9.39 2.01 6.95
2023-1 18 53.68 7.30 1.68 6.51
2023-2 16 57.18 6.27 1.58 6.39
2023-3 11 70.80 4.20 1.51 6.54
(i)As of the July 2024 distribution date.
Delinq.--Delinquencies.
CNL--Cumulative net loss.
Table 2
CNL expectations (%)
Original Prior Current
lifetime lifetime lifetime
Series CNL exp. CNL exp.(i) CNL exp.(ii)
2020-3 15.00 (14.75-15.25) 6.25 6.60
2021-1 13.75 (13.50-14.00) 7.50 8.25
2021-2 13.75 (13.50-14.00) 9.50 10.50
2021-3 12.75 (12.50-13.00) 11.50 12.75
2022-1 12.75 (12.50-13.00) 12.75 15.00
2022-2 12.75 (12.50-13.00) 12.75 15.75
2022-3 12.50 N/A 14.25
2023-1 12.50 N/A 12.75
2023-2 12.50 N/A 12.50
2023-3 12.50 N/A 12.50
(i)Revised in August 2023. (ii)Revised August 2024.
CNL exp.--Cumulative net loss expectations.
N/A--Not applicable.
Each transaction has a sequential principal payment structure in
which the notes are paid principal by seniority, which will
increase the credit enhancement for the senior notes as the pool
amortizes. Each transaction also has credit enhancement in the form
of a nonamortizing reserve account, overcollateralization,
subordination for the more senior classes, and excess spread.
As of the July 2023 distribution date, each transaction is at its
specified target overcollateralization level and specified reserve
levels, except for the 2021-3, 2022-1, and 2022-2 transactions,
each of which has an overcollateralization shortfall.
S&P said, "The raised and affirmed ratings reflect our view that
the total credit support, as a percentage of the amortizing pool
balance and compared with our expected remaining losses, is
commensurate with the respective ratings."
Table 3
Hard credit support(i)
Total hard Current total hard
credit support credit support
Series Class at issuance (%) (% of current)
2020-3 D 13.00 90.41
2020-3 E 9.00 54.25
2020-3 F 5.00 18.08
2021-1 D 10.85 66.41
2021-1 E 7.20 45.06
2021-1 F 1.50 11.70
2021-2 C 19.55 91.29
2021-2 D 10.85 51.68
2021-2 E 7.20 35.06
2021-2 F 1.50 9.11
2021-3 C 19.00 73.02
2021-3 D 10.00 39.30
2021-3 E 6.65 26.75
2021-3 F 1.50 7.64
2022-1 B 31.80 100.46
2022-1 C 21.20 66.97
2022-1 D 12.55 39.56
2022-1 E 9.65 30.37
2022-1 F 2.10 6.45
2022-2 A-3 41.00 98.42
2022-2 B 34.25 81.81
2022-2 C 23.55 55.50
2022-2 D 14.30 32.75
2022-2 E 11.30 25.38
2022-2 F 3.75 6.81
2022-3 A-3 40.70 79.68
2022-3 B 34.25 65.58
2022-3 C 24.00 43.16
2022-3 D 15.05 23.59
2022-3 E 10.50 13.64
2023-1 A-2-A 41.00 71.56
2023-1 A-2-B 41.00 71.56
2023-1 A-3 41.00 71.56
2023-1 B 34.50 58.45
2023-1 C 24.10 39.08
2023-1 D 15.60 23.24
2023-1 E 10.70 14.11
2023-2 A-2-A 42.60 70.49
2023-2 A-2-B 42.60 70.49
2023-2 A-3 42.60 70.49
2023-2 B 35.60 57.25
2023-2 C 29.00 45.70
2023-2 D 18.00 26.47
2023-2 E 12.30 16.50
2023-3 A-2-A 40.30 59.02
2023-3 A-2-B 40.30 59.02
2023-3 A-3 40.30 59.02
2023-3 B 33.75 48.77
2023-3 C 23.05 33.65
2023-3 D 14.25 21.22
2023-3 E 9.25 14.16
(i)As of July 2024 distribution date, calculated as a percentage of
the total gross receivable pool balance, consisting of a reserve
account, overcollateralization, and, if applicable, subordination.
S&P said, "We incorporated an analysis of the current hard credit
enhancement compared to the remaining expected CNLs for those
classes where hard credit enhancement alone, without giving credit
to the excess spread, was sufficient, in our view, to support the
rating actions. For the other classes, we incorporated cash flow
analyses to assess the loss coverage level, giving credit to excess
spread. Our cash flow scenarios included forward-looking
assumptions on recoveries, the timing of losses, and voluntary
absolute prepayment speeds that we believe are appropriate given
the transactions' performance to date.
"In addition to our break-even cash flow analyses, we also
conducted sensitivity analyses to determine the impact that a
moderate ('BBB') stress scenario would have on our ratings if
losses began trending higher than our revised loss expectations.
In our view, the results demonstrated that all of the classes have
adequate credit enhancement at their respective raised and affirmed
rating levels, which is based on our analysis as of the collection
period ended June 30, 2024 (the July 2024 distribution date).
"We will continue to monitor the performance of the outstanding
transactions to ensure that the credit enhancement remains
sufficient, in our view, to cover our CNL expectations under our
stress scenarios for each of the rated classes."
RATINGS RAISED
Westlake Automobile Receivables Trust
Rating
Series Class To From
2020-3 F AAA (sf) AA (sf)
2021-1 E AAA (sf) AA+ (sf)
2021-1 F AA (sf) A- (sf)
2021-2 D AAA (sf) AA+ (sf)
2021-2 E AA+ (sf) AA (sf)
2021-2 F BBB+ (sf) BBB (sf)
2021-3 C AAA (sf) AA+ (sf)
2021-3 D AA+ (sf) AA (sf)
2022-1 C AAA (sf) AA+ (sf)
2022-2 B AAA (sf) AA+ (sf)
2022-3 B AA+ (sf) AA (sf)
2023-1 B AA+ (sf) AA (sf)
RATINGS AFFIRMED
Westlake Automobile Receivables Trust
Series Class Rating
2020-3 D AAA (sf)
2020-3 E AAA (sf)
2021-1 D AAA (sf)
2021-2 C AAA (sf)
2021-3 E A (sf)
2021-3 F BB- (sf)
2022-1 B AAA (sf)
2022-1 D AA- (sf)
2022-1 E A (sf)
2022-1 F B+ (sf)
2022-2 A-3 AAA (sf)
2022-2 C AA (sf)
2022-2 D A+ (sf)
2022-2 E BBB+ (sf)
2022-2 F B (sf)
2022-3 A-3 AAA (sf)
2022-3 C A (sf)
2022-3 D BBB (sf)
2022-3 E BB (sf)
2023-1 A-2-A AAA (sf)
2023-1 A-2-B AAA (sf)
2023-1 A-3 AAA (sf)
2023-1 C A (sf)
2023-1 D BBB (sf)
2023-1 E BB+ (sf)
2023-2 A-2-A AAA (sf)
2023-2 A-2-B AAA (sf)
2023-2 A-3 AAA (sf)
2023-2 B AA (sf)
2023-2 C A+ (sf)
2023-2 D BBB+ (sf)
2023-2 E BB+ (sf)
2023-3 A-2-A AAA (sf)
2023-3 A-2-B AAA (sf)
2023-3 A-3 AAA (sf)
2023-3 B AA (sf)
2023-3 C A (sf)
2023-3 D BBB (sf)
2023-3 E BB (sf)
WFRBS COMMERCIAL 2012-C10: Moody's Cuts Rating on X-B Certs to Ba3
------------------------------------------------------------------
Moody's Ratings has affirmed the ratings on five classes and
downgraded the rating on one class in WFRBS Commercial Mortgage
Trust 2012-C10 ("WFRBS 2012-C10"), Commercial Mortgage Pass-Through
Certificates Series 2012-C10 as follows:
Cl. B, Affirmed Baa2 (sf); previously on Apr 25, 2023 Downgraded to
Baa2 (sf)
Cl. C, Affirmed B3 (sf); previously on Apr 25, 2023 Downgraded to
B3 (sf)
Cl. D, Affirmed Caa3 (sf); previously on Apr 25, 2023 Affirmed Caa3
(sf)
Cl. E, Affirmed C (sf); previously on Apr 25, 2023 Downgraded to C
(sf)
Cl. F, Affirmed C (sf); previously on Apr 25, 2023 Affirmed C (sf)
Cl. X-B*, Downgraded to Ba3 (sf); previously on Apr 25, 2023
Downgraded to Ba2 (sf)
* Reflects Interest-Only Classes
RATINGS RATIONALE
The rating on P&I class Cl. B was affirmed because of its credit
support and expected paydowns from the remaining loans in the pool.
Cl. B has already paid down 42% since securitization and is now the
most senior outstanding class and will benefit from payment
priority from any principal paydowns.
The ratings on P&I classes Cl. C, Cl. D, Cl. E and Cl. F were
affirmed because the ratings are consistent with expected recovery
of principal and interest from specially serviced loans. Two loans,
representing 53% of the pool, are in special servicing and are
secured by poorly performing regional mall loans that have had a
decline in performance since securitization. The two regional malls
both have had receivers appointed and the master servicer has
recognized an appraisal reduction on the loans. One loan,
representing 47% of the pool, is secured by an office property that
failed to payoff at its original maturity date and has since been
extended. In Moody's rating analysis Moody's also analyzed loss and
recovery scenarios to reflect the recovery value, the current cash
flow of the property and timing to ultimate resolution on the
remaining loans and properties in the pool.
The rating on the IO Class (Cl. X-B) was downgraded due to the
decline in the credit quality of its reference classes resulting
from principal paydowns of higher quality reference classes.
Moody's rating action reflects a base expected loss of 47.1% of the
current pooled balance, compared to 45.3% at Moody's last review.
Moody's base expected loss plus realized losses is now 8.8% of the
original pooled balance, compared to 10.4% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected. Additionally, significant
changes in the 5-year rolling average of 10-year US Treasury rates
will impact the magnitude of the interest rate adjustment and may
lead to future rating actions.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, an increase in realized and
expected losses from specially serviced and troubled loans or
interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating all classes except
interest-only classes was "Large Loan and Single Asset/Single
Borrower Commercial Mortgage-backed Securitizations" published in
July 2024.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 53% of the pool is in
special servicing and Moody's have identified an additional
troubled loan representing 47% of the pool. In this approach,
Moody's determine a probability of default for each specially
serviced and troubled loan that it expects will generate a loss and
estimates a loss given default based on a review of broker's
opinions of value (if available), other information from the
special servicer, available market data and Moody's internal data.
The loss given default for each loan also takes into consideration
repayment of servicer advances to date, estimated future advances
and closing costs. Translating the probability of default and loss
given default into an expected loss estimate, Moody's then apply
the aggregate loss from specially serviced and troubled loans to
the most junior class(es) and the recovery as a pay down of
principal to the most senior class(es).
DEAL PERFORMANCE
As of the July 17, 2024 distribution date, the transaction's
aggregate certificate balance has decreased by 83% to $223 million
from $1.31 billion at securitization. The certificates are
collateralized by three mortgage loans ranging in size from 21% to
47% of the pool.
Two loans have been liquidated from the pool, resulting in an
aggregate realized loss of $9.4 million (for an average loss
severity of 17%). Two loans, constituting 53% of the pool, are
currently in special servicing.
The largest specially serviced loan is the Dayton Mall Loan ($72.2
million – 32.4% of the pool), which is secured by a 778,500
square foot (SF), component of a 1.45 million SF, two-story
regional mall located in Dayton, Ohio. The property is sponsored by
Washington Prime Group (WPG). The mall's current anchor tenants
include Macy's (non-collateral), JC Penney (collateral) and Dick's
Sporting Goods (collateral). Sears, a prior non-collateral anchor,
closed at this location during 2018. The mall has had other major
tenants vacate due to bankruptcy including a 203,000 SF Elder
Beerman (non-collateral) in early 2018 and a 30,000 SF HHgregg
(collateral) in 2017. The former HHgregg space has since been
replaced by Ross Dress for Less which opened in October 2019. The
total mall was 90% occupied as of December 2023, compared to 92% as
of December 2022 and 93% as of December 2019 and 92% at
securitization. Property performance has steadily declined since
securitization. Year-end 2023 NOI was 65% lower than securitization
and 35% lower than 2020. The loan transferred to special servicing
in June 2021 due to the sponsor filing for bankruptcy. WPG has
deemed the property as a non-core asset and requested the lender to
consider taking title to the property via a Deed in Lieu or appoint
a receiver to the property. A receiver was appointed in December
2021 and is working to stabilize occupancy at the property, as well
as collect past due rents. The loan has passed its original
maturity date of August 2022. As of the July 2024 remittance, the
loan is last paid through January 2024.
The second largest specially serviced loan is the Rogue Valley Mall
Loan ($46.1 million – 20.7% of the pool), which is secured by a
453,935 SF component of an approximately 640,000 SF two-story
regional mall located in Medford, Oregon. The mall has two
non-collateral anchors, Macy's and Kohl's, and two collateral
anchors, JCPenney and Macy's Home Store. The mall is the dominant
mall in the trade area and the only enclosed regional mall within a
100-mile radius. Performance has declined since securitization,
with 2023 NOI down 23% compared to underwriting. The collateral was
94% leased as of December 2023, compared to 88% in June 2022, 94%
in December 2019 and 96% in December 2018. The loan transferred to
special servicing in June 2020 for payment default and returned to
the master servicer in October 2021 as a corrected mortgage. The
loan transferred back to special servicing again in October 2022
for imminent monetary default and passed its original maturity date
in October 2022. A receiver was appointed and the servicer's listed
strategy is foreclosure.
The loan not in special servicing is the Republic Plaza Loan
($104.7 million – 47% of the pool), which represents a pari-passu
portion of a $234.6 million loan. The loan is secured by a 56-story
Class-A trophy office tower and a separate 12-story parking garage
located in downtown Denver, Colorado. The two largest tenants at
securitization, Encana Oil & Gas and DCP Midstream LP, have both
vacated. The property was 73% leased as of March 2024, compared to
80% in September 2021, 82% in December 2020 and 96% in December
2019. This loan passed its original maturity date in December 2022.
The loan was modified to interest-only payments and extended to
March 2026. As of the July 2024 remittance, the loan is current.
WFRBS COMMERCIAL 2014-C22: Moody's Cuts Rating on C Certs to Ba1
----------------------------------------------------------------
Moody's Ratings has affirmed the ratings on two classes and
downgraded the ratings on two classes in WFRBS Commercial Mortgage
Trust 2014-C22, Commercial Mortgage Pass-Through Certificates,
Series 2014-C22 ("WFRBS 2014-C22") as follows:
Cl. A-5, Affirmed Aaa (sf); previously on Jun 5, 2023 Affirmed Aaa
(sf)
Cl. A-S, Affirmed Aa3 (sf); previously on Jun 5, 2023 Downgraded to
Aa3 (sf)
Cl. B, Downgraded to Baa1 (sf); previously on Jun 5, 2023
Downgraded to A2 (sf)
Cl. C, Downgraded to Ba1 (sf); previously on Jun 5, 2023 Downgraded
to Baa2 (sf)
RATINGS RATIONALE
The ratings on two P&I classes were affirmed because of their
significant credit support and the transaction's key metrics,
including Moody's loan-to-value (LTV) ratio, Moody's stressed debt
service coverage ratio (DSCR) and the transaction's Herfindahl
Index (Herf), are within acceptable ranges.
The ratings on two P&I classes, Cl. B and Cl. C, were downgraded
due to the potential for higher losses and increased risk of
interest shortfalls due to the exposure to specially serviced loans
and potential refinance challenges for certain large loans with
upcoming maturity dates. Four loans, representing 27.0% of the
pool, are in special servicing, including the Bank of America Plaza
loan (19.3% of the pool) which is secured by an office building in
Los Angeles that has had a significant decline in occupancy.
Furthermore, troubled loans constitute 16.4% of the pool, including
the Stamford Plaza loan which is secured by an office building with
declining occupancy and cash flow. All the remaining loans, except
for ARD loans (11% of the pool) mature by September 2024 and given
the higher interest rate environment and loan performance, certain
loans may be unable to pay off at their maturity date, which may
increase interest shortfall risk for the outstanding classes.
Moody's rating action reflects a base expected loss of 20.5% of the
current pooled balance, compared to 12.0% at Moody's last review.
Moody's base expected loss plus realized losses is now 12.4% of the
original pooled balance, compared to 10.4% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected. Additionally, significant
changes in the 5-year rolling average of 10-year US Treasury rates
will impact the magnitude of the interest rate adjustment and may
lead to future rating actions.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in these ratings were "US and Canadian
Conduit/Fusion Commercial Mortgage-backed Securitizations"
published in June 2024.
DEAL PERFORMANCE
As of the July 17, 2024 distribution date, the transaction's
aggregate certificate balance has decreased by 47.7% to $777.5
million from $1.49 billion at securitization. The certificates are
collateralized by 54 mortgage loans ranging in size from less than
1% to 19% of the pool, with the top ten loans (excluding
defeasance) constituting 74% of the pool. Fifteen loans,
constituting 9.1% of the pool, have defeased and are secured by US
government securities. The pool contains two low leverage
cooperative loans, constituting 0.6% of the pool balance, which
were too small to credit assess; however, have Moody's leverage
that is consistent with other loans previously assigned an
investment grade Structured Credit Assessments.
Moody's use a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 10, compared to 17 at Moody's last review.
Thirty-three loans, constituting 63.4% of the pool, are on the
master servicer's watchlist. The watchlist includes loans that
meet certain portfolio review guidelines established as part of the
CRE Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Three loans have been liquidated from the pool, resulting in an
aggregate realized loss of $25.4 million (for an average loss
severity of 57.6%). Four loans, constituting 27.0% of the pool, are
currently in special servicing.
The largest specially serviced loan is the Bank of America Plaza
Loan ($150.0 million – 19.3% of the pool), which represents a
pari passu portion of a $400 million mortgage loan. The loan is
secured by a 55-story Class-A office tower located in downtown Los
Angeles, California with approximately 1.43 million square feet
(SF) of rentable area. The property is LEED Gold certified and was
constructed in 1974. The loan transferred to special servicing in
July 2024 for imminent maturity default ahead of its September 2024
maturity date. The property was 70% leased as of March 2024
compared to 82% in December 2022, compared to 84% in December 2021,
and 87% in December 2018. Property performance has declined in
recent years due to lower rental revenue and higher operating
expenses. The loan is interest only for its entire term and had a
NOI DSCR of 2.42X as of December 2023 based on a 4.1% interest
rate. The sponsor is Brookfield Office Properties Inc. and the
guarantor of certain nonrecourse carveouts is Brookfield DTLA
Holdings LLC. The lender is evaluating possible workout
strategies.
The second largest specially serviced loan is the Offices at
Broadway Station Loan ($47.6 million – 6.1% of the pool), which
is secured by a 318,053 SF office property located in Denver,
Colorado. The loan transferred to special servicing in April 2024
for imminent maturity default, ahead of its August 2024 maturity
date. As of April 2024, the property was 82% leased compared to
63% in 2022 and 95% in 2020. The special servicer is monitoring the
loan and evaluating loan modification proposals from the borrower.
The remaining two specially serviced loans are secured by
multifamily properties located in Wilmington, Delaware and the
Bronx, New York.
Moody's have also assumed a high default probability for four
poorly performing loans, constituting 16.4% of the pool, and have
estimated an aggregate loss of $147.1 million (a 43.5% expected
loss on average) from these troubled and specially serviced loans.
The largest troubled loan is the Stamford Plaza Portfolio Loan
(11.6% of the pool) which is further described below. The three
other troubled loans are secured by office and mixed used
properties located in Boston, Massachusetts; Miami, Florida and
Fairfield, New Jersey, which have all had a decline in performance
with a reported NOI DSCR below 1.0X.
The credit risk of loans is determined primarily by two factors: 1)
Moody's assessment of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessment of the
severity of loss upon a default, which is largely driven by each
loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV.
As described in the CMBS methodology used to rate this
transaction, Moody's make various adjustments to the MLTV. Moody's
adjust the MLTV for each loan using a value that reflects
capitalization (cap) rates that are between Moody's sustainable cap
rates and market cap rates. Moody's also use an adjusted loan
balance that reflects each loan's amortization profile. The MLTV
reported in this publication reflects the MLTV before the
adjustments described in the methodology.
Moody's received full year 2023 operating results for 70% of the
pool, and full or partial year 2024 operating results for 70% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit MLTV is 97%, compared to 111% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 9.1% to the most recently
available net operating income (NOI). Moody's Value reflects a
weighted average capitalization rate of 9.4%.
Moody's actual and stressed conduit DSCRs are 1.60X and 1.16X,
respectively, compared to 1.57X and 1.04X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three loans represent 31.8 % of the pool balance. The
largest loan is the Columbus Square Portfolio Loan ($114.8 million
– 14.8% of the pool), which represents a pari passu portion of a
$367.2 million mortgage loan. The loan is secured by five mixed-use
buildings containing approximately 500,000 SF and located on the
Upper West Side in New York City. The property contains 31
condominium units at 775, 795, 805 and 808 Columbus Avenue and 801
Amsterdam Avenue. The retail component, which contains
approximately 276,000 SF, is anchored by Whole Foods and TJ Maxx.
Target signed a 15-year lease in 2020 to occupy 25,000 SF at the
795 Columbus Avenue location. Additionally, Burlington Coat Factory
signed a 15-year lease in September 2022 to backfill Michael's
Stores, which vacated in January 2021 at the 808 Columbus Avenue
location. As of January 2024, the properties were 99.5% leased
compared to 94% in Dec 2021 and 100% in December 2014. The loan had
previously transferred to special servicing in November 2023 due to
imminent maturity default. The loan returned to the master servicer
as a modified loan in June 2024, with a maturity date extension
through August 2027. The loan was interest-only for the first 42
months and began amortizing on a 35-year schedule in February 2018.
The loan has amortized 8.2% since securitization after the initial
interest-only period. Moody's LTV and stressed DSCR are 120% and
0.73X, respectively, compared to 122% and 0.72X at the last
review.
The second largest loan is the Stamford Plaza Portfolio Loan ($91.8
million – 11.8% of the pool), which represents a pari passu
portion of a $247.8 million senior mortgage loan. The property is
also encumbered by $227.2 million of mezzanine financing. The loan
is secured by a four-building office complex in Stamford,
Connecticut containing approximately 982,000 square feet (SF) of
rentable area. The loan has been on the watchlist since October
2018 due to several tenants vacating and exercising their early
termination options resulting in a decline in the portfolio
occupancy. As of January 2024 the portfolio was 68% leased,
compared to 65% in September 2022, compared to 62% in December
2021, 65% in June 2020 and 88% at securitization. Several new
leases were reported to be signed during 2020 and 2021, however,
mostly for smaller tenant spaces. The Stamford office market
vacancy rate as of Q2 2024 was 20% per CBRE. As a result of lower
occupancy, the year-end 2023 NOI had declined over 50% since
securitization and the loan's actual reported NOI DSCR has been
below 1.00X since 2018. After an initial 60-month interest-only
period, the loan has amortized by 8.2% since securitization. The
loan matures in August 2024 and Moody's consider this a troubled
loan due to the significant decrease in NOI and depressed occupancy
level.
The third largest loan is the CSM Bakery Supplies Portfolio I Loan
($40.9 million – 5.3% of the pool), which is secured by four
industrial properties located in Tucker, Georgia; Pleasant View,
Utah and Lancaster, New York. The properties are 100% leased to CSM
Bakery supplies through September 2034, each with five-year lease
extension options. The loan is on the watchlist as it has an
Anticipated Repayment Date of September 6,2024, but a final
maturity date of September 6, 2044. Moody's LTV and stressed DSCR
are 91% and 1.19X respectively, compared to 93% and 1.17X at the
last review.
ZAIS CLO 13: Moody's Upgrades Rating on 2 Tranches From Ba1
-----------------------------------------------------------
Moody's Ratings has assigned ratings to four classes of CLO
refinancing notes (the "Refinancing Notes") issued by Zais CLO 13,
Limited (the "Issuer").
Moody's rating action is as follows:
US$212,146,907 Class A-1A-R Senior Secured Floating Rate Notes due
2032 (the "Class A-1A-R Notes"), Assigned Aaa (sf)
US$20,000,000 Class A-2A-R Senior Secured Floating Rate Notes due
2032 (the "Class A-2A-R Notes"), Assigned Aaa (sf)
US$16,000,000 Class B-1-R Senior Secured Floating Rate Notes due
2032 (the "Class B-1-R Notes"), Assigned Aaa (sf)
US$21,000,000 Class C-1-R Deferrable Mezzanine Floating Rate Notes
due 2032 (the "Class C-1-R Notes"), Assigned Aa3 (sf)
Additionally, Moody's have taken rating actions on the following
outstanding notes originally issued by the Issuer on August 23,
2019 (the "Original Closing Date"):
US$22,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2032
(the "Class B-2 Notes"), Upgraded to Aaa (sf); previously on August
23, 2019 Assigned Aa2 (sf)
US$2,000,000 Class C-2 Deferrable Mezzanine Fixed Rate Notes due
2032 (the "Class C-2 Notes"), Upgraded to Aa3 (sf); previously on
September 1, 2020 Confirmed at A2 (sf)
US$19,000,000 Class D-1 Deferrable Mezzanine Floating Rate Notes
due 2032 (the "Class D-1 Notes"), Upgraded to Baa3 (sf); previously
on September 1, 2020 Downgraded to Ba1 (sf)
US$5,000,000 Class D-2 Deferrable Mezzanine Fixed Rate Notes due
2032 (the "Class D-2 Notes"), Upgraded to Baa3 (sf); previously on
September 1, 2020 Downgraded to Ba1 (sf)
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
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, including the expectation that the
notes will be paid down given the end of the reinvestment period in
July 2024.
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.
ZAIS Leveraged Loan Master Manager, LLC (the "Manager") will
continue to direct the disposition of the assets on behalf of the
Issuer.
The Issuer previously issued seven other classes of secured notes
and one class of subordinated notes, which will remain
outstanding.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the Refinancing Notes'
non-call period and changes to the definition of "Adjusted Weighted
Average Moody's Rating Factor".
Moody's rating actions on the Class D-1 Notes and Class D-2 Notes
are also a particular result of the refinancing, increasing excess
spread available as credit enhancement to the rated notes.
No actions were taken on Class A-1B, Class A-2B, and Class E 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: $380,347,246
Defaulted par: $8,447,908
Diversity Score: 68
Weighted Average Rating Factor (WARF): 2567
Weighted Average Spread (WAS): (before accounting for reference
rate floors): 3.85%
Weighted Average Recovery Rate (WARR): 46.66%
Weighted Average Life (WAL): 4.2 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 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 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.
[*] Moody's Lowers Ratings on $27MM of US RMBS Issued 2004-2005
---------------------------------------------------------------
Moody's Ratings has downgraded the ratings of 4 bonds from 3 US
residential mortgage-backed transactions (RMBS), backed by subprime
mortgages issued by multiple issuers.
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2004-CB8
Cl. M-3, Downgraded to B3 (sf); previously on Jun 3, 2020
Downgraded to B1 (sf)
Cl. B-1, Downgraded to Caa1 (sf); previously on Nov 15, 2018
Upgraded to B3 (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2004-OPT1
Cl. M-4, Downgraded to Caa1 (sf); previously on Apr 11, 2018
Upgraded to B1 (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2005-OPT4
Cl. M-6, Downgraded to Caa1 (sf); previously on Jan 4, 2017
Upgraded to B1 (sf)
RATINGS RATIONALE
The rating actions reflect the recent performance as well as
Moody's updated loss expectations on the underlying pools.
Each of the downgraded bonds has outstanding interest shortfalls
that are not expected to be recouped. These bonds have weak
interest recoupment mechanism where missed interest payments will
likely result in a permanent interest loss. Unpaid interest owed to
bonds with weak interest recoupment mechanisms are reimbursed
sequentially based on bond priority, from excess interest, if
available, and often only after the overcollateralization has built
to a pre-specified target amount. In transactions where
overcollateralization has already been reduced or depleted due to
poor performance, any such missed interest payments to these bonds
is unlikely to be repaid.
No actions were taken on the other rated classes in these deals
because their expected losses remain commensurate with their
current ratings, after taking into account the updated performance
information, structural features, credit enhancement and other
qualitative consideration.
Principal Methodology
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in July 2022.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
[*] Moody's Takes Action on $21MM of US RMBS Issued 2003-2006
-------------------------------------------------------------
Moody's Ratings, on Aug. 14, 2024, upgraded the ratings of 12 bonds
and downgraded the rating of one bond from two RMBS transactions,
backed by prime jumbo and subprime mortgage loans.
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: Chase Funding Trust, Series 2003-1
Cl. IA-5, Upgraded to Aa1 (sf); previously on Dec 6, 2023 Upgraded
to Baa2 (sf)
Cl. IM-1, Upgraded to A2 (sf); previously on Dec 6, 2023 Upgraded
to Caa1 (sf)
Issuer: J.P. Morgan Mortgage Trust 2006-S1
Cl. 1-A-1, Upgraded to A1 (sf); previously on Nov 16, 2023 Upgraded
to Ba2 (sf)
Cl. 1-A-2, Upgraded to A1 (sf); previously on Nov 16, 2023 Upgraded
to Ba2 (sf)
Cl. 2-A-1, Upgraded to Aaa (sf); previously on Nov 16, 2023
Upgraded to Baa3 (sf)
Cl. 2-A-3, Upgraded to Aaa (sf); previously on Nov 16, 2023
Upgraded to Baa3 (sf)
Cl. 2-A-8, Upgraded to Aaa (sf); previously on Nov 16, 2023
Upgraded to Ba1 (sf)
Cl. 2-A-9, Upgraded to A1 (sf); previously on Nov 16, 2023 Upgraded
to Ba2 (sf)
Cl. 3-A-1, Upgraded to A1 (sf); previously on Nov 16, 2023 Upgraded
to Baa3 (sf)
Cl. 3-A-2, Upgraded to A1 (sf); previously on Nov 16, 2023 Upgraded
to Baa3 (sf)
Cl. 3-A-6, Upgraded to A1 (sf); previously on Nov 16, 2023 Upgraded
to Baa3 (sf)
Cl. 3-A-8, Upgraded to A1 (sf); previously on Nov 16, 2023 Upgraded
to Baa3 (sf)
Cl. A-P, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B3 (sf)
RATINGS RATIONALE
The rating actions reflect the recent performance as well as
Moody's updated loss expectations on the underlying pools. The
rating upgrades are a result of an increase in credit enhancement
available to the bonds.
Each of the transactions Moody's reviewed continue to display
strong collateral performance, with cumulative losses for each
collateral pool under 7%. Credit enhancement levels, since 12
months ago, have grown, 2% for the tranches upgraded.
The upgrade rating actions reflect the further seasoning of the
collateral and increased clarity regarding the impact of borrower
relief programs on collateral performance. Information obtained
from loan servicers in recent years has shed light on their current
strategies regarding borrower relief programs and the impact those
programs may have on collateral performance and transaction
liquidity, through servicer advancing. Moody's recent analysis has
found that in addition to robust home price appreciation, many of
these borrower relief programs have contributed to stronger
collateral performance than Moody's had previously expected, thus
supporting the upgrades.
Moody's analysis considered the existence of historical interest
shortfalls for some of the bonds. While all shortfalls have since
been recouped, the size and length of the past shortfalls, as well
as the potential for recurrence, were analyzed as part of the
upgrades.
Certain bonds in this review are currently impaired or expected to
become impaired. The downgrade rating action reflects any losses to
date as well as Moody's expected future loss.
No actions were taken on the other rated classes in these deals
because their expected losses on the bonds remain commensurate with
their current ratings, after taking into account the updated
performance information, structural features and credit
enhancement.
Principal Methodology
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in July 2022.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
[*] Moody's Takes Action on $9.2MM of US RMBS Issued 2001-2004
--------------------------------------------------------------
Moody's Ratings has upgraded the rating of one bond and downgraded
ratings of three bonds from four US residential mortgage-backed
transactions (RMBS), backed by scratch and dent mortgages, issued
by multiple issuers.
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: Countrywide Home Loan Trust 2004-SD1
Cl. M-1, Downgraded to Caa1 (sf); previously on May 19, 2011
Downgraded to B3 (sf)
Issuer: CSFB Mortgage Pass-Through Certificates, Series 2004-CF1
Cl. M-2, Downgraded to Caa1 (sf); previously on Jan 30, 2018
Upgraded to B3 (sf)
Issuer: GSRPM Mortgage Loan Trust 2003-1
Cl. B-1, Downgraded to Caa1 (sf); previously on Jun 3, 2020
Downgraded to B1 (sf)
Issuer: Salomon Brothers Mortgage Trust 2001-2
Cl. M-3, Upgraded to Aa1 (sf); previously on Oct 19, 2018 Upgraded
to A3 (sf)
RATINGS RATIONALE
The rating actions reflect the current levels of credit enhancement
available to the bonds, the recent performance, analysis of the
transaction structures, and Moody's updated loss expectations on
the underlying pools.
The upgraded bond has seen strong growth in credit enhancement
since Moody's last review, which is the key driver for this
upgrade. Moody's analysis also considered the existence of
historical interest shortfalls for the bond. While shortfalls have
since been recouped, the size and length of the past shortfalls, as
well as the potential for recurrence, were analyzed as part of the
action.
The rating upgrade also reflects the further seasoning of the
collateral and increased clarity regarding the impact of borrower
relief programs on collateral performance. Over the past few years,
Moody's have worked closely with loan servicers to understand and
analyze their strategies regarding borrower relief programs and the
impact those programs may have on collateral performance and
transaction liquidity, through servicer advancing. Moody's recent
analysis has found that many of these borrower relief programs, in
addition to robust home price appreciation, have contributed to
collateral performance being stronger than Moody's past
expectations, thus supporting the upgrade.
The rating downgrades are due to outstanding interest shortfalls on
the bonds that are not expected to be recouped. These bonds have
weak interest recoupment mechanisms where missed interest payments
will likely result in a permanent interest loss. Unpaid interest
owed to bonds with weak interest recoupment mechanisms are
reimbursed sequentially based on bond priority, from excess
interest, if available, and often only after the
overcollateralization has built to a pre-specified target amount.
In transactions where overcollateralization has already been
reduced or depleted due to poor performance, any such missed
interest payments to these bonds is unlikely to be repaid.
No actions were taken on the other rated classes in these deals
because their expected losses remain commensurate with their
current ratings, after taking into account the updated performance
information, structural features, credit enhancement and other
qualitative considerations.
Principal Methodologies
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in July 2022.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
*********
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 ***