/raid1/www/Hosts/bankrupt/TCR_Public/241020.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, October 20, 2024, Vol. 28, No. 293
Headlines
ANCHORAGE CREDIT 9: Moody's Ups Rating on $20MM E-a Notes From Ba1
ARES LV: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes
ARES TRUST 2024-IND2: Fitch Assigns 'Bsf' Rating on Class HRR Certs
ATLAS SENIOR XX: S&P Assigns BB- (sf) Rating on Class E-R Notes
BALLYROCK CLO 20: S&P Assigns BB- (sf) Rating on Cl. D-R2 Notes
BANK 2024-BNK48: Fitch Assigns B-sf Final Rating on Cl. G-RR Certs
BARINGS CLO 2022-III: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes
BBCMS 2021-C12: Fitch Lowers Rating on H-RR Certs to CCCsf
BEAR STEARNS 2007-EMX1: Moody's Cuts Rating on 2 Tranches to Caa2
BENCHMARK 2021-B27: Fitch Lowers Rating on J-RR Debt to CCCsf
BENEFIT STREET XVII: Fitch Assigns 'BB+sf' Rating on Cl. E-R2 Notes
BENEFIT STREET XVII: Moody's Gives B3 Rating to $250,000 F-R2 Notes
BHG SECURITIZATION 2023-B: Fitch Affirms BB Rating on Class E Notes
BLACK DIAMOND 2024-1: S&P Assigns Prelim 'BB-' Rating on E Notes
BMO 2024-5C7: Fitch Assigns 'B-(EXP)sf' Rating on Class G-RR Certs
BRAVO RESIDENTIAL 2024-CES2: Fitch Assigns 'Bsf' Rating on B2 Notes
BRIDGECREST 2024-4: S&P Assigns Prelim BB (sf) Rating on E Notes
CARLYLE US 2019-2: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes
CASCADE MH 2024-MH1: Fitch Assigns 'B-sf' Final Rating on B2 Notes
CEDAR FUNDING XIV: S&P Assigns Prelim B-(sf) Rating on Cl. F Notes
CIFC 2024-IV: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes
CIFC FUNDING 2013-III-R: Moody's Cuts $7.6MM E Notes Rating to Caa2
CIFC FUNDING 2018-II: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes
CITIGROUP 2018-C6: Fitch Affirms 'B-sf' Rating on Class J-RR Certs
CITIGROUP COMMERCIAL 2015-101A: S&P Affirms 'B-' Rating on G Certs
CITIGROUP MORTGAGE 2024-INV3: Moody's Gives B3 Rating to B-5 Certs
COLT 2024-6: Fitch Gives 'B(EXP)sf' Rating on Class B2 Certs
COMM 2014-CCRE20: Fitch Lowers Rating on Two Tranches to 'CCsf'
COMM 2015-CCRE22: Fitch Lowers Rating on Class E Debt to CCCsf
CPS AUTO 2023-A: S&P Affirms BB (sf) Rating on Class E Notes
CROTON PARK: S&P Assigns BB- (sf) Rating on Class E Notes
CS FIRST BOSTON 2001-HE8: Moody's Hikes Rating on M-1 Certs to Ba1
CSAIL 2017-C8: Fitch Lowers Rating on 2 Tranches to 'B-sf'
CSFB ABS 2001-MH29: Moody's Hikes Rating on Cl. B-1 Certs to Ba1
CSMC TRUST 2017-FHA1: Moody's Ups Rating on Cl. B-3 Certs From B3
DANBY PARK CLO: S&P Assigns Prelim BB- (sf) on Class E-R Notes
DRYDEN 106: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
EMPOWER CLO 2022-1: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
FORT 2019-1: S&P Assigns Prelim 'BB-' Rating on Class E-R2 Notes
FORTRESS CREDIT XIX: S&P Assigns BB- (sf) Rating on Cl. E-R Notes
GLS AUTO 2023-3: S&P Affirms BB- (sf) Rating on Class E Notes
GS MORTGAGE 2017-GS7: Fitch Lowers Rating on Cl. H-RR Debt to CCCsf
HILDENE TRUPS 2019-P12B: Moody's Affirms Ba1 Rating on Cl. B Notes
HPS LOAN 2024-21: S&P Assigns Prelim BB- (sf) Rating on E Notes
KKR CLO 11: Moody's Affirms B1 Rating on $27.5MM Class E-R Notes
LCCM 2013-GCP: S&P Lowers Class X-B Certs Rating to 'BB- (sf)'
LONG BEACH 2006-5: Moody's Upgrades Rating on Cl. I-A Certs to Ba3
MARINER FINANCE 2024-B: S&P Assigns BB- (sf) Rating on Cl. E Notes
MCF CLO V: S&P Assigns BB- (sf) Rating on Class E-R2 Notes
MORGAN STANLEY 2014-C16: Moody's Cuts Rating on Cl. C Certs to Ba3
MOUNTAIN VIEW 2016-1: S&P Affirms 'BB-' Rating on Class E-R Notes
NATIONSTAR HOME 2007-A: Moody's Ups Rating on Cl. M-3 Certs to B3
NEW MOUNTAIN 6: Fitch Assigns 'BB-sf' Rating on Class E Notes
NYMT LOAN 2024-INV1: S&P Assigns Prelim B (sf) Rating on B-2 Notes
OCP CLO 2016-12: S&P Assigns Prelim B+ (sf) Rating on E-2R3 Notes
OHA CREDIT 5: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes
ORCHARD PARK: S&P Assigns BB- (sf) Rating on Class E Debt
OZLM XXIII: S&P Assigns BB- (sf) Rating on $15MM Class E Notes
PALMER SQUARE 2021-3: Moody's Ups Rating on $10MM E Notes to Ba2
REGATTA XII: Fitch Assigns 'BB-sf' Rating on Class E-RR Notes
ROCK TRUST 2024-CNTR: Moody's Assigns (P)Ba3 Rating to Cl. E Certs
ROCKFORD TOWER 2024-1: Fitch Assigns B-sf Final Rating on F-2 Notes
RR 32: S&P Assigns BB- (sf) Rating on Class D-R Notes
SIERRA TIMESHARE 2024-3: Fitch Affirms 'BB-(EXP)' Rating on D Notes
SILVER ROCK I: S&P Assigns Prelim BB- (sf) Rating on E-RR Notes
SIXTH STREET XV: S&P Assigns BB- (sf) Rating on Class E-R Notes
SIXTH STREET XXI: S&P Assigns BB- (sf) Rating on Class E-R Notes
TEXAS DEBT 2024-II: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes
TOWD POINT 2024-CES5: Fitch Assigns 'B-sf' Final Rating on B2 Notes
VERUS SECURITIZATION 2024-R1: S&P Assigns Prelim B(sf) on B-2 Notes
VOYA CLO 2019-1: Fitch Assigns 'BB-sf' Rating on Class E-RR Notes
WAMU MORTGAGE 2004-RP1: Moody's Cuts Rating on I-S Certs to 'Ca'
WELLFLEET CLO 2022-2: S&P Assigns Prelim 'BB-' Rating on E-R Notes
WELLS FARGO 2016-C33: Fitch Cuts Rating on Two Tranches to 'CCCsf'
WESTLAKE AUTOMOBILE 2024-3: S&P Assigns BB (sf) Rating on E Notes
WHITEBOX CLO III: Moody's Assigns Ba3 Rating to $21MM E-R Notes
WILDWOOD PARK: S&P Assigns Prelim B- (sf) Rating on Class F Notes
ZAIS CLO 5: Moody's Cuts Rating on $18.4MM Class D Notes to Caa1
ZAIS CLO 6: Moody's Lowers Rating on $25MM Class E Notes to B2
[*] Fitch Affirms 'BBsf' Rating on Five MVW Trusts, Outlook Stable
[*] Moody's Lowers Ratings on 36 Bonds From US RMBS Deals
[*] Moody's Takes Action on 12 Bonds From 10 US RMBS Deals
[*] Moody's Takes Action on 13 Bonds from 10 US RMBS Deals
[*] Moody's Takes Action on 20 Bonds From 14 US RMBS Deals
[*] Moody's Takes Action on 20 Bonds from 15 US RMBS Deals
[*] Moody's Takes Action on 8 Bonds From Seven US RMBS Deals
[*] Moody's Takes Action on Nine Bonds from 7 US RMBS Deals
[*] Moody's Takes Actions on 52 Tranches of 8 FFELP Deals by Nelnet
*********
ANCHORAGE CREDIT 9: Moody's Ups Rating on $20MM E-a Notes From Ba1
------------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by Anchorage Credit Funding 9, Ltd.:
US$58,000,000 Class B-R Senior Secured Fixed Rate Notes due 2037
(the "Class B-R Notes"), Upgraded to Aaa (sf); previously on March
6, 2024 Upgraded to Aa1 (sf)
US$22,000,000 Class C-R Mezzanine Secured Deferrable Fixed Rate
Notes due 2037 (the "Class C-R Notes"), Upgraded to Aa1 (sf);
previously on March 6, 2024 Upgraded to Aa3 (sf)
US$20,000,000 Class D-R Mezzanine Secured Deferrable Fixed Rate
Notes due 2037 (the "Class D-R Notes"), Upgraded to Aa3 (sf);
previously on March 6, 2024 Upgraded to A3 (sf)
US$20,000,000 Class E-a Junior Secured Deferrable Fixed Rate Notes
due 2037 (the "Class E-a Notes"), Upgraded to Baa1 (sf); previously
on November 1, 2021 Upgraded to Ba1 (sf)
Anchorage Credit Funding 9, Ltd., originally issued in October 2019
and partially refinanced in November 2021, is a managed cashflow
CBO. The notes are collateralized primarily by a portfolio of
corporate bonds and loans. The transaction's reinvestment period
ends in October 2024.
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
RATINGS RATIONALE
These rating actions reflect the benefit of the short period of
time remaining before the end of the deal's reinvestment period in
October 2024. In light of the reinvestment restrictions during the
amortization period which limit the ability of the manager to
effect significant changes to the current collateral pool, Moody's
analyzed the deal assuming a higher likelihood that the collateral
pool characteristics will be maintained and continue to satisfy
certain covenant requirements. In particular, Moody's noted that
the deal currently benefits from interest income on portfolio
assets that significantly exceeds the fixed rate of interest
payable on the rated notes, due to the deal's exposure to
approximately 46% in floating-rate loans that Moody's calculated to
have a weighted average spread (WAS) of 4.26%. Additionally,
Moody's assumed that the deal will benefit from a lower weighted
average rating factor (WARF) compared to its current covenant
level. Moody's modeled a WARF of 3236 compared to a current
covenant level of 3388.
No action was taken on the Class A notes because its expected loss
remain commensurate with its current rating, after taking into
account the CBO'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: $395,772,791
Defaulted par: $4,157,526
Diversity Score: 70
Weighted Average Rating Factor (WARF): 3236
Weighted Average Spread (WAS): 4.26%
Weighted Average Coupon (WAC): 6.12%
Weighted Average Recovery Rate (WARR): 36.2%
Weighted Average Life (WAL): 5.1 years
In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio, 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.
ARES LV: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes
---------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Ares LV
CLO Ltd. reset transaction.
Entity/Debt Rating
----------- ------
Ares LV CLO
Ltd. (Reset)
A-1-R2 LT NRsf New Rating
A-2-R2 LT AAAsf New Rating
B-R2 LT AAsf New Rating
C-R2 LT Asf New Rating
D-1-R2 LT BBB-sf New Rating
D-2-R2 LT BBB-sf New Rating
E-R2 LT BB-sf New Rating
Subordinated Notes LT NRsf New Rating
Transaction Summary
Ares LV CLO Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by Ares
CLO Management LLC. It originally closed May 2020 and first
refinanced July 2021. The notes will be refinanced in whole. Net
proceeds from the refinancing of the secured and subordinated notes
will provide financing on a portfolio of approximately $500 million
of primarily first-lien senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B'/'B-', which is in line with that of
recent CLOs. The weighted average rating factor (WARF) of the
indicative portfolio is 24.63 versus a maximum covenant, in
accordance with the initial matrix point of 26.0. Issuers rated in
the 'B' rating category denote a highly speculative credit quality;
however, the notes benefit from appropriate credit enhancement and
standard U.S. CLO structural features.
Asset Security (Positive): The indicative portfolio consists of
96.15% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 74.0% versus a
minimum covenant, in accordance with the initial matrix point of
68.35%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 39.0% of the portfolio balance in aggregate while
the top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2-R2, between
'BB+sf' and 'A+sf' for class B-R2, between 'B+sf' and 'BBB+sf' for
class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1-R2,
between less than 'B-sf' and 'BB+sf' for class D-2-R2, and between
less than 'B-sf' and 'B+sf' for class E-R2.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2-R2 notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'A+sf'
for class D-1-R2, 'A-sf' for class D-2-R2, and 'BBB+sf' for class
E-R2.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Ares LV CLO Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, program,
instrument or issuer, Fitch will disclose in the key rating drivers
any ESG factor which has a significant impact on the rating on an
individual basis.
ARES TRUST 2024-IND2: Fitch Assigns 'Bsf' Rating on Class HRR Certs
-------------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Ratings
Outlooks to ARES Trust 2024-IND2, Commercial Mortgage Pass Through
Certificates, Series 2024-IND2:
- $261,000,000 class A 'AAAsf'; Outlook Stable;
- $28,800,000 class B 'AA-sf'; Outlook Stable;
- $31,000,000 class C 'A-sf'; Outlook Stable;
- $43,700,000 class D 'BBB-sf'; Outlook Stable;
- $66,900,000 class E 'BB-sf'; Outlook Stable;
- $19,850,000 class F 'B+sf'; Outlook Stable;
- $23,750,000 class HRR 'Bsf'; Outlook Stable.
HRR is a horizontal risk retention interest representing at least
5.0% of the estimated fair value of all classes.
Transaction Summary
The certificates represent the beneficial ownership interest in a
trust that will hold a $475.0 million, two-year, floating-rate,
interest-only mortgage loan with three one-year extension options.
The mortgage is secured by the borrowers' fee simple interest in a
portfolio of 25 industrial facilities, comprising approximately 4.8
million sf located across 12 states.
The borrower sponsor is AREIT Operating Partnership LP, which is
externally managed by Ares Commercial Real Estate Management LLC (a
subsidiary of Ares). The sponsorship acquired the properties
through a series of transactions over the past six years for a
total cost basis of approximately $716.2 million.
The mortgage loan will be used to pay down the existing corporate
debt facility and fund estimated closing costs for a total cost
basis of $475.0 million.
The loan is to be co-originated by JPMorgan Chase Bank, National
Association, Morgan Stanley Mortgage Capital Holdings LLC and
Natixis Real Estate Capital LLC. Midland Loan Services, a Division
of PNC Bank National Association, is to be the servicer, with
Argentic Services Company LP as the special servicer. Computershare
Trust Company, N.A is to act as the trustee and certificate
administrator. Pentalpha Surveillance LLC will act as operating
advisor.
The certificates follow a pro rata paydown for the initial 25% of
the loan amount and a standard senior sequential paydown
thereafter. To the extent no mortgage loan event of default
continues, voluntary prepayments will be applied pro rata between
the mortgage loan components.
KEY RATING DRIVERS
Net Cash Flow: Fitch estimates stressed net cash flow (NCF) for the
portfolio at $30.6 million. This is 9.7% lower than the issuer's
NCF and 5.6% higher than the TTM ended May 2024 NCF. Fitch applied
a 7.25% cap rate to derive a Fitch value of approximately $442.5
million.
High Fitch Leverage: The $475.0 million whole loan equates to debt
of approximately $99 psf with a Fitch stressed LTV ratio and debt
yield of 112.4% and 6.4%, respectively. The loan represents
approximately 61.5% of the appraised value of $772.6 million. Fitch
increased the LTV hurdles by 1.25% to reflect the higher in-place
leverage.
Geographic and Tenant Diversity: The portfolio exhibits strong
geographic diversity with 25 primarily industrial properties (4.8
million sf) located across 12 states and 17 metropolitan
statistical areas (MSAs). The three largest state concentrations
are California (862,988 sf; five properties), Nevada (750,594 sf;
three properties) and Texas (693,865 sf; five properties). The
three largest MSAs are Atlanta, GA (16.7% of NRA; 10.1% of ALA),
Reno, NV (15.1% of NRA; 11.5% of ALA) and Houston, TX (14.5% of
NRA; 11.0% of ALA). The portfolio also exhibits significant tenant
diversity, as it features 57 distinct tenants, with no tenant
occupying more than 16.7% of NRA.
Institutional Sponsorship: Ares is a global leader in alternative
investments, and its real estate division oversees both equity and
debt strategies. In 2021, Ares enhanced its offerings by acquiring
Black Creek Group which brought additional expertise, particularly
in core and core-plus real estate investments focusing on the
industrial sector. As of April 30, 2024, Ares' AREIT real estate
fund comprised 54.4 million sf of industrial space across 254
properties located in 29 markets with 428 distinct tenants.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Declining cash flow decreases property value and capacity to meet
its debt service obligations. The list below indicates the model
implied rating sensitivity to changes in one variable, Fitch NCF:
- Original Rating:
'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B+sf'/'Bsf'
- 10% NCF Decline:
'A+sf'/'BBB+sf'/'BBB-sf'/'BBsf'/'Bsf'/'B-sf'/'CCC+sf'
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Improvement in cash flow increases property value and capacity to
meet its debt service obligations. The list below indicates the
model implied rating sensitivity to changes to the same one
variable, Fitch NCF:
- Original Rating:
'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B+sf'/'Bsf'
- 10% NCF Increase:
'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'BBsf'/'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 certain attributes of the mortgage
data file. Fitch considered this information in its analysis and it
did not have an effect on its 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.
ATLAS SENIOR XX: S&P Assigns BB- (sf) Rating on Class E-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1R, A-2R, B-R, C-R, D-1R, D-2R, and E-R replacement debt and the
proposed new class X-R debt from Atlas Senior Loan Fund XX
Ltd./Atlas Senior Loan Fund XX LLC, a CLO originally issued in
October 2022 that is managed by Crescent Capital Group L.P.
The preliminary ratings are based on information as of Oct. 10,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Oct. 21, 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-1R, A-2R, B-R, C-R, D-1R, and E-R debt
and the proposed new class X-R debt are expected to be issued at a
floating spread.
-- The replacement class D-2R debt is expected to be issued at a
fixed coupon.
-- The non-call period will be extended by two years to Oct. 19,
2026.
-- The reinvestment period will be extended by three years to Oct.
19, 2029.
-- The legal final maturity dates for the replacement debt and the
existing subordinated notes will be extended to Oct. 19, 2037.
Proposed new class X-R debt will be issued in connection with this
refinancing. This class is expected to be paid down using interest
proceeds during the first 10 payment dates beginning with the Jan.
19, 2025, payment date.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"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
Atlas Senior Loan Fund XX Ltd./Atlas Senior Loan Fund XX LLC
Class X-R, $2.00 million: AAA (sf)
Class A-1R, $244.0 million: AAA (sf)
Class A-2R, $12.0 million: AAA (sf)
Class B-R, $48.0 million: AA (sf)
Class C-R (deferrable), $24.0 million: A (sf)
Class D-1R (deferrable), $20.0 million: BBB+ (sf)
Class D-2R (deferrable), $8.0 million: BBB- (sf)
Class E-R (deferrable), $11.5 million: BB- (sf)
Other Debt
Atlas Senior Loan Fund XX Ltd./Atlas Senior Loan Fund XX LLC
Subordinated notes, $34.9 million: Not rated
BALLYROCK CLO 20: S&P Assigns BB- (sf) Rating on Cl. D-R2 Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1A2 (loan),
A-1B2, A-2R2, B-R2, C-1R2, C-2R2, and D-R2 replacement debt from
Ballyrock CLO 20 Ltd./Ballyrock CLO 20 LLC, a CLO managed by
Ballyrock Investment Advisors LLC, an affiliate of Fidelity
Management and Research Co. LLC, that was originally issued in July
2022 and underwent a partial refinancing in October 2023. At the
same time, S&P withdrew its ratings on the class A-1A, A-1AL, A-1B,
A-2A-R, A-2B, B-R, C-R, and D-R debt following payment in full on
the Oct. 15, 2024, refinancing date.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The replacement class A-1A2 (loan), A-2R2, B-R2, C-1R2, and
D-R2 debt was issued at a lower spread over three-month CME term
SOFR than the original debt over three-month LIBOR.
-- The stated maturity and reinvestment and non-call periods were
extended by just over two years.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Ballyrock CLO 20 Ltd./Ballyrock CLO 20 LLC
Class A-1A2 (loan), $325.00 million: AAA (sf)
Class A-1B2, $10.00 million: AAA (sf)
Class A-2R2, $45.00 million: AA (sf)
Class B-R2 (deferrable), $30.00 million: A (sf)
Class C-1R2 (deferrable), $30.00 million: BBB (sf)
Class C-2R2 (deferrable), $5.00 million: BBB- (sf)
Class D-R2 (deferrable), $15.00 million: BB- (sf)
Ratings Withdrawn
Ballyrock CLO 20 Ltd./Ballyrock CLO 20 LLC
Class A-1A to NR from 'AAA (sf)'
Class A-1AL to NR from 'AAA (sf)'
Class A-1B to NR from 'AAA (sf)'
Class A-2A-R to NR from 'AA (sf)'
Class A-2B to NR from 'AA (sf)'
Class B-R to NR from 'A (sf)'
Class C-R to NR from 'BBB-(sf'
Class D-R to NR from 'BB- (sf)'
Other Debt
Ballyrock CLO 20 Ltd./Ballyrock CLO 20 LLC
Subordinated notes, $42.50 million: NR
NR--Not rated.
BANK 2024-BNK48: Fitch Assigns B-sf Final Rating on Cl. G-RR Certs
------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
BANK 2024-BNK48 commercial mortgage pass-through certificates
series 2024-BNK48 as follows:
- $10,900,000a class A-1 'AAAsf'; Outlook Stable;
- $14,800,000a class A-SB 'AAAsf'; Outlook Stable;
- $112,550,000a class A-4 'AAAsf'; Outlook Stable;
- $600,489,000a class A-5 'AAAsf'; Outlook Stable;
- $738,739,000ab class X-A 'AAAsf'; Outlook Stable;
- $228,218,000ab class X-B 'A-sf'; Outlook Stable;
- $156,983,000a class A-S 'AAAsf'; Outlook Stable;
- $42,213,000a class B 'AA-sf'; Outlook Stable;
- $29,022,000a class C 'A-sf'; Outlook Stable;
- $15,830,000ac class D 'BBBsf'; Outlook Stable;
- $15,830,000abc class X-D 'BBBsf'; Outlook Stable;
- $10,554,000ac class E 'BBB-sf'; Outlook Stable;
- $10,554,000abc class X-E 'BBB-f'; Outlook Stable;
- $17,149,000ac class F 'BB-sf'; Outlook Stable;
- $17,149,000abc class X-F 'BB-sf'; Outlook Stable;
- $11,873,000acd class G-RR 'B-sf'; Outlook Stable.
The following classes are not rated by Fitch:
- $32,979,718acd class H-RR;
- $35,450,789e class RR Interest.
(a) Class balances, excluding the RR Interest, are net of their
proportionate share of the vertical risk retention interest,
totaling 3.25% of the notional amount of the certificates.
(b) Notional amount and interest only (IO).
(c) Privately placed and pursuant to Rule 144a.
(d) Represents the "eligible horizontal interest" comprising 5.0%
of the pool.
(e) The RR Interest comprises the transaction's vertical risk
retention interest and the certificate balance is subject to change
based on the final pricing of all classes.
Since Fitch published its expected ratings on Sept. 23, 2024, the
following changes have occurred: the balances for classes A-4 and
A-5 were finalized. At the time the expected ratings were
published, the initial aggregate certificate balance of the A-4
class was expected to be in the $0-$325,000,00 range and the
initial certificate balance of the A-5 class was expected to be in
the $388,039,000-$713,039,000 range. The final class balances for
classe A-4 and A-5 are $112,550,000 and $600,489,000,
respectively.
The ratings are based on information provided by the issuer as of
Oct. 9, 2024.
Transaction Summary
The certificates represent the beneficial ownership interest in a
trust, the primary assets of which are 40 fixed-rate, commercial
mortgage loans with an aggregate principal balance of
$1,090,793,507 as of the cutoff date. The mortgage loans are
secured by the borrowers' fee and leasehold interests in 79
commercial properties.
The loans were contributed to the trust by Morgan Stanley Mortgage
Capital Holdings LLC, Wells Fargo Bank, National Association,
JPMorgan Chase Bank, National Association, Bank of America,
National Association, Citi Real Estate Funding Inc., Goldman Sachs
Mortgage Company and National Cooperative Bank, N.A.
The master servicer is Wells Fargo Bank, National Association and
the special servicer is LNR Partners, LLC. Computershare Trust
Company, N.A. is the trustee and certificate administrator. These
certificates will follow a sequential paydown structure.
KEY RATING DRIVERS
Fitch Net Cash Flow: Fitch performed cash flow analyses on 28 loans
totaling 94.3% of the pool by balance, including the largest 20
loans and all of the office loans in the pool. Fitch's resulting
net cash flow (NCF) of approximately $277.2 million represents a
12.9% decline from the issuer's underwritten NCF of approximately
$318.2 million. The NCF decline is below the 2024 YTD 10-Year and
2023 10-Year averages of 13.6% and 13.0%, respectively.
Lower Leverage Compared to Recent Transactions: The pool has lower
leverage than U.S. private-label 10-year multi- borrower
transactions rated by Fitch. The pool's Fitch loan-to-value ratio
(LTV) of 81.6% is lower than the YTD 2024 and 2023 10-year averages
of 83.3% and 87.2%, respectively. The pool's Fitch NCF debt yield
(DY) of 13.1% is higher than the YTD 2024 and 2023 10-year averages
of 12.5% and 11.1%, respectively. The pool's Fitch LTV and DY,
excluding credit opinion and co-op loans, are 87.9% and 12.7%,
respectively.
Investment-Grade Credit Opinion Loans: Six loans representing 29.4%
of the pool balance received an investment-grade credit opinion on
a stand-alone basis. Soho Grand & The Roxy Hotel (9.2% of the pool)
received a credit opinion of 'A-sf*', VISA Global HQ (7.8% of the
pool) received a credit opinion of 'Asf*', 20 & 40 Pacifica (4.2%
of the pool) received a credit opinion of 'A-sf*', Marriott Myrtle
Beach Grande Dunes Resort (3.7% of the pool) received a credit
opinion of 'BBBsf*', 610 Newport Center (2.8% of the pool) received
a credit opinion of 'BBBsf*' and Newport Centre (1.8% of the pool)
received a credit opinion of 'A-sf*'. The pool's total credit
opinion percentage of 29.4% is significantly higher than the YTD
2024 and 2023 10-year averages of 21.7% and 20.1%, respectively.
Hotel Concentration: Eight loans (28.2% of pool), including three
of the top 10 loans (Soho Grand & The Roxy Hotel, Hilton La Jolla
Torrey Pines and Residence Inn National Mall - Washington, D.C.)
are secured by hotels. This is above the YTD 2024 and 2023 10-year
averages for hotel concentration of 10.4% and 11.7%.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Original Rating:
'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf';
- 10% NCF Decline
'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BB+sf'/'BBsf'/'B-sf'/'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Original Rating:
'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf';
- 10% NCF Increase
'AAAsf'/'AAAsf'/'AA+sf'/'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'B+sf'.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by 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.
BARINGS CLO 2022-III: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes
-------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Barings
CLO Ltd. 2022-III Reset Transaction.
Entity/Debt Rating Prior
----------- ------ -----
Barings CLO Ltd.
2022-III
A-1 06762VAA4 LT PIFsf Paid In Full AAAsf
A-1R LT AAAsf New Rating AAA(EXP)sf
A-2 06762VAB2 LT PIFsf Paid In Full AAAsf
A-2R LT AAAsf New Rating AAA(EXP)sf
B 06762VAC0 LT PIFsf Paid In Full AAsf
B-R LT AAsf New Rating AA(EXP)sf
C 06762VAD8 LT PIFsf Paid In Full Asf
C-R LT Asf New Rating A(EXP)sf
D 06762VAE6 LT PIFsf Paid In Full BBB-sf
D-1R LT BBBsf New Rating BBB(EXP)sf
D-2R LT BBB-sf New Rating BBB-(EXP)sf
E 06762YAA8 LT PIFsf Paid In Full BB-sf
E-R LT BB-sf New Rating BB-(EXP)sf
X-R LT NRsf New Rating NR(EXP)sf
Transaction Summary
Barings CLO Ltd. 2022-III (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that originally closed in
August 2022 and is managed by Barings LLC. The deal is refinancing
all classes and net proceeds from the issuance of the new secured
notes, and will provide financing on a portfolio of approximately
$500 million of primarily first lien senior secured leveraged
loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 23.41, 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
98.44% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 75.76% versus a
minimum covenant, in accordance with the initial expected matrix
point of 71.7%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 40.5% of the portfolio balance in aggregate, while
the top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting to the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-1R, between
'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for
class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less
than 'B-sf' and 'BB+sf' for class D-1R, between less than 'B-sf'
and 'BB+sf' for class D-2R, and between less than 'B-sf' and 'B+sf'
for class E-R.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-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, 'AAsf' for class C-R, 'A+sf'
for class D-1R, 'A-sf' for class D-2R, and 'BBB+sf' for class E-R.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Barings CLO
2022-III. In cases where Fitch does not provide ESG relevance
scores in connection with the credit rating of a transaction,
program, instrument or issuer, Fitch will disclose in the key
rating drivers any ESG factor which has a significant impact on the
rating on an individual basis.
BBCMS 2021-C12: Fitch Lowers Rating on H-RR Certs to CCCsf
----------------------------------------------------------
Fitch Ratings has affirmed 19 classes of BBCMS Mortgage Trust
2021-C11 Commercial Mortgage Pass-Through Certificates. The
Outlooks for affirmed classes G, H-RR and X-G have been revised to
Negative from Stable.
Fitch has also downgraded three and affirmed 16 classes of BBCMS
Mortgage Trust 2021-C12 Commercial Mortgage Pass-Through
Certificates Series 2019-BNK20. Following their downgrades,
Negative Rating Outlooks were assigned to class G and X-G.
Additionally, the Outlooks for classes E, F, X-D and X-F have been
revised to Negative from Stable.
Entity/Debt Rating Prior
----------- ------ -----
BBCMS 2021-C11
A-1 05493MAA2 LT AAAsf Affirmed AAAsf
A-2 05493MAB0 LT AAAsf Affirmed AAAsf
A-3 05493MAD6 LT AAAsf Affirmed AAAsf
A-4 05493MAE4 LT AAAsf Affirmed AAAsf
A-5 05493MAF1 LT AAAsf Affirmed AAAsf
A-S 05493MAJ3 LT AAAsf Affirmed AAAsf
A-SB 05493MAC8 LT AAAsf Affirmed AAAsf
B 05493MAK0 LT AA-sf Affirmed AA-sf
C 05493MAL8 LT A-sf Affirmed A-sf
D 05493MAT1 LT BBBsf Affirmed BBBsf
E 05493MAV6 LT BBB-sf Affirmed BBB-sf
F 05493MAX2 LT BB+sf Affirmed BB+sf
G 05493MAZ7 LT BB-sf Affirmed BB-sf
H-RR 05493MBB9 LT B-sf Affirmed B-sf
X-A 05493MAG9 LT AAAsf Affirmed AAAsf
X-B 05493MAH7 LT A-sf Affirmed A-sf
X-D 05493MAM6 LT BBB-sf Affirmed BBB-sf
X-F 05493MAP9 LT BB+sf Affirmed BB+sf
X-G 05493MAR5 LT BB-sf Affirmed BB-sf
BBCMS 2021-C12
A-1 05552XBC1 LT AAAsf Affirmed AAAsf
A-2 05552XBD9 LT AAAsf Affirmed AAAsf
A-3 05552XBE7 LT AAAsf Affirmed AAAsf
A-4 05552XBF4 LT AAAsf Affirmed AAAsf
A-5 05552XBG2 LT AAAsf Affirmed AAAsf
A-S 05552XBL1 LT AAAsf Affirmed AAAsf
A-SB 05552XBH0 LT AAAsf Affirmed AAAsf
B 05552XBM9 LT AA-sf Affirmed AA-sf
C 05552XBN7 LT A-sf Affirmed A-sf
D 05552XAG3 LT BBBsf Affirmed BBBsf
E 05552XAJ7 LT BBB-sf Affirmed BBB-sf
F 05552XAL2 LT BB+sf Affirmed BB+sf
G 05552XAN8 LT Bsf Downgrade BB-sf
H-RR 05552XAQ1 LT CCCsf Downgrade B-sf
X-A 05552XBJ6 LT AAAsf Affirmed AAAsf
X-B 05552XBK3 LT A-sf Affirmed A-sf
X-D 05552XAA6 LT BBB-sf Affirmed BBB-sf
X-F 05552XAC2 LT BB+sf Affirmed BB+sf
X-G 05552XAE8 LT Bsf Downgrade BB-sf
KEY RATING DRIVERS
Performance and 'B' Loss Expectations: Transaction-level 'Bsf'
ratings case losses are 3.7% in BBCMS 2021-C11 and 4.9% in BBCMS
2021-C12. The BBCMS 2021-C11 transaction has two loans (2.4% of the
pool) that have been identified as Fitch Loans of Concern (FLOCs).
The BBCMS 2021-C12 transaction has four FLOCs (7.3%), including two
loans (2.5%) in special servicing.
The Negative Outlooks for classes G, H-RR and X-G in the BBCMS
2021-C11 transaction reflect concerns with the elevated
concentration of office loans (28.7%) and the potential for a
prolonged workout of the loan in special servicing (Wyndham
National Hotel Portfolio; 1.8%).
Downgrades of classes G and X-G in the BBCMS 2021-C12 transaction
reflect increased pool loss expectations, from 4.4% at the prior
rating action, driven primarily by higher loss expectations for the
specially serviced Courtyard by Marriott - Lake Charles, LA (0.9%).
The Negative Outlooks on classes E, F, G, X-D, X-F and X-G reflect
elevated office exposure (32.5%) and the potential for downgrades
if there is a prolonged workout of the specially serviced loans
that would lead to a value decline and/or higher than expected
losses. Fitch also performed a sensitivity analysis on the
Courtyard by Marriott - Lake Charles, LA loan that assumed a near
100% loss based on a recent value of the land; the Negative
Outlooks also reflect this sensitivity analysis.
The largest contributor to expected losses in BBCMS 2021-C11 is the
Wyndham National Hotel Portfolio (1.8%) loan, which is secured by a
44-property portfolio comprised of limited service hotels: 21
Travelodges, 12 Baymont Inn & Suites, one Super 8, and one Days Inn
located in 23 states. The loan transferred to special servicing in
April 2024 due to various defaults, including but not limited to
failure to comply with cash management. The borrower, Vukota
Capital Management Ltd., filed Chapter 11 bankruptcy in June 2024
and the case is ongoing.
Portfolio occupancy was 58% as of March 2024 and the
servicer-reported NOI DSCR was 1.87x for the same period. The loan
reported a total of $11.4 million ($3,069 per Key) as of the August
2024 loan level reserve report. Fitch's 'Bsf' rating case loss of
26.5% (prior to a concentration adjustment) is based on a 13.5% cap
rate and Fitch issuance net cash flow, and factors in an increased
probability of default due to the recent transfer to special
servicing.
The largest contributor to expected loss in BBCMS 2021-C12 is
Courtyard by Marriott - Lake Charles, LA. The loan is secured by a
110-key select service hotel built in 2016 and located in Lake
Charles, LA, and transferred to special servicing in November 2023
for imminent monetary default. The property has been permanently
closed since 3Q22 due to structural concerns that were the result
of two hurricanes that occurred prior to securitization (Hurricane
Laura in August 2020 and Hurricane Delta in October 2020).
The borrower is seeking damages against the contractor involved in
the development of the hotel for alleged latent defects, which
resulted in damage to the property. Litigation continues as the
borrower also looks to settle with the contractor's insurance.
Fitch's 'Bsf' rating case loss of 46.4% (prior to a concentration
adjustment) reflects a recovery value of $53,300/key and is based
on the servicer's net present value of expected insurance
recoveries, land value and anticipated loan advances.
The second largest contributor to expected loss in BBCMS 2021-C12
is Sorrel River Ranch (1.8%), which is secured by a 56-key,
full-service resort and spa hotel located in Moab, UT. The property
is located along the Colorado River and is approximately 250 miles
south of Salt Lake City. The resort consists of 21, one to
two-story buildings and also features a spa and wellness center. As
of YE 2023, the debt service coverage ratio was reported to be
1.60x and occupancy had declined to 13% compared to 42% at
issuance. Fitch's 'Bsf' rating case loss of 18.9% (prior to a
concentration adjustment) is based on a 12% cap rate and the NOI
for the trailing twelve-month period ending March 2024.
The largest FLOC in BBCMS 2021-C12 is Parkshore Plaza (4.1%), which
is secured by 271,484sf suburban office property located in Folsom,
CA. Occupancy has declined to 75% as of YE 2023 from 95% at
issuance. Tenant VoxPro (previously 20% of NRA) exercised its
termination option and vacated their space in March 2023 (prior to
the Feb. 2025 expiration); a $1.8 million termination fee
collected. The borrower has backfilled a portion of the vacated
space and occupancy is expected to increase to 79%. Fitch's 'Bsf'
rating case loss of 18.0% (prior to a concentration adjustment) is
based on a 10% cap rate and the Fitch issuance net cash flow, which
reflects an occupancy of approximately 805.
Changes in Credit Enhancement (CE): As of the September 2024
distribution date, the aggregate balances of the BBCMS 2021-C11 and
BBCMS 2021-C12 transactions have been paid down by 1.2% and 0.6%,
respectively, since issuance. There are no defeased loans in either
transaction.
Cumulative interest shortfalls of approximately $19,000 are
affecting the non-rated class J-RR in BBCMS 2021-C11 and
approximately $234,000 are affecting the non-rated class J-RR in
BBCMS 2021-C12.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to senior 'AAAsf' rated classes are not likely due to
the position in the capital structure and expected continued
amortization and loan repayments, but may occur if deal-level
losses increase significantly or interest shortfalls occur or are
expected to occur.
Downgrades to the junior 'AAAsf' rated class A-S would be likely
with continued performance deterioration of the FLOCs, increased
expected losses and limited to no improvement in class CE, or if
interest shortfalls occur.
Downgrades to classes rated in the 'AAsf' and 'Asf' categories
could occur if deal-level losses increase significantly from
outsized losses on larger FLOCs or more loans than expected
experience performance deterioration or default at or before
maturity.
Downgrades to the 'BBBsf', 'BBsf' and 'Bsf' categories are possible
with higher than expected losses and/or continued underperformance
of the FLOCs (namely Courtyard Marriott by Marriott - Lake Charles,
LA in BBCMS 2021-C12). Loans of particular concern in the BBCMS
2021-C11 transaction include Wyndham National Hotel Portfolio and
Savannah Crossings I. Loans of particular concern in the BBCMS
2021-C12 transaction include Parkshore Plaza, Hayes Court,
Courtyard by Marriott - Lake Charles, LA and 818 Sterling Place and
Bronx Portfolio.
Downgrades to classes with distressed ratings 'CCCsf' would occur
if additional loans transfer to special servicing or default, as
losses are realized or become more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to classes rated in the 'AAsf' and 'Asf' category may be
possible with significantly increased CE from paydowns and/or
defeasance, coupled with stable to improved pool-level loss
expectations and improved performance on the FLOCs.
Upgrades to the 'BBBsf' category rated classes would be limited
based on sensitivity to concentrations or the potential for future
concentration. Classes would not be upgraded above 'AA+sf' if there
is likelihood for interest shortfalls.
Upgrades to the 'BBsf' and 'Bsf' category rated classes are not
likely until the later years in a transaction and only if the
performance of the remaining pool is stable, recoveries on the
FLOCs are better than expected and there is sufficient CE to the
classes.
Upgrades to distressed ratings are not expected, but possible with
better than expected recoveries or significantly higher values on
FLOCs.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
BEAR STEARNS 2007-EMX1: Moody's Cuts Rating on 2 Tranches to Caa2
-----------------------------------------------------------------
Moody's Ratings has upgraded the rating of one bond and downgraded
the ratings of four bonds from five US residential mortgage-backed
transactions (RMBS), backed by option ARM and subprime mortgages
issued by multiple issuers.
A 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: Bear Stearns Structured Products Trust 2007-EMX1
Cl. M-1, Downgraded to Caa2 (sf); previously on Jul 13, 2018
Downgraded to B3 (sf)
Cl. M-2, Downgraded to Caa2 (sf); previously on Jul 13, 2018
Downgraded to Caa1 (sf)
Issuer: BNC Mortgage Loan Trust 2006-2
Cl. A4, Downgraded to B3 (sf); previously on Aug 1, 2019 Upgraded
to Ba3 (sf)
Issuer: HarborView Mortgage Loan Trust 2007-4
Cl. 2A-1, Upgraded to Baa1 (sf); previously on Nov 21, 2018
Upgraded to Baa3 (sf)
Issuer: HSI Asset Securitization Corporation Trust 2007-WF1
Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 6, 2019
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. The
rating upgrade is a result of the improving performance of the
related pools. Moody's analysis also considered the existence of
historical interest shortfalls.
The rating downgrade of Class A4 from BNC Mortgage Loan Trust
2006-2 is due to outstanding interest shortfalls and the
uncertainty of whether those shortfalls will be reimbursed.
The rating downgrades of the rest of the bonds are the result of
outstanding credit interest shortfalls that are unlikely to be
recouped. These downgraded bonds have a 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. The size
and length of the outstanding interest shortfalls were considered
in Moody's analysis.
The rating upgrades 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 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 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.
BENCHMARK 2021-B27: Fitch Lowers Rating on J-RR Debt to CCCsf
-------------------------------------------------------------
Fitch Ratings has affirmed 34 ratings for classes within the
Benchmark 2021-B27 Mortgage Trust (BMARK 2021-B27) and Benchmark
2021-B31 (BMARK 2021-B31) transactions. Fitch has also downgraded
three classes within BMARK 2021-B27 (classes G, X-G and J-RR). The
Rating Outlooks for classes E, F, X-D and X-F in BMARK 2021-B27
have been revised to Negative from Stable, while the downgraded
classes G and X-G have been assigned Negative Outlooks. The Rating
Outlooks for classes E and X-D in BMARK 2021-B31 have been revised
to Negative from Stable, and the Outlooks for classes F, G, X-F and
X-G remain Negative.
Entity/Debt Rating Prior
----------- ------ -----
Benchmark 2021-B27
A-1 08163HAA6 LT AAAsf Affirmed AAAsf
A-2 08163HAB4 LT AAAsf Affirmed AAAsf
A-3 08163HAC2 LT AAAsf Affirmed AAAsf
A-4 08163HAD0 LT AAAsf Affirmed AAAsf
A-5 08163HAE8 LT AAAsf Affirmed AAAsf
A-AB 08163HAF5 LT AAAsf Affirmed AAAsf
A-S 08163HAH1 LT AAAsf Affirmed AAAsf
B 08163HAJ7 LT AA-sf Affirmed AA-sf
C 08163HAK4 LT A-sf Affirmed A-sf
D 08163HAU2 LT BBsf Affirmed BBBsf
E 08163HAW8 LT BBB-sf Affirmed BBB-sf
F 08163HAY4 LT BB+sf Affirmed BB+sf
G 08163HBA5 LT Bsf Downgrade BB-sf
J-RR 08163HBC1 LT CCCsf Downgrade B-sf
X-A 08163HAG3 LT AAAsf Affirmed AAAsf
X-B 08163HAL2 LT A-sf Affirmed A-sf
X-D 08163HAN8 LT BBB-sf Affirmed BBB-sf
X-F 08163HAQ1 LT BB+sf Affirmed BB+sf
X-G 08163HAS7 LT Bsf Downgrade BB-sf
Benchmark 2021-B31
A-1 08163MAA5 LT AAAsf Affirmed AAAsf
A-2 08163MAB3 LT AAAsf Affirmed AAAsf
A-3 08163MAC1 LT AAAsf Affirmed AAAsf
A-4 08163MAD9 LT AAAsf Affirmed AAAsf
A-5 08163MAE7 LT AAAsf Affirmed AAAsf
A-AB 08163MAF4 LT AAAsf Affirmed AAAsf
A-S 08163MAH0 LT AAAsf Affirmed AAAsf
B 08163MAJ6 LT AA-sf Affirmed AA-sf
C 08163MAK3 LT A-sf Affirmed A-sf
D 08163MAW7 LT BBBsf Affirmed BBBsf
E 08163MAY3 LT BBB-sf Affirmed BBB-sf
F 08163MBA4 LT BB-sf Affirmed BB-sf
G 08163MBC0 LT B-sf Affirmed B-sf
X-A 08163MAG2 LT AAAsf Affirmed AAAsf
X-B 08163MAL1 LT A-sf Affirmed A-sf
X-D 08163MAN7 LT BBB-sf Affirmed BBB-sf
X-F 08163MAQ0 LT BB-sf Affirmed BB-sf
X-G 08163MAS6 LT B-sf Affirmed B-sf
KEY RATING DRIVERS
Performance and 'B' Loss Expectations: Transaction-level 'B' rating
case losses for BMARK 2021-B27 and BMARK 2021-B31 are 5.67% and
4.28%, respectively. The elevated modeled losses for BMARK 2021-B27
primarily reflect the increased concentration of specially serviced
loans with specific concern regarding the potential for outsized
losses on Chase Tower (3.5% of pool). The higher modeled losses
also reflect the weak performance of FLOCs in the pool, such as the
Colonnade Corporate Center (5.4% of pool) and Fisker Corporate
Headquarters (2.8%), and marginal paydown and defeasance since
issuance.
The Negative Outlooks reflect continued concerns over the specially
serviced loans and the office concentration within the top 15 for
each deal; 37.2% of the BMARK 2021-B27 pool is comprised of top-15
office loans while 32.1% of the BMARK 2021-B31 pool is comprised of
top-15 office loans.
Fitch Loans of Concern (FLOCs) and Specially Serviced Loans: Six
loans representing 14.9% of the BMARK 2021-B27 pool are FLOCs,
including one specially serviced loan (Chase Tower; 2.6% of the
pool).
Three loans representing 9.4% of the BMARK 2021-B31 pool are FLOCs,
including two specially serviced loans which comprise 6.6% of the
loan pool.
Chase Tower (2.6% of BMARK 2021-B27): Chase Tower is a FLOC and
largest loss contributor for the BMARK 2021-B27 transaction, which
transferred to special servicing on Nov. 8, 2023. The loan is
secured by a 284,310sf office building built in 1968 and located in
the CBD of Charleston, WV. Occupancy at the multi-tenanted property
as of the September 2024 rent roll was 81.1%. The loan is cash
managed and paid current through August 2024. The borrower
requested a discounted payoff and release of the Lender's Excess
Cash collateral.
Fitch's 'Bsf' rating case loss of 41.1% is based on a 10.25% cap
rate and the YE 2023 NOI.
Colonnade Corporate Center (5.4% of BMARK 2021-B27): Colonnade
Corporate Center is a FLOC and the second largest loss contributor
for the BMARK 2021-B27 transaction. The loan is secured by three
six-story office buildings totaling 419,650sf located in
Birmingham, AL. The loan is considered a FLOC due to declining
occupancy and near-term rollover. The property was 77% occupied as
of the September 2024 rent roll and approximately 29% of the leased
space (30% of base rents) is scheduled to roll by YE 2025.
Fitch's 'Bsf' rating case loss of 12.7% is based on a 10.00% cap
rate and a 25% stress to the YE 2023 NOI.
Fisker Corporate Headquarters (2.8% of BMARK 2021-B27): Fisker
Corporate Headquarters is a FLOC and the third largest loss
contributor for the BMARK 2021-B27 transaction. The loan is secured
by a 78,540-sf office building located in Manhattan Beach, CA. The
property served as the headquarter location for Fisker Group until
the company declared bankruptcy in June 2024 and vacated the
space.
Fitch's 'Bsf' rating case loss of 17.3% is based on a 10.00% cap
rate and a 30% stress to the YE 2023 NOI, and also factors in a
higher probability of default to account for the major tenant
event.
Hall Office Portfolio (3.7% of BMARK 2021-B31): Hall Office
Portfolio is a FLOC and the largest loss contributor for the BMARK
2021-B31 transaction which transferred to special servicing on June
23, 2023. The loan is secured by a two-building portfolio
encompassing 298,212sf of office space in Frisco and Irving, TX.
The loan transferred to special servicing following major tenant
WageWorks going dark; the tenant occupied 100% (156,630-sf) of one
of the two buildings at issuance.
Fitch's 'Bsf' rating case loss of 21.3% is based on a 10.00% cap
rate and a 25% stress to the Fitch issuance NCF.
JMT Chicago Multi Portfolio (2.9% of BMARK 2021-B31): JMT Chicago
Multi Portfolio is a FLOC and the second largest loss contributor
for the BMARK 2021-B31 transaction which transferred to special
servicing on March 15, 2024 due to non-monetary default. The loan
is secured by a six-building, 544-unit apartment portfolio located
in Illinois. The portfolio is comprised of older vintage buildings
with original constructions ranging from 1928-1972.
Fitch's 'Bsf' rating case loss of 14.5% is based on a 9.00% cap
rate and a 7.5% stress to YE 2023 NOI.
Marginal Change to Credit Enhancement (CE) and Minimal Defeasance:
As of the September 2024 reporting, the BMARK 2021-B27 pool's
aggregate balance has reduced 1.0% since issuance. Additionally,
the pool has no defeasance concentration to date.
As of the September 2024 reporting, the BMARK 2021-B31 pool's
aggregate balance has reduced 0.7% since issuance, and the pool has
no concentration of defeased loans to date.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Downgrades to 'AAAsf' and 'AAsf' category rated classes could
occur if deal-level expected losses increase significantly;
- Downgrades to classes rated in the 'Asf' and 'BBBsf' categories
could occur if deal-level losses increase significantly from
outsized losses on larger FLOCs, particularly the Colonnade
Corporate Center and Fisker Corporate Headquarters, or if loans in
special servicing have extended workout timelines and continued
value erosion;
- Further downgrades to classes rated in the 'BBsf' and 'Bsf'
categories are possible with higher than expected losses from
continued underperformance of the FLOCs and/or lack of resolution
and increased exposures on the specially serviced loans;
- Further downgrades to 'CCCsf' would occur should additional loans
transfer to special servicing and/or default, or as losses become
realized or more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Upgrades to classes rated in the 'AAsf' and 'Asf' categories may
be possible with significantly increased CE from paydowns and/or
defeasance, coupled with stable-to-improved pool-level loss
expectations and improved performance on the FLOCs;
- Upgrades to classes rated in the 'BBBsf' category would be
limited based on the sensitivity to concentrations or the potential
for future concentrations. Classes would not be upgraded above
'Asf' if there were likelihood of interest shortfalls;
- Upgrades to classes rated in the 'Bsf' rated classes are not
likely until the later years in the transaction and only if the
performance of the remaining pool is stable and/or there is
sufficient CE;
- Upgrades to distressed ratings are not expected but would be
possible with better than expected recoveries on specially serviced
loans or significantly improved performance from FLOCs.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
BENEFIT STREET XVII: Fitch Assigns 'BB+sf' Rating on Cl. E-R2 Notes
-------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Benefit
Street Partners CLO XVII, Ltd. (RESET).
Entity/Debt Rating Prior
----------- ------ -----
Benefit Street
Partners CLO
XVII, Ltd.
A-1-R2 LT WDsf Withdrawn AAA(EXP)sf
A-2-R2 LT WDsf Withdrawn AAA(EXP)sf
A-R2 LT AAAsf New Rating
B-R2 LT AA+sf New Rating AA+(EXP)sf
C-R2 LT A+sf New Rating A+(EXP)sf
D-1-R2 LT BBBsf New Rating BBB-(EXP)sf
D-2-R2 LT BBB-sf New Rating BBB-(EXP)sf
E-R2 LT BB+sf New Rating BB+(EXP)sf
F-R2 LT NRsf New Rating NR(EXP)sf
Subordinated Notes LT NRsf New Rating NR(EXP)sf
X-R2 LT AAAsf New Rating AAA(EXP)sf
Transaction Summary
Benefit Street Partners CLO XVII, Ltd. (the issuer) is an arbitrage
cash flow collateralized loan obligation (CLO) that will be managed
by BSP CLO Management L.L.C., that originally closed on October
2019. The first refinancing was on August 2021, and this will be
the second refinancing where the existing notes will be refinanced
in whole on Oct. 15, 2024. The transaction will be upsized by $500
million. Net proceeds from the issuance of the secured and
subordinated notes will provide financing on a portfolio of
approximately $1.0 billion of primarily first-lien senior secured
leveraged loans.
The final rating for class D-1-R2 of 'BBBsf' is one notch higher
than the expected rating of 'BBB-(EXP)sf'. This rating change is
due to a higher default cushion resulting from a lower cost of
funding on the mezzanine notes since the expected rating analysis.
Classes A-1-R2 and A-2-R2 are no longer being issued, and the
expected ratings have been withdrawn. Instead, class A-R2 has been
issued.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard CLO structural
features.
Asset Security (Positive): The indicative portfolio consists of
97.89% first-lien senior secured loans and has a weighted average
recovery assumption of 76.14%. Fitch stressed the indicative
portfolio by assuming a higher portfolio concentration of assets
with lower recovery prospects and further reduced recovery
assumptions for higher rating stresses.
Portfolio Composition (Positive): The largest three industries may
comprise up to 37% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity required by industry,
obligor and geographic concentrations is in line with other recent
CLOs.
Portfolio Management (Neutral): The transaction has a five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting to the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio is 12 months less
than the WAL covenant to account for structural and reinvestment
conditions after the reinvestment period. In Fitch's opinion, these
conditions would reduce the effective risk horizon of the portfolio
during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as 'AAAsf' for class X-R2, between 'A-sf' and 'AA+sf' for
class A-R2, between 'BB+sf' and 'AA-sf' for class B-R2, between
'B+sf' and 'A-sf' for class C-R2, between less than 'B-sf' and
'BB+sf' for class D-1-R2, between less than 'B-sf' and 'BB+sf' for
class D-2-R2, and between less than 'B-sf' and 'BB-sf' for class
E-R2.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class X-R2 and class
A-R2 notes as these notes are in the highest rating category of
'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2,
'A+sf' for class D-1-R2, 'A+sf' for class D-2-R2, and 'BBB+sf' for
class E-R2.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Benefit Street
Partners CLO XVII, 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
any ESG factor that is a key rating driver in the key rating
drivers section of the relevant rating action commentary.
BENEFIT STREET XVII: Moody's Gives B3 Rating to $250,000 F-R2 Notes
-------------------------------------------------------------------
Moody's Ratings has assigned ratings to two classes of CLO
refinancing notes (the Refinancing Notes) issued by Benefit Street
Partners CLO XVII, Ltd. (the Issuer):
US$615,000,000 Class A-R2 Senior Secured Floating Rate Notes due
2036, Definitive Rating Assigned Aaa (sf)
US$250,000 Class F-R2 Secured Deferrable Floating Rate Notes due
2037, Definitive 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 96%
of the portfolio must consist of first lien senior secured loans
and up to 4% of the portfolio may consist of second lien loans,
unsecured loans and bonds.
BSP CLO Management L.L.C. (the Manager) will continue to direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's extended five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.
In addition to the issuance of the Refinancing Notes, the other
classes of secured notes and additional subordinated notes, a
variety of other changes to transaction features will occur in
connection with the refinancing. These include: extension of the
reinvestment period; extensions of the stated maturity and non-call
period; changes to certain collateral quality tests; and changes to
the overcollateralization test levels; 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: $1,000,000,000
Diversity Score: 85
Weighted Average Rating Factor (WARF): 3261
Weighted Average Spread (WAS): 3.25%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 46.5%
Weighted Average Life (WAL): 8 years
Methodology Underlying the Rating Action
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
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.
BHG SECURITIZATION 2023-B: Fitch Affirms BB Rating on Class E Notes
-------------------------------------------------------------------
Fitch Ratings has affirmed all notes of BHG Securitization Trust
2023-B (BHG 2023-B). The Rating Outlook for Class A, B and C
remains Stable while the Outlooks for the Class D and E notes have
been revised to Positive from Stable.
Entity/Debt Rating Prior
----------- ------ -----
BHG Securitization
Trust 2023-B
A 08862GAA2 LT AAAsf Affirmed AAAsf
B 08862GAB0 LT AA-sf Affirmed AA-sf
C 08862GAC8 LT A-sf Affirmed A-sf
D 08862GAD6 LT BBB-sf Affirmed BBB-sf
E 08862GAE4 LT BBsf Affirmed BBsf
Transaction Summary
BHG 2023-B is a discrete trust backed by a pool of consumer and
commercial loans originated or purchased by Bankers Healthcare
Group, LLC (BHG), Pinnacle Bank and County Bank. Fitch has affirmed
all notes of 2023-B due to the notes passing Fitch's modeling at
the requisite rating levels and the performance of the underlying
assets aligning with expectations to date. The Positive Outlooks
for the Class D and E notes indicate the potential for future
positive rating actions, contingent upon continued stable
performance.
KEY RATING DRIVERS
Collateral Pool Comprised of High Quality Borrowers: The BHG 2023-B
receivables pool as of the cutoff date had a weighted average (WA)
FICO score of 746; 2.46% of the borrowers have a score below 661
and 53.23% have a score higher than 740. Commercial loans represent
49.95% of the pool with the rest being consumer loans. The WA
original term of 91 months is lower than 98 months in BHG 2023-A,
which itself had declined from the previous transactions.
Default Assumption Reflects Securitized Performance: The base case
default assumptions assigned at closing was 13.21%. The default
assumption was established by loan type (commercial or consumer),
BHG's proprietary risk grade and loan term. For the current review,
Fitch maintained the default rate from closing given the low
seasoning of the pool and the stable performance trends. As of
September 2024, payment period, cumulative net loss represented
0.99% of the original pool balance. These levels remain below the
4.25% amortization trigger as of the most recent payment date.
Credit Enhancement Mitigates Stressed Losses: The current credit
enhancement (CE) for 2023-B totals 62.76%, 31.50%, 21.49%, 17.06%
and 10.83% for class A, B, C, D and E notes, respectively. Current
CE is sufficient to cover Fitch's stressed cash flow assumptions
for all classes. Fitch applied a WA 'AAAsf' rating stress of 4.13x,
derived from 4.0x the base case default rate for commercial loans
and 4.25x for consumer loans. The stress multiples decrease for
lower rating levels according to Fitch's "Consumer ABS Rating
Criteria".
The default multiple reflects the absolute value of the default
assumption, the length of default performance history for each loan
type (shorter for consumer loans), high WA borrower FICO scores and
income and the WA original loan term, which increases the
portfolio's exposure to changing economic conditions.
Counterparty Risks Addressed: BHG has a long operational history
and demonstrates adequate abilities as the originator, underwriter
and servicer, as evidenced by historical portfolio and previous
securitization performance. Fitch deems BHG capable of servicing
this transaction. Other counterparty risks are mitigated through
the transaction structure and such provisions are in line with
Fitch's counterparty rating criteria.
True Lender Uncertainty for Partner Bank Loan Origination
Continues: BHG, similar to peers, purchases consumer loans and some
commercial loans originated by partner banks. To date, BHG has
purchased consumer loans and some commercial loans from Pinnacle
Bank, a Tennessee state-chartered bank (Pinnacle Bank) and consumer
loans from County Bank, a Delaware state-chartered bank (County
Bank). Uncertainty regarding who is the true lender of the loans
remains a risk inherent to this transaction, particularly for
consumer loans originated at an interest rate higher than a
borrower's state usury rate.
If there are challenges to the true lender status and if such
challenges are successful, the consumer loans and certain
commercial loans could be found to be unenforceable, or subject to
reduction of the interest rate, paid or to be paid. If any such
challenges are successful trust performance could be negatively
affected, which would increase negative rating pressure.
For this risk, Fitch views as positive Pinnacle Bank's 49%
ownership of BHG and BHG 2023-B's high composition of commercial
loans, while the longer WA loan term of 91 months is viewed as
negative.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Current Ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'.
Increased default base case by
10%:'AAAsf'/'A+sf'/'A-sf'/'BBB+sf'/'BBB-sf';
Increased default base case by
25%:'AA+sf'/'Asf'/'BBB+sf'/'BBB-sf'/'BB+sf';
Increased default base case by
50%:'AAsf'/'BBB+sf'/'BBB-sf'/'BB+sf'/'BBsf';
Reduced recovery base case by 10%:
'AAAsf'/'AA-sf'/'Asf'/'A-sf'/'BBBsf';
Reduced recovery base case by 25%:
'AAAsf'/'AA-sf'/'Asf'/'A-sf'/'BBBsf';
Reduced recovery base case by 50%:
'AAAsf'/'AA-sf'/'Asf'/'BBB+sf'/'BBBsf';
Increased default base case by 10% and reduced recovery base case
by 10%: 'AAAsf'/'A+sf'/'A-sf'/'BBB+sf'/'BBB-sf';
Increased default base case by 25% and reduced recovery base case
by 25%: 'AA+sf'/'Asf'/'BBBsf'/'BBB-sf'/'BB+sf';
Increased default base case by 50% and reduced recovery base case
by 50%: 'AA-sf'/'BBB+sf'/'BBB-sf'/'BB+sf'/'BBsf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Current Ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'.
Decreased default base case by 10%:
'AAAsf'/'AAsf'/'A+sf'/'Asf'/'BBB+sf'.
Decreased default base case by 25%:
'AAAsf'/'AAAsf'/'AAsf'/'AA-sf'/'Asf'.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
BLACK DIAMOND 2024-1: S&P Assigns Prelim 'BB-' Rating on E Notes
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S&P Global Ratings assigned its preliminary ratings to Black
Diamond CLO 2024-1 Ltd./Black Diamond CLO 2024-1 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 Black Diamond CLO 2024-1 Adviser LLC,
which is a special purpose investment management affiliate of Black
Diamond Capital Management LLC.
The preliminary ratings are based on information as of Oct. 17,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The 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
Black Diamond CLO 2024-1 Ltd./Black Diamond CLO 2024-1 LLC
Class A-1, $240.00 million: AAA (sf)
Class A-2, $20.00 million: AAA (sf)
Class B, $44.00 million: AA (sf)
Class C-1 (deferrable), $19.00 million: A (sf)
Class C-2 (deferrable), $5.00 million: A (sf)
Class D-1 (deferrable), $16.00 million: BBB (sf)
Class D-2 (deferrable), $12.00 million: BBB- (sf)
Class E (deferrable), $10.00 million: BB- (sf)
Subordinated notes, $38.50 million: Not rated
BMO 2024-5C7: Fitch Assigns 'B-(EXP)sf' Rating on Class G-RR Certs
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Fitch Ratings has assigned expected ratings and Rating Outlooks to
BMO 2024-5C7 Mortgage Trust Commercial Mortgage Pass-Through
Certificates Series 2024-5C7 as follows:
- $1,330,000 class A-1 'AAAsf'; Outlook Stable;
- $300,000,000a class A-2 'AAAsf'; Outlook Stable;
- $370,363,000a class A-3 'AAAsf'; Outlook Stable;
- $671,693,000 class X-A 'AAAsf'; Outlook Stable;
- $103,153,000 class A-S 'AAAsf'; Outlook Stable;
- $47,978,000 class B 'AA-sf'; Outlook Stable;
- $35,984,000 class C 'A-sf'; Outlook Stable;
- $187,115,000b class X-B 'A-sf'; Outlook Stable;
- $12,282,000c class D 'BBBsf'; Outlook Stable;
- $12,282,000bc class X-D 'BBBsf'; Outlook Stable;
- $17,704,000cd class E-RR 'BBB-sf'; Outlook Stable;
- $19,192,000cd class F-RR 'BB-sf'; Outlook Stable;
- $13,194,000cd class G-RR 'B-sf'; Outlook Stable.
Fitch does not rate the following classes:
- $38,382,629cd class J-RR.
Notes:
(a) The initial certificate balances of classes A-2 and A-3 are not
yet known but are expected to be $670,363,000 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-$300,000,000 and the expected class
A-3 balance range is $370,363,000-$670,363,000. The balances of
classes A-2 and A-3 above represent the hypothetical balance for
class A-2 if class A-3 were sized at the lower end of its range. In
the event that the class A-3 certificate is issued with an initial
certificate balance of $670,363,000, the class A-2 certificate will
not be issued.
(b) Notional amount and interest only.
(c) Privately placed and pursuant to Rule 144A.
(d) Classes E-RR, F-RR, G-RR and J-RR certificates comprise the
transaction's horizontal risk retention interest.
Transaction Summary
The certificates represent the beneficial ownership interest in the
trust, the primary assets of which are 35 fixed-rate, commercial
mortgage loans with an aggregate principal balance of $959,562,630
as of the cut-off date. The mortgage loans are secured by the
borrowers' fee interest in 74 commercial properties.
The loans were contributed to the trust by Bank of Montreal,
Starwood Mortgage Capital LLC, Citi Real Estate Funding Inc., UBS
AG, German American Capital Corporation, Societe Generale Financial
Corporation, Greystone Commercial Mortgage Capital LLC, and Goldman
Sachs Mortgage Company.
The master servicer is expected to be Midland Loan Services, a
Division of PNC Bank, National Association and the special servicer
is expected to be Greystone Servicing Company LLC. The trustee and
certificate administrator are expected to be Computershare Trust
Company, National Association. The certificates are expected to
follow a sequential paydown structure.
KEY RATING DRIVERS
Fitch Net Cash Flow: Fitch performed cash flow analyses on 30 loans
totaling 96.5 % of the pool by balance. Fitch's resulting net cash
flow (NCF) of $90.2 million represents a 14.2% decline from the
issuer's underwritten NCF of $105.1 million.
Higher Fitch Leverage: The transaction has higher Fitch leverage
than recent five-year multiborrower transactions. The pool's Fitch
weighted average (WA) trust loan-to-value ratio (LTV) of 100.3% is
higher than the 2024 YTD and 2023 multiborrower five-year averages
of 94.3% and 89.7%, respectively. The pool's Fitch NCF debt yield
(DY) of 9.4% is weaker than both the 2024 YTD and 2023 averages of
10.3% and 10.6%, respectively.
Multifamily Concentration: Multifamily properties represent the
largest concentration at 51.0% of the pool, which is materially
higher than the YTD 2024 and 2023 averages of 24.6% and 10.9%,
respectively. The second and third largest concentrations are
industrial (20.9%) and office (19.2%). Multifamily properties have
a lower average likelihood of default than industrial and office,
all else equal.
The pool's effective property type count of 2.90 is slightly worse
than the YTD 2024 and 2023 averages of 4.2% and 4.1. Pools with a
greater concentration by property type are at a greater risk of
losses, all else equal. Fitch, therefore, raises the overall losses
for pools with effective property type counts below five property
types.
Shorter-Duration Loans: Loans with five-year terms comprise 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 its analysis of the
pool.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Declining cash flow decreases property value and capacity to meet
its debt service obligations. The table below indicates the
model-implied rating sensitivity to changes in one variable, Fitch
NCF:
- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf'
/ 'BB-sf' / 'B-sf';
- 10% NCF Decline: 'AAsf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BBsf' /
'B-sf' / '
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Improvement in cash flow increases property value and capacity to
meet its debt service obligations. The table below indicates the
model-implied rating sensitivity to changes to in one variable,
Fitch NCF:
- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf'
/ 'BB-sf' / 'B-sf';
- 10% NCF Increase: 'AAAsf' / 'AAsf' / 'Asf' / 'A-sf' / 'BBBsf' /
'BBsf' /'B+sf'.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Ernst & Young LLP. The third-party due diligence
described in Form 15E focused on 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-CES2: Fitch Assigns 'Bsf' Rating on B2 Notes
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Fitch Ratings has assigned final ratings to BRAVO Residential
Funding Trust 2024-CES2 (BRAVO 2024-CES2).
Entity/Debt Rating Prior
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BRAVO 2024-CES2
A1 LT AAAsf New Rating AAA(EXP)sf
A1A LT AAAsf New Rating AAA(EXP)sf
A1X LT AAAsf New Rating AAA(EXP)sf
A2 LT AAsf New Rating AA(EXP)sf
A3 LT Asf New Rating A(EXP)sf
AIOS LT NRsf New Rating NR(EXP)sf
B1 LT BBsf New Rating BB(EXP)sf
B2 LT Bsf New Rating B(EXP)sf
B3 LT NRsf New Rating NR(EXP)sf
M1 LT BBBsf New Rating BBB(EXP)sf
XS LT NRsf New Rating NR(EXP)sf
Transaction Summary
Fitch has assigned final ratings to the residential mortgage-backed
notes issued by BRAVO Residential Funding Trust 2024-CES2 (BRAVO
2024-CES2) as indicated above. The transaction is expected to close
on Oct. 11, 2024. The notes are supported by one collateral group
that consists of 5,263 primarily newly originated, closed-end
second lien (CES) loans with a total balance of $379 million, as of
the cutoff date.
NewRez LLC (NewRez), PennyMac Loan Services, LLC (PennyMac), and
Nationstar Mortgage LLC dba Mr. Cooper (Nationstar), originated
approximately 37.0%, 32.7%, and 29.4% of the loans, respectively.
PennyMac, Rushmore Loan Management Services, LLC (Rushmore), and
Shellpoint will service the loans. The servicers will not advance
delinquent (DQ) monthly payments of principal and interest (P&I).
Distributions of P&I and loss allocations are based on a
traditional senior-subordinate, sequential structure with an
interest-only class A-1X, whose interest payments are made
pari-passu with class A-1A, based on their respective entitlements.
The sequential-pay structure locks out principal to the
subordinated notes until the most senior notes outstanding are paid
in full. In addition, excess cash flow can be used to repay losses
or net weighted average coupon shortfalls.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Due to an updated view
on sustainable home prices, Fitch views the home price values of
this pool as 11.7% above a long-term sustainable level, compared
with 11.5% on a national level, as of 1Q24, up 0.4% since the prior
quarter. Housing affordability is the worst it has been in decades,
driven by high interest rates and elevated home prices. Home prices
increased 5.9% yoy nationally as of May 2024, despite modest
regional declines, but are still being supported by limited
inventory.
Closed-End Second Liens (Negative): The entirety of the collateral
pool is composed of newly originated CES mortgages. Fitch assumed
no recovery and 100% loss severity (LS) on second lien loans based
on the historical behavior of second lien loans in economic stress
scenarios. Fitch assumes second lien loans default at a rate
comparable to first lien loans; after controlling for credit
attributes, no additional penalty was applied.
Strong Credit Quality (Positive): The pool consists of
new-origination CES loans, seasoned approximately seven months (as
calculated by Fitch), with a relatively strong credit profile
—weighted average model credit score of 736, a 37% debt-to-income
ratio (DTI) and a moderate sustainable loan-to-value ratio (sLTV)
of 75%.
Roughly 100% of the loans were treated as full documentation in
Fitch's analysis. None of the loans have experienced any
modifications since origination.
Sequential-Pay Structure with Realized Loss and Writedown Feature
(Positive): The transaction's cash flow is based on a
sequential-pay structure, whereby the subordinate classes do not
receive principal until the senior classes are repaid in full.
Losses are allocated in reverse-sequential order. Furthermore, the
provision to reallocate principal to pay interest on the 'AAAsf'
rated notes prior to other principal distributions is highly
supportive of timely interest payments to those notes in the
absence of servicer advancing.
Second lien loans that are DQ for 180 days or more under the MBA
method will be subject to an equity analysis and may be charged
off, and, therefore, will cause the most subordinated class to be
written down. Despite the 100% LS assumed for each defaulted second
lien loan, Fitch views the writedown feature positively, as there
will be more excess interest to repay and protect against losses if
writedowns occur earlier. In addition, subsequent recoveries
realized after the writedown (excluding active forbearance or loss
mitigation loans) will be passed on to bondholders as principal.
Unlike prior CES deals, excess interest is only available to repay
current or prior losses and not to turbo down the bonds. This has
resulted in a higher amount of credit enhancement compared to
structures with a partial turbo feature.
No Servicer P&I Advances (Neutral): The servicers will not advance
DQ monthly payments of P&I. Structural provisions and cash flow
priorities, together with increased subordination, provide for
timely payments of interest to the 'AAAsf' and 'AA-sf' rated
classes. Fitch is indifferent to the advancing framework, as given
its projected 100% LS, no credit would be given to advances on the
structure side and no additional adjustment would be made as it
relates to LS.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
This defined negative rating sensitivity analysis shows how 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 42.6%, at 'AAAsf'. The analysis
indicates there is some potential rating migration, with higher
MVDs for all rated classes compared with model projections.
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 rated classes. Specifically, a
10% gain in home prices would result in a full category upgrade for
the rated classes, excluding those being assigned ratings of
'AAAsf'.
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% PD credit was applied at the loan level for all loans graded
either 'A' or 'B';
- Fitch lowered its loss expectations by approximately 78bps 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.
BRIDGECREST 2024-4: S&P Assigns Prelim BB (sf) Rating on E Notes
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S&P Global Ratings assigned its preliminary ratings to Bridgecrest
Lending Auto Securitization Trust 2024-4's automobile
receivables-backed notes.
The note issuance is ABS securitization backed by subprime auto
loan receivables.
The preliminary ratings are based on information as of Oct. 10,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P’s view of:
-- The availability of approximately 62.25%, 57.40%, 46.93%,
38.10%, and 33.93% credit support (hard credit enhancement and a
haircut to excess spread) for the class A (collectively, A-1, A-2,
and A-3), B, C, D, and E notes, respectively, based on stressed
breakeven cash flow scenarios. These credit support levels provide
at least 2.37x, 2.12x, 1.72x, 1.38x, and 1.25x coverage of our
expected cumulative net loss (ECNL) of 25.50% for the class A, B,
C, D, and E notes, respectively.
-- The expectation that under a moderate ('BBB') stress scenario
(1.38x S&P's expected loss level), all else being equal, its
preliminary 'A-1+ (sf)', 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB
(sf)', and 'BB (sf)' ratings on the class A-1, A-2/A-3, B, C, D,
and E notes, respectively, will be within our credit stability
limits.
-- The timely payment of interest and principal by the designated
legal final maturity dates under S&P's stressed cash flow modeling
scenarios that S&P believes are appropriate for the assigned
preliminary ratings.
-- The collateral characteristics of the subprime auto loans,
S&P's view of the credit risk of the collateral, and its updated
macroeconomic forecast and forward-looking view of the auto finance
sector.
-- The series' bank accounts at Wells Fargo Bank N.A. (Wells
Fargo; A+/Stable/A-1), which do not constrain the preliminary
ratings.
-- S&P's operational risk assessment of Bridgecrest Acceptance
Corp. (BAC) as servicer, along with its view of the originator's
underwriting and the backup servicing arrangement with
Computershare Trust Co. N.A. (BBB/Stable/--).
-- S&P's assessment of the transaction's potential exposure to
environmental, social, and governance (ESG) credit factors that are
in line with our sector benchmark.
-- The transaction's payment and legal structure.
Preliminary Ratings Assigned
Bridgecrest Lending Auto Securitization Trust 2024-4
Class A-1, $70.50 million ($81.60 million if upsized): A-1+ (sf)
Class A-2, $137.52 million ($164.16 million if upsized): AAA
(sf)
Class A-3, $91.68 million ($109.44 million if upsized): AAA (sf)
Class B, $56.70 million ($67.20 million if upsized): AA (sf)
Class C, $93.48 million ($110.80 million if upsized): A (sf)
Class D, $89.10 million ($105.60 million if upsized): BBB (sf)
Class E, $41.52 million ($49.20 million if upsized): BB (sf)
CARLYLE US 2019-2: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes
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Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle
US CLO 2019-2, Ltd. reset transaction.
Entity/Debt Rating
----------- ------
Carlyle US
CLO 2019-2,
Ltd._2024 Reset
A-R2 LT NRsf New Rating
B-R2 LT AAsf New Rating
C-R2 LT Asf New Rating
D-1-R2 LT BBB-sf New Rating
D-2-R2 LT BBB-sf New Rating
E-R2 LT BB-sf New Rating
Subordinated LT NRsf New Rating
X-R2 LT NRsf New Rating
Transaction Summary
Carlyle US CLO 2019-2, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) managed by Carlyle CLO
Management L.L.C. that originally closed in July 2019 and first
refinanced in December 2021. The secured notes will be refinanced
in full on Oct. 9, 2024. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $549 million of primarily first lien
senior secured leveraged loans, excluding defaulted obligations.
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 24.14, versus a maximum covenant, in accordance with
the initial expected matrix point of 26.25. 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
95.0% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 72.74% 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 39% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting 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 'BB+sf' and 'A+sf' for class B-R2, between 'B+sf'
and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf'
for class D-1-R2, between less than 'B-sf' and 'BB+sf' for class
D-2-R2, and between less than 'B-sf' and 'B+sf' for class E-R2.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'A+sf'
for class D-1-R2, 'Asf' for class D-2-R2, and 'BBB+sf' for class
E-R2.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Carlyle US CLO
2019-2, 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.
CASCADE MH 2024-MH1: Fitch Assigns 'B-sf' Final Rating on B2 Notes
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Fitch Ratings has assigned final ratings to the
residential-mortgage backed notes to be issued by Cascade MH Asset
Trust 2024-MH1 (CMHAT 2024-MH1).
Entity/Debt Rating Prior
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CMHAT 2024-MH1
A1 LT AAAsf New Rating AAA(EXP)sf
A2 LT AA-sf New Rating AA-(EXP)sf
M1 LT A-sf New Rating A-(EXP)sf
M2 LT BBB-sf New Rating BBB-(EXP)sf
B1 LT BB-sf New Rating BB-(EXP)sf
B2 LT B-sf New Rating B-(EXP)sf
B3 LT NRsf New Rating NR(EXP)sf
R LT NRsf New Rating NR(EXP)sf
X LT NRsf New Rating NR(EXP)sf
Transaction Summary
Fitch rates the notes issued by Cascade MH Asset Trust 2024-MH1
(CMHAT 2024-MH1), as indicated above. This is Cascade's fourth
transaction (and second rated transaction) backed by loans secured
by manufactured homes (MH). While this is the fourth post-crisis MH
transaction to be rated by Fitch, it is also the second rated
post-crisis MH transaction to consist of new origination MH loans.
The transaction closes on Oct. 11, 2024. The collateral pool is
backed by 1,020 MH contracts. The pool totals $147.0 million.
Distributions of principal and interest (P&I) are based on a
traditional senior-subordinate, sequential pay structure. Losses
are allocated to the note overcollateralization (OC) amount and
excess spread and lastly applied in reverse sequential order
beginning with the most subordinated bond. The sequential pay
structure locks out principal to the subordinated notes until the
most senior notes outstanding are paid in full. The servicer will
not be advancing delinquent monthly payments of P&I.
Following the publishing of Fitch's expected ratings, the issuer
had provided Fitch with a post-pricing structure. There were no
changes to the credit enhancement (CE) levels of the bonds while
the class A-1, A-2 and M-1 had their respective coupons increase
between 1 to 15bps and the class M-2 and B-1 bonds had lower
coupons between 5bps to 7bps. The class B-2 references the net
weighted average coupon (WAC) rate thus no changes there. Fitch
re-ran its cash flow analysis on this structure and confirmed there
were no changes to its expected ratings.
KEY RATING DRIVERS
Manufactured Housing Collateral (Negative): The transaction is
backed by 98.6% new origination manufactured homes (MH) loans,
which are seasoned at approximately six months, as determined by
Fitch. Loans backed by chattel properties (secured with the
structure only) comprise 71.6% of the pool, and the remaining 28.4%
is comprised of land/home MH. Fitch applies a higher probability of
default (PD) for chattel homes than for land homes, given that the
borrower does not own the land the housing structure sits on. MH
loans typically experience higher default rates and lower
recoveries than site-built residential homes.
Fitch applied a loan-level loss model developed specifically for MH
loans based on historical observations of more than one million MH
loans originated from 1993 to 2002, with performance tracked
through 2018. The key PD drivers in Fitch's MH modeling include the
original combined loan-to-value (CLTV), credit score, MH type
(chattel vs. land home), pay history, loan purpose, property type
(single vs. multi-wide), loan term and the representation and
warranty framework.
The primary loss severity (LS) considerations are the loan balance,
years since manufacturing was completed and the property type.
Relative to standard RMBS pools, certain PD and LS variables such
as sustainable LTV (sLTV), documentation scoring, originator and
servicer adjustments, number of borrowers, liquid reserves,
origination channel, occupancy, debt-to-income (DTI), property
value ratio (PVR), and qualified-mortgage (QM) status are not
applicable for pools backed by MH collateral.
MH Credit Attributes (Negative): All loans in the pool are fixed
rate, and the borrowers in the pool have a weighted average (WA)
model FICO of 685 and a CLTV of 94.4%. Double or multi-wide MH
units comprise 77.7% of the pool, while 98.5% of the MH units were
built within the last four years. Double or multi-wide MH
properties are viewed by Fitch as a more favorable PD variable. In
addition, Fitch views newer manufactured years as more favorable.
Some 97.5% of loans are now current based on the OTS methodology
over the past two years, while 2.3% have experienced a delinquency
within the past 24 months and 0.2% are currently delinquent.
Fitch's expected loss in the 'AAAsf' stress is 43.25%, with a PD
and LS of 53.26% and 81.20%, respectively. Fitch's expected loss in
the 'Bsf' stress is 22.50%, with a PD and LS of 33.85% and 66.47%,
respectively.
Sequential Pay Structure (Positive): The transaction's cash flow is
based on a sequential pay structure. The subordinate classes do not
receive principal until the senior classes are repaid in full. Note
OC, calculated as 1.5% of the aggregate cutoff balance, will be
used as CE in addition to substantial excess spread. Following note
OC and excess, losses are allocated in reverse-sequential order
beginning with the class B-3.
Furthermore, the provision to reallocate principal to pay interest
on the 'AAAsf' rated notes prior to other principal distributions
is highly supportive of timely interest payments to that class in
the absence of servicer advancing. Excess spread will also be used
to pay down the notes on each payment date where a cumulative loss
trigger event is in effect.
Overcollateralization (Positive): The transaction benefits from OC,
which acts as a form of CE, along with subordination and excess
spread. The note OC amount represents the amount by which the
aggregate pool balance exceeds the aggregate class principal
balance of the notes. On the closing date, the initial OC will be
approximately $0.
Following the closing date, the note OC amount may increase to the
OC target amount, defined as 1.50% ($2,204,386) of the aggregate
pool balance as of the cutoff date. OC is replenished throughout
the life of the transaction. The introduction of an OC target
amount will provide increased support during varying loss timing
scenarios through the life of the transaction.
Excess Spread (Mixed): The structure has a notable amount of excess
spread (approximately 234 bps) due to the difference in coupon on
the underlying collateral and the weighted average coupon on the
notes. Due to the significant amount of excess spread and OC, the
deal CE is lower than Fitch's expected losses. Excess spread can be
a notable benefit to a transaction, based on the excess cash flow
waterfall.
When a cumulative loss trigger is not in effect, the monthly excess
cash flow waterfall is structured to pay any fees and expenses,
unpaid principal, cumulative realized losses, breach reserve
account, net WAC shortfalls and B-3 interest. Any remaining excess
will flow to the class X holder and would not be used later during
the life of the transaction to cover losses. Specifically, in
Fitch's backloaded scenarios, excess may not be available to cover
periodic losses. This risk is mitigated by the structure utilizing
the OC target amount which is replenished throughout the life of
the deal.
When a cumulative loss trigger is in effect, the monthly excess
cash flow waterfall will use principal to turbo down the bonds;
however, the trigger is considered weak and would require
substantial losses before excess is used to pay principal.
The structure of this transaction differs slightly from that of
other Fitch-rated MH transactions where excess may be used to turbo
down the bonds, and is more supportive through different loss
timing scenarios. Transactions with more supportive structures have
seen more significant rating upgrades.
No Servicer P&I Advancing (Positive): The servicer will not be
advancing delinquent monthly payments of P&I. Because P&I advances
made on behalf of loans that become delinquent and eventually
liquidate reduce liquidation proceeds to the trust, the loan-level
LS are less for this transaction than for those where the servicer
is obligated to advance P&I.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
The defined stress sensitivity analysis demonstrates how the
ratings would react to additional losses. As shown in the presale
report, the analysis indicates some potential of rating migration
with an increase in loss.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
The defined stress sensitivity analysis demonstrates that better
than expected performance could lead to rating upgrades.
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 Regulatory Solutions and Ernest Young LLP. The review
was bifurcated between land home and chattel loans.
Land home MH loans received a scope that consisted of credit,
compliance and data integrity. The land home MH loans which are
qualified mortgages do not require an appraisal per Cascade's
guidelines. As a result, no valuation review was performed for this
cohort. If required by applicable guidelines, Cascade employs an
automated valuation model or desk review in the appraisal review,
unless the loan meets certain specific criteria, to ensure the
value is reasonably supported.
Chattel loans received a credit, compliance and data integrity
check but did not receive a valuation review. Chattel properties
are valued solely on the housing unit, which excludes the land they
reside upon. Therefore, appraisals are not performed on chattel
units, which results in a valuation review not being applicable.
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.
CEDAR FUNDING XIV: S&P Assigns Prelim B-(sf) Rating on Cl. F Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-R, B-1-R, B-2-R, C-R, D-1-R, D-2-R, and E-R
debt and proposed new class X and F debt from Cedar Funding XIV CLO
Ltd./Cedar Funding XIV CLO LLC, a CLO originally issued in June
2021 that is managed by Aegon USA Investment Management LLC.
The preliminary ratings are based on information as of Oct. 10,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Oct. 17, 2024, refinancing date, the proceeds from the
replacement debt and new 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 and
new 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 and new debt."
The replacement debt and new debt will be issued via a proposed
supplemental indenture, which outlines their terms. According to
the proposed supplemental indenture:
-- The replacement class A-R, B-1-R, B-2-R, C-R, D-1-R, and E-R
debt is expected to be issued at a floating spread, and the
replacement class D-2-R debt is expected to be issued with a fixed
coupon.
-- In connection with this refinancing, the issuer is replacing
the original class B debt with replacement class B-1-R and B-2-R
debt, which will be paid sequentially, and the class D debt with
the replacement class D-1-R and D-2-R debt, which will be paid pari
passu.
-- The issuer will also add new floating-rate class F debt to the
capital structure.
-- The class X debt to be issued in connection with this
refinancing is expected to be paid down using interest proceeds
during the first seven payment dates beginning with the payment
date in April 2025.
-- The stated maturity will be extended to October 2037.
-- The reinvestment period will be extended to October 2029.
-- The non-call period will be extended up to October 2026.
-- The concentration limitations of the collateral portfolio's
investment guidelines will be amended.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
Cedar Funding XIV CLO Ltd./Cedar Funding XIV CLO LLC
Class X, $3.00 million: AAA (sf)
Class A-R, $247.00 million: AAA (sf)
Class B-1-R, $40.00 million: AA+ (sf)
Class B-2-R, $13.00 million: AA (sf)
Class C-R (deferrable), $28.00 million: A (sf)
Class D-1-R (deferrable), $9.00 million: BBB- (sf)
Class D-2-R (deferrable), $15.00 million: BBB- (sf)
Class E-R (deferrable), $14.90 million: BB- (sf)
Class F (deferrable), $4.000 million: B- (sf)
Subordinated notes, $42.79 million: Not rated
CIFC 2024-IV: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes
----------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
CIFC Funding 2024-IV, Ltd.
Entity/Debt Rating
----------- ------
CIFC Funding
2024-IV, Ltd.
A LT NR(EXP)sf Expected Rating
A Loan LT NR(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
CIFC Funding 2024-IV, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by CIFC
Asset Management LLC. Net proceeds from the issuance of the secured
and subordinated notes will provide financing on a portfolio of
approximately $600 million of primarily first-lien senior secured
leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 24.4 versus a maximum covenant, in accordance with the
initial expected matrix point of 26. Issuers rated in the 'B'
rating category denote a highly speculative credit quality;
however, the notes benefit from appropriate credit enhancement and
standard U.S. CLO structural features.
Asset Security (Positive): The indicative portfolio consists of
98.9% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 74.36% versus a
minimum covenant, in accordance with the initial expected matrix
point of 71.2%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 45% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between '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 'B+sf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, '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, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for CIFC Funding
2024-IV, Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, program,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
CIFC FUNDING 2013-III-R: Moody's Cuts $7.6MM E Notes Rating to Caa2
-------------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by CIFC Funding 2013-III-R, Ltd.:
US$44,800,000 Class A-2 Senior Secured Floating Rate Notes due
2031, Upgraded to Aaa (sf); previously on February 8, 2023 Upgraded
to Aa1 (sf)
US$21,200,000 Class B Mezzanine Secured Deferrable Floating Rate
Notes due 2031, Upgraded to Aa1 (sf); previously on February 8,
2023 Upgraded to A1 (sf)
US$26,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2031, Upgraded to Baa1 (sf); previously on August 17,
2020 Confirmed at Baa3 (sf)
Moody's have also downgraded the rating on the following notes:
US$7,600,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2031, Downgraded to Caa2 (sf); previously on August 17, 2020
Downgraded to Caa1 (sf)
CIFC Funding 2013-III-R, Ltd., issued in April 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 April 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 January 2024. The Class
A-1 notes have been paid down by approximately 29.64% or $75.9
million since that time. Based on the trustee's August 2024
report[1], the OC ratios for the Class A, Class B and Class C notes
are reported at 137.86%, 125.98% and 113.94%, respectively, versus
January 2024 levels[2] of 130.24%, 121.58% and 112.42%,
respectively.
The downgrade rating action on the Class E notes reflects the
specific risks to the junior notes posed by deterioration in excess
spread and credit deterioration observed in the underlying CLO
portfolio. Based on the trustee's August 2024 report[3], the
weighted average spread (WAS) is reported at 3.46% versus January
2024 level[4] of 3.65%. Additionally based on Moody's calculation,
the weighted average rating factor (WARF) has been deteriorating
and is currently 2953 compared to 2915 in January 2024.
No actions were taken on the Class A-1 and Class D 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: $312,326,036
Defaulted par: $875,262
Diversity Score: 69
Weighted Average Rating Factor (WARF): 2953
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.20%
Weighted Average Recovery Rate (WARR): 47.55%
Weighted Average Life (WAL): 3.4 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.
CIFC FUNDING 2018-II: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes
-------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to CIFC
Funding 2018-II, Ltd. Reset Transaction.
Entity/Debt Rating Prior
----------- ------ -----
CIFC Funding
2018-II, Ltd.
A-1-R LT AAAsf New Rating AAA(EXP)sf
A-2-R LT AAAsf New Rating AAA(EXP)sf
B-R LT AAsf New Rating AA(EXP)sf
C-R LT Asf New Rating A(EXP)sf
D-1-R LT BBB-sf New Rating BBB-(EXP)sf
D-2-R LT BBB-sf New Rating BBB-(EXP)sf
E-R LT BB-sf New Rating BB-(EXP)sf
Transaction Summary
CIFC Funding 2018-II, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that is managed by CIFC CLO
Management II LLC which originally closed on May 31, 2018. The
secured notes will be refinanced in whole on Oct. 10, 2024. Net
proceeds from the issuance of the secured and subordinated notes
will provide financing on a portfolio of approximately $600 million
of primarily first-lien senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 24.2 versus a maximum covenant, in accordance with the
initial expected matrix point of 26. Issuers rated in the 'B'
rating category denote a highly speculative credit quality;
however, the notes benefit from appropriate credit enhancement and
standard U.S. CLO structural features.
Asset Security (Positive): The indicative portfolio consists of
99.01% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 76% versus a
minimum covenant, in accordance with the initial expected matrix
point of 73.2%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 46.5% of the portfolio balance in aggregate while
the top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-1R, between
'BBB-sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for
class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less
than 'B-sf' and 'BB+sf' for class D-1R, between less than 'B-sf'
and 'BB+sf' for class D-2R, and between less than 'B-sf' and 'B+sf'
for class E-R.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-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-1R, 'Asf' for class D-2R, and 'BBB+sf' for class E-R.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
Date of Relevant Committee
07 October 2024
ESG Considerations
Fitch does not provide ESG relevance scores for CIFC Funding
2018-II, Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, program,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
CITIGROUP 2018-C6: Fitch Affirms 'B-sf' Rating on Class J-RR Certs
------------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Citigroup Commercial
Mortgage Trust 2018-C6 Commercial Mortgage Pass-Through
Certificates, series 2018-C6 (CGCMT 2018-C6). Fitch has revised the
Rating Outlooks for three classes to Negative from Stable. The
Rating Outlook on three classes remains Negative.
Entity/Debt Rating Prior
----------- ------ -----
CGCMT 2018-C6
A-2 17327GAW4 LT AAAsf Affirmed AAAsf
A-3 17327GAX2 LT AAAsf Affirmed AAAsf
A-4 17327GAY0 LT AAAsf Affirmed AAAsf
A-AB 17327GAZ7 LT AAAsf Affirmed AAAsf
A-S 17327GBA1 LT AAAsf Affirmed AAAsf
B 17327GBB9 LT AA-sf Affirmed AA-sf
C 17327GBC7 LT A-sf Affirmed A-sf
D 17327GAA2 LT BBB-sf Affirmed BBB-sf
E-RR 17327GAC8 LT BBB-sf Affirmed BBB-sf
F-RR 17327GAE4 LT BBsf Affirmed BBsf
G-RR 17327GAG9 LT BB-sf Affirmed BB-sf
J-RR 17327GAJ3 LT B-sf Affirmed B-sf
X-A 17327GAU8 LT AAAsf Affirmed AAAsf
X-B 17327GAQ7 LT AA-sf Affirmed AA-sf
KEY RATING DRIVERS
'Bsf' Loss Expectations: Fitch's current ratings reflect a
deal-level 'Bsf' rating case loss of 5.4%. The transaction has 10
Fitch Loans of Concern (FLOCs; 38.2% of the pool), including three
loans (9.1%) in special servicing.
The affirmations reflect generally stable pool performance and loss
expectations since Fitch's prior rating action. The Negative
Outlooks reflect the high office concentration in the pool of 42.7%
and incorporates an additional sensitivity scenario on three office
FLOCs, including Cambridge Corporate Center (6.2%), 3101 North
Central (3.0%) and Riverside Office Center (2.0%) that considers
their heightened probability of default given lower occupancy
and/or significant rollover, resulting in a deal-level 'Bsf'
sensitivity case loss of 7.3%.
FLOCs; Largest Loss Contributors: The largest increase in loss
since the prior rating action and the largest contributor to
overall loss expectations is the Cambridge Corporate Center loan,
which is secured by a 349,823-sf office property located in
Charlotte, NC. Major tenants at the property include General Motors
(27.2% of the NRA through July 2027), Duke Energy (9.3%; June 2026)
and City of Charlotte (7.2%; June 2031).
Per the March 2024 rent roll, the property was 46.2% occupied, down
from 74% at YE 2022. Occupancy dropped after the largest tenant,
Red Ventures (27.8%), vacated in 2023 and ahead of its July 2026
expiration. Red Ventures paid a lease termination fee of $2.96
million, which was above its annual rent of $2.6 million. The space
is currently being marketed by CBRE. As of September 2024, reserve
balances total $4.3 million. According to the servicer, a major
airline tenant signed a new lease for 4.4% of the NRA, which
commenced in May 2024; this would increase estimated occupancy to
approximately 51%.
Fitch's 'Bsf' rating case loss of 19.6% (prior to concentration
add-ons) reflects a 10% cap rate and a 30% stress to the YE 2023
NOI due to the increased property vacancy. Fitch also ran an
additional sensitivity scenario to account for a heighted
probability of default, where loan-level 'Bsf' sensitivity case
loss increases to 34.2% (prior to concentration add-ons), which
contributed to the Negative Outlooks.
The second largest increase in loss since the prior rating action
and the second largest contributor to overall loss expectations is
the Liberty Portfolio loan (7.6% of the pool), which is secured by
a two-property, 805,746-sf office portfolio located in Tempe and
Scottsdale, AZ.
Occupancy dropped to 78.5% as of Q2 2024 from 97% at YE 2023 when
Drivetime Carvana (16.4% of the NRA) vacated at its February 2024
lease expiration. In addition, the servicer indicated the largest
tenant, Centene Management, which has a lease expiration in January
2028, vacated 275,121 sf (34.1%) of its total 352,988-sf space
(43.8%). Centene Management continues to pay rent on the entirety
of its space. Further, the 1Life Healthcare space (4.8%) is dark.
Both the Cenetene Management and 1LifeHeathcare vacant spaces are
being marketed for sublease. Estimated physical property occupancy
is approximately 40%.
The loan is cash managed and excess cash is being trapped. Reserve
balances total $13.9 million as of September 2024. The
servicer-reported NOI DSCR was 1.82x at YE 2023, compared to 2.00x
at YE 2021, 2.02x at YE 2020 and 1.90x at YE 2019.
Fitch's 'Bsf' rating case loss of 15.4% (prior to concentration
add-ons) reflects a 10% cap rate and a 40% stress to the TTM March
2024 NOI to factor in the occupancy declines.
The third largest increase in loss since the prior rating action is
the 2 Executive Campus loan (0.9% of the pool), which is secured by
a 102,037-sf office property in Cherry Hill, NJ. The loan
transferred to special servicing in January 2023 due to imminent
monetary default. A receiver was appointed in March 2023 and is
currently working through tenant issues and accounts payable. As of
September 2024, the loan was reported as 90+ days delinquent. The
servicer indicated the property will be marketed for sale in the
upcoming months.
The largest tenants at the property are Innovairre Global (13.7% of
the NRA through April 2027) and Urology Management Associates
(11.0%; December 2033). Updated rent rolls were requested, but have
not been provided by the servicer. As of the latest reported
occupancy figures at YE 2022, the property was 57% occupied,
unchanged from YE 2021, but down from 70% at YE 2019. The
servicer-reported NOI DSCR has remained below 1.0x since 2021.
Fitch's 'Bsf' rating case loss of 23.3% (prior to concentration
add-ons) considers a haircut to the most recent appraisal value,
reflecting a stressed value of approximately $58 psf.
Increased Credit Enhancement (CE): As of the September 2024
distribution date, the pool's aggregate principal balance has paid
down by 5.7% to $694.2 million from $736.4 million at issuance.
Fourteen loans (54.8% of the pool) are full-term, interest-only and
the remaining 20 loans (45.2%) are amortizing. Excluding the DUMBO
Heights Portfolio loan which was modified with a maturity in
September 2025, all other loans in the pool are scheduled to mature
in 2028. There are two loans (2.3%) that are fully defeased. The
pool has not experienced any realized losses since issuance.
Investment Grade Opinion Loans: At issuance, Fitch assigned Moffett
Towers - Buildings E, F and G (3.6% of the pool) a standalone
investment-grade opinion of 'BBB-sf*'. This loan remains a credit
opinion loan.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to the 'AAAsf' classes are not expected due to the
position in the capital structure and expected continued
amortization and loan repayments, but may occur if deal-level
losses increase significantly and/or interest shortfalls affect
these classes.
Downgrades to classes rated in the 'AAsf', 'Asf' and 'BBBsf'
categories, especially those with Negative Outlooks, may occur
without performance stabilization on the FLOCs or if more loans
than expected default at or prior to maturity, particularly the
office FLOCs, including Liberty Portfolio, Cambridge Corporate
Center, 3101 North Central and Riverside Office Center, and limited
to no improvement in these classes' CE.
Downgrades to classes in the 'BBsf' and 'Bsf' rated categories are
likely with higher than expected losses from continued
underperformance of the FLOCs, particularly the aforementioned
office FLOCs with deteriorating performance and/or with greater
certainty of losses on the specially serviced loans or other
FLOCs.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to classes rated in the 'AAsf' and 'Asf' category may be
possible with significantly increased CE from paydowns and/or
defeasance, coupled with improved deal-level loss expectations and
sustained performance improvement and stabilization on the FLOCs,
particularly the office FLOCs, Liberty Portfolio, Cambridge
Corporate Center, 3101 North Central and Riverside Office Center.
Upgrades to the 'BBBsf' category rated classes would be limited
based on sensitivity to concentrations or the potential for future
concentration. Classes would not be upgraded above 'AA+sf' if there
is likelihood for interest shortfalls.
Upgrades to the 'BBsf' and 'Bsf' category rated classes are not
likely until the later years in a transaction and only if the
performance of the remaining pool is stable, recoveries and/or
valuations on the FLOCs are better than expected and there is
sufficient CE to the classes.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
CITIGROUP COMMERCIAL 2015-101A: S&P Affirms 'B-' Rating on G Certs
------------------------------------------------------------------
S&P Global Ratings lowered its ratings on seven classes of
commercial mortgage pass-through certificates from Citigroup
Commercial Mortgage Trust 2015-101A, a U.S. CMBS transaction. At
the same time, S&P affirmed its 'B- (sf)' ratings on two classes
from the transaction.
This U.S. stand-alone (single-borrower) CMBS transaction is backed
by a 20-year, fixed-rate, interest-only (IO) mortgage loan secured
by the borrower's leasehold interest in a 23-story,
436,204-sq.-ft., class-A office building located at 101 Avenue of
the Americas in the Hudson Square office submarket of lower
Manhattan. The property was built in 1990 and is less than one mile
from the St. John's Terminal, Google's new headquarters in New York
City, and is at the foot of the Holland Tunnel, which connects
lower Manhattan to New Jersey.
Rating Actions
The downgrades on the class A, B, C, D, and E certificates and
affirmations on the class F and G certificates reflect:
-- While the property is 92.4% leased according to the July 31,
2024, rent roll, which is relatively unchanged from S&P's last
review in March 2024, the tenancy is highly concentrated, with the
three largest tenants leasing about 79.9% of the net rentable area
(NRA). All the tenants' leases expire during the loan term, with
concentrations in 2025, 2029, and 2033. Furthermore, the
third-largest tenant (Digital Ocean; 10.1% of NRA; a June 2025
lease expiration) is subleasing the entirety of its space.
-- The property's office submarket continues to experience high
vacancy and availability rates (over 20.0%). S&P said, "We assessed
that the sponsor would need to offer substantial tenant improvement
(TI) costs and rent concessions to attract and retain tenants at
the property. Given these factors, we considered that the
property's performance may decline closer to that of the
still-weakening office submarket fundamentals prior to the loan's
maturity and would likely not return to historical levels."
-- S&P's expected-case value, while unchanged from its last
review, is still 17.1% below the value that we derived at
issuance.
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 the balance of class A. Class X-B's notional
amount references the balances of classes B and C.
"In our March 2024 review, despite lower model indicated ratings,
we affirmed our ratings on the class A and B certificates and
tempered our downgrades on the class C, D, and E certificates
because we qualitatively considered that while the property has
high tenant concentration and rollover risks with weakened office
submarket fundamentals (about 16.0% vacancy), in our view, due to
the long-dated loan maturity in January 2035 and high reported debt
service coverage (2.07x as of year-end 2023), term default risk was
low and the property could continue to perform better than our
revised expectations."
Since then, the property's office submarket condition has continued
to weaken, which, coupled with subleasing activity at the property,
increases the risk that the borrower could face difficulty
re-tenanting any spaces that might become vacant. Because the
tenancy and lease rollovers are highly concentrated, the departure
or downsizing of a single major tenant would produce a significant
amount of vacant space and could take substantial time and cost to
backfill. This risk is partially mitigated by cash management
provisions in the loan agreement that are triggered if the two
largest tenants fail to renew their leases one year prior to their
lease expirations.
S&P said, "We will continue to monitor the tenancy and performance
of the property and loan. If we receive information that differs
materially from our expectations, we may revisit our analysis and
take additional rating actions as we determine appropriate."
Property-Level Analysis Updates
S&P said, "In our last review in March 2024, the property was 92.7%
occupied. We assumed an 85.0% occupancy rate (in line with the
office submarket fundamentals at that time), an S&P Global Ratings'
gross rent of $87.83 per sq. ft., a 57.1% operating expense ratio,
and higher TI costs, to arrive at our long-term sustainable net
cash flow (NCF) of $11.9 million. Adding about $13.5 million to the
difference between our assumed ground rent expenses 10 years beyond
the loan term and the actual in-place ground rent expenses (about
$8.0 million as of year-end 2023),and using an S&P Global Ratings'
6.50% capitalization rate, we derived an S&P Global Ratings
expected-case value of $196.4 million or $450 per sq. ft.
"Occupancy was 92.4%, according to the July 2024 rent roll, which
is in line with the 92.7% occupancy reported in our last review
(using the January 2024 rent roll). According to CoStar, the Hudson
Square office submarket has a vacancy rate of 22.0% and an
availability rate of 22.5% for four- and five-star properties as of
year-to-date October 2024, which increased materially from the
15.8% vacancy and 21.4% availability rates observed at the time of
our last review in March 2024. The servicer reported NCF of $9.0
million for the six months ended June 30, 2024, and $19.5 million
as of year-end 2023.
"The property's occupancy and NCF has not materially changed since
our last review. As a result, in our current analysis, we
maintained our assumed NCF and expected-case value from our last
review, yielding an S&P Global Ratings loan-to-value ratio of
101.8%."
Ratings Lowered
Citigroup Commercial Mortgage Trust 2015-101A
Class A to 'AA (sf)' from 'AAA (sf)'
Class B to 'A (sf)' from 'AA (sf)'
Class C to 'BBB (sf)' from 'A (sf)'
Class D to 'BB (sf)' from 'BBB (sf)'
Class E to 'B- (sf)' from 'BB- (sf)'
Class X-A to 'AA (sf)' from 'AAA (sf)'
Class X-B to 'BBB (sf)' from 'A (sf)'
Ratings Affirmed
Citigroup Commercial Mortgage Trust 2015-101A
Class F: 'B- (sf)'
Class G: 'B- (sf)'
CITIGROUP MORTGAGE 2024-INV3: Moody's Gives B3 Rating to B-5 Certs
------------------------------------------------------------------
Moody's Ratings has assigned definitive ratings to 50 classes of
residential mortgage-backed securities (RMBS) issued by Citigroup
Mortgage Loan Trust 2024-INV3, and sponsored by Citigroup Global
Markets Realty Corp.
The securities are backed by a pool GSE-eligible (100% by balance)
residential mortgages aggregated by Citigroup Global Markets Realty
Corp, originated by multiple entities and serviced by Fay
Servicing, LLC.
The complete rating actions are as follows:
Issuer: Citigroup Mortgage Loan Trust 2024-INV3
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-X-1*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-1*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-2*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-3*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-4*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-5*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-6*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-7*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-8*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-9*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-10*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-11*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-12*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-13*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-14*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-15*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-16*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-17*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-18*, Definitive Rating Assigned Aa1 (sf)
Cl. A-I-19*, Definitive Rating Assigned Aa1 (sf)
Cl. A-I-20*, Definitive Rating Assigned Aa1 (sf)
Cl. A-F, Definitive Rating Assigned Aaa (sf)
Cl. A-I-I*, Definitive Rating Assigned Aaa (sf)
Cl. B-1, Definitive Rating Assigned Aa2 (sf)
Cl. B-1-A, Definitive Rating Assigned Aa2 (sf)
Cl. B-1-IO*, Definitive Rating Assigned Aa2 (sf)
Cl. B-1-2IO*, Definitive Rating Assigned A1 (sf)
Cl. B-1-3IO*, Definitive Rating Assigned A3 (sf)
Cl. B-2, Definitive Rating Assigned A2 (sf)
Cl. B-2-A, Definitive Rating Assigned A2 (sf)
Cl. B-2-IO*, Definitive Rating Assigned A2 (sf)
Cl. B-3, Definitive Rating Assigned Baa3 (sf)
Cl. B-3-A, Definitive Rating Assigned Baa3 (sf)
Cl. B-3-IO*, 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
0.89%, in a baseline scenario-median is 0.53% and reaches 9.59% 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.
COLT 2024-6: Fitch Gives 'B(EXP)sf' Rating on Class B2 Certs
------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates to be issued by COLT 2024-6 Mortgage Loan Trust (COLT
2024-6).
COLT 2024-6 utilizes Fitch's new Interactive RMBS Presale feature.
To access the interactive feature, click the link at the top of the
presale report's first page, log into dv01 and explore Fitch's
loan-level loss expectations.
Entity/Debt Rating
----------- ------
COLT 2024-6
A1 LT AAA(EXP)sf Expected Rating
A2 LT AA(EXP)sf Expected Rating
A3 LT bA(EXP)sf Expected Rating
M1 LT BBB(EXP)sf Expected Rating
B1 LT BB(EXP)sf Expected Rating
B2 LT B(EXP)sf Expected Rating
B3 LT NR(EXP)sf Expected Rating
AIOS LT NR(EXP)sf Expected Rating
X LT NR(EXP)sf Expected Rating
R LT NR(EXP)sf Expected Rating
Transaction Summary
Fitch expects to rate the residential mortgage-backed certificates
to be issued by COLT 2024-6 Mortgage Loan Trust as indicated above.
The certificates are supported by 520 nonprime loans with a total
balance of approximately $333.8 million as of the cutoff date.
Loans in the pool were originated by multiple originators,
including The Loan Store Inc., Foundation Mortgage Corporation,
Northpointe Bank (NPB) and various others. The loans were
aggregated by Hudson Americas L.P. and are currently serviced by
Fay Servicing LLC (Fay), Select Portfolio Servicing, Inc. (SPS) and
NPB.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Fitch views the home
price values of this pool as 9.5% above a long-term sustainable
level (versus 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 4.9% yoy nationally as of July
2024 despite modest regional declines but are still being supported
by limited inventory.
COLT 2024-6 has a combined original loan-to-value (cLTV) of 75.1%,
slightly lower than that of the previous Hudson transaction, COLT
2024-5. Based on Fitch's updated view of housing market
overvaluation, this pool's sustainable LTV (sLTV) is 83.0%,
compared with 84.4% for the previous transaction.
Non-QM Credit Quality (Negative): The collateral consists of 520
loans totaling $333.8 million and seasoned at approximately three
months in aggregate as calculated by Fitch. The borrowers have a
moderate credit profile, consisting of a 741.2 model FICO, and
moderate leverage with an 83.0% sLTV and a 75.1% cLTV.
Of the pool, 58.1% of the loans are of a primary residence, while
37.3% comprise an investor property. Additionally, 57.1% are
non-qualified mortgages (non-QMs, or NQMs), including 2.0%
designated as Ability-to-Repay (ATR) risk, and QM rule does not
apply to the remainder.
Fitch's expected loss in the 'AAAsf' stress is 20.50%. This is
mainly driven by the NQM collateral and the significant investor
cash flow product (debt service coverage ratio [DSCR])
concentration.
Loan Documentation (Negative): About 92.9% of loans in the pool
were underwritten to less than full documentation and 64.6% were
underwritten to a bank statement program for verifying income,
which is not consistent with Fitch's view of a full documentation
program. A key distinction between this pool and legacy Alt-A loans
is that these loans adhere to underwriting and documentation
standards required under the Consumer Financial Protections
Bureau's (CFPB) ATR Rule (the Rule). Its treatment of alternative
loan documentation increased 'AAAsf' expected losses by 600bps,
compared with a deal of 100% fully documented loans.
Modified Sequential-Payment Structure with Limited Advancing
(Mixed): The structure distributes principal pro rata among the
senior certificates while shutting out the subordinate bonds from
principal until all senior classes are reduced to zero. If a
cumulative loss trigger event, delinquency trigger event or credit
enhancement (CE) trigger event occurs in a given period, principal
will be distributed sequentially to class A-1, A-2 and A-3
certificates until they are reduced to zero.
Advances of delinquent principal and interest (P&I) will be made on
the mortgage loans serviced by SPS, Fay and NPB for the first 90
days of delinquency, to the extent such advances are deemed
recoverable. If the P&I advancing party fails to make a required
advance, the master servicer and then the securities administrator
will be obligated to make such advance.
The limited advancing reduces loss severities, as a lower amount is
repaid to the servicer when a loan liquidates and liquidation
proceeds are prioritized to cover principal repayment over accrued
but unpaid interest. However, the additional stress on the
structure represents downside risk, as there is limited liquidity
in the event of large and extended delinquencies.
COLT 2024-6 has a step-up coupon for the senior classes (A-1, A-2
and A-3). After four years, the senior classes pay the lower of a
100-bp increase to the fixed coupon or the net weighted average
coupon (NWAC) rate. Any class B-3 interest distribution amount will
be distributed to class A-1, A-2 and A-3 certificates on and after
the step-up date if the cap carryover amount is greater than zero.
This increases the P&I allocation for the senior classes.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. Sensitivity analysis was conducted at the
state and national level to assess the effect of higher MVDs for
the subject pool as well as lower MVDs, illustrated by a gain in
home prices.
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model projected 41.2% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. A 10% additional
decline in home prices would lower all rated classes by one full
category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analysis was conducted at the state and national level
to assess the effect of higher MVDs for the subject pool as well as
lower MVDs, illustrated by a gain in home prices.
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all of the rated classes. A 10% gain
in home prices would result in a full category upgrade for the
rated class excluding those assigned 'AAAsf' ratings.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Consolidated Analytics, SitusAMC, Evolve, Selene,
Clarifii, Opus and Maxwell. The third-party due diligence described
in Form 15E focused on credit, compliance and property valuation
review. Fitch considered this information in its analysis and, as a
result, Fitch made the following adjustment to its analysis: a 5%
credit was given at the loan level for each loan where satisfactory
due diligence was completed. This adjustment resulted in a 51bps
reduction to the 'AAA' expected loss.
ESG Considerations
COLT 2024-6 has an ESG Relevance Score of '4' for Transaction
Parties & Operational Risk due to origination, underwriting and/or
aggregator standards, which has a positive impact on the credit
profile, and is relevant to the rating[s] in conjunction with other
factors.
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
COMM 2014-CCRE20: Fitch Lowers Rating on Two Tranches to 'CCsf'
---------------------------------------------------------------
Fitch Ratings has downgraded four and affirmed seven classes of
Deutsche Bank Securities, Inc.'s COMM 2014-CCRE20 (CCRE20) Mortgage
Trust commercial mortgage trust pass-through certificates.
Following their downgrades, classes C and PEZ were assigned
Negative Rating Outlooks.
Fitch has also affirmed 10 classes of Deutsche Bank Securities,
Inc's COMM 2014-CCRE21 Mortgage Trust pass-through certificates
(COMM 2014-CCRE21). Following their affirmations, the Rating
Outlooks for classes C and PEZ were revised to Stable from
Negative.
Entity/Debt Rating Prior
----------- ------ -----
COMM 2014-CCRE21
A-3 12592RBF5 LT AAAsf Affirmed AAAsf
A-M 12592RBJ7 LT AAAsf Affirmed AAAsf
B 12592RBK4 LT AA-sf Affirmed AA-sf
C 12592RBM0 LT A-sf Affirmed A-sf
D 12592RAL3 LT BBsf Affirmed BBsf
E 12592RAN9 LT B-sf Affirmed B-sf
PEZ 12592RBL2 LT A-sf Affirmed A-sf
X-A 12592RBH1 LT AAAsf Affirmed AAAsf
X-B 12592RAA7 LT AA-sf Affirmed AA-sf
X-C 12592RAC3 LT BBsf Affirmed BBsf
COMM 2014-CCRE20
A-4 12592LBJ0 LT AAAsf Affirmed AAAsf
AM 12592LBL5 LT AAAsf Affirmed AAAsf
B 12592LBM3 LT AA+sf Affirmed AA+sf
C 12592LBP6 LT BBB-sf Downgrade A-sf
D 12592LAN2 LT CCsf Downgrade CCCsf
E 12592LAQ5 LT Csf Affirmed Csf
F 12592LAS1 LT Dsf Affirmed Dsf
PEZ 12592LBN1 LT BBB-sf Downgrade A-sf
X-A 12592LBK7 LT AAAsf Affirmed AAAsf
X-B 12592LAA0 LT AA+sf Affirmed AA+sf
X-C 12592LAC6 LT CCsf Downgrade CCCsf
KEY RATING DRIVERS
Performance and 'Bsf' Loss Expectations; Pool Concentrations:
Fitch's current ratings incorporate a 'Bsf' rating case loss of
11.4% for COMM 2014-CCRE20 and 3.9% for COMM 2014-CCRE21. Fitch
Loans of Concern (FLOCs) comprise seven loans (54.2% of the pool),
including four specially serviced loans (25.8%) in COMM
2014-CCRE20; and five loans (36.9%), including three specially
serviced loans (32.5%), in COMM 2014-CCRE21.
Due to the concentrated nature of the pools and imminent scheduled
loan maturities, Fitch performed a sensitivity and liquidation
analysis that grouped the remaining loans based on their current
status and collateral quality, and then ranked them by their
perceived likelihood of repayment and/or loss expectation. Loan
maturities, accounting for 96.1% of the pool balance in COMM
2014-CCRE20, are concentrated in October and November 2024, and
94.5% of the pool balance in COMM 2014-CCRE21 matures in November
and December 2024.
The downgrades to classes C, D, X-C and PEZ in the COMM 2014-CCRE20
transaction reflect higher pool loss expectations since Fitch's
prior rating action, driven by performance deterioration and/or
valuation declines of the specially serviced loans, including
Harwood Center (10.9% of the pool), Beverly Connection (9.1%), Main
Street Marketplace (3.3%) and CSRA MOB Portfolio II (2.5%), as well
as performing FLOCs, Brafferton Shopping Center (3.2%),
Superstition Springs (2.0%) and Jacksonville Medical Centers
(0.8%).
The affirmations and Outlook revisions of classes C and PEZ from
Negative to Stable in the COMM 2014-CCRE21 transaction reflect
improved loss expectations since the prior rating action due to
better recoveries than previously anticipated on disposed loans,
including Santa Fe Arcade, 10 Quivira Plaza and Storage Quarters
Garden City, and increased credit enhancement (CE) from additional
defeasance, loan repayments and continued amortization.
The Negative Outlooks in both transactions reflect the high
concentration of specially serviced loans in the pools and these
classes' reliance on proceeds from specially serviced loans to
repay; further downgrades are likely without performance
stabilization and/or should recovery prospects worsen and/or
workouts are prolonged, particularly for Harwood Center, Beverly
Connection, Main Street Marketplace and CSRA MOB Portfolio II in
COMM 2014-CCRE20; and Kings Shops (18.3%), Marine Club Apartments
(8.6%) and 12650 Ingenuity Drive (5.5%) in COMM 2014-CCRE21.
Largest Contributor to Loss Expectations: The largest contributor
to loss expectations in COMM 2014-CCRE20 is the Harwood Center
(10.9%), which is a leasehold interest in a 36-story, 723,963 sf
class A office tower and nine-story parking garage located in the
Arts District of Dallas, TX. The loan transferred to special
servicing in May 2020 due to imminent default after occupancy
declined to 69% in March 2020. Updated financials and rent rolls
were requested, but not provided by the servicer. Cash flow has
been insufficient to service the debt since 2020.
The asset has been REO since November 2021. Per updates from the
servicer, the lender is holding approximately $10.7 million in
reserves. Additionally, the lender is working on various projects
including enhancing food amenities, conference centers and tenant
lounges.
Fitch's 'Bsf' rating case loss of 51% (prior to concentration
adjustments) reflects a stress to the most recent appraisal value,
equating to a stressed recovery of $71 psf.
The largest increase in loss since the prior rating action in COMM
2014-CCRE20 is the Main Street Marketplace loan (3.3%), which is
secured by a 260,584-sf grocery anchored shopping center located in
Nashua, NH. The property is anchored by Shaw's Supermarket (22.7%
of the NRA), with a lease expiration in 2029, and includes other
tenants Nova Trampoline (15.1%) and Ocean State Job Lot (14.3%).
The loan transferred to special servicing in July 2024 due to
imminent monetary default prior to the October 2024 maturity.
Overall performance has remained stable with occupancy of 97.5% as
of March 2024 and a reported NOI DSCR of 2.06x and 1.81x for the
YTD March 2024 and YE 2023 reporting periods, respectively.
Fitch's 'Bsf' rating case loss of 23.2% (prior to concentration
adjustments) reflects a 20% stress to the YE 2023 NOI, a 9.0% cap
rate and factors the loan's defaulted status at maturity.
The next largest increase to loss expectations since the prior
rating action in the COMM 2014-CCRE20 transaction is the
Superstition Springs loan (2.0%), which is secured by a 100,530-sf
industrial property located in Mesa AZ. The loan was identified as
a FLOC due to occupancy volatility. The largest tenant, SCP
Distributors LLC (51.7% of the NRA), commenced a new lease in 2022,
increasing overall occupancy from 48.3% as of YE 2022 to 100% in
2023. However, the second largest tenant, NCL Bahamas (27.8% of the
NRA), vacated at lease expiration in May 2024 causing occupancy to
decline to 72.2%.
Other tenants include GoBrands (10.5%; June 2026 lease expiration)
and Children's Safari Learning Center (9.9%; December 2030). The
property maintained a NOI DSCR of 1.64x and 0.69x for the YTD June
2024 and YE 2023 reporting periods, respectively. The loan is
scheduled to mature in October 2024.
Fitch's 'Bsf' rating case loss of 34.0% (prior to concentration
adjustments) reflects a 9% cap rate and a 20% stress to the YE 2023
NOI as well as an increased probability of default due to
heightened maturity default concerns.
The largest contributors to overall loss expectations in the COMM
2014-CCRE21 transaction are the specially serviced loans, King's
Shops (18.3% of the pool), 12650 Ingenuity Drive (5.5%) and Marine
Club Apartments (8.6%).
King's Shops is a 69,717-sf retail center located in Waikoloa, HI.
The loan transferred to special servicing in September 2020 due to
pandemic-related performance declines and the asset became REO in
February 2023. Performance rebounded with occupancy improving to
100% as of March 2024 from 84% at YE 2023, and remains higher than
79% at July 2023 and 61% at March 2022. Per updates from the
servicer, a number of temporary leases were signed due to
increasing foot traffic caused by the wildfires on Maui.
According to the March 2024 rent roll, permanent tenants comprise
66% of the NRA while the remainder of the property is occupied by
tenants on shorter term leases. Despite the improvement in
performance, cashflow remains challenged, with the loan reporting
an NOI DSCR of 0.93x as of YTD March 2024, down from 1.20x DSCR at
YE 2023. Per updates from the servicer, the asset is under contract
to be sold.
Fitch's 'Bsf' rating case loss of 8.2% (prior to concentration
adjustments) reflects a stress to the most recent appraisal value,
equating to a recovery of $620 psf.
The 12650 Ingenuity Drive loan is secured by a 124,500-sf suburban
single-tenant office property located in Orlando, FL. The subject
was fully occupied until the sole tenant, Iowa College Acquisitions
Corp., vacated at lease expiration in December 2021. The borrower
backfilled 66% of the NRA with Sedgwick Claims Management Services
on a lease through April 2027. Despite insufficient cashflow to
service the debt, with a NOI DSCR of 0.69 for the YE 2023 reporting
period, the loan remains current as of September 2024. The loan
transferred to special servicing in March 2024 and is scheduled to
mature in December 2024.
Fitch's 'Bsf' rating case loss of 24% (prior to concentration
adjustments) reflects a 10% cap rate, 20% stress to the YE 2023 NOI
and factors an increased probability of default due to heightened
maturity default concerns driven by performance issues.
The Marine Club Apartments loan is secured by 204-units of a
302-unit apartment building and 133 parking spaces located in
Philadelphia, PA. The loan transferred to special servicing in
October 2020 for payment default. Occupancy has declined to 77% as
of June 2024, down from 99% at YE 2019. Per updates from the
servicer, the foreclosure process is ongoing and the motion for
summary judgement was filed in May 2024.
Fitch modeled a 'Bsf' rating case loss of 5.0% to account for
potential special servicing fees and expenses. The most recent
appraisal value exceeds the outstanding debt amount. Fitch's
analysis reflects a stress to the most recent appraisal value which
equates to recovery of $175k per unit, compared to the debt amount
of $109k per unit.
Change to CE: As of the September 2024 remittance report, the
aggregate balances of COMM 2014-CCRE20 and COMM 2014-CCRE21 have
been reduced by 59.2% and 68.9%, respectively. Defeasance comprises
eight loans (25% of the pool) in COMM 2014-CCRE20 and four loans
(6.5%) in COMM 2014-CCRE21.
Realized losses of $56.7 million are impacting the non-rated class
F of COMM 2014-CCRE20 and $18.7 million have impacted non-rated
class J of COMM 2014-CCRE21. Cumulative Interest shortfalls of $5.1
million are affecting classes D, E, F and non-rated classes G and H
of COMM 2014-CCRE20 and $5.0 million is affecting non-rated classes
F, G, H and J of COMM 2014-CCRE21.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to 'AAAsf', 'AAsf' and 'Asf' rated classes are unlikely
due to improving CE from expected continued amortization and loan
payoffs at maturity, but could occur should the performance of the
FLOCs decline further, causing a significant increase in deal-level
losses and/or more loans than expected default at maturity.
Downgrades to the 'AAAsf' classes would occur should interest
shortfalls affect these classes.
Downgrades to 'BBBsf', 'BBsf' and 'Bsf' rated categories are likely
should recovery prospects on the specially serviced loans/assets
worsen significantly and/or the performance of the performing FLOCs
decline further, particularly the Brafferton Shopping Center,
Superstition Springs and/or Jacksonville Medical Center in COMM
2014-CCRE20 and the Villas at Spring Hill and Stonewood Apartments
in COMM 2014-CCRE21.
Downgrades to distressed classes in the COMM 2014-CCRE20
transaction would occur as losses become more certain and/or as
losses are incurred.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to classes in the 'AAsf' and 'Asf' rated categories are
possible with improving CE from defeasance, amortization and/or
loan payoffs, coupled with stable to improved pool-level loss
expectations and performance stabilization of the FLOCs.
Upgrades to 'BBBsf' rated classes in COMM 2014-CCRE20 could occur
with performance and valuation improvements of the specially
serviced loans/assets, including the Harwood Center, Beverly
Connection, Main Street Marketplace, and CSRA MOB Portfolio II.
Upgrades to classes rated in the 'BBsf' and 'Bsf' categories in
COMM 2014-CCRE21 would be limited based on sensitivity
concentrations, but could occur should the loans in special
servicing reflect performance and valuation improvements, including
the King's Shops, Marine Club Apartments and 12650 Ingenuity
Drive.
Upgrades to distressed classes in COMM 2014-CCRE20 are not
expected, but are possible with better than expected recoveries on
specially serviced loans, particularly the Harwood Center.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
COMM 2015-CCRE22: Fitch Lowers Rating on Class E Debt to CCCsf
--------------------------------------------------------------
Fitch Ratings has downgraded four and affirmed seven classes of
COMM 2015-CCRE22 Mortgage Trust (COMM 2015-CCRE22). Negative Rating
Outlooks were assigned to classes C, PEZ and D following their
downgrade.
Entity/Debt Rating Prior
----------- ------ -----
COMM 2015-CCRE22
A-3 12592XBA3 LT PIFsf Paid In Full AAAsf
A-4 12592XBC9 LT AAAsf Affirmed AAAsf
A-5 12592XBD7 LT AAAsf Affirmed AAAsf
A-M 12592XBF2 LT AAAsf Affirmed AAAsf
A-SB 12592XBB1 LT AAAsf Affirmed AAAsf
B 12592XBG0 LT AA-sf Affirmed AA-sf
C 12592XBJ4 LT BBB-sf Downgrade A-sf
D 12592XAG1 LT B-sf Downgrade BB-sf
E 12592XAJ5 LT CCCsf Downgrade B-sf
PEZ 12592XBH8 LT BBB-sf Downgrade A-sf
X-A 12592XBE5 LT AAAsf Affirmed AAAsf
X-B 12592XAA4 LT AA-sf Affirmed AA-sf
KEY RATING DRIVERS
Increased Pool Loss Expectations: The downgrade reflects an
increase in pool loss expectations since the prior rating action,
driven by performance deterioration and/or updated lower appraisal
valuations, as well as higher probability of maturity defaults
given the concentration of maturity dates in 2025. Fitch Loans of
Concern (FLOCs) comprise 20 loans (42.7% of the pool), which
include three loans (11.4%) in special servicing.
Due to the significant near-term loan maturities and increasing
pool concentrations, Fitch performed a sensitivity and liquidation
analysis. This grouped the remaining loans based on their current
status and collateral quality, and then ranked them by their
perceived likelihood of repayment and/or loss expectations.
The Negative Outlooks on classes C, PEZ and D reflect the potential
for further downgrades as the loans approach maturity and
additional defaults are expected. Office loans comprise 35.3% of
the pool, and Fitch is monitoring the performance of the FLOCs,
particularly Wells Fargo Crossed Portfolio (8.4%), One Riverway
(7.5%), UnitedHealth Group HQ (5.1%), Hotel Giraffe (3.2%), One
Shoreline Plaza (2.1%), 205 West Randolph (1.8%) and Atrium I
(0.8%). If these loans fail to stabilize and values continue to
decline, downgrades are expected.
Largest Contributors to Loss: The largest increase in loss
expectations since the prior rating action and the largest
contributor to overall pool loss expectations is the One Riverway
(7.5%) loan, which is secured by a 483,410-sf office building
located in Houston, TX. The loan transferred to special servicing
in May 2023 for imminent monetary default due to low occupancy.
Property occupancy has been declining since issuance due to
multiple tenants vacating either at or ahead of lease expiration.
As of March 2024, occupancy dropped to 49% from 55% as of March
2023 and 63% as of YE 2022 primarily due to the departure of the
largest tenant, Thompson, Coe, Cousi (10.5% of the NRA) at lease
expiration in January 2024. Cash management was activated with
$908,244 reflected in total reserves as of the August 2024 loan
level reserve report. According to CoStar, the property is located
in the Galleria/Uptown submarket with a high average vacancy: As of
Q3 2024, the submarket vacancy and availability was 32.3% and
27.2%, respectively.
Fitch's expected loss of 53.3% reflects a discount to the most
recent appraisal value reflecting a Fitch-stressed value of $71
psf, which is approximately 72.2% below the appraisal at issuance.
The second largest contributor to overall pool loss expectations is
the Wells Fargo Crossed Portfolio loan (8.4%), which is secured by
a group of six crossed loans secured by six single-tenant, office
properties totaling 1.6 million sf located in Virginia, Georgia,
North Carolina and South Carolina.
As of October 2024, portfolio occupancy declined further to 58%
from 74% at YE 2022 due to Wells Fargo vacating at lease expiration
at its Columbia and Winston-Salem Linden locations.
As of March 2024, the Wells Fargo Atlanta property reported an
occupancy of 47% and all of the former Wells Fargo space remains
vacant. CoStar reported an availability rate of 85% (287,146 sf) at
the property.
As of the August 2024 reserve report, the Wells Fargo Portfolio
loan reported $47.9 million or $29.3 psf in total reserves.
Fitch's expected loss of 34.1% is based on a 10.0% cap rate and
factors an increased probability of default due to the occupancy
decline and the heightened maturity default risk with loan maturity
in February 2025.
The second largest increase in loss expectations since the prior
rating action and the third largest contributor to overall pool
loss expectations is the UnitedHealth Group HQ loan (5.1%), which
is secured by a 10-story, 343,602-sf office tower located in
Minnetonka, MN.
The property is fully leased to United HealthCare Services
(A/Stable) with a lease expiration in December 2024. According to
CoStar, approximately 82% of the property is listed as available
for lease. Media reports have indicated that the tenant is not
expected to renew its lease at the property and will relocate to
the campus of its Optum subsidiary. In addition, the I-494 Corridor
office submarket remains challenged, reporting a vacancy rate of
13.6% and an availability rate of 22.6% according to CoStar as of
3Q24.
Fitch's expected loss of 29.0% reflects a 10% cap rate, 30% stress
to the YE 2023 NOI and factors a higher probability of default to
account for the high availability and imminent refinance risk with
loan maturity in January 2025.
The third largest increase in loss expectations since the prior
rating action is the One Shoreline Plaza loan (2.1%), which is
secured by a 363,222-sf office complex consisting of a 22-story
North Tower and a 28-story South Tower with an adjacent seven-level
garage structure located in Corpus Christi, TX.
Property performance has declined with occupancy falling to 54% as
of June 2024 from 74% at issuance. In addition, rollover is
concentrated with 24.7% of the NRA expiring in 2025, including
major tenants, American Bankruptcy Institute (11% of NRA) and
Sabalo Operating (4%).
Fitch's expected loss of 23.9% reflects a 10% cap rate, 20% stress
to the YE 2023 NOI and factors a higher probability of default to
account for the occupancy decline, upcoming rollover and imminent
refinance risk with loan maturity in March 2025.
Changes in Credit Enhancement (CE): As of the September 2024
distribution date, the aggregate pool balances have been reduced by
35.4% to $837 million. The transaction includes 10 loans (10.0% of
the pool) that have fully defeased. Cumulative interest shortfalls
of $475,936 are affecting non-rated class H. Of the pool balance,
five loans (21.4%) are full-term, interest-only and the remaining
78.6% of the pool is amortizing.
Maturity Date Concentration: The remaining loans' maturity dates
are concentrated in 1Q 2025 (76.7% of the pool) and 4Q 2024
(23.3%).
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to 'AAAsf' category rated classes could occur if
deal-level expected losses increase significantly and/or interest
shortfalls occur.
Downgrades to 'AAsf', 'Asf' and 'BBBsf' category rated classes
could occur if deal-level losses increase significantly from
outsized losses on larger FLOCs or more loans than expected
experience performance deterioration or default at or before
maturity. Loans of particular concern include: Wells Fargo Crossed
Portfolio, One Riverway, UnitedHealth Group HQ, Hotel Giraffe, One
Shoreline Plaza, 205 West Randolph and Atrium I.
Downgrades to 'BBsf' and 'Bsf' category rated classes are possible
with higher expected losses from continued underperformance of the
FLOCs or if assets in special servicing experience extended workout
timelines and continued value degradation.
Downgrades to distressed ratings would occur as losses become more
certain and/or as losses are incurred.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to classes rated in the 'AAsf' and 'Asf' categories may be
possible with significantly increased CE from paydowns and/or
defeasance, coupled with stable to improved pool-level loss
expectations and improved performance on the FLOCs. Classes would
not be upgraded above 'AA+sf' if there is likelihood for interest
shortfalls.
Upgrades to the 'BBBsf' category rated classes would be limited
based on sensitivity to concentrations or the potential for future
concentration.
Upgrades to the 'BBsf' and 'Bsf' category rated classes are not
likely and would occur only if the performance of the remaining
pool is stable, recoveries on the FLOCs are better than expected
and there is sufficient CE to the classes.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
CPS AUTO 2023-A: S&P Affirms BB (sf) Rating on Class E Notes
------------------------------------------------------------
S&P Global Ratings raised its ratings on 12 classes of notes from
CPS Auto Receivables Trust 2020-B, 2021-A, 2021-C, 2022-A, 2022-C,
2023-A, 2023-C, and 2023-D. At the same time, S&P affirmed its
ratings on 12 classes from CPS Auto Receivables Trust 2021-A,
2022-C, 2023-A, 2023-C, and 2023-D. These ABS transactions are
backed by subprime retail auto loan receivables originated and
serviced by Consumer Portfolio Services Inc. (CPS).
S&P said, "The rating actions reflect each transaction's collateral
performance to date, our expectations regarding its future
collateral performance, our revised cumulative net loss (CNL)
expectations for each transaction, the transactions' structures and
credit enhancement levels, and other credit factors. The other
credit factors include credit stability and payment priorities
under various scenarios, and sector- and issuer-specific analyses,
including our most recent macroeconomic outlook, which incorporates
a baseline forecast for U.S. GDP and unemployment.
"Considering these factors, we believe the notes' creditworthiness
is consistent with the raised and affirmed ratings.
"The performance of series 2020-B and 2021-A is trending better
than our prior revised CNL expectations. As such, we lowered our
expected CNL for these transactions. Series 2021-C is trending
slightly worse than our prior revised CNL expectations, and, as a
result, we increased our expected CNL for this series. The
performance of series 2022-A, 2022-C, 2023-A, 2023-C, and 2023-D is
trending worse than our initial or prior revised expected CNL due
to higher gross charge-offs and lower recovery rates. Additionally,
60-plus-day delinquency rates have been trending higher for these
series, particularly for series 2022-C, 2023-A, and 2023-C. As a
result, we increased our expected CNLs for these series."
Table 1
Collateral Performance (%)(i)
Pool Current 60+ day
Series Mo. factor CNL CRR delinq.
2020-B 52 10.61 8.55 54.43 9.28
2021-A 44 15.59 8.04 53.93 9.38
2021-C 38 25.19 11.67 44.54 8.00
2022-A 32 35.21 13.16 36.56 8.08
2022-C 26 48.51 10.99 36.38 10.55
2023-A 20 59.20 9.20 34.73 13.41
2023-C 14 71.88 5.65 31.31 9.76
2023-D 11 78.83 3.19 32.49 7.69
(i)As of the September 2024 distribution date.
Mo.--Month.
CNL--Cumulative net loss.
CRR--Cumulative recovery rate.
Delinq.--Delinquencies.
Table 2
CNL Expectations (%)
Original Prior Revised
lifetime lifetime lifetime
Series CNL exp. CNL exp.(i) CNL exp.
2020-B 22.00 10.00 9.00
2021-A 20.75 10.25 9.25
2021-C 19.25 14.25 15.00
2022-A 17.50 19.50 20.25
2022-C 17.50 21.00 22.50
2023-A 19.75 N/A 23.75
2023-C 19.75 N/A 23.75
2023-D 19.75 N/A 20.50
(i)Revised in October 2023.
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 is expected to
increase the credit enhancement for the more 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 September 2024 distribution date, each transaction is at its
specified reserve level. Each transaction is also at its specified
target overcollateralization levels except for series 2022-A,
2022-C, and 2023-A, which are below their specified target
overcollateralization levels.
The affirmed and raised ratings reflect S&P's view that the total
credit support as a percentage of the current pool balance as of
the collection period ended Aug. 31, 2024, compared with its
expected remaining losses, is commensurate with each raised or
affirmed rating.
Table 3
Hard Credit Support(i)(ii)
Total hard Current total hard
credit support credit support
Series Class at issuance (%) (% of current)
2020-B E 10.05 49.28
2021-A D 14.50 87.23
2021-A E 6.90 38.47
2021-C D 12.10 61.37
2021-C E 4.00 29.22
2022-A C 24.10 79.05
2022-A D 13.00 47.52
2022-A E 5.00 24.80
2022-C B 42.85 90.69
2022-C C 29.50 63.17
2022-C D 19.90 43.38
2022-C E 12.00 27.10
2023-A B 46.25 83.68
2023-A C 30.50 57.07
2023-A D 19.60 38.65
2023-A E 11.50 24.97
2023-C A 58.15 85.07
2023-C B 45.30 67.19
2023-C C 28.95 44.45
2023-C D 17.70 28.80
2023-D A 58.25 77.70
2023-D B 45.70 61.78
2023-D C 29.50 41.23
2023-D D 18.50 27.27
(i)As of the September 2024 distribution date.
(ii)Calculated as a percentage of the total gross receivable pool
balance, which consists of a reserve account,
overcollateralization, and, if applicable, subordination. Excess
spread can also provide additional enhancement, though it is not
included in the hard credit support calculation.
S&P said, "We analyzed the current hard credit enhancement versus
the remaining expected CNL expectations for the classes where hard
credit enhancement alone--without credit to the expected excess
spread--was sufficient, in our view, to upgrade or affirm the
ratings. For the other classes, we incorporated a cash flow
analysis to assess the loss coverage levels, giving credit to
stressed excess spread. Our various cash flow scenarios included
forward-looking assumptions on recoveries, the timing of losses,
and voluntary absolute prepayment speeds that we believe are
appropriate, given each transaction's performance to date and our
current economic outlook.
"We also conducted sensitivity analyses to determine the impact
that a moderate ('BBB') stress level scenario would have on our
ratings if losses trended higher than our revised base-case loss
expectations. The results demonstrated that the raised and affirmed
ratings on the classes all meet our credit stability limits at
their respective levels.
"In our view, the results demonstrated that the classes all have
adequate credit enhancement at the upgraded and affirmed rating
levels, which is based on our analysis as of the collection period
ended Aug. 31, 2024 (the September 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 rated classes."
RATINGS RAISED
CPS Auto Receivables Trust
Rating
Series Class To From
2020-B E AAA (sf) AA (sf)
2021-A E AAA (sf) A+ (sf)
2021-C D AAA (sf) AA (sf)
2021-C E A (sf) A- (sf)
2022-A C AAA (sf) AA (sf)
2022-A D AA- (sf) BBB+ (sf)
2022-A E BBB- (sf) BB- (sf)
2022-C B AAA (sf) AA+ (sf)
2022-C C AA+ (sf) A (sf)
2023-A B AAA (sf) AA (sf)
2023-C B AA+ (sf) AA (sf)
2023-D B AA+ (sf) AA (sf)
RATINGS AFFIRMED
CPS Auto Receivables Trust
Series Class Rating
2021-A D AAA (sf)
2022-C D BBB (sf)
2022-C E BB (sf)
2023-A C A (sf)
2023-A D BBB (sf)
2023-A E BB (sf)
2023-C A AAA (sf)
2023-C C A (sf)
2023-C D BBB (sf)
2023-D A AAA (sf)
2023-D C A (sf)
2023-D D BBB (sf)
CROTON PARK: S&P Assigns BB- (sf) Rating on Class E Notes
---------------------------------------------------------
S&P Global Ratings assigned its ratings to Croton Park CLO
Ltd./Croton Park CLO 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 Blackstone Liquid Credit Strategies
LLC.
The ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Croton Park CLO Ltd./Croton Park CLO LLC
Class A-1, $369.00 million: AAA (sf)
Class A-2, $33.00 million: Not rated
Class B, $54.00 million: AA (sf)
Class C (deferrable), $36.00 million: A (sf)
Class D (deferrable), $36.00 million: BBB- (sf)
Class E (deferrable), $24.00 million: BB- (sf)
Subordinated notes, $55.70 million: Not rated
CS FIRST BOSTON 2001-HE8: Moody's Hikes Rating on M-1 Certs to Ba1
------------------------------------------------------------------
Moody's Ratings has upgraded the ratings of four bonds from two US
residential mortgage-backed transactions (RMBS), backed by subprime
mortgages issued by multiple issuers.
A List of Affected Credit Ratings is available at
https://urlcurt.com/u?l=8WpEMs
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: CS First Boston Mortgage Securities Corp, CSFB ABS Trust
Series 2001-HE8
Cl. A-1, Upgraded to Aa1 (sf); previously on Sep 11, 2018
Downgraded to Baa1 (sf)
Cl. M-1, Upgraded to Ba1 (sf); previously on May 24, 2012 Confirmed
at Caa1 (sf)
Issuer: Merrill Lynch Mortgage Investors, Inc. 2004-WMC3
Cl. M-2, Upgraded to Aaa (sf); previously on May 10, 2019 Upgraded
to A1 (sf)
Cl. M-3, Upgraded to B1 (sf); previously on May 10, 2019 Upgraded
to B2 (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 and/or the improving performance
of the related pools. Each of the upgraded bonds has seen strong
growth in credit enhancement since Moody's last review, which is
the key driver for these upgrades. The credit enhancement has
grown, on average, by 15% for the upgraded tranches over the last
12 months.
Moody's analysis also reflects the potential for collateral
volatility given the number of deal-level and macro factors that
can impact collateral performance, and the potential impact of any
collateral volatility on the model output.
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 existence of historical
interest shortfalls for some of the bonds. The size and length of
the past shortfalls, as well as the potential for recurrence and
eventual repayment, were analyzed as part of the upgrades.
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, credit enhancement
and other qualitative considerations. This includes the non-credit
nature of zero payments to the interest only bond.
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.
CSAIL 2017-C8: Fitch Lowers Rating on 2 Tranches to 'B-sf'
----------------------------------------------------------
Fitch Ratings has downgraded six and affirmed eight classes of
CSAIL 2017-C8 Commercial Mortgage Trust, commercial mortgage
pass-through certificates. The Rating Outlooks on classes A-S, X-A,
and V1-A have been revised to Negative from Stable. Following the
downgrade to classes B, X-B, C, V1-B, D, and V1-D the classes were
assigned a Negative Outlook. The Outlook on class E remains
Negative.
Entity/Debt Rating Prior
----------- ------ -----
CSAIL 2017-C8
A-3 12595BAC5 LT AAAsf Affirmed AAAsf
A-4 12595BAD3 LT AAAsf Affirmed AAAsf
A-S 12595BBF7 LT AAAsf Affirmed AAAsf
A-SB 12595BAE1 LT AAAsf Affirmed AAAsf
B 12595BAH4 LT Asf Downgrade AA-sf
C 12595BAJ0 LT BBBsf Downgrade A-sf
D 12595BAK7 LT BBsf Downgrade BBB-sf
E 12595BAM3 LT B-sf Affirmed B-sf
F 12595BAP6 LT CCCsf Affirmed CCCsf
V1-A 12595BBQ3 LT AAAsf Affirmed AAAsf
V1-B 12595BBR1 LT BBBsf Downgrade A-sf
V1-D 12595BBS9 LT BBsf Downgrade BBB-sf
X-A 12595BAF8 LT AAAsf Affirmed AAAsf
X-B 12595BAG6 LT BBBsf Downgrade A-sf
KEY RATING DRIVERS
Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case
losses are 4.2%. Six loans (47.5% of pool) were flagged as Fitch
Loans of Concern (FLOCs), including three office loans in the top
15 with upcoming rollover concerns and/or declining performance.
One loan, the Hilton Garden Inn - Fort Washington (2.5% at last
review) liquidated since the last review with a 46.5% loss.
The downgrades are primarily driven by sustained performance
declines and high expected losses on office FLOCs, most notably the
higher losses attributed to 85 Broad Street (15.2% of the pool).
The Negative Outlooks reflect the high office concentration in the
pool of 46.5% and the potential for additional downgrades should
the office FLOCs experience further performance declines and/or
loans transfer to special servicing.
The largest contributor of loss and largest increase in loss since
the prior rating action is the 85 Broad Street loan (15.2%), which
is secured by a 1,118,512-sf office building in the Financial
District, near the New York Stock Exchange in downtown Manhattan.
The loan was flagged as a FLOC due to a decline in occupancy and
exposure to WeWork. The two largest tenants are Viner Finance
(Oppenheimer [24.6% of NRA and 32.9% rent]) and WeWork (17.5% of
NRA and 17.2% rent). WeWork's lease expires in Aug 2033 and Viner
Finance's (Oppenheimer) expires in February 2028.
The June 2024 occupancy is 78.7%, which declined from 93% at YE
2020 largely due to WeWork reducing their space from 33% to 17.5%
of NRA. NOI DSCR remains strong at 3.50x at YE 2023.
Fitch's 'Bsf' case loss of 6.8% (prior to a concentration
adjustment) is based on an 9% cap rate and 10% stress to the YE
2023 NOI.
The second largest contributor to loss expectations is the Hotel
Eastlund (6.4%), which is secured by a 168-key full-service hotel
located near downtown and the convention center in Portland, OR.
The loan was returned to the master servicer in April 2022 after
previously transferring to special servicing in July 2020 for
payment default and the borrower's request for pandemic relief.
The property's performance has improved, but is yet to return to
pre-pandemic levels. According to the most recent Smith Travel
Research report for TTM ended June 2024, the property is
outperforming its competitive set with occupancy, ADR and RevPAR of
64%, $176, and $112 compared to 56%, $161, $90; respectively. As of
the TTM ended June 2024, the RevPAR penetration rate was 125.3%.
Fitch's 'Bsf' case loss of 8.2% (prior to a concentration
adjustment) is based on an 11.25% cap rate to the TTM ended June
2024 NOI.
Changes in Credit Enhancement: As of the September 2024
distribution date, the pool's aggregate balance has been reduced by
26.8% to $665.7 million from $883.1 million at issuance. Six loans
(11.2% of the pool) are fully defeased. Eight loans (49%) are
full-term interest-only (IO).
Realized losses of about $7.8 million are currently impacting the
non-rated class NR. Cumulative interest shortfalls of approximately
$1.0 million are affecting the non-rated class NR.
Under Collateralization: The transaction is slightly
undercollateralized by approximately $1,381,849 due to a workout
delayed reimbursement advance which was first reflected in the July
2022 remittance.
Pool Concentration: The pool is concentrated with the top five
loans comprising 46% of the overall transaction; the largest two
loans, 85 Broad Street (15.2%) and 245 Park Avenue (13.5%) comprise
28.7% of the transaction. The two loans are no longer considered to
have investment grade credit opinions.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
The Negative Outlooks reflect possible future downgrades stemming
from concerns with further declines in performance that could
result in higher expected losses on FLOCs. If expected losses do
increase, downgrades to these classes are likely.
Downgrades to senior 'AAAsf' rated classes are not expected due to
the position in the capital structure and expected continued
amortization and loan repayments, but may occur if deal-level
losses increase significantly and/or interest shortfalls occur or
are expected to occur.
The Negative Outlook on the junior 'AAAsf' rated class A-S, V1-A,
and X-A reflects the potential for downgrades if performance of the
office FLOCs, particularly 85 Broad Street, 245 Park Avenue, and
Columbus Office Portfolio, deteriorates further and expected losses
increase.
Downgrades to classes rated in the 'Asf' category could occur if
deal-level losses increase significantly from outsized losses on
larger office FLOCs or more loans than expected experience
performance deterioration or default at or before maturity. Office
loans of particular concern include 85 Broad Street, 245 Park
Avenue, and Columbus Office Portfolio.
Downgrades to the 'BBBsf', 'BBsf' and 'Bsf' categories are possible
with higher than expected losses from continued underperformance of
the FLOCs, in particular office loans with deteriorating
performance or with greater certainty of losses on FLOCs.
Downgrades to classes with distressed ratings would occur if loans
transfer to special servicing or default, as losses are realized or
become more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to classes rated in the 'Asf' category may be possible
with significantly increased credit enhancement from paydowns
and/or defeasance, coupled with stable-to-improved pool-level loss
expectations and improved performance on the FLOCs, including 85
Broad Street, 245 Park Avenue, and Columbus Office Portfolio.
Upgrades to the 'BBBsf', 'BBsf' and 'Bsf' categories would be
limited based on sensitivity to concentrations or the potential for
future concentrations. Classes would not be upgraded above 'AA+sf'
if there were likelihood for interest shortfalls.
Upgrades to distressed ratings are not expected but would be
possible with better than expected recoveries on specially serviced
loans or significantly higher values on FLOCs.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
CSFB ABS 2001-MH29: Moody's Hikes Rating on Cl. B-1 Certs to Ba1
----------------------------------------------------------------
Moody's Ratings has upgraded the ratings of eight bonds from eight
US residential mortgage-backed securities (RMBS) transactions,
which are backed by manufactured housing loans 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
2006-MH1
Cl. B-1, Upgraded to A1 (sf); previously on Dec 5, 2023 Upgraded to
B2 (sf)
Issuer: Conseco Finance Securitization Corp. Series 2001-4
Class M-1, Upgraded to Baa2 (sf); previously on Dec 5, 2023
Upgraded to B3 (sf)
Issuer: Conseco Finance Securitizations Corp. Series 2001-2
Cl. A, Upgraded to A2 (sf); previously on Dec 5, 2023 Upgraded to
Caa1 (sf)
Issuer: Conseco Finance Securitizations Corp. Series 2001-3
Class A-4, Upgraded to Aaa (sf); previously on Dec 5, 2023 Upgraded
to A3 (sf)
Issuer: CSFB ABS Trust Manufactured Housing Pass-Through
Certificates 2001-MH29
Cl. B-1, Upgraded to Ba1 (sf); previously on Dec 5, 2023 Upgraded
to B2 (sf)
Issuer: CSFB Manufactured Housing Pass-Through Certificates, Series
2002-MH3
Cl. M-2, Upgraded to B2 (sf); previously on Dec 5, 2023 Upgraded to
Caa1 (sf)
Issuer: Lehman ABS Manufactured Housing Contract Trust 2001-B
Cl. M-1, Upgraded to Baa2 (sf); previously on Dec 5, 2023 Upgraded
to B2 (sf)
Issuer: MERIT Securities Corp Series 12
1-M1, Upgraded to Aaa (sf); previously on Dec 5, 2023 Upgraded to
Aa2 (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.
Each of the transactions Moody's reviewed has seen its collateral
performance stabilize in recent years. In addition, each of the
classes Moody's upgraded is currently amortizing while benefiting
from classes subordinate to them, which are not currently receiving
principal. As a result, the level of credit enhancement for each of
the upgraded classes has grown over the past year, on average, by
17%. This growth in credit enhancement is the main driver of
Moody's 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 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.
CSMC TRUST 2017-FHA1: Moody's Ups Rating on Cl. B-3 Certs From B3
-----------------------------------------------------------------
Moody's Ratings has upgraded the ratings of four bonds issued by
CSMC 2017-FHA1 Trust. The transaction is backed by seasoned
performing and modified re-performing residential mortgage loans
(RPL). The collateral is serviced by Select Portfolio Servicing,
Inc.
A comprehensive review of all credit ratings for the respective
transactions have been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: CSMC 2017-FHA1 Trust
Cl. A-1, Upgraded to Aaa (sf); previously on May 31, 2017
Definitive Rating Assigned A1 (sf)
Cl. B-1, Upgraded to A1 (sf); previously on Sep 28, 2020 Confirmed
at Baa2 (sf)
Cl. B-2, Upgraded to A3 (sf); previously on Sep 28, 2020 Confirmed
at Ba3 (sf)
Cl. B-3, Upgraded to Baa3 (sf); previously on Sep 28, 2020
Confirmed at 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 the improving performance of the
related pools and an increase in credit enhancement available to
the bonds.
Moody's analysis also considered the existence of existing and
historical interest shortfalls for classes B-1, B-2 and B-3. The
size and length of the shortfalls, as well as the potential for
recurrence and eventual repayment, 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 today's upgrades.
Principal Methodologies
The methodologies used in these ratings were "Non-performing and
Re-performing Loan Securitizations" published in April 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.
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.
DANBY PARK CLO: S&P Assigns Prelim BB- (sf) on Class E-R Notes
--------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
B-1-R, B-2-R, C-R, D-1-R, D-2-R, and E-R replacement debt from
Danby Park CLO Ltd., a CLO originally issued in November 2022 that
is managed by Blackstone Liquid Credit Strategies LLC.
On the Oct. 21, 2024, refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. S&P
said, "At that time, we expect to withdraw our ratings on the
original debt and assign ratings to the replacement debt. However,
if the refinancing doesn't occur, we may affirm our ratings on the
original debt and withdraw our preliminary ratings on the
replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The non-call period will be extended to Oct. 21, 2026.
-- The reinvestment period will be extended to Oct. 21, 2029.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) will be extended to Oct. 21,
2037.
-- The target initial par amount will remain at $400 million.
There will be no additional effective date or ramp-up period, and
the first payment date following the refinancing is Jan. 21, 2025.
-- The required minimum overcollateralization and interest
coverage ratios will be amended.
-- No additional subordinated notes will be issued on the
refinancing date.
-- The transaction has adopted benchmark replacement language and
was updated to conform to current rating agency methodology.
Replacement And Original Debt Issuances
Replacement debt
-- Class A-R, $256.00 million: Three-month CME term SOFR + 1.36%
-- Class B-1-R, $39.00 million: Three-month CME term SOFR + 1.70%
-- Class B-2-R, $5.00 million: 5.261%
-- Class C-R (deferrable), $28.00 million: Three-month CME term
SOFR + 2.00%
-- Class D-1-R (deferrable), $20.00 million: Three-month CME term
SOFR + 3.10%
-- Class D-2-R (deferrable), $4.00 million: 7.627%
-- Class E-R (deferrable), $14.00 million: Three-month CME term
SOFR + 5.95%
Original debt
-- Class A-1a, $227.00 million: Three-month CME term SOFR + 2.10%
-- Class A-1b, $25.00 million: 6.034%
-- Class A-2, $12.00 million: Three-month CME term SOFR + 2.75%
Class B, $36.00 million: Three-month CME term SOFR + 2.95%
-- Class C (deferrable), $24.40 million: Three-month CME term SOFR
+ 3.95%
-- Class D (deferrable), $22.80 million: Three-month CME term SOFR
+ 5.33%
-- Class E (deferrable), $12.40 million: Three-month CME term SOFR
+ 8.75%
-- Subordinated notes, $29.35 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
Danby Park CLO Ltd./Danby Park CLO LLC
Class B-1-R, $39.00 million: AA (sf)
Class B-2-R, $5.00 million: AA (sf)
Class C-R (deferrable), $28.00 million: A (sf)
Class D-1-R (deferrable), $20.00 million: BBB- (sf)
Class D-2-R (deferrable), $4.00 million: BBB- (sf)
Class E-R (deferrable), $14.00 million: BB- (sf)
Other Debt
Danby Park CLO Ltd./Danby Park CLO LLC
Class A-R, $256.00 million: Not rated
Subordinated notes, , $29.35 million: Not rated
DRYDEN 106: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
-----------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to the
Dryden 106 CLO, Ltd. Reset Transaction.
Entity/Debt Rating Prior
----------- ------ -----
Dryden 106 CLO,
Ltd.
A-1-R LT NRsf New Rating
A-2-R LT AAAsf New Rating
B-1 26254CAC5 LT PIFsf Paid In Full AAsf
B-2 26254CAJ0 LT PIFsf Paid In Full AAsf
B-R LT AAsf New Rating
C 26254CAE1 LT PIFsf Paid In Full Asf
C-R LT Asf New Rating
D 26254CAG6 LT PIFsf Paid In Full BBB-sf
D-1-R LT BBB-sf New Rating
D-2-R LT BBB-sf New Rating
E 26254TAA2 LT PIFsf Paid In Full BB-sf
E-R LT BB-sf New Rating
Transaction Summary
Dryden 106 CLO, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by PGIM,
Inc. The original transaction closed in November 2022 and is being
refinanced. Net proceeds from the issuance of the secured and
subordinated notes will provide financing on a portfolio of
approximately $497 million of primarily first lien senior secured
leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B+'/'B', which is in line with that of
recent CLOs. The weighted average rating factor (WARF) of the
indicative portfolio is 21.93, versus a maximum covenant, in
accordance with the initial expected matrix point of 24.04. Issuers
rated in the 'B' rating category denote a highly speculative credit
quality; however, the notes benefit from appropriate credit
enhancement and standard U.S. CLO structural features.
Asset Security (Positive): The indicative portfolio consists of
95.22% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 75.66% versus a
minimum covenant, in accordance with the initial expected matrix
point of 67.91%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 39% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a 5-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting to the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between
'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for
class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R,
between less than 'B-sf' and 'BB+sf' for class D-2-R, and between
less than 'B-sf' and 'B+sf' for class E-R.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
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, 'AAsf' for class C-R, 'A+sf'
for class D-1-R, 'A-sf' for class D-2-R, and 'BBBsf' for class
E-R.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
ESG Considerations
Fitch does not provide ESG relevance scores for Dryden 106 CLO,
Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, program,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
EMPOWER CLO 2022-1: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Empower CLO
2022-1 Ltd./Empower CLO 2022-1 LLC 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 Empower Capital Management LLC, an
indirect subsidiary of Empower Annuity Insurance Co. of America.
This is a reset of the original transaction issued in 2022, which
S&P Global Ratings did not rate.
The preliminary ratings are based on information as of Oct. 17,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Empower CLO 2022-1 Ltd./Empower CLO 2022-1 LLC
Class A-1R, $310.00 million: AAA (sf)
Class A-2R, $20.00 million: AAA (sf)
Class B-R, $50.00 million: AA (sf)
Class C-R (deferrable), $30.00 million: A (sf)
Class D-1R (deferrable), $27.50 million: BBB (sf)
Class D-2R (deferrable), $7.50 million: BBB- (sf)
Class E-R (deferrable), $15.00 million: BB- (sf)
Subordinated notes, $38.70 million: Not rated
FORT 2019-1: S&P Assigns Prelim 'BB-' Rating on Class E-R2 Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-1-R2, A-2-R2, B-R2, C-R2, D-1A-2, D-1B-2, and
E-R2 debt, and the proposed new class X-R2 debt from Fort
Washington CLO 2019-1 Ltd./Fort Washington CLO 2019-1 LLC, a CLO
originally issued in November 2019 and refinanced in October 2021
that is managed by Fort Washington Investment Advisors Inc.
The preliminary ratings are based on information as of Oct. 11,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Oct. 21, 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 B-R2 and C-R2 debt is expected to be
issued at a lower spread over three-month CME term SOFR than the
original debt.
-- The class A-R debt will replaced by two new floating-rate
classes: A-1-R2 and A-2-R2.
-- The class D-R debt will be replaced by a floating-rate class
(D-1A-2) and two fixed-rate classes (D-1B-2 and D-2-R2).
-- The stated maturity and reinvestment period will each be
extended by five years.
-- The non-call period will be extended by three years.
-- Proposed new class X-R2 debt will be issued in connection with
this refinancing. This class is expected to be paid down using
interest proceeds during the first seven payment dates, beginning
with the April 2025 payment date.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
Fort Washington CLO 2019-1 Ltd./ Fort Washington CLO 2019-1 LLC
Class X-R2, $7.00 million: AAA (sf)
Class A-1-R2, $352.00 million: AAA (sf)
Class A-2-R2, $11.00 million: AAA (sf)
Class B-R2, $55.00 million: AA (sf)
Class C-R2 (deferrable), $33.00 million: A (sf)
Class D-1A-2 (deferrable), $12.50 million: BBB (sf)
Class D-1B-2 (deferrable), $15.00 million: BBB (sf)
Class D-2-R2 (deferrable), $11.00 million: BBB- (sf)
Class E-R2 (deferrable), $16.50 million: BB- (sf)
Other Debt
Fort Washington CLO 2019-1 Ltd./ Fort Washington CLO 2019-1 LLC
Subordinated notes, $67.40 million: Not rated
FORTRESS CREDIT XIX: S&P Assigns BB- (sf) Rating on Cl. E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1R-R,
A-L-1R, A-L-2R, A-1T-R, B-R, C-R, D-R, and E-R replacement debt
from Fortress Credit Opportunities XIX CLO LLC, a CLO managed by
FCOD CLO Management LLC that was originally issued in September
2022. At the same time, S&P withdrew its ratings on the original
class A-L-1, A-L-2, A-R, A-T, B, C, D, and E debt following payment
in full on the Oct. 15, 2024, refinancing date.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The replacement class A-1R-R, A-L-1R, A-L-2R, A-1T-R, B-R, C-R,
D-R, and E-R debt was issued at lower spreads over three-month CME
term SOFR than the original debt.
-- The non-call period was extended to Oct. 15, 2026.
-- The reinvestment period was extended to Oct. 15, 2028.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) were extended to Oct. 15, 2036.
-- The target initial par amount remained $400 million. There is
no additional effective date or ramp-up period, and the first
payment date following the refinancing is Jan. 15, 2025.
-- The required minimum overcollateralization ratios were
amended.
-- No additional subordinated notes were issued on the refinancing
date.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"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
Fortress Credit Opportunities XIX CLO LLC
Class A-1R-R, $65.00 million: AAA (sf)
Class A-L-1R, $33.00 million: AAA (sf)
Class A-L-2R, $68.00 million: AAA (sf)
Class A-1T-R, $50.00 million: AAA (sf)
Class B-R, $32.00 million: AA (sf)
Class C-R (deferrable), $32.00 million: A (sf)
Class D-R (deferrable), $28.00 million: BBB- (sf)
Class E-R (deferrable), $24.00 million: BB- (sf)
Ratings Withdrawn
Fortress Credit Opportunities XIX CLO LLC
Class A-L-1 to not rated from 'AAA (sf)'
Class A-L-2 to not rated from 'AAA (sf)'
Class A-R to not rated from 'AAA (sf)'
Class A-T to not rated from 'AAA (sf)'
Class B to not rated from 'AA (sf)'
Class C to not rated from 'A (sf)'
Class D to not rated from 'BBB- (sf)'
Class E to not rated from 'BB- (sf)'
Other Debt
Fortress Credit Opportunities XIX CLO LLC
Subordinated notes, $64.78 million: Not rated
GLS AUTO 2023-3: S&P Affirms BB- (sf) Rating on Class E Notes
-------------------------------------------------------------
S&P Global Ratings raised its ratings on 12 classes of notes and
affirmed its ratings on 10 classes of notes from nine GLS Auto
Receivables Issuer Trust (GCAR) ABS transactions. The transactions
are backed by subprime retail auto loan receivables originated and
serviced by Global Lending Services LLC.
The rating actions reflect:
-- S&P said, "Each transaction's collateral performance to date
and our expectations regarding its future collateral performance;
Our revised 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 baseline forecasts for U.S.
GDP and unemployment."
-- Considering all these factors, S&P believes the
creditworthiness of each class of notes is consistent with the
rating actions.
-- S&P said, "The GCAR 2020-2, 2020-3, 2020-4, 2021-1, 2021-2, and
2021-3 transactions are performing better than our prior CNL
expectations. As a result, we revised and lowered our expected CNLs
for these transactions. The GCAR 2021-4, 2022-1, and 2023-3
transactions are performing in line with our prior or initial CNL
expectations, and consequently, we maintained our expected CNLs for
these transactions. Additionally, 60-plus-day delinquencies are
increasing, but extensions are within historical norms."
Table 1
Collateral performance (%)(i)
Pool 60+ day Current Current Current
Series Mo. factor delinq. Ext. CGL CRR CNL
2020-2 51 11.31 12.54 3.90 20.29 52.40 9.66
2020-3 49 12.26 10.93 3.35 16.91 51.87 8.14
2020-4 45 16.49 11.04 4.00 16.38 50.86 8.05
2021-1 42 18.26 12.57 4.47 18.42 50.27 9.16
2021-2 39 23.85 10.09 4.62 19.72 48.42 10.17
2021-3 36 27.21 10.15 4.35 19.52 43.39 11.06
2021-4 33 32.01 8.69 4.52 19.38 40.12 11.60
2022-1 30 35.11 8.63 4.61 20.46 38.00 12.68
2023-3 13 72.60 6.35 3.89 8.69 33.85 5.75
(i)As of the September 2024 distribution date.
Mo.--Month.
Delinq.--Delinquencies.
CGL--Cumulative gross loss.
CRR--Cumulative recovery rate.
CNL--Cumulative net loss.
Table 2
CNL expectations (%)
Prior
Original revised Revised
lifetime lifetime lifetime
Series CNL exp. CNL exp.(i) CNL exp.
2020-2 21.50-22.50 10.75 10.00
2020-3 21.50-22.50 9.25 8.75
2020-4 21.25-22.25 9.50 9.00
2021-1 19.50-20.50 11.25 10.50
2021-2 19.00-20.00 13.50 13.00
2021-3 16.75-17.75 15.00 14.50
2021-4 16.25-17.25 16.50 16.50
2022-1 16.25-17.25 18.00 18.00
2023-3 17.50 N/A 19.00
(i)Revised in December 2023 for all series except for 2023-3.
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 a
nonamortizing reserve account, overcollateralization, subordination
for the more senior classes, and excess spread. As of the September
2024 distribution date, each transaction apart from 2020-2, 2020-3,
2020-4, 2021-1, 2021-2, and 2022-1 is at its specified target
overcollateralization level. The marginal undercollateralization
relative to each series' specified target amount is due to a
reporting change in the September 2024 servicer reports. (Note:
These transactions have returned to their target
overcollateralization levels as of the October 2024 distribution
date.) All transactions are at their specified reserve level.
The affirmed and raised ratings reflect S&P's view that the total
credit support as a percentage of the current pool balance, as of
the collection period ended Aug. 31, 2024, compared with our
current expected loss expectations, 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)
2020-2 D 13.10 47.85
2020-3 E 9.95 43.26
2020-4 D 16.30 86.62
2020-4 E 7.50 33.25
2021-1 D 12.50 69.95
2021-1 E 4.80 27.78
2021-2 D 11.70 54.30
2021-2 E 4.10 22.44
2021-3 C 24.20 90.67
2021-3 D 11.60 44.36
2021-3 E 4.75 19.19
2021-4 C 25.85 78.23
2021-4 D 12.60 36.83
2021-4 E 6.75 18.56
2022-1 C 28.25 75.40
2022-1 D 15.60 39.37
2022-1 E 8.75 19.86
2023-3 A-2 55.55 79.24
2023-3 B 41.80 60.30
2023-3 C 29.50 43.36
2023-3 D 15.90 24.62
2023-3 E 7.35 12.84
(i)As of the September 2024 distribution date. Consists of
overcollateralization and a reserve account, and if applicable,
subordination.
Excludes excess spread, which can also provide additional
enhancement.
S&P said, "We analyzed the current hard credit enhancement compared
to the remaining expected CNLs for those classes where hard credit
enhancement alone--without credit to the stressed excess
spread--was sufficient, in our view, to raise or affirm the ratings
on the notes. For other classes, we incorporated a cash flow
analysis to assess the loss coverage level, giving credit to
stressed excess spread. Our various cash flow scenarios included
forward-looking assumptions on recoveries, timing of losses, and
voluntary absolute prepayment speeds that we believe are
appropriate, given each transaction's performance to date and our
current economic outlook.
"We also conducted sensitivity analyses to determine the impact
that a moderate ('BBB') stress scenario would have on our ratings
if losses began trending higher than our revised base-case 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 Aug. 31, 2024 (the September 2024 distribution date).
"We will continue to monitor the performance of all 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
GLS Auto Receivables Issuer Trust
Rating
Series Class To From
2020-2 D AAA (sf) AA (sf)
2020-3 E AAA (sf) AA (sf)
2020-4 E AAA (sf) AA- (sf)
2021-1 E AAA (sf) BBB+ (sf)
2021-2 D AAA (sf) AA- (sf)
2021-2 E A- (sf) BBB (sf)
2021-3 D AAA (sf) A (sf)
2021-3 E BBB (sf) BB (sf)
2021-4 D A+ (sf) BBB+ (sf)
2022-1 C AAA (sf) AA+ (sf)
2022-1 D A+ (sf) BBB+ (sf)
2023-3 B AAA (sf) AA (sf)
RATINGS AFFIRMED
GLS Auto Receivables Issuer Trust
Series Class Rating
2020-4 D AAA (sf)
2021-1 D AAA (sf)
2021-3 C AAA (sf)
2021-4 C AAA (sf)
2021-4 E BB (sf)
2022-1 E BB- (sf)
2023-3 A-2 AAA (sf)
2023-3 C A (sf)
2023-3 D BBB (sf)
2023-3 E BB- (sf)
GS MORTGAGE 2017-GS7: Fitch Lowers Rating on Cl. H-RR Debt to CCCsf
-------------------------------------------------------------------
Fitch Ratings has downgraded 11 and affirmed four classes of GS
Mortgage Securities Trust 2017-GS7. Fitch has also assigned
Negative Outlooks to 10 classes following their downgrades. The
Rating Outlooks remain Stable for the four affirmed classes.
Entity/Debt Rating Prior
----------- ------ -----
GSMS 2017-GS7
A-2 36254CAT7 LT AAAsf Affirmed AAAsf
A-3 36254CAU4 LT AAAsf Affirmed AAAsf
A-4 36254CAV2 LT AAAsf Affirmed AAAsf
A-AB 36254CAW0 LT AAAsf Affirmed AAAsf
A-S 36254CAZ3 LT AAsf Downgrade AAAsf
B 36254CBA7 LT Asf Downgrade AA-sf
C 36254CBB5 LT BBBsf Downgrade A-sf
D 36254CAA8 LT BBB-sf Downgrade BBB+sf
E 36254CAE0 LT BB+sf Downgrade BBB-sf
F-RR 36254CAG5 LT BBsf Downgrade BBB-sf
G-RR 36254CAJ9 LT B+sf Downgrade BB-sf
H-RR 36254CAL4 LT CCCsf Downgrade B-sf
X-A 36254CAX8 LT AAsf Downgrade AAAsf
X-B 36254CAY6 LT BBBsf Downgrade A-sf
X-D 36254CAC4 LT BB+sf Downgrade BBB-sf
KEY RATING DRIVERS
Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case
loss increased to 6.2% from 4.2% at Fitch's prior rating action.
Eight loans (34.4% of the pool) are flagged as Fitch Loans of
Concern (FLOCs), including three loans (14.5%) in special
servicing.
The downgrades reflect higher pool loss expectations, primarily
driven by three office FLOCs comprising 18.5% of the pool,
including Lafayette Centre (7.8%), 90 Fifth Avenue (3.6%) and Long
Island Prime Portfolio - Melville (7.0%). Both the Lafayette Center
and 90 Fifth Avenue loans transferred to the special servicer since
the prior rating action, with the 90 Fifth Avenue loan also
becoming 90+ days delinquent in October 2024.
The Lafayette Centre loan transferred to special servicing in June
2024 for imminent monetary default as the servicer has noted the
largest tenant at the property has indicated it will be vacating at
lease expiration in September 2025. The 90 Fifth Avenue loan
transferred to special servicing in March 2024 initially due to the
borrower failing to remit property tax payments; however, it became
90+ days delinquent in October 2024 and the largest tenant has an
upcoming lease expiration in May 2025.
The Negative Outlooks reflect the significantly high office
concentration in the pool of 51.5% and incorporates an additional
sensitivity scenario on the Lafayette Centre and One West 34th
Street (1.9%) office FLOCs that considers their heightened
probability of default due to continued underperformance and
anticipated refinance concerns. Further downgrades are possible
should performance not improve and, or losses increase beyond
Fitch's expectations.
Largest Loss Contributors: The largest increase in loss since the
prior rating action and the largest contributor to overall loss
expectations is the Lafayette Centre loan, which is secured by a
793,533-sf office property in Washington DC. The property consists
of three office buildings connected by an outdoor plaza and a
below-grade mall level. The loan is considered a FLOC due to
occupancy declines, weakened submarket fundamentals and significant
upcoming rollover. The largest tenant, U.S. Commodity Futures
Trading Commission (CFTC), occupies 37% of the NRA and has been a
tenant at the property since 1995, having previously expanded its
space in 1996. The lease is guaranteed by the U.S. Government and
expires in September 2025.
The loan transferred to special servicing in June 2024 for imminent
monetary default, as the servicer has noted that CFTC will not be
renewing its lease and vacating the property at expiration.
According to servicer updates as of October 2024, the borrower
executed a pre-negotiation letter and discussions are ongoing about
a potential loan modification or forbearance; no preliminary terms
are available at this time. In addition, the servicer noted there
is no leasing traction at this time for a potential replacement
tenant for the CFTC space.
A cash flow sweep was triggered when CFTC failed to renew its lease
18 months prior to lease expiration, whereby these funds can be
applied towards re-tenanting costs for the CFTC space. Fitch
reached out to the servicer and a response was not provided
regarding the balance of the cash management account related to the
CFTC space.
The second largest tenant MedStar leases 14.2% of the NRA through
2031, with a termination option in 2026. The termination option has
a $9.4 million penalty, if exercised. According to the March 2024
rent roll, the property was 76% occupied, compared with 75% at YE
2023 and 84% at YE 2022. The servicer-reported NOI DSCR was 1.99x
as of YE 2023.
Per CoStar and as of 3Q24, the Washington office market reported a
17.4% vacancy rate, 20.3% availability rate and $53.95 market
asking rent.
Fitch's 'Bsf' rating case loss of 21.0% (prior to concentration
add-ons) reflects a 9.50% cap rate, 15% stress to the YE 2023 NOI
to address the expected occupancy declines, imminent loss of the
largest tenant and weak submarket conditions, and incorporates a
heightened probability of default. Fitch also ran an additional
sensitivity scenario to account for a 100% probability of default
due to refinance risk at maturity; the 'Bsf' loan-level sensitivity
loss increases to 27.9% (prior to concentration add-ons), which
contributed to the Negative Outlooks.
The second largest increase in loss since the prior rating action
and the second largest contributor to overall loss expectations is
the 90 Fifth Avenue loan, which is secured by a 139,886-sf office
and retail property located adjacent to the Fifth Avenue and West
14th Street subway stop, north of Union Square in Manhattan. The
loan transferred to special servicing in March 2024 due to the
borrower's failure to remit property tax payments. The loan became
60 days delinquent as of the September 2024 reporting. The special
servicer is currently assessing next steps to resolve the loan.
Occupancy was 91% as of the April 2024 rent roll, compared with
100% at YE 2022 and YE 2021. The largest tenant is Urban Compass
(71.8% of the NRA through May 2025). According to the April 2024
rent roll, Urban Compass downsized by 9% of the NRA, reducing
property occupancy from 100% to 91%. Additional major tenants
include Hash Map Lab (9.0%; May 2025), Republic First Bancorp
(7.5%; July 2034) and Commerce Bank, NA (2.8%; November 2027).
A cash flow sweep was triggered when Urban Compass failed to renew
its lease 24 months prior to lease expiration, whereby these funds
can be applied towards re-tenanting costs for the Urban Compass
space. According to the servicer, the balance of the cash
management account was $5.5 million as of October 2024. The
servicer-reported YE 2023 NOI DSCR was 2.04x, compared with 1.80x
at YE 2022, 1.89x at YE 2021 and 1.82x at YE 2020.
Fitch's 'Bsf' rating case loss of 31.3% (prior to concentration
add-ons) reflects an 8.25% cap rate, 10% stress to the YE 2023 NOI
and factors the loan's delinquency status.
The third largest increase in loss since the prior rating action
and the third largest contributor to overall loss expectations is
the Long Island Prime Portfolio - Melville loan (7.0%). This FLOC,
which is secured by a portfolio of three suburban office properties
located in Melville, NY, was flagged for occupancy and NOI
declines. YE 2023 NOI decreased 17% from YE 2022 as property
occupancy dropped to 78.5% from 93% due to Signature Bank's failure
which led to the space reduction at the property.
The successor bank, Flagstar Bank, is expected to vacate 20,038-sf
(2.6% of NRA) at lease expiration in December 2024. Near-term
rollover consists of 6.6% of the NRA in 2024 (after accounting for
four tenant renewals this year), 9.5% in 2025 and 2.7% in 2026.
Per CoStar as of 2Q24, comparable properties in the Western Suffolk
office submarket had a 15.2% vacancy rate, 18% availability rate
and $33.26 market asking rent while the total submarket had a 10.6%
vacancy rate, 12.3% availability rate and $30.19 market asking
rent.
Fitch's 'Bsf' rating case loss of 13.5% (prior to concentration
add-ons) reflects a 10.50% cap rate to the YE 2023 NOI, and factors
a heightened probability of default.
The fourth largest contributor to overall loss expectations is the
One West 34th Street loan, which is secured by a 215,205-sf office
property located across from the Empire State Building at the
corner of West 34th Street and Fifth Avenue in Manhattan. Major
tenants include CVS (ground floor retail; 7.2% of NRA; January
2034), International Inspiration (4.2%; November 2026) and Amazon
(3.5%; October 2026). The loan is considered a FLOC due to low DSCR
stemming from occupancy and cashflow deterioration.
Property occupancy declined to 78.3% as of the January 2024 rent
roll from 86.9% at September 2023, 86.7% at YE 2022 and 80.4% at YE
2021. Occupancy recently declined between September 2023 and
January 2024 due to four tenants (combined 5.3% of NRA) vacating
upon lease expiry. The servicer-reported NOI DSCR was 1.05x as of
the trailing-nine-months ended September 2023, compared with 0.87x
at YE 2022 and 0.82x at YE 2021.
According to CoStar, the property lies within the Penn
Plaza/Garment office submarket of Manhattan. The property
underperforms the submarket, which had a vacancy of 17.6% as of
2Q24.
Fitch's 'Bsf' case loss of 19.0% (prior to a concentration
adjustment) reflects a 9.25% cap rate and 10% stress to the
annualized trailing-nine-months ended September 2023 NOI. Fitch
also applied an additional sensitivity analysis to account for
heightened probability of default, which increases the loan-level
'Bsf' sensitivity case loss to 34.6% (prior to concentration
add-ons); this contributed to the Negative Outlooks.
Changes in Credit Enhancement (CE): As of the September 2024
distribution date, the pool's aggregate balance has been reduced by
5.1% to $1.03 billion from $1.08 billion at issuance. Three loans
(6.0%) have been fully defeased.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Downgrades to senior 'AAAsf' rated classes are not expected due
to the position in the capital structure and expected continued
paydowns from amortization and loan repayments, but may happen if
deal-level losses increase significantly and/or interest shortfalls
occur or are expected to occur.
- Downgrades to the junior 'AAAsf', 'AAsf' and 'Asf' category rated
classes, especially those with Negative Outlooks, could occur with
continued performance deterioration and/or significantly reduced
recovery prospects for the office FLOCs, most notably Lafayette
Centre, 90 Fifth Avenue, Long Island Prime Portfolio - Melville and
One West 34th Street, limited to no improvement in these classes'
CE or more loans than expected default at or prior to maturity.
Downgrades would occur if interest shortfalls affect the junior
'AAAsf' classes.
- Downgrades to the 'BBBsf', 'BBsf', and 'Bsf' category rated
classes are likely with higher than expected losses from continued
underperformance of the FLOCs, particularly the aforementioned
office FLOCs with deteriorating performance, and with greater
certainty of losses on the specially serviced loans or other
FLOCs.
- Downgrades to the 'CCCsf' rated class would occur should
additional loans transfer to special servicing and, or default, or
as losses become realized or more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Upgrades to 'AAsf' and 'Asf' category rated classes are not
expected, but possible with increased CE from paydowns, coupled
with improved pool-level loss expectations and performance
stabilization of the office FLOCs, including Lafayette Centre, 90
Fifth Avenue, Long Island Prime Portfolio - Melville and One West
34th Street;
- Upgrades to the 'BBBsf' category rated classes would be limited
based on sensitivity to concentrations or the potential for future
concentration. Classes would not be upgraded above 'AA+sf' if there
is likelihood for interest shortfalls;
- Upgrades to 'BBsf' and 'Bsf' category rated classes are not
likely until the later years in a transaction and only if the
performance of the remaining pool is stable, recoveries on the
FLOCs are better than expected and there is sufficient CE to the
classes;
- Upgrades to the 'CCCsf' rated class is not likely, but may be
possible with better than expected recoveries on specially serviced
loans and/or significantly higher values on the FLOCs.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
HILDENE TRUPS 2019-P12B: Moody's Affirms Ba1 Rating on Cl. B Notes
------------------------------------------------------------------
Moody's Ratings has affirmed the ratings on the following notes
issued by Hildene TruPS Resecuritization 2019-P12B, LLC:
US$92,652,000 Class A Notes due 2033, Affirmed Aa2 (sf); previously
on April 18, 2024 Affirmed Aa2 (sf)
US$75,717,000 Class B Notes due 2033, Affirmed Ba1 (sf); previously
on April 18, 2024 Affirmed Ba1 (sf)
Hildene TruPS Resecuritization 2019-P12B, LLC (the "Issuer"),
originally issued in March 2019 and upsized on April 2024, is
backed by a collection of the Class B-1, Class B-2, and Class B-3
notes issued by Preferred Term Securities XII, Ltd. (the
"Underlying TruPS CDO"). The Underlying TruPS CDO is a
collateralized debt obligation (CDO) backed mainly by a portfolio
of bank trust preferred securities.
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
RATINGS RATIONALE
These affirmations reflect the steady performance associated with
the over-collateralization levels provided for the Issuer's notes
and the portfolio of the Underlying TruPS CDO. Based on Moody's
calculation, the OC ratio for the Issuer's Class A and Class B
notes are currently 170.3% and 118.1%, respectively.
The affirmations also take into account the upsizing of the
Issuer's notes that have gone effective as of October 15, 2024,
where the Issuer purchased additional Class B-1, B-2 and B-3 notes
of the Underlying TruPS CDO and issued additional Class A and Class
B notes in the same proportion.
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, 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: $319.85 million
Defaulted/deferring par: $108.6 million
Weighted average default probability: 7.8% (implying a WARF of
988)
Weighted average recovery rate upon default of 10%
In addition to base case analysis, Moody's considered additional
scenarios where outcomes could diverge from the base case. The
additional scenarios includes, among others, deteriorating credit
quality of the portfolio.
Methodology Used for the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS CDOs" published in July 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 portfolio consists primarily
of unrated assets whose default probability Moody's assess through
credit scores derived using RiskCalc(TM) or credit estimates.
Because these are not public ratings, they are subject to
additional estimation uncertainty.
HPS LOAN 2024-21: S&P Assigns Prelim BB- (sf) Rating on E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to HPS Loan
Management 2024-21 Ltd./HPS Loan Management 2024-21 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 HPS Investment Partners LLC.
The preliminary ratings are based on information as of Oct. 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 diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
HPS Loan Management 2024-21 Ltd./HPS Loan Management 2024-21 LLC
Class A, $256.000 million: AAA (sf)
Class B, $48.000 million: AA (sf)
Class C (deferrable), $24.000 million: A (sf)
Class D-1-A (deferrable), $15.000 million: BBB- (sf)
Class D-1-B (deferrable), $9.000 million: BBB- (sf)
Class D-2 (deferrable), $3.250 million: BBB- (sf)
Class E (deferrable), $11.550 million: BB- (sf)
Subordinated notes, $37.285 million: Not rated
KKR CLO 11: Moody's Affirms B1 Rating on $27.5MM Class E-R Notes
----------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by KKR CLO 11 Ltd.:
US$57.75M Class B-R Senior Secured Floating Rate Notes, Upgraded
to Aaa (sf); previously on Dec 23, 2022 Upgraded to Aa1 (sf)
US$30.25M Class C-R Senior Secured Deferrable Floating Rate Notes,
Upgraded to Aa2 (sf); previously on Dec 23, 2022 Upgraded to A1
(sf)
US$14.62M Class D-1-R Senior Secured Deferrable Floating Rate
Notes, Upgraded to Baa2 (sf); previously on Aug 6, 2020 Confirmed
at Baa3 (sf)
US$19.78M Class D-2-R Senior Secured Deferrable Floating Rate
Notes, Upgraded to Baa2 (sf); previously on Aug 6, 2020 Confirmed
at Baa3 (sf)
Moody's have also affirmed the ratings on the following notes:
US$357.5M (Current outstanding amount US$213.6M) Class A-R Senior
Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Dec
1, 2017 Assigned Aaa (sf)
US$27.5M Class E-R Senior Secured Deferrable Floating Rate Notes,
Affirmed B1 (sf); previously on Aug 6, 2020 Downgraded to B1 (sf)
KKR CLO 11 Ltd., originally issued in May 2015 and refinanced in
December 2017, is a collateralised loan obligation (CLO) backed by
a portfolio of mostly high-yield senior secured US loans. The
portfolio is managed by KKR Financial Advisors II, LLC. The
transaction's reinvestment period ended in January 2023.
RATINGS RATIONALE
The rating upgrades on the Class B-R, C-R, D-1-R and D-2-R notes
are primarily a result of the deleveraging of the Class A-R notes
following amortisation of the underlying portfolio over the last
year.
The affirmations on the ratings on the Class A-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-R notes have paid down by approximately USD 121.9
million (34.1%) in the last 12 months and USD 143.9 million (40.3%)
since closing. As a result of the deleveraging,
over-collateralisation (OC) has increased across the capital
structure. According to the trustee report dated August 2024 [1]
the Class A/B, Class C, Class D and Class E OC ratios are reported
at 141.9%, 127.6%, 114.6% and 105.9% compared to August 2023 [2]
levels of 130.4%, 121.1%, 112.0% and 105.6%, respectively.
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: USD 394.74m
Defaulted Securities: USD 1.42m
Diversity Score: 59
Weighted Average Rating Factor (WARF): 3128
Weighted Average Life (WAL): 3.79 years
Weighted Average Spread (WAS): 3.60%
Weighted Average Recovery Rate (WARR): 47.01%
Par haircut in OC tests and interest diversion test: 2.82%
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.
-- Long-dated assets: The presence 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.
LCCM 2013-GCP: S&P Lowers Class X-B Certs Rating to 'BB- (sf)'
--------------------------------------------------------------
S&P Global Ratings lowered its ratings on seven classes of
commercial mortgage pass-through certificates from LCCM 2013-GCP
Mortgage Trust, a U.S. CMBS transaction.
This is a U.S. standalone (single-borrower) CMBS transaction that
is backed by a 15-year, fixed-rate, partially amortizing mortgage
loan secured by the borrower's fee-simple interest in Grand Central
Plaza, an approximately 1.0 million sq. ft., 39-story, class A
office tower with about 20,300 sq. ft. of ground-floor retail space
located at 622 Third Ave., and an adjacent 17,000 sq. ft. two-story
retail building. Both buildings are in midtown Manhattan's Grand
Central submarket. The property, built in 1974, is located between
Third and Lexington Avenues and between East 40th and East 41st
streets, and is in proximity to Grand Central Terminal, a major
commuter hub. The office floor plates range from approximately
30,000 sq. ft. at the lower levels to approximately 26,000 sq. ft.
at the upper levels.
Rating Actions
The downgrades on classes A-1, A-2, B, C, and D primarily reflect
that:
-- The property is currently 75.1% leased, after adjusting the
June 30, 2024, rent roll to reflect known tenant movements,
relatively stagnant since S&P's last review, in March 2024, and
down from 91.8% at issuance. In addition, according to CoStar,
about 19.5% of the net rentable area (NRA) at the property,
including spaces leased to the largest tenant, Interpublic Group
(47.9% of NRA; May 2034 lease expiration), the second-largest
tenant, Phaidon International US Inc. (3.0%; January 2030), and the
fourth-largest tenant, Michael Page International Inc. (2.6%;
October 2026), is currently on the market for sublease. There has
been minimal new direct leasing activity since 2022.
-- The property's office submarket, albeit stabilizing, continues
to experience elevated (over 15.0%) vacancy and availability rates.
CoStar projects the submarket vacancy to reach close to 19.0% by
the loan's maturity in 2028. S&P said, "We assessed that the
sponsor would need to offer substantial tenant improvement (TI)
costs and rent concessions to attract and retain tenants at the
property. Given these factors, we considered that the property's
performance would likely not return to historical levels in the
near term."
-- S&P said, "We revised our expected-case valuation for the
property, which is now 6.8% lower than the value we derived in our
last review and 24.7% below our expected-case value at issuance. To
arrive at this value, we assumed higher TI costs and capitalization
rate for the property."
-- S&P has concerns with the borrower's ability to make timely
debt service payments if the property's performance continues to
decline and the reported debt service coverage (DSC) falls below
1.00x. The servicer reported a DSC of 1.09x for the six months
ended June 30, 2024, down from 1.13x in 2023 and 1.31x in 2022.
-- S&P lowered its ratings on the class X-A and X-B interest only
(IO) certificates based on its criteria for rating IO securities,
in which the ratings on the IO securities would not be higher than
that of the lowest-rated reference class. The notional balance of
class X-A references classes A-1 and A-2, while class X-B
references classes B, C, and D.
While class A-1's balance is scheduled to amortize to zero by loan
maturity, S&P's downgrade considers that class A-1 will be
outstanding and pro rata to class A-2 until at least the February
2028 loan maturity, and that the servicer has reported declining
occupancy and net cash flow (NCF) at the property as well as DSC
below 1.10x.
S&P said, "We will continue to monitor the loan and the tenancy and
performance of the property. If we receive information that differs
materially from our expectations, we may revisit our analysis and
take additional rating actions as we determine necessary."
Property-Level Analysis Updates
S&P said, "In our last review, in March 2024, we noted that the
property's occupancy declined from 91.3% in 2021 to 82.7% in 2022
and 80.1% in 2023. At that time, we expected the property's
occupancy to fall further to 75.8% after adjusting the Oct. 1,
2023, rent roll for a known tenant departure. As a result, we
assumed an occupancy of 75.8%, an S&P Global Ratings gross rent of
$63.90 per sq. ft., and a 49.7% operating expense ratio to arrive
at an S&P Global Ratings long-term sustainable NCF of $22.4
million. Using a 6.50% S&P Global Ratings capitalization rate, we
derived an S&P Global Ratings expected-case value of $344.9 million
or 342 per sq. ft."
As of the June 30, 2024, rent roll, the property was 72.8% leased.
After reflecting new tenant TemPositions Inc. (1.9% of NRA), which
recently signed an 11-year lease with rent starting in July 2025,
we expect occupancy to increase slightly to 75.1%, which is
approximately the same as what S&P assumed in its March 2024
review. The master servicer, Wells Fargo Bank N.A., reported a
decline in NCF from $28.2 million in 2022 to $24.3 million in 2023
and $9.7 million as of the six months ended June 30, 2024.
Additionally, according to CoStar, three of the largest tenants
have marketed portions of or their entire spaces totaling 19.5% of
NRA for sublease.
According to CoStar, 4- and 5-star properties in the Grand Central
office submarket, where the subject property is located, have
continued to experience elevated vacancy (17.3%) and availability
(15.6%) rates and relatively flat average asking rent ($86.69 per
sq. ft.) as of year-to-date October 2024. The overall Grand Central
office submarket had a reported 16.5% vacancy rate, 15.7%
availability rate, and $78.53 per sq. ft. asking rent for the same
period. This compares with the property's in-place vacancy of 24.9%
and in-place gross rent, as calculated by S&P Global Ratings, of
$67.10 per sq. ft. CoStar projects the vacancy rate for 4- and
5-Star office properties to remain elevated at 18.6% in 2027 and
18.9% in 2028 and the average asking rent to increase modestly to
$88.00 per sq. ft. in 2027 and $88.87 per sq. ft. in 2028.
Given the limited leasing development, considerable subleasing
activity, concentrated tenancy, and still-weak office submarket, we
assessed that there is a high likelihood that the property's
performance may remain or continue to decline from its current
reported depressed levels. S&P said, "We assumed a 24.9% vacancy
rate (the property's in-place vacancy after considering known
tenant movements), a $67.10 per sq. ft. S&P Global Ratings gross
rent, a 50.2% operating expense ratio, and higher TI costs to
arrive at a revised long-term sustainable NCF of $21.7 million, a
3.2% decline from our last-review NCF of $22.4 million and 21.8%
below our issuance NCF of $27.8 million. Using a 6.75% S&P Global
Ratings capitalization rate, up 25 basis points from our last
review and at issuance to account for leasing uncertainty and our
perceived property quality, we derived an S&P Global Ratings
expected-case value of $321.4 million, or $319 per sq. ft., 6.8%
below our last-review value of $344.9 million, a 24.7% decrease
from our issuance value of $427.0 million, and a 49.0% decline from
the issuance appraised value of $630.0 million. This yielded an S&P
Global Ratings loan-to-value ratio of 79.7% on the current trust
balance."
Table 1
Servicer-reported collateral performance
Year to date June 2024(i) 2023(i) 2022(i) 2021(i)
Occupancy rate (%) 72.8 80.1 82.7 91.3
Net cash flow (mil. $) 9.7 24.3 28.2 28.6
Debt service coverage (x) 1.09 1.13 1.31 1.33
Appraisal value (mil. $) 630.0 630.0 630.0 630.0
(i)Reporting period.
Table 2
S&P Global Ratings' key assumptions
Current Last review Issuance
(October 2024) (March 2024) (March 2013)
(i) (i) (i)
Trust balance (mil. $) 256.0 258.7 275.0
Occupancy rate (%) 75.1 75.8 91.8
Net cash flow (mil. $) 21.7 22.4 27.8
Capitalization rate (%) 6.75 6.50 6.50
Value (mil. $) 321.4 344.9 427.0
Value per sq. ft. ($) 319 342 424
Loan-to-value ratio (%)(ii) 79.7 75.0 64.4
(i)Review period.
(ii)Based on the trust balance at the time of review.
Ratings Lowered
LCCM 2013-GCP Mortgage Trust
Class A-1 to 'AA- (sf)' from 'AAA (sf)'
Class A-2 to 'AA- (sf)' from 'AAA (sf)'
Class B to 'BBB- (sf)' from 'A+ (sf)'
Class C to 'BB (sf)' from 'BBB (sf)'
Class D to 'BB- (sf)' from 'BB+ (sf)'
Class X-A to 'AA- (sf)' from 'AAA (sf)'
Class X-B to 'BB- (sf)' from 'BB+ (sf)'
LONG BEACH 2006-5: Moody's Upgrades Rating on Cl. I-A Certs to Ba3
------------------------------------------------------------------
Moody's Ratings has upgraded the ratings of eight bonds and
downgraded the rating of one bond from five RMBS transactions,
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: Long Beach Mortgage Loan Trust 2006-5
Cl. I-A, Upgraded to Ba3 (sf); previously on Apr 30, 2010
Downgraded to Caa3 (sf)
Issuer: MASTR Asset Backed Securities Trust 2006-AM1
Cl. A-4, Upgraded to Aaa (sf); previously on Jun 13, 2019 Upgraded
to Aa1 (sf)
Cl. M-1, Downgraded to Caa1 (sf); previously on Mar 6, 2018
Upgraded to B1 (sf)
Issuer: Nationstar Home Equity Loan Trust 2006-B
Cl. M-3, Upgraded to B1 (sf); previously on Nov 27, 2018 Upgraded
to Caa3 (sf)
Issuer: Nomura Home Equity Loan, Inc. Home Equity Loan Trust,
Series 2007-2
Cl. II-A-1, Upgraded to Caa1 (sf); previously on Apr 19, 2013
Downgraded to Ca (sf)
Cl. II-A-2, Upgraded to Caa1 (sf); previously on Aug 13, 2010
Confirmed at Ca (sf)
Cl. II-A-3, Upgraded to Caa1 (sf); previously on Aug 13, 2010
Confirmed at Ca (sf)
Cl. II-A-4, Upgraded to Caa1 (sf); previously on Aug 13, 2010
Confirmed at Ca (sf)
Issuer: Structured Asset Securities Corp Trust 2006-WF2
Cl. M2, Upgraded to Baa1 (sf); previously on Dec 19, 2019 Upgraded
to B2 (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.
The rating upgrades are primarily the result of stabilized
collateral performance in recent years combined with growth in
credit enhancement since the time of Moody's last review. Further,
the upgrades on four bonds from Nomura Home Equity Loan, Inc. Home
Equity Loan Trust, Series 2007-2 also reflect a $58 million
settlement received by the Trust since the time of Moody's last
review.
The rating upgrades 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 today's upgrades.
The rating downgrade is the result of outstanding credit interest
shortfall that is unlikely to be recouped. The bond has a 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. The size and length of the outstanding
interest shortfalls were considered in Moody's analysis for both
upgrades and the downgrade.
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 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.
MARINER FINANCE 2024-B: S&P Assigns BB- (sf) Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Mariner Finance Issuance
Trust 2024-B's asset-backed notes.
The note issuance is ABS transaction backed by personal consumer
loan receivables.
The ratings reflect:
-- The availability of credit support in the form of
subordination, overcollateralization, a reserve account, and excess
spread to absorb net losses of approximately 54.48%, 46.24%,
41.16%, 35.41%, and 28.87% in S&P's stressed cash flow scenarios,
commensurate with the ratings assigned to the notes.
-- S&P's worst-case, weighted average, base-case default
assumption of 18.45% for this transaction. S&P's default assumption
is a function of the transaction-specific reinvestment criteria and
the historical Mariner Finance LLC (Mariner) portfolio loan
performance.
-- Mariner's long performance history as originator and servicer.
The company 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 five-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-B
Class A, $266.08 million: AAA (sf)
Class B, $41.57 million: AA- (sf)
Class C, $28.44 million: A-(sf)
Class D, $24.95 million: BBB- (sf)
Class E, $38.96 million: BB- (sf)
MCF CLO V: S&P Assigns BB- (sf) Rating on Class E-R2 Notes
----------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R2, A-L1,
A-L2, B-R2, C-R2, D-R2, and E-R2 replacement debt from MCF CLO V
LLC, a CLO managed by Apogem Capital LLC that was originally issued
in March 2017 and underwent a second refinancing in March 2021. At
the same time, S&P withdrew its ratings on the class A-RR, B-RR,
C-RR, D-RR, and E debt following payment in full on the Oct. 10,
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 Oct. 10, 2026.
-- The reinvestment period was extended to Oct. 20, 2029.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) were extended by approximately 4.5
years to Oct. 20, 2037.
-- No additional assets were purchased on the Oct. 10, 2024
refinancing date, and the target initial par amount remains at $300
million. There was no additional effective date or ramp-up period,
and the first payment date following the refinancing is Jan. 20,
2025.
-- The required minimum overcollateralization and interest
coverage ratios were amended.
-- The transaction has adopted benchmark replacement language and
was updated to conform to current rating agency methodology.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
MCF CLO V LLC
Class A-R2, $36.00 million: AAA (sf)
Class A-L1, $65.00 million: AAA (sf)
Class A-L2, $73.00 million: AAA (sf)
Class B-R2, $30.00 million: AA (sf)
Class C-R2 (deferrable), $24.00 million: A (sf)
Class D-R2 (deferrable), $18.00 million: BBB- (sf)
Class E-R2 (deferrable), $16.50 million: BB- (sf)
Ratings Withdrawn
MCF CLO V LLC
Class A-RR to NR from 'AAA (sf)'
Class B-RR to NR from 'AA (sf)'
Class C-RR to NR from 'A (sf)'
Class D-RR to NR from 'BBB- (sf)'
Class E to NR from 'BB- (sf)'
Other Debt
MCF CLO V LLC
Subordinated notes, $47.56 million: NR
NR--Not rated.
MORGAN STANLEY 2014-C16: Moody's Cuts Rating on Cl. C Certs to Ba3
------------------------------------------------------------------
Moody's Ratings has downgraded the ratings on four classes in
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16,
Commercial Mortgage Pass-Through Certificates, Series 2014-C16 as
follows:
Cl. B, Downgraded to Baa1 (sf); previously on Apr 23, 2021
Downgraded to A2 (sf)
Cl. C, Downgraded to Ba3 (sf); previously on Apr 23, 2021
Downgraded to Ba1 (sf)
Cl. X-B*, Downgraded to Baa1 (sf); previously on Apr 23, 2021
Downgraded to A2 (sf)
Cl. PST, Downgraded to Ba2 (sf); previously on Apr 23, 2021
Downgraded to Baa1 (sf)
* Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings on the P&I classes, Cl. B and Cl. C, were downgraded
due a decline in pool performance and the significant exposure to
specially serviced loans (72.9% of the pool) and troubled loans
(24.8% of the pool) which are all now past their initial scheduled
maturity dates. Given the higher interest rate environment and
current loan performance there is a risk of a higher potential
losses and interest shortfalls if certain loans were to either
default or remain delinquent on their debt service payments.
The rating on the IO Class, Cl. X-B, was downgraded due to a
decline in the credit quality of its referenced class.
The rating on the exchangeable class, Cl. PST, was downgraded based
on a decline in the credit quality of its referenced exchangeable
classes and from principal paydowns of its higher quality
referenced exchangeable classes. Cl. PST originally referenced
Classes A-S, B and C, however, Cl. A-S has previously paid off in
full and Cl. B has paid down 63% from its original balance.
Moody's regard e-commerce competition as a social risk under
Moody's ESG framework. The rise in e-commerce and changing consumer
behavior presents challenges to brick-and-mortar discretionary
retailers.
Moody's rating action reflects a base expected loss of 50.4% of the
current pooled balance, compared to 13.0% at Moody's last review.
Moody's base expected loss plus realized losses is now 10.1% 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 73% of the pool is in
special servicing and Moody's have identified additional troubled
loans representing 25% 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 classes and the recovery as a pay down of principal to
the most senior classes.
DEAL PERFORMANCE
As of the September 17, 2024 distribution date, the transaction's
aggregate certificate balance has decreased by 81% to $248.6
million from $1.27 billion at securitization. The certificates are
collateralized by 11 mortgage loans ranging in size from 1.2% to
39.5% of the pool. The deal is currently under-collateralized by
$1.16 million as a result of the loan modification for Outlets of
Mississippi.
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 four, compared to 19 at Moody's last review.
As of the September 2024 remittance report, loans representing 25%
were current or within their grace period on their debt service
payments, 40% were beyond their grace period but less than 30 days
delinquent and 35% were past maturity, foreclosure or real estate
owned (REO).
One loan has been liquidated from the pool, resulting in an
aggregate realized loss of $3.6 million (for a loss severity of
69.3%). Eight loans, constituting 72.9% of the pool, are currently
in special servicing.
The largest specially serviced loan is the State Farm Portfolio
Loan ($98.1 million -- 39.6% of the pool), which represents a pari
passu portion of a $378.7 million mortgage loan. There is also
$86.5 million of mezzanine financing. The loan is secured by fee
simple interests in 14 suburban office properties across 11 states.
At securitization, all the properties were 100% leased and occupied
by State Farm pursuant to individual leases executed by State Farm
in November 2013. All leases have a 15-year terms and run until
November 2028, except the leases for Greeley South property and the
Greeley North property. The loan passed its anticipated repayment
date ("ARD") in April 2024 and as a result all excess cash flow
after debt service is swept and applied to pay down principal. The
loan has a final maturity date in April 2029. It is reported that
State Farm has vacated all of the properties and offered up many of
the locations for sublease. State Farm has no lease termination
rights and continues to pay rent and perform its obligations under
the lease. In September 2023, the loan transferred to special
servicing due to non-monetary default ahead of the maturity date.
The borrower has indicated an interest to modify the loan which may
potentially include a partial release or paydown to a portion of
the loan and servicer commentary indicated there was an approval of
a partial release of the Tulsa property. As of the September 2024
remittance, the loan was last paid through August 2024 and has
generally remained less than 30 days delinquent. Given the tenancy
profile, the loan may face heightened refinance risk at its final
maturity, however, the loan is expected to amortize further and may
further paydown if there are additional asset sales.
The second largest specially serviced loan is the Hilton San
Francisco Loan ($40.9 million -- 16.5% of the pool), which
represents a pari passu portion of a $76.4 million mortgage loan.
The loan is secured by a 543 room, full-service hotel located in
the downtown San Francisco, California financial district. The loan
transferred to special servicing in October 2023 for imminent
default as the borrower indicated they would not be able to pay off
the loan at its January 2024 maturity date. The loan has since been
modified, extending the maturity to January 2025 and will remain
with the special servicer. Property performance has rebounded since
its negative cash flow in 2020 and 2021, however, the property's
cash flow remains well below levels at securitization and the
trailing twelve month NOI as of June 2023 was 41% lower than in
2016. The loan has amortized approximately 21% since securitization
and had a 1.22X DSCR as of June 2023 based on its amortizing debt
service payment.
The third largest specially serviced loan is the Cascade Station I
& II Loan ($20.5 million -- 8.3% of the pool), which is secured by
a 128,073 SF, two-building, office property built in 2008 located
in the airport submarket of Portland, Oregon. The loan transferred
to special servicing in April 2024 due to imminent balloon maturity
default and failed to pay off at its May 2024 maturity. Wells Fargo
Bank, N.A., which occupied approximately 39% of NRA, vacated at the
end of their lease in December 2023 and there were further tenant
departures in 2024, reducing occupancy to 34% as of July 2024. The
borrower requested a deed in lieu due to vacancy issues and
inability to payoff the loan. The property became REO in June 2024
and as of the September 2024 remittance statement was last paid
through June 2024 with approximately $461,000 of loan advances
outstanding.
The remaining five specially serviced loans are secured by a mix of
property types. Moody's have also assumed a high default
probability for two poorly performing loans, constituting 24.8% of
the pool, and have estimated an aggregate loss of $124.4 million (a
63.4% expected loss on average) from these specially serviced and
troubled loans. The troubled loans are the Outlets of Mississippi A
and B notes, which are discussed in detail further below.
As of the September 2024 remittance statement cumulative interest
shortfalls were $7.4 million. 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 non specially serviced loans represent 27.1% of the pool
balance. The largest exposure is the Outlets of Mississippi A-note
($28.0 million -- 11.3% of the pool) and Outlets of Mississippi
B-note ($33.7 million -- 13.6% of the pool) which are secured by a
300,000 square foot (SF) outlet mall located in Pearl, Mississippi.
The B-note is a hope note that was created as part of a loan
modification in December 2020. The loan transferred to special
servicing in November 2018 for imminent default due to cash flow
issues. The property's net operating income (NOI) has declined
significantly since securitization due to declining rental revenues
and the reported 2023 NOI was 80% lower than in 2014. The loan had
an initial interest only period and was scheduled to begin
amortizing in July 2019. The property was 91% leased as of June
2024 compared to 82% in August 2019, 91% in December 2018, 94% in
December 2017 and 100% in December 2016. If performance does not
materially improve from its current levels, Moody's anticipate it
may have heightened refinance risk at its maturity date in June
2026.
The last non-specially serviced loan is secured by a retail
property in Vineland, New Jersey and makes up 2.2% of the pooled
balance and has a Moody's LTV of below 93%.
MOUNTAIN VIEW 2016-1: S&P Affirms 'BB-' Rating on Class E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R2, B-1-R2,
and C-R2 replacement debt from Mountain View CLO 2016-1
Ltd./Mountain View CLO 2016-1 LLC, a CLO managed by Seix CLO
Management LLC that was originally issued in February 2020 and
underwent a refinancing in March 2020. At the same time, S&P
withdrew its ratings on the class A-R, B-1-R, and C-R debt
following payment in full on the Oct. 15, 2024, refinancing date.
S&P also affirmed its ratings on the class B-2-R, D-R, and E-R
debt, which was not refinanced.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The non-call period was extended to July 14, 2025.
-- No additional assets were purchased on the Oct. 15, 2024,
refinancing date, and the target initial par amount remains at $400
million. There was no additional effective date or ramp-up period,
and the first payment date following the refinancing is Jan. 14,
2025.
-- No additional subordinated notes were issued on the refinancing
date.
-- The transaction has adopted benchmark replacement language and
was updated to conform to current rating agency methodology.
Replacement And March 2020 Debt Issuances
Replacement debt
Class A-R2, $256.00 million: Three-month CME term SOFR + 1.26%
Class B-1-R2, $33.00 million: Three-month CME term SOFR + 1.80%
Class C-R2, $24.00 million: Three-month CME term SOFR + 2.35%
March 2020 debt
Class A-R, $256.00 million: Three-month CME term SOFR + 1.62% +
CSA(i)
Class B-1-R, $33.00 million: Three-month CME term SOFR + 2.11% +
CSA(i)
Class B-2-R, $15.00 million: 3.374%
Class C-R, $24.00 million: Three-month CME term SOFR + 2.71% +
CSA(i)
Class D-R, $19.00 million: Three-month CME term SOFR + 3.96% +
CSA(i)
Class E-R, $21.00 million: Three-month CME term SOFR + 7.72% +
CSA(i)
Class X-R, $0.42 million: Three-month CME term SOFR + 1.06% +
CSA(i)
Subordinated notes, $46.00 million: Not applicable
(i)The CSA is 0.26%.
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
Mountain View CLO 2016-1 Ltd./Mountain View CLO 2016-1 LLC
Class A-R2, $256.00 million: AAA (sf)
Class B-1-R2, $33.00 million: AA (sf)
Class C-R2, $24.00 million: A (sf)
Ratings Withdrawn
Mountain View CLO 2016-1 Ltd./Mountain View CLO 2016-1 LLC
Class A-R to NR from 'AAA (sf)'
Class B-1-R to NR from 'AA (sf)'
Class C-R to NR from 'A (sf)'
Ratings Affirmed
Mountain View CLO 2016-1 Ltd./Mountain View CLO 2016-1 LLC
Class B-2-R: AA (sf)
Class D-R: BBB (sf)
Class E-R: BB- (sf)
Other Debt
Mountain View CLO 2016-1 Ltd./Mountain View CLO 2016-1 LLC
Class X-R, $0.42 million: NR
Subordinated notes, $46.00 million: NR
NR--Not rated.
NATIONSTAR HOME 2007-A: Moody's Ups Rating on Cl. M-3 Certs to B3
-----------------------------------------------------------------
Moody's Ratings has upgraded the ratings of nine bonds from six
RMBS transactions, which are backed by subprime and option ARM
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 follow:
Issuer: Bear Stearns Mortgage Funding Trust 2006-AR5
Cl. I-A-1, Upgraded to A1 (sf); previously on Nov 5, 2021 Upgraded
to B3 (sf)
Cl. II-A-1, Upgraded to Baa1 (sf); previously on Nov 5, 2021
Upgraded to B3 (sf)
Issuer: Nationstar Home Equity Loan Trust 2007-A
Cl. M-3, Upgraded to B3 (sf); previously on Dec 15, 2022 Upgraded
to Caa2 (sf)
Issuer: Nationstar Home Equity Loan Trust 2007-B
Cl. 2-AV-4, Upgraded to Aaa (sf); previously on Apr 24, 2023
Upgraded to Aa3 (sf)
Cl. M-1, Upgraded to B1 (sf); previously on Nov 17, 2017 Upgraded
to Ca (sf)
Issuer: RASC Series 2006-EMX2 Trust
Cl. M-1, Upgraded to A1 (sf); previously on Jun 29, 2023 Upgraded
to Ba3 (sf)
Issuer: Structured Asset Securities Corp Trust 2007-BC3
Cl. 1-A3, Upgraded to A1 (sf); previously on Dec 17, 2018 Upgraded
to Baa3 (sf)
Cl. 2-A3, Upgraded to Aa1 (sf); previously on Dec 17, 2018 Upgraded
to Baa1 (sf)
Issuer: Terwin Mortgage Trust 2006-3
Cl. I-A-3, Upgraded to B2 (sf); previously on Dec 14, 2023 Upgraded
to Caa2 (sf)
RATINGS RATIONALE
The rating actions reflect the recent performance and Moody's
updated loss expectations on the underlying pools. The rating
upgrades are driven by the improving performance and/or an increase
in credit enhancement available to the bonds. Moody's analysis also
considered the existence of historical interest shortfalls for some
of the bonds. The credit enhancement for the tranches upgraded, on
average, has increased by 1.7% since the last review.
The rating upgrades 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 reflects the potential for collateral
volatility given the number of deal-level and macro factors that
can impact collateral performance, the potential impact of any
collateral volatility on the model output, and the ultimate size or
any incurred and projected loss.
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.
NEW MOUNTAIN 6: Fitch Assigns 'BB-sf' Rating on Class E Notes
-------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to New
Mountain CLO 6 Ltd.
Entity/Debt Rating
----------- ------
New Mountain
CLO 6 Ltd
A LT AAAsf New Rating
B LT AAsf New Rating
C LT Asf New Rating
D-1 LT BBB-sf New Rating
D-2 LT BBB-sf New Rating
E LT BB-sf New Rating
Subordinated LT NRsf New Rating
Transaction Summary
New Mountain CLO 6 Ltd (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by New
Mountain Credit CLO Advisers, L.L.C. Net proceeds from the issuance
of the secured and subordinated notes will provide financing on a
portfolio of approximately $400 million of primarily first-lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B'/'B-', which is in line with that of
recent CLOs. The weighted average rating factor (WARF) of the
indicative portfolio is 24.64 versus a maximum covenant, in
accordance with the initial expected matrix point of 27.00. 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
99.7% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 76.0% versus a
minimum covenant, in accordance with the initial expected matrix
point of 75.0%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 46.0% of the portfolio balance in aggregate while
the top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the results under these sensitivity scenarios are as
severe as between 'BBBsf' and 'AA+sf' for class A notes, between
'BB+sf' and 'A+sf' for class B notes, between 'Bsf' and 'BBB+sf'
for class C notes, between less than 'B-sf' and 'BB+sf' for class
D-1 notes, between less than 'B-sf' and 'BB+sf' for class D-2
notes, and between less than 'B-sf' and 'B+sf' for class E notes.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A notes as these
notes are in the highest rating category of 'AAAsf'.
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 notes, 'AAsf' for class C notes,
'A+sf' for class D-1 notes, 'Asf' for class D-2 notes, and 'BBB+sf'
for class E notes.
Key Rating Drivers and Rating Sensitivities are further described
in the new issue report.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for New Mountain CLO 6
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 any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
NYMT LOAN 2024-INV1: S&P Assigns Prelim B (sf) Rating on B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to NYMT Loan
Trust 2024-INV1's mortgage-backed notes.
The note issuance is an RMBS securitization backed by first-lien,
fixed- and adjustable-rate, fully amortizing residential mortgage
loans to both prime and nonprime borrowers (some with interest-only
periods). The loans are secured by single-family residential
properties, planned-unit developments, condominiums, and two- to
four-family residential properties, townhomes, and five- to 10-unit
multifamily properties. The pool consists of 1,503 business-purpose
investment property loans (including 106 cross-collateralized loans
backed by 420 properties) which are all business-purpose investment
property ATR-exempt loans.
The preliminary ratings are based on information as of Oct. 10,
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 (R&W) 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. We anticipate the
Federal Reserve will deliver two more rate cuts of 25 basis points
(bps) this year and a total of 225 bps of rate cuts by year-end
2025--a 75 bps increase from our prior forecast. We continue to
expect real GDP growth to slow from above-trend growth this year to
below-trend growth in 2025, accompanied by a further rise in the
unemployment rate and lower inflation. However, our probability of
a recession starting over the next 12 months remains unchanged at
25%. With personal consumption still healthy for now, near-term
recession fears appear overblown. Therefore, we maintain our
current market outlook as it relates to the 'B' projected
archetypal foreclosure frequency of 2.50%. This reflects our benign
view of the mortgage and housing markets, as demonstrated through
general national level home price behavior, unemployment rates,
mortgage performance, and underwriting."
Preliminary Ratings Assigned(i)
NYMT Loan Trust 2024-INV1
Class A-1A, $156,123,000: AAA (sf)
Class A-1B, $31,038,000: AAA (sf)
Class A-1, $187,161,000: AAA (sf)
Class A-2, $25,141,000: AA- (sf)
Class A-3, $39,885,000: A- (sf)
Class M-1, $22,347,000: BBB- (sf)
Class B-1, $16,761,000: BB- (sf)
Class B-2, $8,846,000: B (sf)
Class B-3, $10,243,222: NR
Class A-IO-S, Notional(ii): NR
Class XS, Notional(ii): NR
Class R, N/A: NR
(i)The preliminary ratings address the ultimate payment of interest
and principal.
(ii)The notional amount will equal the aggregate state principle
balance of the mortgage loans as of the first day of the related
due period is initially $310,384,222.
NR--Not rated.
N/A--Not applicable.
OCP CLO 2016-12: S&P Assigns Prelim B+ (sf) Rating on E-2R3 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings the replacement
class X-R3, A-1R3, A-2R3, B-1AR3, B-1BR3, B-2R3, C-R3, D-1R3,
D-2R3, E-1R3, and E-2R3 debt to OCP CLO 2016-12 Ltd./OCP CLO
2016-12 LLC, a CLO managed by Onex Credit Partners LLC that was
originally issued in 2016 and underwent a second refinancing in
2022. The 2022 transaction was not rated by S&P Global Ratings.
The preliminary ratings are based on information as of Oct. 14,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Oct. 18, 2024, refinancing date, the proceeds from the
replacement debt will be used to redeem the 2022 debt. At that
time, S&P expects to assign ratings to the replacement debt.
However, if the refinancing doesn't occur, we may withdraw our
preliminary ratings on the replacement debt.
The preliminary ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
OCP CLO 2016-12 Ltd./OCP CLO 2016-12 LLC
Class X-R3, $3.80 million: AAA (sf)
Class A-1R3, $352.00 million: AAA (sf)
Class A-2R3, $8.25 million: AAA (sf)
Class B-1AR3, $27.00 million: AA+ (sf)
Class B-1BR3, $16.75 million: AA (sf)
Class B-2R3, $14.00 million: AA (sf)
Class C-R3(deferrable), $33.00 million: A (sf)
Class D-1R3(deferrable), $33.00 million: BBB- (sf)
Class D-2R3(deferrable), $4.00 million: BBB- (sf)
Class E-1R3(deferrable), $18.00 million: BB- (sf)
Class E-2R3(deferrable), $2.50 million: B+ (sf)
Subordinated notes, $61.70 million: Not rated
OHA CREDIT 5: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-L loans, A-L notes, and class A-R, B-1-R, B-2-R, C-R, D-1-R,
D-2-R, and E-R replacement debt from OHA Credit Funding 5 Ltd./OHA
Credit Funding 5 LLC, a CLO managed by Oak Hill Advisors L.P., a
subsidiary of T. Rowe Price, that was originally issued in March
2020.
The preliminary ratings are based on information as of Oct. 14,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Oct. 18, 2024, refinancing date, the proceeds from the
replacement debt will be used to redeem the March 2020 debt. S&P
said, "At that time, we expect to withdraw our ratings on the March
2020 debt and assign ratings to the replacement debt. However, if
the refinancing doesn't occur, we may affirm our ratings on the
March 2020 debt and withdraw our preliminary ratings on the
replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The non-call period will be extended to Oct. 18, 2026.
-- The reinvestment period will be extended to Oct. 18, 2029.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) will be extended to Oct. 18,
2037.
-- The target initial par amount will remain at $600.0 million.
There will be no additional effective date or ramp-up period, and
the first payment date following the refinancing is Jan. 18, 2025.
-- No additional subordinated notes will be issued on the
refinancing date.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"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 5 Ltd./OHA Credit Funding 5 LLC
Class A-R, $248.00 million: AAA (sf)
Class A-L loans, $124.00 million: AAA (sf)
Class A-L notes, $0.00 million: AAA (sf)
Class B-1-R, $69.00 million: AA (sf)
Class B-2-R, $15.00 million: AA (sf)
Class C-R (deferrable), $36.00 million: A (sf)
Class D-1-R (deferrable), $36.00 million: BBB- (sf)
Class D-2-R (deferrable), $6.00 million: BBB- (sf)
Class E-R (deferrable), $18.00 million: BB- (sf)
Other Debt
OHA Credit Funding 5 Ltd./OHA Credit Funding 5 LLC
Subordinated notes, $46.30 million: Not rated
ORCHARD PARK: S&P Assigns BB- (sf) Rating on Class E Debt
---------------------------------------------------------
S&P Global Ratings assigned its ratings to Orchard Park CLO
Ltd./Orchard Park CLO LLC's floating- and fixed-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 Blackstone Liquid Credit Strategies
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
Orchard Park CLO Ltd./Orchard Park CLO LLC
Class A, $310.00 million: AAA (sf)
Class B-1, $60.00 million: AA (sf)
Class B-2, $10.00 million: AA (sf)
Class C (deferrable), $30.00 million: A (sf)
Class D-1 (deferrable), $30.00 million: BBB- (sf)
Class D-2 (deferrable), $3.75 million: BBB- (sf)
Class E (deferrable), $16.25 million: BB- (sf)
Subordinated notes $48.10 million: Not rated
OZLM XXIII: S&P Assigns BB- (sf) Rating on $15MM Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to OZLM XXIII Ltd./OZLM
XXIII 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 Sculptor Loan Management L.P.
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
OZLM XXIII Ltd./OZLM XXIII LLC
Class X, $5.00 million: AAA (sf)
Class A-1, $315.00 million: AAA (sf)
Class A-2, $15.00 million: AAA (sf)
Class B, $50.00 million: AA (sf)
Class C-1 (deferrable), $20.00 million: A (sf)
Class C-2 (deferrable), $10.00 million: A (sf)
Class D-1 (deferrable), $20.00 million: BBB+ (sf)
Class D-2 (deferrable), $15.00 million: BBB- (sf)
Class E (deferrable), $15.00 million: BB- (sf)
Subordinated notes, $52.925 million: Not rated
PALMER SQUARE 2021-3: Moody's Ups Rating on $10MM E Notes to Ba2
----------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by Palmer Square Loan Funding 2021-3, Ltd.:
US$60,000,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2029, Upgraded to Aaa (sf); previously on March 12, 2024
Upgraded to Aa2 (sf)
US$35,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2029, Upgraded to A1 (sf); previously on March 12, 2024
Upgraded to A3 (sf)
US$35,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2029, Upgraded to Baa3 (sf); previously on July 29, 2021
Assigned Ba2 (sf)
US$10,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2029, Upgraded to Ba2 (sf); previously on July 29, 2021
Assigned Ba3 (sf)
Palmer Square Loan Funding 2021-3, Ltd., issued in July 2021, is a
static cashflow CLO. The notes are collateralized primarily by a
portfolio of broadly syndicated senior secured corporate loans.
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since March 2024. The Class A-1
notes have been paid down by approximately 61% or $196.1 million
since then. Based on Moody's calculation, the OC ratios for the
Class B, Class C, Class D and Class E notes are currently 142.55%,
127.89%, 115.96%, and 112.95%, respectively, versus March 2024
levels of 125.92%, 117.71%, 110.50%, and 108.60%, respectively.
Nevertheless, the credit quality of the portfolio has deteriorated
since March 2024. Based on Moody's calculation, the weighted
average rating factor (WARF) is currently 3052 compared to 2786 in
March 2024.
No actions were taken on the Class A-1 and Class A-2 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: $435,221,371
Diversity Score: 53
Weighted Average Rating Factor (WARF): 3052
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.16%
Weighted Average Recovery Rate (WARR): 47.10%
Weighted Average Life (WAL): 3.42 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.
REGATTA XII: Fitch Assigns 'BB-sf' Rating on Class E-RR Notes
-------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Regatta
XII Funding Ltd. reset transaction.
Entity/Debt Rating
----------- ------
Regatta XII
Funding Ltd.
X LT NRsf New Rating
A-RR LT NRsf New Rating
B-RR LT AAsf New Rating
C-RR LT Asf New Rating
D-1RR LT BBB-sf New Rating
D-2RR LT BBB-sf New Rating
E-RR LT BB-sf New Rating
Subordinated LT NRsf New Rating
Transaction Summary
Regatta XII Funding Ltd. (the issuer) is an arbitrage cash flow CLO
managed by Regatta Loan Management, LLC that originally closed in
December 2017. The CLO's secured notes were refinanced on Oct. 15,
2024, from newly secured notes proceeds. Net proceeds from the
issuance of the secured notes will provide financing on a portfolio
of approximately $397 million of primarily first lien senior
secured leveraged loans, excluding defaults.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 24.26, versus a maximum covenant, in accordance with
the initial expected matrix point of 25.6. Issuers rated in the 'B'
rating category denote a highly speculative credit quality;
however, the notes benefit from appropriate credit enhancement and
standard U.S. CLO structural features.
Asset Security (Positive): The indicative portfolio consists of
97.82% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 75.34% versus a
minimum covenant, in accordance with the initial expected matrix
point of 70.6%.
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 11.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting 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 '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 'BB+sf'
for class D-1RR, between less than 'B-sf' and 'BB+sf' for class
D-2RR, and between less than 'B-sf' and 'B+sf' for class E-RR.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-RR, 'AAsf' for class C-RR, 'A+sf'
for class D-1RR, 'A-sf' for class D-2RR, and 'BBB+sf' for class
E-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 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 Regatta XII Funding
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.
ROCK TRUST 2024-CNTR: Moody's Assigns (P)Ba3 Rating to Cl. E Certs
------------------------------------------------------------------
Moody's Ratings has assigned provisional ratings to five classes of
CMBS securities, to be issued by ROCK Trust 2024-CNTR, Commercial
Mortgage Pass-Through Certificates, Series 2024-CNTR:
Cl. A, Assigned (P)Aaa (sf)
Cl. B, Assigned (P)Aa3 (sf)
Cl. C, Assigned (P)A3 (sf)
Cl. D, Assigned (P)Baa3 (sf)
Cl. E, Assigned (P)Ba3 (sf)
RATINGS RATIONALE
The certificates are collateralized by a single loan backed by a
first priority lien commercial mortgage on the fee simple and
partial leasehold interests in Rockefeller Center (the "Property"),
personal property and fixtures, and a collateral assignment of all
rents, leases, contracts and receivables related to the Property,
all accounts of borrower and a first priority pledge of all equity
interests in any and all subsidiaries and affiliates of borrower
that manage and operate various assets at the Property controlled
by or under common control with borrower. Moody's ratings are based
on the credit quality of the loan and the strength of the
securitization structure.
Rockefeller Center is a 7.2 million SF, 13-building mixed-use
office and retail complex located on a 12-acre site in the Midtown
Manhattan neighborhood of New York, NY. The site encompasses six
square blocks between Fifth Avenue and Avenue of the Americas to
the east and the west, respectively, and West 48th and West 51st
Streets to the south and the north, respectively.
Rockefeller Center is an internationally known office, retail, and
tourist destination that contains a wide range of attractions. It
was constructed in phases from 1930-1952, centered around a private
street, known as Rockefeller Plaza and was part of John D.
Rockefeller Jr.'s "city within a city" master plan. In 1985,
Rockefeller Center was declared a landmark by the New York City
Landmarks Preservation Commission.
The Property primarily consists of Class A office towers, but also
offers several retail and entertainment attractions throughout the
center. It has approximately 5.5 million SF of office space,
approximately 1.4 million SF of retail space and approximately
280.0 thousand SF of storage space available for lease. As of July
2024, the Property was 92.6% leased to a diverse tenant roster of
more than 400 unique tenants with a WALT of approximately 10
years.
With regard to tenant quality, the Property houses Deloitte LLP,
Lazard Group LLC (Baa3, senior unsecured), Christie's Inc.,
JPMorgan Chase Bank, N.A. ("JPMorgan"; Aa2, senior unsecured),
NBCUniversal Media, LLC ("NBC"; A3, senior unsecured), Radio City
Productions LLC, and Simon & Schuster, Inc. It is the corporate
headquarters for Christie's, Deloitte, Lazard, Simon & Schuster,
NBC, and Tishman Speyer Properties.
Tourist and entertainment offerings include: the Top of the Rock
Observation Deck, The Rink at Rockefeller Center, The Rainbow Room,
620 Loft & Garden and Radio Park, a 24,000 SF private outdoor park
on top of Radio City Music Hall exclusively for Rockefeller Center
tenants during business hours, but open to the public for private
events, and retail and pedestrian connection throughout the campus
at the rink level providing access to restaurants and retail with
an adjacent subway station.
Moody's approach to rating this transaction involved the
application of Moody's Large Loan and Single Asset/Single Borrower
Commercial Mortgage-backed Securitizations methodology. The rating
approach for securities backed by a single loan compares the credit
risk inherent in the underlying collateral with the credit
protection offered by the structure. The structure's credit
enhancement is quantified by the maximum deterioration in property
value that the securities are able to withstand under various
stress scenarios without causing an increase in the expected loss
for various rating levels. In assigning single borrower ratings,
Moody's also consider a range of qualitative issues as well as the
transaction's structural and legal aspects.
The credit risk of loans is determined primarily by two factors: 1)
Moody's assessment of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessment of the
severity of loss upon a default, which is largely driven by each
loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV.
As described in the CMBS methodology used to rate this transaction,
Moody's make various adjustments to the MLTV. Moody's adjust the
MLTV for each loan using a value that reflects capitalization (cap)
rates that are between Moody's sustainable cap rates and market cap
rates. Moody's also use an adjusted loan balance that reflects each
loan's amortization profile.
The Moody's first mortgage actual DSCR is 1.06X and Moody's first
mortgage actual stressed DSCR is 0.75X. Moody's DSCR is based on
Moody's stabilized net cash flow.
The whole loan first mortgage balance of $3,500,000,000 represents
a Moody's LTV ratio of 114.3% based on Moody's value. Adjusted
Moody's LTV ratio for the first mortgage balance is 104.6% based on
Moody's Moody's Value using a cap rate adjusted for the current
interest rate environment.
Moody's also grade properties on a scale of 0 to 5 (best to worst)
and consider those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The property's overall
quality grade is 0.25.
Notable strengths of the transaction include: iconic New York City
real estate, location and accessibility, granular rent roll and
diverse income streams, capital investment, recent leasing
activity, limited rollover and experienced sponsorship.
Notable concerns of the transaction include: soft market
fundamentals, above market rents, non-traditional income streams,
interest-only mortgage loan profile and certain credit negative
legal features.
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 approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from Moody's
Moody's loan level LTV ratios. Major adjustments to determining
proceeds include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.
Factors that would lead to an upgrade or downgrade of the ratings:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
ROCKFORD TOWER 2024-1: Fitch Assigns B-sf Final Rating on F-2 Notes
-------------------------------------------------------------------
Fitch Ratings has assigned Rockford Tower Europe CLO 2024-1 DAC
final ratings.
Entity/Debt Rating Prior
----------- ------ -----
Rockford Tower Europe
CLO 2024-1 DAC
A Loan LT AAAsf New Rating AAA(EXP)sf
A XS2864521161 LT AAAsf New Rating AAA(EXP)sf
B-1 XS2864521328 LT AAsf New Rating AA(EXP)sf
B-2 XS2864521591 LT AAsf New Rating AA(EXP)sf
C XS2864521674 LT Asf New Rating A(EXP)sf
D XS2864521914 LT BBB-sf New Rating BBB-(EXP)sf
E XS2864522219 LT BB-sf New Rating BB-(EXP)sf
F-1 XS2864522482 LT B+sf New Rating B+(EXP)sf
F-2 XS2888482036 LT B-sf New Rating B-(EXP)sf
Subordinated Notes
XS2864522649 LT NRsf New Rating NR(EXP)sf
Transaction Summary
Rockford Tower Europe CLO 2024-1 DAC is a securitisation of mainly
(at least 90%) senior secured obligations with a component of
senior unsecured, mezzanine, second lien loans and high-yield
bonds. Note proceeds has been used to purchase a portfolio with a
target par of EUR400 million. The portfolio is actively managed by
Rockford Tower Capital Management L.L.C and the CLO will have about
4.5 years reinvestment period and a 7.5-year weighted average life
(WAL) test.
KEY RATING DRIVERS
Average Portfolio Credit Quality (Neutral): Fitch assesses the
average credit quality of obligors at 'B'. The Fitch weighted
average rating factor (WARF) of the identified portfolio is 23.9.
High Recovery Expectations (Positive): At least 90% of the
portfolio comprises senior secured obligations. Fitch views the
recovery prospects for these assets as more favourable than for
second-lien, unsecured and mezzanine assets. The Fitch weighted
average recovery rate of the identified portfolio is 64.4%.
Diversified Portfolio (Positive): The transaction includes two
matrices covenanted by a top 10 obligor concentration limit at 20%
and fixed-rate asset limit of 7.5% and 15%; both effective at
closing. It has various concentration limits, including the maximum
exposure to the three largest Fitch-defined industries in the
portfolio at 40%. These covenants ensure that the asset portfolio
will not be exposed to excessive concentration.
WAL Step-Up Feature (Neutral): The transaction can extend the WAL
by one year on the step-up date, which is one year after closing.
The WAL extension is at the option of the manager but subject to
conditions, including passing the collateral-quality tests,
portfolio profile tests, coverage tests and the reinvestment target
par, with defaulted assets at their collateral value.
Portfolio Management (Neutral): The transaction has a reinvestment
period of about 4.5-years and include reinvestment criteria similar
to those of other European transactions. Fitch's analysis is based
on a stressed case portfolio with the aim of testing the robustness
of the transaction structure against its covenants and portfolio
guidelines.
Cash Flow Modelling (Positive): The WAL for the transaction's
stress portfolio analysis is 12 months less than the WAL covenant.
This is to account for the strict reinvestment conditions envisaged
by the transaction after its reinvestment period, which include
passing the coverage tests, the Fitch WARF test and the Fitch 'CCC'
bucket limitation test after reinvestment as well as a WAL covenant
that progressively steps down, before and after the end of the
reinvestment period. Fitch believes these conditions would reduce
the effective risk horizon of the portfolio during the stress
period.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
A 25% increase of the mean default rate (RDR) across all ratings
and a 25% decrease of the recovery rate (RRR) across all ratings of
the identified portfolio would have no impact on the class A to F-2
notes.
Based on the identified portfolio, downgrades may occur if the loss
expectation is larger than initially assumed, due to unexpectedly
high levels of default and portfolio deterioration. Due to the
better metrics and shorter life of the identified portfolio, the
class F-2 notes display a rating cushion of four notches, the class
D and F-1 notes three notches, the class B and E notes two notches,
the class C notes one notch and there is no rating cushion for the
class A notes.
Should the cushion between the identified portfolio and the stress
portfolio be eroded due to manager trading or negative portfolio
credit migration, a 25% increase of the mean RDR across all ratings
and a 25% decrease of the RRR across all ratings of the stressed
portfolio would lead to downgrades of up to four notches.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
A 25% reduction of the mean RDR across all ratings and a 25%
increase in the RRR across all ratings of Fitch's stress portfolio
would lead to upgrades of up to four notches, except for the
'AAAsf' rated notes, which are at the highest level on Fitch's
scale and cannot be upgraded.
During the reinvestment period, based on Fitch's stress portfolio,
upgrades may occur on better-than-expected portfolio credit quality
and a shorter remaining WAL test, meaning the notes are able to
withstand larger than expected losses for the transaction's
remaining life. After the end of the reinvestment period, upgrades
may occur in case of stable portfolio credit quality and
deleveraging, leading to higher credit enhancement and excess
spread available to cover losses on the remaining portfolio.
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 or information on the risk presenting entities.
Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Rockford Tower
Europe CLO 2024-1 DAC. 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
any ESG factor that is a key rating driver in the key rating
drivers section of the relevant rating action commentary.
RR 32: S&P Assigns BB- (sf) Rating on Class D-R Notes
-----------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R,
B-R, C-1A-R, C-1B-R, C-2-R, and D-R replacement debt from RR 32
Ltd./RR 32 LLC, a CLO originally issued under the name Gulf Stream
Meridian 4 Ltd. in May 2021, then renamed to RRX 4 Ltd. in October
2023, and being renamed now to RR 32 Ltd. The transaction is
managed by Redding Ridge Asset Management LLC, an affiliate of
Apollo Global Management LLC. At the same time, S&P withdrew its
ratings on the original class A-1, A-2, B, C, and D debt following
payment in full on the Oct. 15, 2024, refinancing date.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The replacement class A-1-R, A-2-R, B-R, C-1A-R, C-1B-R, and
D-R debt were issued at a floating spread.
-- The replacement class C-2-R debt was issued at a fixed coupon.
-- A new non-call period was established, which will expire on but
exclude Oct. 15, 2026.
-- The stated maturity for the replacement debt was extended for
5.25 years to October 2039 and the reinvestment period was extended
for 3.25 years to October 2029.
-- Additional subordinated notes were issued in connection with
this refinancing.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
RR 32 Ltd./RR 32 LLC
Class A-1-R, $310.00 million: AAA (sf)
Class A-2-R, $65.00 million: AA (sf)
Class B-R (deferrable), $35.00 million: A (sf)
Class C-1A-R (deferrable), $25.00 million: BBB (sf)
Class C-1B-R (deferrable), $5.00 million: BBB- (sf)
Class C-2-R (deferrable), $5.00 million: BBB- (sf)
Class D-R (deferrable), $15.00 million: BB- (sf)
Ratings Withdrawn
RR 32 Ltd./RR 32 LLC
Class A-1 to NR from 'AAA (sf)'
Class A-2 to NR from 'AA (sf)'
Class B to NR from 'A (sf)'
Class C to NR from 'BBB- (sf)'
Class D to NR from 'BB- (sf)'
Other Debt
RR 32 Ltd./RR 32 LLC
Subordinated notes(i), $65.42 million: NR
(i)Includes $40.75 million of subordinated notes issued on the May
27, 2021, original closing date.
NR--Not rated.
SIERRA TIMESHARE 2024-3: Fitch Affirms 'BB-(EXP)' Rating on D Notes
-------------------------------------------------------------------
Fitch Ratings has affirmed the expected ratings for the notes
issued by Sierra Timeshare 2024-3 Receivables Funding LLC (Sierra
2024-3). The Rating Outlooks for all classes remain Stable.
The notes are backed by a pool of fixed-rate timeshare loans
originated by Wyndham Vacation Resorts, Inc. (WVRI) and the Wyndham
Resort Development Corporation (WRDC). Both entities are indirect,
wholly owned operating subsidiaries of Travel + Leisure Co. (T+L,
formerly Wyndham Destinations, Inc.). This is T+L's 50th public
Sierra transaction.
Entity/Debt Rating Prior
----------- ------ -----
Sierra Timeshare
2024-3 Receivables
Funding LLC
A LT AAA(EXP)sf Affirmed AAA(EXP)sf
B LT A(EXP)sf Affirmed A(EXP)sf
C LT BBB(EXP)sf Affirmed BBB(EXP)sf
D LT BB-(EXP)sf Affirmed BB-(EXP)sf
KEY RATING DRIVERS
Borrower Risk — Consistent Credit Quality: Approximately 66.8% of
Sierra 2024-3 consists of WVRI-originated loans. The remainder of
the pool comprises WRDC loans. Fitch has determined that, on a
like-for-like FICO basis, WRDC's receivables perform better than
WVRI's. The weighted average (WA) original FICO score of the pool
is 738, which is generally consistent with the prior transaction.
The collateral pool has nine months of seasoning and comprises
61.8% of upgraded loans.
Forward-Looking Approach on Rating Case CGD Proxy — Shifting
CGDs: Similar to other timeshare originators, T+L's delinquency and
default performance exhibited notable increases in the 2007-2008
vintages before stabilizing in 2009 and thereafter. However, the
2017 through 2022 vintages show increasing gross defaults, tracking
outside of peak levels experienced in 2008. This is partially
driven by increased paid product exits (PPEs).
The 2022-2024 transactions are generally demonstrating weakening
default trends relative to improved performance in 2020-2021
transactions, although trending below the worst-performing 2019
transactions. Fitch's rating case cumulative gross default (CGD)
proxy for the pool is 22.00%, consistent with 2024-2. Given the
current economic environment, default vintages reflecting a
recessionary period were utilized along with more recent vintage
performance, specifically of the 2007-2009 and 2016-2019 vintages.
Structural Analysis — Lower CE: The initial hard credit
enhancement (CE) for the class A, B, C and D notes is 57.90%,
36.60%, 13.90% and 4.50%, respectively. CE is lower for all classes
relative to 2024-2, mainly due to lower overcollateralization (OC)
compared with the prior transaction. Hard CE comprises OC, a
reserve account and subordination. Soft CE is also provided by
excess spread and is expected to be 8.71% per annum. Loss coverage
for all notes is able to support CGD multiples of 3.00x, 2.25x,
1.50x and 1.17x for 'AAAsf', 'Asf', 'BBBsf' and 'BB-sf',
respectively.
Originator/Seller/Servicer Operational Review — Quality of
Origination/Servicing: Fitch considers T+L to have demonstrated
sufficient capabilities as an originator and servicer of timeshare
loans. This is shown by the historical delinquency and loss
performance of securitized trusts and the managed portfolio.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Unanticipated increases in the frequency of defaults could produce
CGD levels that are higher than the rating case and would likely
result in declines of CE and remaining default coverage levels
available to the notes. Unanticipated increases in prepayment
activity could also result in a decline in coverage. Decreased
default coverage may make certain note ratings susceptible to
potential negative rating actions depending on the extent of the
decline in coverage.
Therefore, Fitch conducts sensitivity analyses by stressing both a
transaction's initial rating case CGD and prepayment assumptions
and examining the rating implications on all classes of issued
notes. The CGD sensitivity stresses the rating case CGD proxy to
the level necessary to reduce each rating by one full category, to
non-investment grade (BBsf) and to 'CCCsf' based on the break-even
loss coverage provided by the CE structure.
The CGD and prepayment sensitivities include 1.5x and 2.0x
increases to the prepayment assumptions, representing moderate and
severe stresses, respectively. These analyses are intended to
provide an indication of the rating sensitivity of the notes to
unexpected deterioration of a trust's performance.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Stable to improved asset performance driven by stable delinquencies
and defaults would lead to increasing CE levels and consideration
for potential upgrades. If the CGD is 20% less than the projected
rating case CGD proxy, the expected ratings would be maintained for
class A notes at a stronger rating multiple. For class B, C and D
notes the multiples would increase, resulting in potential upgrades
of up to four notches for each of the subordinate classes.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Deloitte & Touche LLP. The third-party due diligence
described in Form 15E focused on a comparison and recomputation of
certain characteristics with respect to 155 sample loans. Fitch
considered this information in its analysis and it did not have an
effect on its 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.
SILVER ROCK I: S&P Assigns Prelim BB- (sf) Rating on E-RR Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
X-RR, A-1-RR, A-2-RR, B-RR, C-RR, D-RR, and E-RR replacement debt
from Silver Rock CLO I Ltd./Silver Rock CLO I LLC, a CLO originally
issued in November 2020 and subsequently refinanced in November
2023 that is managed by Silver Rock Management LLC, a subsidiary of
Silver Rock Financial L.P.
The preliminary ratings are based on information as of Oct. 16,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Oct. 21, 2024, refinancing date, the proceeds from the
replacement debt will be used to redeem the 2023 debt. S&P said,
"At that time, we expect to withdraw our ratings on the 2023 debt
and assign ratings to the replacement debt. However, if the
refinancing doesn't occur, we may affirm our ratings on the 2023
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 notes.
According to the proposed supplemental indenture:
-- The weighted average cost of debt of the replacement debt is
expected to be lower than the original debt.
-- The class X-RR debt will be issued in connection with this
refinancing. This debt is expected to be paid down using interest
proceeds during the first seven payment dates beginning with the
payment date in January 2025.
-- The original class A-R debt is expected to be replaced by two
classes of floating-rate debt (classes A-1-RR and A-2-RR). Class
A-1-RR will be senior to class A-2-RR.
-- The original class C-1-R and C-2-R debt is expected to be
combined into class C-RR debt.
-- The non-call period will be extended two years to October
2026.
-- The reinvestment period and stated maturity will be extended
four years to October 2029 and October 2037, respectively.
-- No additional subordinated notes will be issued on the
refinancing date.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
Silver Rock CLO I Ltd./Silver Rock CLO I LLC
Class X-RR, $3.500 million: AAA (sf)
Class A-1-RR, $210.000 million: AAA (sf)
Class A-2-RR, $10.500 million: AAA (sf)
Class B-RR, $45.500 million: AA (sf)
Class C-RR (deferrable), $21.000 million: A (sf)
Class D-RR (deferrable), $21.000 million: BBB- (sf)
Class E-RR (deferrable), $14.000 million: BB- (sf)
SIXTH STREET XV: 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 debt from
Sixth Street CLO XV Ltd./Sixth Street CLO XV LLC, a CLO originally
issued in 2020 as TICP CLO XV Ltd. that is managed by Sixth Street
CLO XV Management LLC. At the same time, S&P withdrew its ratings
on the original class A, B, C, D, and E debt following payment in
full on the Oct. 10, 2024, refinancing date.
The replacement debt was issued via an amended and restated
indenture, which outlines the terms of the replacement debt.
According to the amended and restated indenture:
-- The stated maturity and reinvestment period was extended
approximately 4.5 years.
-- The non-call period was reestablished and will end in December
2026.
-- Class X notes were issued in connection with this refinancing.
These notes are expected to be paid down using interest proceeds
during the first seven payment dates beginning with the payment
date in January 2025.
-- The class D notes were replaced with the sequential class D-1-R
and D-2-R notes, which are both expected to be floating-rate.
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
Sixth Street CLO XV Ltd./Sixth Street CLO XV LLC
Class X, $2.00 million: AAA (sf)
Class A-R, $265.65 million: AAA (sf)
Class B-R, $57.35 million: AA (sf)
Class C-R (deferrable), $25.50 million: A (sf)
Class D-1-R (deferrable), $25.50 million: BBB- (sf)
Class D-2-R (deferrable), $2.75 million: BBB- (sf)
Class E-R (deferrable), $13.85 million: BB- (sf)
Ratings Withdrawn
Sixth Street CLO XV Ltd./Sixth Street CLO XV LLC
Class A to not rated from 'AAA (sf)'
Class B to not rated from 'AA (sf)'
Class C to not rated from 'A (sf)'
Class D to not rated from 'BBB- (sf)'
Class E to not rated from 'BB- (sf)'
Other Debt
Sixth Street CLO XV Ltd./Sixth Street CLO XV LLC
Subordinated notes, $42.90 million: Not rated
SIXTH STREET XXI: S&P Assigns BB- (sf) Rating on Class E-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-R, B-1-R, B-2-R, C-R, D-1-R, D-2-R, and E-R notes and class A-R
loans from Sixth Street CLO XXI Ltd./Sixth Street CLO XXI LLC, a
CLO originally issued in November 2022 that is managed by Sixth
Street CLO XXI Management LLC. At the same time, S&P withdrew its
ratings on the original class B, C, D, and E notes following
payment in full on the Oct. 15, 2024, refinancing date. The
original class A notes and class A loans were not rated by S&P
Global Ratings.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The non-call period was extended to Oct. 21, 2026.
-- The reinvestment period was extended to Oct. 21, 2029.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) were extended to Oct. 21, 2037.
-- No additional assets were purchased on the Oct. 15, 2024,
refinancing date, and the target initial par amount remains at $400
million. There was no additional effective date or ramp-up period,
and the first payment date following the refinancing is Jan. 21,
2025.
-- The required minimum overcollateralization and interest
coverage ratios were amended.
-- No additional subordinated notes were issued on the refinancing
date.
-- The original class B notes were replaced by the class B-1-R and
B-2-R notes, and the original class D notes were replaced by the
class D-1-R and D-2-R notes.
-- 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.
"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
Sixth Street CLO XXI Ltd./Sixth Street CLO XXI LLC
Class A-R loans, $171.00 million: AAA (sf)
Class A-R, $81.00 million: AAA (sf)
Class B-1-R, $40.00 million: AA+ (sf)
Class B-2-R, $12.00 million: AA (sf)
Class C-R (deferrable), $24.00 million: A (sf)
Class D-1-R (deferrable), $24.00 million: BBB- (sf)
Class D-2-R (deferrable), $2.40 million: BBB- (sf)
Class E-R (deferrable), $13.00 million: BB- (sf)
Ratings Withdrawn
Sixth Street CLO XXI Ltd./Sixth Street CLO XXI LLC
Class B to NR from 'AA (sf)'
Class C to NR from 'A (sf)'
Class D to NR from 'BBB- (sf)'
Class E to NR from 'BB- (sf)'
Other Debt
Sixth Street CLO XXI Ltd./Sixth Street CLO XXI LLC
Class A notes, $84.5 million: NR
Class A loans, $171.5 million: NR
Subordinated notes, $42.50 million: NR
NR--Not rated
TEXAS DEBT 2024-II: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes
------------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
Texas Debt Capital CLO 2024-II, Ltd.
Entity/Debt Rating
----------- ------
TEXAS DEBT CAPITAL
CLO 2024-II, 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 Notes LT NR(EXP)sf Expected Rating
Transaction Summary
Texas Debt Capital CLO 2024-II, Ltd. (the issuer) is an arbitrage
cash flow collateralized loan obligation (CLO) that will be managed
by CIFC Asset Management LLC. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $600 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 24.26, versus a maximum covenant, in accordance with
the initial expected matrix point of 25.5. Issuers rated in the 'B'
rating category denote a highly speculative credit quality;
however, the notes benefit from appropriate credit enhancement and
standard U.S. CLO structural features.
Asset Security (Positive): The indicative portfolio consists of
99.75% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 74.72% versus a
minimum covenant, in accordance with the initial expected matrix
point of 73.5%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 45.5% of the portfolio balance in aggregate while
the top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a 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 WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-1, between
'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for
class B, between 'B+sf' and 'BBB+sf' for class C, between less than
'B-sf' and 'BB+sf' for class D-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, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Texas Debt Capital
CLO 2024-II, 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.
TOWD POINT 2024-CES5: Fitch Assigns 'B-sf' Final Rating on B2 Notes
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings to Towd Point Mortgage
Trust 2024-CES5 (TPMT 2024-CES5).
Entity/Debt Rating Prior
----------- ------ -----
TPMT 2024-CES5
A1 LT AAAsf New Rating AAA(EXP)sf
A2 LT AA-sf New Rating AA-(EXP)sf
M1 LT A-sf New Rating A-(EXP)sf
M2 LT BBB-sf New Rating BBB-(EXP)sf
B1 LT BB-sf New Rating BB-(EXP)sf
B2 LT B-sf New Rating B-(EXP)sf
B3 LT NRsf New Rating NR(EXP)sf
A2A LT AA-sf New Rating AA-(EXP)sf
A2AX LT AA-sf New Rating AA-(EXP)sf
A2B LT AA-sf New Rating AA-(EXP)sf
A2BX LT AA-sf New Rating AA-(EXP)sf
A2C LT AA-sf New Rating AA-(EXP)sf
A2CX LT AA-sf New Rating AA-(EXP)sf
A2D LT AA-sf New Rating AA-(EXP)sf
A2DX LT AA-sf New Rating AA-(EXP)sf
M1A LT A-sf New Rating A-(EXP)sf
M1AX LT A-sf New Rating A-(EXP)sf
M1B LT A-sf New Rating A-(EXP)sf
M1BX LT A-sf New Rating A-(EXP)sf
M1C LT A-sf New Rating A-(EXP)sf
M1CX LT A-sf New Rating A-(EXP)sf
M1D LT A-sf New Rating A-(EXP)sf
M1DX LT A-sf New Rating A-(EXP)sf
M2A LT BBB-sf New Rating BBB-(EXP)sf
M2AX LT BBB-sf New Rating BBB-(EXP)sf
M2B LT BBB-sf New Rating BBB-(EXP)sf
M2BX LT BBB-sf New Rating BBB-(EXP)sf
M2C LT BBB-sf New Rating BBB-(EXP)sf
M2CX LT BBB-sf New Rating BBB-(EXP)sf
M2D LT BBB-sf New Rating BBB-(EXP)sf
M2DX LT BBB-sf New Rating BBB-(EXP)sf
B1A LT BB-sf New Rating BB-(EXP)sf
B1AX LT BB-sf New Rating BB-(EXP)sf
B1B LT BB-sf New Rating BB-(EXP)sf
B1BX LT BB-sf New Rating BB-(EXP)sf
AX LT NRsf New Rating NR(EXP)sf
XS1 LT NRsf New Rating NR(EXP)sf
XS2 LT NRsf New Rating NR(EXP)sf
X LT NRsf New Rating NR(EXP)sf
R LT NRsf New Rating NR(EXP)sf
Transaction Summary
The notes are supported by 5,436 newly originated, closed-end
second lien (CES) loans with a total balance of $437 million as of
the cutoff date.
Spring EQ, LLC (Spring EQ), PennyMac Loan Services, LLC (PennyMac)
and Nationstar Mortgage LLC dba Mr. Cooper (Nationstar) originated
approximately 58%, 21% and 21% of the loans, respectively.
Shellpoint Mortgage Servicing (SMS), PennyMac and Nationstar will
service the loans. The servicers will advance delinquent (DQ)
monthly payments of P&I for up to 60 days (under the Office of
Thrift Supervision [OTS] methodology) or until deemed
nonrecoverable.
Distributions of P&I and loss allocations are based on a
traditional senior-subordinate, sequential structure. The
sequential-pay structure locks out principal to the subordinated
notes until the most senior notes outstanding are paid in full.
Excess cash flow can be used to repay losses or net weighted
average coupon (WAC) shortfalls. In addition, the structure
includes a senior interest-only (IO) class, which represents a
senior interest strip of 1.50%, with such interest strip
entitlement being senior to the net interest amounts paid to the
P&I certificates.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Due to an updated view
on sustainable home prices, Fitch views the home price values of
this pool as 11.7% above a long-term sustainable level, compared
with 11.5% on a national level as of 1Q24, up 0.4% qoq. Housing
affordability is at its worst levels in decades, driven by high
interest rates and elevated home prices. Home prices increased 5.9%
yoy nationally as of May 2024, despite modest regional declines,
but are still being supported by limited inventory.
Closed-End Second Liens (Negative): The entirety of the collateral
pool comprises newly originated CES mortgages. Fitch assumed no
recovery and 100% loss severity (LS) on second lien loans based on
the historical behavior of second lien loans in economic stress
scenarios. Fitch assumes second lien loans default at a rate
comparable to first lien loans; after controlling for credit
attributes, no additional penalty was applied.
Strong Credit Quality (Positive): The pool consists of
new-origination CES loans, seasoned at approximately five months
(as calculated by Fitch), with a relatively strong credit profile
— a weighted average (WA) model credit score of 731, a 39%
debt-to-income ratio (DTI) and a moderate sustainable loan-to-value
ratio (sLTV) of 80%.
Roughly 97% of the loans were treated as full documentation in
Fitch's analysis. Approximately 64% of the loans were originated
through a retail channel.
Sequential-Pay Structure with Realized Loss and Writedown Feature
(Mixed): The transaction's cash flow is based on a sequential-pay
structure whereby the subordinate classes do not receive principal
until the most senior classes are repaid in full. Losses are
allocated in reverse-sequential order. Furthermore, the provision
to reallocate principal to pay interest on the 'AAAsf' rated notes
prior to other principal distributions is highly supportive of
timely interest payments to those notes in the absence of servicer
advancing.
With respect to any loan that becomes DQ for 150 days or more under
the OTS methodology, the related servicer will review, and may
charge off, such loan with the approval of the asset manager, based
on an equity analysis review performed by the servicer, causing the
most subordinated class to be written down. Fitch views the
writedown feature positively, despite the 100% LS assumed for each
defaulted second lien loan, as cash flows will not be needed to pay
timely interest to the 'AAAsf' rated notes during loan resolution
by the servicers. In addition, subsequent recoveries realized after
the writedown at 150 days DQ (excluding forbearance mortgage or
loss mitigation loans) will be passed on to bondholders as
principal.
The structure does not allocate excess cashflow to turbo down the
bonds but includes a step-up coupon feature whereby the fixed
interest rate for classes A1, A2 and M1 will increase by 100 bps,
subject to the net WAC, after four years.
In addition, the structure includes a senior IO class certificate
(class AX), which represents a senior interest strip of 1.50% per
annum based off the related mortgage rate of each mortgage loan,
with such interest strip entitlement being senior to the net
interest amounts paid to the notes and paid at the top of the
waterfall. Notably, the inclusion of this senior IO class reduces
the collateral WAC and effectively diminishes the excess spread.
Given that it is a strip-off of the entire collateral balance and
accrual amounts will be reduced by any losses on the collateral
pool, class AX cannot be rated by Fitch.
Overall, in contrast to earlier TPMT CES transactions, this
transaction has less excess spread available and its application
offers diminished support to the rated classes, requiring a higher
level of credit enhancement (CE).
Separately, while Fitch has previously analyzed CES 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.
Limited Servicer P&I Advances (Neutral): The transaction is
structured with three months of servicer advances for DQ P&I.
Structural provisions and cash flow priorities, together with
increased subordination, provide for timely payments of interest to
the 'AAAsf' rated classes. Fitch is indifferent to the advancing
framework since, given its projected 100% LS, no credit would be
given to advances on the structure side and no additional
adjustment would be made in relation to LS.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
This defined negative rating sensitivity analysis shows how 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 42.6%, at 'AAAsf'. The analysis
indicates there is some potential rating migration, with higher
MVDs for all rated classes compared with model projections.
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 rated classes. Specifically, a
10% gain in home prices would result in a full category upgrade for
the rated classes, excluding those being assigned ratings of
'AAAsf'.
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 (AMC) and Clayton, LLC (Clayton). A
third-party due diligence review was completed on 100% of the
loans. The scope, as described in Form 15E, focused on credit,
regulatory compliance and property valuation reviews, consistent
with Fitch criteria for new originations. The results of the
reviews indicated low operational risk with no loans receiving a
final grade of C/D. Fitch applied a credit for the high percentage
of loan-level due diligence, which reduced the 'AAAsf' loss
expectation by 91bps.
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.
VERUS SECURITIZATION 2024-R1: S&P Assigns Prelim B(sf) on B-2 Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Verus
Securitization Trust 2024-R1's mortgage-backed notes.
The note issuance is an RMBS securitization backed by primarily
seasoned first-lien, fixed- and adjustable-rate residential
mortgage loans, including mortgage loans with initial interest-only
periods, to both prime and non-prime borrowers. The loans are
secured by single-family residences, planned-unit developments,
two- to four-family residential properties, condominiums,
townhouses, mixed-use properties, and five- to 10-unit multifamily
residences. The pool has 1,012 loans backed by 1,028 properties.
The preliminary ratings are based on information as of Oct. 16,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect our view of:
-- The pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, representations and warranties (R&W) framework,
modifications, prior credit events, and geographic concentration;
-- The mortgage aggregator, Invictus Capital Partners (Invictus);
and
-- One key change in our baseline forecast since June is an
acceleration in the pace of monetary policy easing. S&P said, "We
anticipate the Federal Reserve will deliver two more rate cuts of
25 basis points (bps) this year and a total of 225 bps of rate cuts
by year-end 2025--a 75 bps increase from our prior forecast. We
continue to expect real GDP growth to slow from above-trend growth
this year to below-trend growth in 2025, accompanied by a further
rise in the unemployment rate and lower inflation. However, our
probability of a recession starting over the next 12 months remains
unchanged at 25%. With personal consumption still healthy for now,
near-term recession fears appear overblown. Therefore, we maintain
our current market outlook as it relates to the 'B' projected
archetypal foreclosure frequency of 2.50%. This reflects our benign
view of the mortgage and housing markets, as demonstrated through
general national level home price behavior, unemployment rates,
mortgage performance, and underwriting."
Preliminary Ratings Assigned(i)
Verus Securitization Trust 2024-R1
Class A-1, $263,669,000: AAA (sf)
Class A-2, $15,729,000: AA (sf)
Class A-3, $32,642,000: A (sf)
Class M-1, $12,008,000: BBB- (sf)
Class B-1, $6,427,000: BB- (sf)
Class B-2, $3,382,000: B (sf)
Class B-3, $4,398,083: NR
Class A-IO-S, Notional: NR
Class XS, Notional: NR
Class DA, N/A: NR
Class R, N/A: NR
(i)The collateral and structural information reflect the term sheet
dated Oct. 11, 2024.
VOYA CLO 2019-1: Fitch Assigns 'BB-sf' Rating on Class E-RR Notes
-----------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Voya CLO
2019-1, Ltd. reset transaction.
Entity/Debt Rating
----------- ------
Voya CLO 2019-1,
Ltd.
X LT AAAsf New Rating
A-1-R LT AAAsf New Rating
A-2-R LT AAAsf New Rating
B-RR LT AAsf New Rating
C-RR LT Asf New Rating
D-1-R LT BBB-sf New Rating
D-2-R LT BBB-sf New Rating
E-RR LT BB-sf New Rating
Subordinated LT NRsf New Rating
Transaction Summary
Voya CLO 2019-1, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) managed by Voya Alternative
Asset Management LLC that originally closed on March 20, 2019 and
had its first full refinancing on March 3, 2020. The transaction is
expected to be fully refinanced the second time on Oct. 15, 2024.
Net proceeds from the issuance of the secured notes and additional
subordinated notes will provide financing on a portfolio of
approximately $400 million of primarily first lien senior secured
leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 24.2, versus a maximum covenant, in accordance with
the initial expected matrix point of 27.0. Issuers rated in the 'B'
rating category denote a highly speculative credit quality;
however, the notes benefit from appropriate credit enhancement and
standard U.S. CLO structural features.
Asset Security (Positive): The indicative portfolio consists of
96.6% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 74.7% versus a
minimum covenant, in accordance with the initial expected matrix
point of 74.1%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 42% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the results under these sensitivity scenarios are as
severe as 'AAAsf' for class X notes, between 'BBB+sf' and 'AA+sf'
for class A-1-R notes, between 'BBB-sf' and 'AA+sf' for class A-2-R
notes, between 'BB+sf' and 'A+sf' for class B-RR notes, between
'Bsf' and 'BBB+sf' for class C-RR notes, between less than 'B-sf'
and 'BB+sf' for class D-1-R notes, between less than 'B-sf' and
'BB+sf' for class D-2-R notes, and between less than 'B-sf' and
'B+sf' for class E-RR notes.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class X, class A-1-R
and class A-2-R notes as these notes are in the highest rating
category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-RR notes, 'AA+sf' for class C-RR
notes, 'A+sf' for class D-1-R notes, 'A+sf' for class D-2-R notes,
and 'BBB+sf' for class ERR notes.
Key Rating Drivers and Rating Sensitivities are further described
in the new issue report.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Voya CLO 2019-1,
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 any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
WAMU MORTGAGE 2004-RP1: Moody's Cuts Rating on I-S Certs to 'Ca'
----------------------------------------------------------------
Moody's Ratings has upgraded the ratings of two bonds and
downgraded the rating of one bond from WaMu Mortgage Pass-Through
Certificates Series 2004-RP1, a US mortgage-backed securities
(RMBS) transaction backed by FHA-VA mortgages.
A comprehensive review of all credit ratings for the respective
transactions have been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: WaMu Mortgage Pass-Through Certificates Series 2004-RP1
Cl. II-A, Upgraded to Ba2 (sf); previously on Jul 25, 2016
Downgraded to B1 (sf)
Cl. II-B-1, Upgraded to B1 (sf); previously on Jun 1, 2015
Downgraded to B3 (sf)
Cl. I-S*, Downgraded to Ca (sf); previously on Mar 30, 2021
Downgraded to Caa3 (sf)
* Reflects Interest-Only Classes
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.
Pool group II of the transaction continues to display stable
collateral performance, as evidenced by cumulative losses which
remain under 0.50% and have reduced over the past few years as
collateral recoveries are realized. The rating upgrades on Class
II-A and II-B-I reflect improved loss coverage levels since Moody's
last review.
The rating upgrades 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.
The rating downgrade on Class I-S, a multi-tranche Interest-Only
bond, reflects the losses to date as well as Moody's expected
future losses of its linked tranches.
Moody's analysis also reflects the potential for collateral
volatility given the number of deal-level and macro factors that
can impact collateral performance, and the potential impact of any
collateral volatility on the model output.
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 rating all classes except
interest-only classes was "US FHA-VA Residential Mortgage-backed
Securitizations: Surveillance" published in April 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.
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.
WELLFLEET CLO 2022-2: S&P Assigns Prelim 'BB-' Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement debt and proposed
new class X debt from Wellfleet CLO 2022-2 Ltd./Wellfleet CLO
2022-2 LLC, a CLO originally issued in September 2022 that is
managed by Blue Owl Liquid Credit Advisors LLC, formerly known as
Wellfleet Credit Partners LLC.
The preliminary ratings are based on information as of Oct. 15,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Oct. 18, 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 and the
proposed new class X debt. However, if the refinancing doesn't
occur, we may affirm our ratings on the original debt and withdraw
our preliminary ratings on the replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The replacement class A-R, B-R, C-R, D-1-R, and E-R debt is
expected to be issued at a lower spread over three-month term SOFR
than the original debt.
-- The class D debt is expected to be replaced by the
floating-rate class D-1-R debt and the fixed-rate class D-2-R
debt.
-- The stated maturity, reinvestment period, and non-call period
will each be extended by two years.
-- The weighted average life test will be extended to nine years
from the closing date.
-- The proposed class X debt is expected to be issued in
connection with this refinancing and expected paid down using
interest proceeds during the first 12 payment dates beginning with
the January 2025 payment date.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"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
Wellfleet CLO 2022-2 Ltd./Wellfleet CLO 2022-2 LLC
Class X, $3.25 million: AAA (sf)
Class A-R, $295.00 million: AAA (sf)
Class B-R, $85.00 million: AA (sf)
Class C-R (deferrable), $30.00 million: A (sf)
Class D-1-R (deferrable), $25.00 million: BBB (sf)
Class D-2-R (deferrable), $7.75 million: BBB- (sf)
Class E-R (deferrable), $14.75 million: BB- (sf)
Other Debt
Wellfleet CLO 2022-2 Ltd./Wellfleet CLO 2022-2 LLC
Subordinated notes, $56.70 million: Not rated
WELLS FARGO 2016-C33: Fitch Cuts Rating on Two Tranches to 'CCCsf'
------------------------------------------------------------------
Fitch Ratings has downgraded two and affirmed 12 classes of Wells
Fargo Commercial Mortgage Trust 2016-C33 (WFCM 2016-C33). The
Rating Outlooks remain Negative for classes E, X-E, D and X-D.
Fitch has downgraded two and affirmed 13 classes of Wells Fargo
Commercial Mortgage Trust 2016-C36 (WFCM 2016-C36). Fitch has also
assigned Negative Outlooks to classes D and X-D following their
downgrades and revised the Outlooks to Negative from Stable for
classes B and X-B. The Outlooks remain Negative for classes C and
E-1.
Fitch has downgraded four and affirmed 12 classes of Wells Fargo
Commercial Mortgage Trust 2016-C37 (WFCM 2016-C37). Fitch has also
assigned Negative Outlooks to classes F and X-EF following their
downgrades and revised the Outlooks to Negative from Stable for
classes D and X-D. The Outlook remains Negative for class E.
Entity/Debt Rating Prior
----------- ------ -----
WFCM 2016-C37
A-3 95000PAC8 LT AAAsf Affirmed AAAsf
A-4 95000PAD6 LT AAAsf Affirmed AAAsf
A-5 95000PAE4 LT AAAsf Affirmed AAAsf
A-S 95000PAG9 LT AAAsf Affirmed AAAsf
A-SB 95000PAF1 LT AAAsf Affirmed AAAsf
B 95000PAK0 LT AA+sf Affirmed AA+sf
C 95000PAL8 LT A+sf Affirmed A+sf
D 95000PAX2 LT BBB-sf Affirmed BBB-sf
E 95000PAZ7 LT BB+sf Affirmed BB+sf
F 95000PBB9 LT B-sf Downgrade BB-sf
G 95000PBD5 LT CCCsf Downgrade B-sf
X-A 95000PAH7 LT AAAsf Affirmed AAAsf
X-B 95000PAJ3 LT AA+sf Affirmed AA+sf
X-D 95000PAM6 LT BBB-sf Affirmed BBB-sf
X-EF 95000PAP9 LT B-sf Downgrade BB-sf
X-G 95000PAR5 LT CCCsf Downgrade B-sf
WFCM 2016-C36
A-3 95000MBN0 LT AAAsf Affirmed AAAsf
A-4 95000MBP5 LT AAAsf Affirmed AAAsf
A-S 95000MBR1 LT AA+sf Affirmed AA+sf
A-SB 95000MBQ3 LT AAAsf Affirmed AAAsf
B 95000MBU4 LT Asf Affirmed Asf
C 95000MBV2 LT BBBsf Affirmed BBBsf
D 95000MAC5 LT B-sf Downgrade BB-sf
E 95000MAJ0 LT CCCsf Affirmed CCCsf
E-1 95000MAE1 LT B-sf Affirmed B-sf
E-2 95000MAG6 LT CCCsf Affirmed CCCsf
EF 95000MAS0 LT CCCsf Affirmed CCCsf
F 95000MAQ4 LT CCCsf Affirmed CCCsf
X-A 95000MBS9 LT AAAsf Affirmed AAAsf
X-B 95000MBT7 LT Asf Affirmed Asf
X-D 95000MAA9 LT B-sf Downgrade BB-sf
WFCM 2016-C33
A-3 95000LAY9 LT AAAsf Affirmed AAAsf
A-4 95000LAZ6 LT AAAsf Affirmed AAAsf
A-S 95000LBB8 LT AAAsf Affirmed AAAsf
A-SB 95000LBA0 LT AAAsf Affirmed AAAsf
B 95000LBE2 LT AA+sf Affirmed AA+sf
C 95000LBF9 LT Asf Affirmed Asf
D 95000LAJ2 LT BBB-sf Affirmed BBB-sf
E 95000LAL7 LT BB-sf Affirmed BB-sf
F 95000LAN3 LT CCCsf Downgrade B-sf
X-A 95000LBC6 LT AAAsf Affirmed AAAsf
X-B 95000LBD4 LT Asf Affirmed Asf
X-D 95000LAA1 LT BBB-sf Affirmed BBB-sf
X-E 95000LAC7 LT BB-sf Affirmed BB-sf
X-F 95000LAE3 LT CCCsf Downgrade B-sf
KEY RATING DRIVERS
Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case
losses are 6.6% in WFCM 2016-C33, 8.4% in WFCM 2016-C36 and 7.1% in
WFCM 2016-C37. Fitch Loans of Concerns (FLOCs) comprise nine loans
(24.2% of the pool) in WFCM 2016-C33, including two specially
serviced loans (4%); 11 loans (31.3%) in WFCM 2016-C36, including
two specially serviced loans (2.6%); and seven loans (16.1%) in
WFCM 2016-C37.
The downgrades in all three transactions reflect increased pool
loss expectations since Fitch's prior rating action driven by
performance deterioration and refinance concerns for office FLOCs,
particularly Business & Research Center at Garden City (6.2%),
Brier Creek Corporate Center I & II (3.8%) and the specially
serviced Omni Officentre (2.7%) in WFCM 2016-C33; Plaza America I &
II (9.2%) and the specially serviced One & Two Corporate Plaza
(0.9%) in WFCM 2016-C36; and 1140 Avenue of the Americas (5.5%), 80
Park Plaza (3.5%) and Cranberry Crossroads (2.5%) in WFCM
2016-C37.
The Negative Outlooks reflect the office concentration in these
transactions (29.5% in WFCM 2016-33, 25.8% in WFCM 2016-C36 and
11.6% in WFCM 2016-C37). They also reflect that further downgrades
are possible should performance continue to deteriorate, recovery
prospects worsen or if workouts are prolonged for the
aforementioned office FLOCs and two regional mall and outlet center
loans, Gurnee Mills (10.6%) and the specially serviced Mall at
Turtle Creek (1.7%) in WFCM 2016-C36.
The largest increase in loss since the prior rating action and the
largest contributor to overall loss expectations in WFCM 2016-C33
is the Omni Officentre loan, which is secured by a 294,090-sf
office building located in Southfield, MI. The loan transferred to
the special servicer in August 2022 due to imminent monetary
default following Blue Cross Blue Shield going dark prior to their
June 2022 lease expiration. After Blue Cross Blue Shield vacated
their premises, insufficient funds were received in the cash
management account to cover the full July 2022 payment. The
borrower was no longer willing to contribute additional capital
into the property and indicated its willingness to transition the
property to the lender. A receiver is in place at the property.
According to the servicer, a July 2024 receiver report shows
property occupancy of 16.9%, compared to 18.7% in July 2023, 19% at
YE 2022, 61% at YE 2021 and 81% at issuance. Occupancy is estimated
to have declined further to 14% as ModivCare Solutions LLC (2.6% of
NRA) vacated at lease expiration in August 2024. Current major
tenants include Korotkin Insurance Group Inc. (4.9% of NRA; lease
expiry in February 2025) and Rich & Associates Inc. (1.9%; April
2025), both of which are reportedly working on lease renewals per
the servicer based upon the July 2024 receiver report.
Per CoStar as of QTD 4Q2024, comparable properties in the
Southfield office submarket had a 25% vacancy rate and 28.5%
availability rate while the total submarket had a 24.5% vacancy
rate and 28.8% availability rate. Fitch's 'Bsf' rating case loss of
93% (prior to concentration add-ons) factors in the increased loan
exposure and incorporates a haircut to the most recent appraised
value, reflecting a stressed value of $13 psf.
The second largest contributor to overall loss expectations in WFCM
2016-C33 is the Brier Creek Corporate Center I & II loan, which is
secured by two, four-story office buildings totaling 180,955-sf
located in Raleigh, NC. Fitch designated it as a FLOC due to the
property's negative cashflow in 2022 and 2023 caused by a
significant decline in occupancy. The two largest tenants, which
combined accounted for approximately 75% of the NRA, vacated at
their lease expirations in 2020; occupancy and NOI have yet to
recover.
Per the June 2024 rent roll, the property was 37.9% occupied,
compared to 75% in 2020 and 94% at issuance. Major current tenants
include Attindas Hygiene Partners (12.8% of the NRA; lease expiry
in March 2026), OnRamp Access (6.6%; January 2025) and ProKidney
(4.3%; July 2027). Per the servicer, OnRamp Access does not intend
to renew; however, an existing tenant at the property is looking to
expand, but it is unclear how much additional space it will take.
Per CoStar as of 4Q2024, comparable properties in the RTP/RDU
office submarket had a 22.2% vacancy rate, 24.1% availability rate
and $30.51 market asking rent. The total submarket had a 18.2%
vacancy rate, 19.8% availability rate and $30.21 market asking
rent. Per the June 2024 rent roll, the property had average
in-place rent of $26.95 psf. Fitch's 'Bsf' rating case loss of 40%
(prior to concentration add-ons) reflects a 10.5% cap rate and 60%
stress to the YE 2020 NOI as well as an elevated probability of
default.
The third largest contributor to overall loss expectations in WFCM
2016-C33 is the Business & Research Center at Garden City loan,
which is secured by a 187,118-sf office building located in Garden
City, NY. The largest tenants are Lifetime Brands Inc. (79.1% NRA;
lease expiry in May 2029) and Nassau Community College (13.7%; May
2029). Per CoStar, there is approximately 48,512-sf (25.9% of NRA)
of space occupied by Lifetime Brands currently listed on the market
for sublease at the 1000 Stewart Avenue property. Fitch's 'Bsf'
rating case loss of 13% (prior to concentration add-ons) reflects a
10% cap rate and 20% stress to the YE 2023 NOI as well as factoring
an elevated probability of default.
In WFCM 2016-C36, the Plaza America I & II loan represents the
largest increase in loss expectations since the prior rating
action. The loan is secured by a 516,396-sf suburban office
property built in 1999 consisting of two buildings that are part of
the larger Plaza America office campus in Reston, VA.
Per the June 2024 rent roll, the property was 60.5% occupied
compared to 83% at YE 2022 and 88% at issuance. Since the last
rating action, Software AG (12.1% of NRA and 16.1% of annual rent)
vacated at its lease expiration in February 2024. Additionally,
Macedon Consulting (4.6% of NRA; lease expiry in August 2031) filed
for bankruptcy and also vacated the property. Upcoming rollover
includes 7.4% of the NRA in 2024 and 3.1% in 2025. All of the NRA
expiring in 2024 is expected to vacate, which would bring occupancy
down to an estimated 53%.
Per CoStar as of QTD 4Q2024, comparable properties in the Reston
office submarket had a 25.3% vacancy rate, 29.7% availability rate
and $39.42 market asking rent while the total submarket had a 23.3%
vacancy rate, 26.1% availability rate and $34.61 market asking
rent. Per the June 2024 rent roll, the property had average
in-place rent of $38.98 psf. Fitch's 'Bsf' rating case loss of 13%
(prior to concentration add-ons) reflects a 10% cap rate and 20%
stress to the YE 2023 NOI as well as factoring an elevated
probability of default.
The One & Two Corporate Plaza loan in WFCM 2016-C36 represents the
second largest increase in loss expectations since the prior rating
action. The loan, which is secured by two suburban office
properties built in 1984 and 1989 totaling 276,000-sf and located
in Houston, TX, was transferred to special servicing in January
2021. The asset became REO in October 2022. While in special
servicing, performance continued to decline, with occupancy
reported at 41.1% as of June 2024, compared to 44% at YE 2023 and
83% at issuance. Fitch's 'Bsf' rating case loss of 86% (prior to
concentration add-ons) reflects a haircut to the most recent
appraised value, reflecting a stressed value of $46 psf.
The largest increase in loss since the last rating action and
largest contributor to overall loss expectations in WFCM 2016-C37
is the 1140 Avenue of the Americas loan, which is secured by a
242,466-sf office building in Midtown, Manhattan. The YE 2023 NOI
was 48% below YE 2022 and 80% below the Fitch issuance NCF,
reflecting lower occupancy and rental rates at the property. The
servicer-reported YE 2023 NOI DSCR was 0.40x; however, the sponsor
has continued to fund debt service shortfalls as they try to
stabilize occupancy; the loan remains current. Per the June 2024
rent roll, the property was 79.3% occupied, compared to 71% at YE
2022 and 91% at issuance.
Fitch's 'Bsf' rating case loss of 84% (prior to concentration
add-ons) reflects a Fitch value of $16.1 million as well as a high
probability of default given a short-term ground lease and
declining performance. Fitch's value incorporates the YE 2023 NOI
with an adjustment for rent abatements ending in 2024. Fitch also
applied a cap rate of 12% reflecting the elevated risk associated
with the ground lease which expires in 2066. The current annual
ground lease payment is $4.75 million. Fitch's increased loss
expectation includes the potential for significant challenges in
refinancing the loan given the deterioration in property
performance and market conditions since issuance, upcoming tenant
rollover and potential for further performance declines, as well as
the high ground lease payment and short remaining term.
The second largest contributor to overall loss expectations in WFCM
2016-C37 is the Cranberry Crossroads loan, which is secured by an
86,511-sf suburban office building built in 2013 and located in
Cranberry Township, PA. Per the June 2024 rent roll, the property
was 94.4% occupied, compared to 83% at YE 2022 and 98% at
underwriting. Upcoming rollover is significant, including 17.9% of
the NRA in 2025 and 35.1% in 2026. Vitas Healthcare Corp. (8.7%
NRA; lease expiry in March 2025) is expected to sign a five-year
extension, reducing rollover in 2025 to 9.2% of the NRA.
Per CoStar as of 4Q2024, comparable properties in the Butler County
office submarket had a 7.9% vacancy rate, 11.2% availability rate
and $26.94 market asking rent while the total submarket had a 7%
vacancy rate, 9.4% availability rate and $21.14 market asking rent.
Per the June 2024 rent roll, the property had average in-place rent
of $24 psf. Fitch's 'Bsf' rating case loss of 24% (prior to
concentration add-ons) reflects a 10% cap rate and 10% stress to
the YE 2023 NOI as well as factoring an elevated probability of
default.
The 80 Park Plaza loan (3.5%) in WFCM 2016-C37 is secured by a
960,689-sf office building located in Newark, NJ and was flagged as
a FLOC due to anticipated refinance concerns as a significant
portion of the largest tenant's space (PSEG, 85.8% of the NRA
through Sept. 2030) has been listed as available for sublease.
According to CoStar, approximately 32% of PSEG's space, including
floors 12 through 20, is being marketed for sublease as of October
2024. Fitch's 'Bsf' rating case loss of 5% (prior to concentration
add-ons) reflects a 10.25% cap rate and 10% stress to the YE 2023
NOI. Fitch also performed an additional sensitivity analysis,
increasing the probability of default that resulted in a loan-level
'Bsf' sensitivity loss of 28% (prior to concentration add-ons),
which contributed to the Negative Outlooks.
Increased Credit Enhancement (CE): As of the September 2024
remittance report, the aggregate pool balances of the WFCM
2016-C33, WFCM 2016-C36 and WFCM 2016-C37 transactions have been
reduced by 27.4%, 17.5% and 27.7%, respectively, since issuance.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
The Negative Outlooks reflect possible future downgrades stemming
from concerns with further declines in performance that could
result in higher expected losses on FLOCs. If expected losses do
increase, downgrades to these classes are likely.
Downgrades to the 'AAAsf' rated classes are not expected due to the
position in the capital structure and expected continued
amortization and loan repayments. However, they may occur if
deal-level losses increase significantly with limited to no
improvement in class CE, and/or interest shortfalls occur or are
expected to occur.
Downgrades to classes rated in the 'AAsf' and 'Asf' categories may
occur should performance of the FLOCs deteriorate further or if
more loans than expected default at or prior to maturity. These
FLOCs include Business & Research Center at Garden City, Brier
Creek Corporate Center I & II and Omni Officentre in WFCM 2016-C33;
Plaza America I & II and One & Two Corporate Plaza in WFCM
2016-C36; and 1140 Avenue of the Americas, 80 Park Plaza and
Cranberry Crossroads in WFCM 2016-C37.
Downgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf'
categories, which have Negative Outlooks in each of the three
transactions, could occur with higher than expected losses from
continued underperformance of the aforementioned FLOCs,
particularly the aforementioned office FLOCs with deteriorating
performance, and with greater certainty of losses on the specially
serviced loans or other FLOCs.
Downgrades to distressed ratings of 'CCCsf' would occur as losses
become more certain and/or as losses are incurred.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to 'AAsf' and 'Asf' category rated classes are possible
with significantly increased CE from paydowns, coupled with
stable-to-improved pool-level loss expectations and performance
stabilization of FLOCs, particularly the office FLOCs, including
Business & Research Center at Garden City, Brier Creek Corporate
Center I & II and Omni Officentre in WFCM 2016-C33; Plaza America I
& II and One & Two Corporate Plaza in WFCM 2016-C36; and 1140
Avenue of the Americas, 80 Park Plaza and Cranberry Crossroads in
WFCM 2016-C37. Upgrades of these classes to 'AAAsf' will also
consider the concentration of defeased loans in the transaction.
Upgrades to the 'BBBsf' category rated classes would be limited
based on sensitivity to concentrations or the potential for future
concentration and would only occur with sustained improved
performance of the FLOCs.
Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely
until the later years in a transaction and only if the performance
of the remaining pool is stable and there is sufficient CE to the
classes.
Upgrades to distressed ratings are not expected but possible with
better than expected recoveries on specially serviced loans or
significantly higher values on FLOCs.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
WESTLAKE AUTOMOBILE 2024-3: S&P Assigns BB (sf) Rating on E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Westlake Automobile
Receivables Trust 2024-3's automobile receivables-backed notes.
The note issuance is an ABS transaction backed by subprime auto
loan receivables.
The ratings reflect:
-- The availability of approximately 45.7%, 39.1%, 30.5%, 23.3%,
and 20.3% 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 3.50x, 3.00x, 2.30x, 1.75x, and 1.50x
coverage of our expected cumulative net loss of 12.50% for the
class A, B, C, D, and E notes, respectively.
-- The expectation that under a moderate ('BBB') stress scenario
(1.75x its expected loss level), all else being equal, S&P's '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 our
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, S&P's view of the credit risk of the collateral,
and its updated macroeconomic forecast and forward-looking view of
the auto finance sector.
-- The series' bank accounts at Wells Fargo Bank N.A., which do
not constrain the ratings.
-- S&P's operational risk assessment of Westlake Services LLC as
servicer and its view of the company's underwriting and the backup
servicing arrangement with Computershare Trust Co. N.A.
-- S&P's assessment of the transaction's potential exposure to
environmental, social, and governance credit factors, which are in
line with our sector benchmark.
-- The transaction's payment and legal structures.
Ratings Assigned
Westlake Automobile Receivables Trust 2024-3
Class A-1, $279.45 million: A-1+ (sf)
Class A-2-A, $534.02 million: AAA (sf)
Class A-2-B, $100.00 million: AAA (sf)
Class A-3, $216.08 million: AAA (sf)
Class B, $142.50 million: AA (sf)
Class C, $202.36 million: A (sf)
Class D, $180.50 million: BBB (sf)
Class E, $83.60 million: BB (sf)
WHITEBOX CLO III: Moody's Assigns Ba3 Rating to $21MM E-R Notes
---------------------------------------------------------------
Moody's Ratings has assigned ratings to six classes of CLO
refinancing notes (the Refinancing Notes) issued by Whitebox CLO
III LTD (the Issuer):
US$268,800,000 Class A-1R Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)
US$25,200,000 Class A-2R Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)
US$25,200,000 Class B-R Senior Secured Floating Rate Notes due
2035, Assigned Aa2 (sf)
US$23,100,000 Class C-R Secured Deferrable Floating Rate Notes due
2035, Assigned A2 (sf)
US$23,100,000 Class D-R Secured Deferrable Floating Rate Notes due
2035, Assigned Baa3 (sf)
US$21,000,000 Class E-R Secured Deferrable Floating Rate Notes due
2035, 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. At least 90%
of the portfolio must consist of first lien senior secured loans
and up to 10% of the portfolio may consist of second-lien loans,
unsecured loans, senior secured bonds, high yield bonds, senior
unsecured bonds, and senior secured notes.
Whitebox Capital 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 three 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, 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: $420,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2688
Weighted Average Spread (WAS): 3.20%
Weighted Average Coupon (WAC): 5.00%
Weighted Average Recovery Rate (WARR): 46.0%
Weighted Average Life (WAL): 6 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.
WILDWOOD PARK: S&P Assigns Prelim B- (sf) Rating on Class F Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Wildwood
Park CLO Ltd./Wildwood Park CLO 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 Blackstone Liquid Credit Strategies
LLC.
The preliminary ratings are based on information as of Oct. 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 diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Wildwood Park CLO Ltd./Wildwood Park CLO LLC
Class A, $256.00 million: Not rated
Class B-1, $38.00 million: AA (sf)
Class B-2, $10.00 million: AA (sf)
Class C (deferrable), $24.00 million: A (sf)
Class D-1 (deferrable), $24.00 million: BBB- (sf)
Class D-2 (deferrable), $3.00 million: BBB- (sf)
Class E (deferrable), $13.00 million: BB- (sf)
Class F (deferrable), $2.00 million: B- (sf)
Subordinated notes, $36.87 million: Not rated
ZAIS CLO 5: Moody's Cuts Rating on $18.4MM Class D Notes to Caa1
----------------------------------------------------------------
Moody's Ratings has upgraded the rating on the following notes
issued by ZAIS CLO 5, Limited:
US$21,600,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2028 (the "Class C Notes"), Upgraded to Aaa (sf); previously on
January 10, 2024 Upgraded to Aa3 (sf)
Moody's have also downgraded the rating on the following notes:
US$18,400,000 Class D Secured Deferrable Floating Rate Notes due
2028 (current outstanding balance of $18,668,009.60) (the "Class D
Notes"), Downgraded to Caa1 (sf); previously on February 3, 2022
Upgraded to B3 (sf)
ZAIS CLO 5, Limited, originally issued in October 2016 and
partially refinanced in February 2021 is a managed cashflow CLO.
The notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The transaction's
reinvestment period ended in October 2020.
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
RATINGS RATIONALE
The upgrade rating action on the Class C notes is primarily a
result of deleveraging of the senior notes and an increase in the
class's over-collateralization (OC) ratios since January 2024. The
Class A-2 notes have been completely paid down and Class B notes
have been paid down by approximately 91% or $22.9 million since
then. Based on Moody's calculation, the OC ratios for the Class C
notes are currently 187.08%, versus January 2024 level of 136.12%.
The downgrade rating action on the Class D 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 D notes is 104.96%
compared to 106.98% in January 2024. Furthermore, both Moody's
calculated weighted average rating factor (WARF) and weighted
average spread (WAS) have been deteriorating and are currently
4028, and 4.21%, respectively, compared to 3855 and 4.58%,
respectively in January 2024.
No action was taken on the Class B notes because its expected loss
remain 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: $44,190,427
Defaulted par: $1,774,150
Diversity Score: 17
Weighted Average Rating Factor (WARF): 4028
Weighted Average Spread (WAS): 4.21%
Weighted Average Coupon (WAC): 8.00%
Weighted Average Recovery Rate (WARR): 46.6%
Weighted Average Life (WAL): 2.7 years
Par haircut in OC tests and interest diversion test: 7.5%
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.
ZAIS CLO 6: Moody's Lowers Rating on $25MM Class E Notes to B2
--------------------------------------------------------------
Moody's Ratings has upgraded the rating on the following notes
issued by ZAIS CLO 6, Limited:
US$25,000,000 Class D Deferrable Mezzanine Floating Rate Notes due
2029 (the "Class D Notes"), Upgraded to Aa1 (sf); previously on
February 6, 2024 Upgraded to A3 (sf)
Moody's have also downgraded the rating on the following notes:
US$25,000,000 Class E Deferrable Mezzanine Floating Rate Notes due
2029 (the "Class E Notes"), Downgraded to B2 (sf); previously on
September 3, 2020 Downgraded to B1 (sf)
ZAIS CLO 6, Limited, originally issued in June 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 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
The upgrade rating action on the Class D notes is primarily a
result of deleveraging of the senior notes and an increase in the
class's over-collateralization (OC) ratios since February 2024. The
Class A-1-R and A-2 notes have been completely paid down and the
Class B-R have been paid down by approximately 30% or $13.5 million
since then. Based on the trustee's September 2024[1] report, the OC
ratio for the Class D notes is 130.62%, versus February 2024[2]
level of 117.97%.
The downgrade rating action on the Class E 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 September 2024[1] report, the OC ratio for the Class
E notes is reported at 101.34% versus February 2024 [2] level of
102.44%. Furthermore, both the trustee's weighted average rating
factor (WARF) and weighted average spread (WAS) have been
deteriorating and are currently reported[1] at 3597 and 3.90%,
respectively, compared to 3136 and 4.16%, respectively, in February
2024[2].
No actions were taken on the Class B-R and Class C-R notes because
their expected losses remain commensurate with their current
ratings, after taking into account the CLO's latest portfolio
information, its relevant structural features and its actual
over-collateralization and interest coverage levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on Moody's
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:
Performing par and principal proceeds balance: $117,742,936
Defaulted par: $7,488,757
Diversity Score: 34
Weighted Average Rating Factor (WARF): 3515
Weighted Average Spread (WAS): 3.62%
Weighted Average Coupon (WAC): 8.00%
Weighted Average Recovery Rate (WARR): 47.7%
Weighted Average Life (WAL): 2.6 years
Par haircut in OC tests and interest diversion test: 5.7%
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.
[*] Fitch Affirms 'BBsf' Rating on Five MVW Trusts, Outlook Stable
------------------------------------------------------------------
Fitch Ratings has affirmed the ratings of MVW Owner Trust 2018-1
(2018-1), MVW 2019-1 LLC (2019-1), MVW 2019-2 LLC (2019-2), MVW
2020-1 LLC (2020-1), MVW 2021-1W LLC (2021-1W), MVW 2021-2 LLC
(2021-2), MVW 2022-1 LLC (2022-1), MVW 2022-2 LLC (2022-2) and MVW
2023-2 LLC (2022-2). The Rating Outlook remains Stable on all
classes.
Entity/Debt Rating Prior
----------- ------ -----
MVW Owner
Trust 2018-1
A 62848BAA9 LT AAAsf Affirmed AAAsf
B 62848BAB7 LT Asf Affirmed Asf
C 62848BAC5 LT BBBsf Affirmed BBBsf
MVW 2019-1 LLC
A 55389PAA7 LT AAAsf Affirmed AAAsf
B 55389PAB5 LT Asf Affirmed Asf
C 55389PAC3 LT BBBsf Affirmed BBBsf
MVW 2019-2 LLC
A 55400DAA9 LT AAAsf Affirmed AAAsf
B 55400DAB7 LT Asf Affirmed Asf
C 55400DAC5 LT BBBsf Affirmed BBBsf
MVW 2020-1
Class A 55400EAA7 LT AAAsf Affirmed AAAsf
Class B 55400EAB5 LT Asf Affirmed Asf
Class C 55400EAC3 LT BBBsf Affirmed BBBsf
Class D 55400EAD1 LT BBsf Affirmed BBsf
MVW 2021-1W LLC
A 55389TAA9 LT AAAsf Affirmed AAAsf
B 55389TAB7 LT Asf Affirmed Asf
C 55389TAC5 LT BBBsf Affirmed BBBsf
D 55389TAD3 LT BBsf Affirmed BBsf
MVW 2021-2 LLC
A 55400KAA3 LT AAAsf Affirmed AAAsf
B 55400KAB1 LT Asf Affirmed Asf
C 55400KAC9 LT BBBsf Affirmed BBBsf
MVW 2022-1 LLC
A 55400UAA1 LT AAAsf Affirmed AAAsf
B 55400UAB9 LT Asf Affirmed Asf
C 55400UAC7 LT BBBsf Affirmed BBBsf
D 55400UAD5 LT BBsf Affirmed BBsf
MVW 2022-2 LLC
A 55400VAA9 LT AAAsf Affirmed AAAsf
B 55400VAB7 LT Asf Affirmed Asf
C 55400VAC5 LT BBBsf Affirmed BBBsf
D 55400VAD3 LT BBsf Affirmed BBsf
MVW 2023-2 LLC
A 55400WAA7 LT AAAsf Affirmed AAAsf
B 55400WAB5 LT Asf Affirmed Asf
C 55400WAC3 LT BBBsf Affirmed BBBsf
D 55400WAD1 LT BBsf Affirmed BBsf
KEY RATING DRIVERS
The affirmations of the class A, B, C and D notes for all
transactions reflect default coverage levels consistent with their
current ratings. The Stable Outlook of notes reflects Fitch's
expectation that default coverage levels will remain supportive of
these ratings.
As of the August 2024 collection period, 61+ day delinquency rates
for 2018-1, 2019-1, 2019-2, 2020-1, 2021-1W, 2021-2, 2022-1, 2022-2
and 2023-2 are 2.09%, 2.08%, 2.32%, 2.38%, 3.03%, 2.30%, 2.66%,
2.54% and 1.79%, respectively. Cumulative gross defaults (CGDs) are
currently at 10.30%, 12.98%, 13.56%, 12.24%, 11.91%, 10.93%,
10.96%, 10.36% and 4.93%, respectively. As a result of optional
repurchases and substitutions of the defaulted loans by the seller,
none of the transactions have experienced a net loss to date.
To account for the recent performance, Fitch maintained
conservative rating case lifetime CGD proxies at of 11.5%, 14.5%,
15.5%, 15.0% and 16.25% for 2018-1, 2019-1, 2019-2, 2020-1 and
2021-1W, respectively, given stabilizing performance trends for
these transactions. The CGD proxies for 2021-2, 2022-1 and 2022-2
were increased to 17.0% from 15.5%, 18.0% from 16.0%, 18.0% from
13.5%, respectively, due to an increase in Fitch's CGD projections
since last review. For 2023-2, the lifetime CGD proxy was
maintained at 13.0% due to low seasoning of the pool.
For 2019-1 and 2019-2, default coverages for the class A, class B
and class C notes are able to support multiples in excess of 3.50x,
2.50x and 1.75x for 'AAAsf', 'Asf' and 'BBBsf'. For 2020-1, 2021-1W
and 2023-2, default coverages for the class A, class B, class C and
class D notes are able to support multiples in excess of 3.50x,
2.50x, 1.75x and 1.25x for 'AAAsf', 'Asf', 'BBBsf' and 'BBsf'. For
2018-1, the class A default coverage is slightly short of the 3.50x
multiple for 'AAAsf'; however, the class B and class C default
coverages are able to support multiples in excess of 2.50x for
'Asf' and 1.75x for 'BBBsf'.
For 2021-2 and 2022-2, the class A, class B and class C default
coverages are slightly short of the 3.50x, 2.50x and 1.75x
multiples for 'AAAsf', 'Asf' and 'BBBsf'. For 2022-1, the class A
and class B default coverages are slightly short of the 3.50x and
2.50x multiples for 'AAAsf' and 'Asf'. However, the class C and
class D default coverages are able to support the multiples in
excess of 1.75x for 'BBBsf' and 1.25x for 'BBsf'.
The shortfalls are considered marginal and are still within the
range of multiples for their current ratings. Additionally, Fitch
also accounted for the seller's optional repurchase and
substitution activities across all these transactions, resulting in
zero net losses to date.
The ratings also reflect the quality of Marriot Vacations Worldwide
Corporation timeshare receivable originations, the sound financial
and legal structure of the transaction, and the strength of
servicing capabilities provided by Marriott Ownership Resorts, Inc.
Fitch will continue to monitor economic conditions and their impact
as they relate to timeshare ABS and trust level performance
variables and update the ratings accordingly.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Unanticipated increases in the frequency of defaults could produce
default levels higher than the current projected rating case
default proxy, and impact available default coverage and multiples
levels for the transaction;
Weakening asset performance is strongly correlated to increasing
levels of delinquencies and defaults that could negatively affect
credit enhancement (CE) levels. Lower default coverage could impact
ratings and Outlooks, depending on the extent of the decline in
coverage.
In Fitch's initial review of the transactions, the notes were found
to have limited sensitivity to a 1.5x and 2.0x increase of Fitch's
rating case default expectation. For this review, Fitch updated the
analysis of the impact of a 2.0x increase of the rating case
default expectation and the results suggest consistent ratings for
the outstanding notes and in the event of such a stress, these
notes could be downgraded by up to three rating categories.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Stable to improved asset performance driven by stable delinquencies
and defaults would lead to increasing CE levels and consideration
for potential upgrades. Fitch applied an up sensitivity, by
reducing the rating case proxy by 20%. The impact of reducing the
proxies by 20% from the current proxies could result in up to one
category of upgrades or affirmations of ratings with stronger
multiples.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
[*] Moody's Lowers Ratings on 36 Bonds From US RMBS Deals
---------------------------------------------------------
Moody's Ratings, on Oct. 7, 2024, downgraded the ratings of 36
classes of US RMBS securities wrapped by MBIA Insurance
Corporation.
RATINGS RATIONALE
This action is solely driven by Moody's announcement on October 3,
2024 that Moody's have downgraded the Insurance Financial Strength
(IFS) rating of MBIA Insurance Corporation to Caa2 from Caa1, with
a negative outlook.
A List of Affected Credit Ratings is available at
https://urlcurt.com/u?l=KV3AOs
Principal Methodologies
Moody's ratings on structured finance securities that are
guaranteed or "wrapped" by a financial guarantor are generally
maintained at a level equal to the higher of the following: a) the
rating of the guarantor; or b) the published or unpublished
underlying rating (as applicable).
Factors that would lead to an upgrade or downgrade of the ratings:
This action is driven solely by the rating action on MBIA Insurance
Corporation and is not a result of change in key assumptions,
expected losses, cash flows and stress scenarios on the underlying
assets. Any future changes to the ratings of MBIA Insurance
Corporation could have an impact on the ratings of the affected
securities.
[*] Moody's Takes Action on 12 Bonds From 10 US RMBS Deals
----------------------------------------------------------
Moody's Ratings has upgraded the ratings of two bonds and
downgraded the ratings of 10 bonds from 10 US residential
mortgage-backed transactions (RMBS), backed by Alt-A, Option ARM
and 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: Carrington Home Equity Loan Trust, Series 2005-NC4
Cl. M-3, Downgraded to Caa1 (sf); previously on Nov 20, 2018
Upgraded to B1 (sf)
Issuer: Carrington Mortgage Loan Trust, Series 2006-NC1
Cl. M-1, Downgraded to B2 (sf); previously on Jun 20, 2017 Upgraded
to B1 (sf)
Issuer: Carrington Mortgage Loan Trust, Series 2006-RFC1
Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 27, 2017
Upgraded to B1 (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2003-HE3
Cl. M-3, Downgraded to Caa1 (sf); previously on Nov 28, 2018
Upgraded to B1 (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2005-6
Cl. I-A-3, Upgraded to Aa3 (sf); previously on Nov 21, 2023
Upgraded to Baa1 (sf)
Cl. I-A-4, Upgraded to Aa1 (sf); previously on Nov 21, 2023
Upgraded to A1 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-OA22
Cl. A-1, Downgraded to B1 (sf); previously on Jan 16, 2020 Upgraded
to Baa3 (sf)
Issuer: Fieldstone Mortgage Investment Trust 2007-1
Cl. 1-A1, Downgraded to Caa1 (sf); previously on Dec 11, 2018
Upgraded to B2 (sf)
Issuer: GSAMP Trust 2005-AHL
Cl. M-2, Downgraded to Caa1 (sf); previously on Feb 24, 2016
Upgraded to B3 (sf)
Issuer: GSAMP Trust 2005-HE4
Cl. M-3, Downgraded to B2 (sf); previously on Jul 31, 2015 Upgraded
to B1 (sf)
Cl. M-4, Downgraded to B3 (sf); previously on Apr 30, 2017 Upgraded
to B2 (sf)
Issuer: GSAMP Trust 2005-WMC1
Cl. M-1, Downgraded to B3 (sf); previously on Jul 31, 2015 Upgraded
to B2 (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. Ou Moody's r analysis also considered the
existence of historical interest shortfalls for these 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.
The rating downgrade of Class A-1 from CWALT, Inc. Mortgage
Pass-Through Certificates, Series 2006-OA22 is due to outstanding
interest shortfalls and the uncertainty of whether those shortfalls
will be reimbursed.
The rating downgrades of the rest of the bonds are due to
outstanding interest shortfalls on the bonds 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 considerations. This includes interest risk from
current or potential missed interest that remain unreimbursed.
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 13 Bonds from 10 US RMBS Deals
----------------------------------------------------------
Moody's Ratings has upgraded the ratings of three bonds and
downgraded the ratings of 10 bonds from 10 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: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2004-MHQ1
Cl. M-5, Downgraded to B3 (sf); previously on Feb 24, 2017 Upgraded
to B2 (sf)
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2004-WCW2
Cl. M-3, Downgraded to B2 (sf); previously on Aug 10, 2015 Upgraded
to B1 (sf)
Cl. M-4, Downgraded to B3 (sf); previously on May 18, 2017 Upgraded
to B1 (sf)
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2004-WHQ2
Cl. M-4, Downgraded to B2 (sf); previously on Jun 9, 2020
Downgraded to B1 (sf)
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2004-WWF1
Cl. M-5, Downgraded to Caa1 (sf); previously on Mar 11, 2020
Downgraded to B2 (sf)
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2005-WCW3
Cl. M-2, Downgraded to Caa1 (sf); previously on Jun 24, 2016
Upgraded to B1 (sf)
Cl. M-3, Downgraded to Caa1 (sf); previously on Apr 9, 2018
Upgraded to B2 (sf)
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2005-WHQ1
Cl. M-6, Downgraded to Caa1 (sf); previously on Apr 9, 2018
Upgraded to B3 (sf)
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2005-WHQ2
Cl. M-4, Downgraded to Caa1 (sf); previously on Oct 14, 2016
Upgraded to B1 (sf)
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2005-WHQ3
Cl. M-5, Downgraded to B2 (sf); previously on Mar 10, 2016 Upgraded
to B1 (sf)
Issuer: Soundview Home Loan Trust 2007-1
Cl. I-A-1, Upgraded to Aa1 (sf); previously on Jul 3, 2023 Upgraded
to A3 (sf)
Cl. II-A-4, Upgraded to Aaa (sf); previously on Jul 3, 2023
Upgraded to Aa2 (sf)
Issuer: Structured Asset Securities Corp Trust 2006-EQ1
Cl. A5, Upgraded to Aaa (sf); previously on Jul 3, 2023 Upgraded to
Aa3 (sf)
RATINGS RATIONALE
The rating actions reflect the recent performance as well as
Moody's updated loss expectations on the underlying pools. The
rating upgrades are a result of the improving performance of the
related pools and an increase in credit enhancement available to
the bonds.
The rating upgrades 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.
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 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 considerations.
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 20 Bonds From 14 US RMBS Deals
----------------------------------------------------------
Moody's Ratings has upgraded the ratings of five bonds and
downgraded the ratings of 15 bonds from 14 US residential
mortgage-backed transactions (RMBS), backed by Alt-A and 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: ABFC Asset-Backed Certificates, Series 2005-WMC1
Cl. M-3, Downgraded to Caa1 (sf); previously on Feb 24, 2016
Upgraded to B1 (sf)
Issuer: Accredited Mortgage Loan Trust 2005-3, Asset-Backed Notes,
Series 2005-3
Cl. M-4, Downgraded to Caa2 (sf); previously on Feb 26, 2018
Upgraded to B1 (sf)
Cl. M-5, Downgraded to Caa2 (sf); previously on Oct 24, 2019
Upgraded to Caa1 (sf)
Issuer: Accredited Mortgage Loan Trust 2005-4
Cl. M-2, Downgraded to Caa1 (sf); previously on Nov 7, 2018
Upgraded to B1 (sf)
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2005-HE6
Cl. M5, Downgraded to Caa1 (sf); previously on Feb 16, 2016
Upgraded to B1 (sf)
Cl. M6, Downgraded to Caa1 (sf); previously on Jun 7, 2018 Upgraded
to B2 (sf)
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
NC 2005-HE8
M3, Downgraded to B2 (sf); previously on Jan 11, 2019 Downgraded to
B1 (sf)
M4, Downgraded to Caa1 (sf); previously on Jun 27, 2017 Upgraded to
B1 (sf)
Issuer: Carrington Mortgage Loan Trust, Series 2005-NC5
Cl. M-2, Downgraded to Caa1 (sf); previously on Jan 17, 2017
Upgraded to B2 (sf)
Issuer: CSFB Home Equity Asset Trust 2005-6
Cl. M-5, Upgraded to Baa1 (sf); previously on Jul 10, 2023 Upgraded
to B1 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-11
Cl. AF-5A, Upgraded to Aaa (sf); previously on Apr 25, 2023
Upgraded to A1 (sf)
Cl. AF-5B, Upgraded to Aaa (sf); previously on Apr 25, 2023
Upgraded to A1 (sf)
Underlying Rating: Upgraded to Aaa (sf); previously on Apr 25, 2023
Upgraded to A1 (sf)
Financial Guarantor: MBIA Insurance Corporation (Downgraded to
Caa2, Outlook Negative on October 3, 2024)
Cl. AF-6, Upgraded to Aaa (sf); previously on Apr 25, 2023 Upgraded
to Aa3 (sf)
Issuer: HomeBanc Mortgage Trust 2005-4
Cl. M-1, Downgraded to Caa1 (sf); previously on Dec 29, 2017
Upgraded to B1 (sf)
Cl. M-2, Downgraded to Caa1 (sf); previously on Feb 27, 2019
Upgraded to B1 (sf)
Issuer: MASTR Asset Backed Securities Trust 2005-AB1
Cl. A-6, Downgraded to Caa1 (sf); previously on Apr 22, 2010
Downgraded to B2 (sf)
Issuer: MASTR Asset Backed Securities Trust 2005-HE2
Cl. M-3, Downgraded to Caa1 (sf); previously on Mar 24, 2017
Upgraded to B1 (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-WMC6
Cl. M-4, Downgraded to Caa1 (sf); previously on May 3, 2016
Upgraded to B1 (sf)
Issuer: Morgan Stanley Mortgage Loan Trust 2005-5AR
Cl. 1-B-2, Upgraded to Caa1 (sf); previously on Mar 21, 2018
Upgraded to Caa3 (sf)
Issuer: Wells Fargo Home Equity Asset-Backed Securities 2005-2
Trust
Cl. M-9, Downgraded to Caa1 (sf); previously on Jun 4, 2017
Upgraded to B3 (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 rating upgrades are a result of the improving performance of
the related pools, and/or an increase in credit enhancement
available to the bonds. Each of the upgraded bonds has seen strong
growth in credit enhancement since Moody's last review, which is
the key driver for these upgrades. Moody's analysis also reflects
the potential for collateral volatility given the number of
deal-level and macro factors that can impact collateral
performance, and the potential impact of any collateral volatility
on the model output.
The rating upgrades 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.
The rating downgrade of Cl. A-6 issued by MASTR Asset Backed
Securities Trust 2005-AB1 is due to a decline in credit enhancement
available to the bond.
The rating downgrades on the remaining bonds are the result of
outstanding credit interest shortfalls that are unlikely to be
recouped. Each of the downgraded bonds has a 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. The size and length of the outstanding
interest shortfalls were considered in Moody's analysis.
Certain bonds in this review are currently impaired or expected to
become impaired. Moody's ratings on those bonds reflect 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 remain commensurate with their
current ratings, after taking into account the updated performance
information, structural features, credit enhancement and other
qualitative considerations. This includes interest risk from
current or potential missed interest that remain unreimbursed.
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.
[*] Moody's Takes Action on 20 Bonds from 15 US RMBS Deals
----------------------------------------------------------
Moody's Ratings, on Oct. 7, 2024, upgraded the ratings of two bonds
and downgraded the ratings of 18 bonds from 15 US residential
mortgage-backed transactions (RMBS), backed by Alt-A and 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: Aegis Asset Backed Securities Trust 2004-6
Cl. M2, Downgraded to Caa1 (sf); previously on Jul 22, 2016
Upgraded to B1 (sf)
Issuer: Aegis Asset Backed Securities Trust 2005-1
Cl. M4, Downgraded to Caa1 (sf); previously on Mar 26, 2019
Downgraded to B2 (sf)
Issuer: Aegis Asset Backed Securities Trust 2005-2
Cl. M3, Downgraded to Caa1 (sf); previously on Apr 24, 2020
Downgraded to B2 (sf)
Issuer: Aegis Asset Backed Securities Trust 2005-3
Cl. M2, Downgraded to Caa1 (sf); previously on Jun 5, 2015 Upgraded
to B1 (sf)
Issuer: Aegis Asset Backed Securities Trust 2005-4
Cl. M2, Upgraded to Baa1 (sf); previously on May 29, 2019 Upgraded
to Ba1 (sf)
Issuer: Ameriquest Mortgage Securities Inc., 2003-AR3
Cl. M-4, Downgraded to Caa1 (sf); previously on Feb 17, 2017
Downgraded to B1 (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2003-2
Cl. M-1, Downgraded to Caa1 (sf); previously on Aug 25, 2016
Upgraded to B1 (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2004-FR1
Cl. M-1, Downgraded to Caa1 (sf); previously on Dec 10, 2018
Downgraded to B2 (sf)
Cl. M-2, Downgraded to Caa1 (sf); previously on Jun 21, 2017
Upgraded to B2 (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R10
Cl. M-4, Downgraded to B2 (sf); previously on Apr 13, 2016 Upgraded
to B1 (sf)
Cl. M-5, Downgraded to Caa1 (sf); previously on Nov 7, 2018
Upgraded to B3 (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R3
Cl. M-6, Downgraded to Caa1 (sf); previously on Apr 27, 2017
Upgraded to B1 (sf)
Cl. M-7, Downgraded to Caa1 (sf); previously on Jun 21, 2019
Upgraded to B3 (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R4
Cl. M-4, Downgraded to Caa1 (sf); previously on Jun 5, 2018
Downgraded to B1 (sf)
Cl. M-5, Downgraded to Caa1 (sf); previously on Feb 3, 2017
Upgraded to B1 (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R8
Cl. M-5, Downgraded to Caa1 (sf); previously on Nov 7, 2018
Upgraded to B3 (sf)
Issuer: Argent Securities Inc., Series 2004-W11
Cl. M-4, Downgraded to B2 (sf); previously on Oct 26, 2018 Upgraded
to B1 (sf)
Cl. M-5, Downgraded to Caa1 (sf); previously on Oct 26, 2018
Upgraded to B2 (sf)
Issuer: DBALT 2007-RAMP1
Cl. A-2, Downgraded to Caa1 (sf); previously on Aug 15, 2012
Upgraded to B3 (sf)
Issuer: Fremont Home Loan Trust 2006-A
Cl. 1-A-1, Upgraded to Aa1 (sf); previously on Jan 15, 2019
Upgraded to A1 (sf)
RATINGS RATIONALE
The rating actions reflect the recent performance as well as
Moody's updated loss expectations on the underlying pools. The
rating upgrades are a result of the improving performance of the
related pools, and an increase in credit enhancement available to
the bonds. Moody's analysis also considered the existence of
historical interest shortfalls for some of the bonds.
The rating downgrade of Class A-2 from DBALT 2007-RAMP1 is due to
outstanding interest shortfalls and the uncertainty of whether
those shortfalls will be reimbursed.
The rating downgrades of the rest of the bonds are due to
outstanding interest shortfalls on the bonds 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 considerations.
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 8 Bonds From Seven US RMBS Deals
------------------------------------------------------------
Moody's Ratings has upgraded the ratings of three bonds and
downgraded the ratings of five bonds from seven US residential
mortgage-backed transactions (RMBS), backed by Alt-A and 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: Equifirst Mortgage Loan Trust 2005-1
Cl. M-7, Upgraded to B1 (sf); previously on Dec 16, 2016 Upgraded
to Caa3 (sf)
Issuer: First Franklin Mortgage Loan Trust 2004-FFH3
Cl. M-2, Downgraded to B2 (sf); previously on Jun 9, 2020
Downgraded to B1 (sf)
Issuer: First Franklin Mortgage Loan Trust 2005-FFH3
Cl. M-4, Downgraded to Caa1 (sf); previously on Oct 16, 2018
Upgraded to B1 (sf)
Issuer: Fremont Home Loan Trust 2005-1
Cl. M-5, Downgraded to B3 (sf); previously on Feb 10, 2015 Upgraded
to B1 (sf)
Issuer: Impac Secured Assets Corp. Mortgage Pass-Through
Certificates, Series 2004-1
Cl. M-1, Downgraded to Caa1 (sf); previously on Jul 12, 2012
Confirmed at B3 (sf)
Issuer: Impac Secured Assets Corp. Mortgage Pass-Through
Certificates, Series 2004-2
Cl. A-5, Upgraded to Aaa (sf); previously on Nov 7, 2017 Upgraded
to Ba1 (sf)
Cl. A-6, Upgraded to Aaa (sf); previously on Sep 20, 2018 Upgraded
to A3 (sf)
Issuer: J.P. Morgan Mortgage Acquisition Corp. 2005-FRE1
Cl. M-1, Downgraded to B2 (sf); previously on Feb 8, 2016 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. The
rating upgrades are a result of the improving performance of the
related pools, and an increase in credit enhancement available to
the bonds. The rating downgrades are due to outstanding interest
shortfalls for each of the downgraded bonds that Moody's do not
expect to be recouped.
Each of the upgraded bonds has seen growth in credit enhancement
over the past 12 months. 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. Moody's analysis also
considered the expected time of class A6 from Impac Secured Assets
Corp. Mortgage Pass-Through Certificates, Series 2004-2 getting
paid down, which Moody's expect to be paid down in the next 5-6
months.
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.
The rating downgrades are due to outstanding interest shortfalls on
the bonds that are not expected to be recouped. This 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 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.
[*] Moody's Takes Action on Nine Bonds from 7 US RMBS Deals
-----------------------------------------------------------
Moody's Ratings has upgraded the ratings of three bonds and
downgraded the ratings of six bonds from seven RMBS transactions,
backed by Subprime mortgages issued by multiple issuers.
A List of Affected Credit Ratings is available at
https://urlcurt.com/u?l=DnhkOS
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: Nomura Home Equity Loan Trust 2006-FM1
Cl. II-A-4, Upgraded to Ba1 (sf); previously on Jun 27, 2017
Upgraded to B1 (sf)
Issuer: Nomura Home Equity Loan Trust 2006-HE2
Cl. M-1, Upgraded to Aaa (sf); previously on May 12, 2023 Upgraded
to A1 (sf)
Issuer: Option One Mortgage Loan Trust 2005-3
Cl. M-3, Downgraded to Caa1 (sf); previously on Dec 12, 2016
Upgraded to B1 (sf)
Issuer: Option One Mortgage Loan Trust 2005-5
Cl. M-2, Downgraded to B2 (sf); previously on May 5, 2017 Upgraded
to B1 (sf)
Issuer: Option One Mortgage Loan Trust 2006-1
Cl. II-A-4, Upgraded to Aaa (sf); previously on May 22, 2019
Upgraded to Aa2 (sf)
Cl. M-1, Downgraded to Caa1 (sf); previously on May 5, 2017
Upgraded to B1 (sf)
Issuer: Soundview Home Loan Trust 2005-2
Cl. M-6, Downgraded to B3 (sf); previously on Jun 25, 2015 Upgraded
to B1 (sf)
Cl. M-7, Downgraded to Caa1 (sf); previously on Mar 24, 2017
Upgraded to B1 (sf)
Issuer: Soundview Home Loan Trust 2005-CTX1
Cl. M-5, Downgraded to B3 (sf); previously on Feb 1, 2017 Upgraded
to B2 (sf)
RATINGS RATIONALE
The rating actions reflect the current levels of credit enhancement
available to the bonds, the recent performance of the collateral,
analysis of the transaction structures, and Moody's updated loss
expectations on the underlying pools.
The rating upgrades are primarily the result of stabilized
collateral performance in recent years combined with growth in
credit enhancement since the time of Moody's last review. Credit
enhancement levels, over the last 12 months, have grown on average
7.4% for the tranches upgraded.
The rating upgrades 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.
The rating downgrades are the result of outstanding credit interest
shortfalls that are unlikely to be recouped. Each of the downgraded
bonds has a 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. The size
and length of the outstanding interest shortfalls were considered
in Moody's analysis.
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 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 Actions on 52 Tranches of 8 FFELP Deals by Nelnet
-------------------------------------------------------------------
Moody's Ratings has upgraded four classes of notes, downgraded 32
classes of notes and confirmed the ratings of 16 classes of notes
from 8 FFELP loan securitizations serviced by Nelnet, Inc. (Nelnet,
Ba1). 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.
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: Academic Loan Funding Trust 2012-1
2012-1 Class A-2, Confirmed at A2 (sf); previously on Jul 26, 2024
A2 (sf) Placed On Review for Downgrade
Issuer: Academic Loan Funding Trust 2013-1
Class A Notes, Confirmed at Aaa (sf); previously on Jul 26, 2024
Aaa (sf) Placed On Review for Downgrade
Issuer: ALG Student Loan Trust I (2004 Indenture)
2004-1A-3, Confirmed at Aaa (sf); previously on Jul 26, 2024 Aaa
(sf) Placed On Review for Downgrade
2004-1A-4, Confirmed at Aaa (sf); previously on Jul 26, 2024 Aaa
(sf) Placed On Review for Downgrade
2004-1A-5, Confirmed at Aaa (sf); previously on Jul 26, 2024 Aaa
(sf) Placed On Review for Downgrade
2004-1A-6, Confirmed at Aaa (sf); previously on Jul 26, 2024 Aaa
(sf) Placed On Review for Downgrade
2006-1 A-5, Confirmed at Aaa (sf); previously on Jul 26, 2024 Aaa
(sf) Placed On Review for Downgrade
2006-1 A-6, Confirmed at Aaa (sf); previously on Jul 26, 2024 Aaa
(sf) Placed On Review for Downgrade
2006-1 B-2, Confirmed at Aa1 (sf); previously on Jul 26, 2024 Aa1
(sf) Placed On Review for Downgrade
Issuer: ALG Student Loan Trust II (2007 Indenture)
2007-1A-4, Confirmed at Aaa (sf); previously on Jul 26, 2024 Aaa
(sf) Placed On Review for Downgrade
2007-1A-5, Upgraded to Aa3 (sf); previously on Jul 26, 2024 A2 (sf)
Placed On Review for Downgrade
2007-1A-6, Upgraded to Aa3 (sf); previously on Jul 26, 2024 A2 (sf)
Placed On Review for Downgrade
2007-1B-1, Upgraded to A1 (sf); previously on Jul 26, 2024 A2 (sf)
Placed On Review for Downgrade
2007-1B-2, Upgraded to A1 (sf); previously on Jul 26, 2024 A2 (sf)
Placed On Review for Downgrade
Issuer: College Loan Corporation Trust 2005-2
Cl. A-4, Confirmed at Aaa (sf); previously on Jul 26, 2024 Aaa (sf)
Placed On Review for Downgrade
Cl. B, Confirmed at A1 (sf); previously on Jul 26, 2024 A1 (sf)
Placed On Review for Downgrade
Issuer: College Loan Corporation Trust I (2002 Indenture)
2005-1B, Downgraded to A3 (sf); previously on Jul 26, 2024 Aaa (sf)
Placed On Review for Downgrade
2004-1B, Downgraded to A3 (sf); previously on Jul 26, 2024 Aaa (sf)
Placed On Review for Downgrade
2006-1A-7A, Confirmed at Aaa (sf); previously on Jul 26, 2024 Aaa
(sf) Placed On Review for Downgrade
2006-1A-7B, Confirmed at Aaa (sf); previously on Jul 26, 2024 Aaa
(sf) Placed On Review for Downgrade
Series 2007-2B-1 Subordinate Notes, Downgraded to A3 (sf);
previously on Jul 26, 2024 Aaa (sf) Placed On Review for Downgrade
Series 2007-2A-10 Senior Notes, Downgraded to A1 (sf); previously
on Jul 26, 2024 Aaa (sf) Placed On Review for Downgrade
Senior Ser. 2002A-4, Downgraded to A1 (sf); previously on Jul 26,
2024 Aaa (sf) Placed On Review for Downgrade
Senior Ser. 2003-1A-8, Downgraded to A1 (sf); previously on Jul 26,
2024 Aaa (sf) Placed On Review for Downgrade
Senior Ser. 2002-2A-12, Downgraded to A1 (sf); previously on Jul
26, 2024 Aaa (sf) Placed On Review for Downgrade
Senior Ser. 2002-2A-21, Downgraded to A1 (sf); previously on Jul
26, 2024 Aaa (sf) Placed On Review for Downgrade
Senior Ser. 2002-2A-22, Downgraded to A1 (sf); previously on Jul
26, 2024 Aaa (sf) Placed On Review for Downgrade
Senior Ser. 2002-2A-23, Downgraded to A1 (sf); previously on Jul
26, 2024 Aaa (sf) Placed On Review for Downgrade
Senior Ser. 2002-2A-24, Downgraded to A1 (sf); previously on Jul
26, 2024 Aaa (sf) Placed On Review for Downgrade
Senior Ser. 2002-2A-25, Downgraded to A1 (sf); previously on Jul
26, 2024 Aaa (sf) Placed On Review for Downgrade
Senior Ser. 2002-2A-26, Downgraded to A1 (sf); previously on Jul
26, 2024 Aaa (sf) Placed On Review for Downgrade
Senior Ser. 2002-2A-27, Downgraded to A1 (sf); previously on Jul
26, 2024 Aaa (sf) Placed On Review for Downgrade
Senior Ser. 2002-2A-29, Downgraded to A1 (sf); previously on Jul
26, 2024 Aaa (sf) Placed On Review for Downgrade
Senior Ser. 2002-2A-30, Downgraded to A1 (sf); previously on Jul
26, 2024 Aaa (sf) Placed On Review for Downgrade
Sr Ser 2003-1A-2, Downgraded to A1 (sf); previously on Jul 26, 2024
Aaa (sf) Placed On Review for Downgrade
Sr Ser 2003-1A-3, Downgraded to A1 (sf); previously on Jul 26, 2024
Aaa (sf) Placed On Review for Downgrade
Sr Ser 2003-1A-4, Downgraded to A1 (sf); previously on Jul 26, 2024
Aaa (sf) Placed On Review for Downgrade
Sr Ser 2003-1A-5, Downgraded to A1 (sf); previously on Jul 26, 2024
Aaa (sf) Placed On Review for Downgrade
Sr Ser 2003-1A-6, Downgraded to A1 (sf); previously on Jul 26, 2024
Aaa (sf) Placed On Review for Downgrade
Subordinate Ser. 2002-2B-4, Downgraded to A3 (sf); previously on
Jul 26, 2024 Aaa (sf) Placed On Review for Downgrade
Sub. Ser. 2002B-1, Downgraded to A3 (sf); previously on Jul 26,
2024 Aaa (sf) Placed On Review for Downgrade
Sub. Ser. 2003-1B-1, Downgraded to A3 (sf); previously on Jul 26,
2024 Aaa (sf) Placed On Review for Downgrade
Issuer: College Loan Corporation Trust II (2007 Indenture)
Cl. A-14, Confirmed at Aaa (sf); previously on Jul 26, 2024 Aaa
(sf) Placed On Review for Downgrade
Cl. B-3, Confirmed at A1 (sf); previously on Jul 26, 2024 A1 (sf)
Placed On Review for Downgrade
Issuer: Student Loan Consolidation Center Student Loan Trust I
(2002 Indenture)
Ser. 2002A-2, Downgraded to Baa2 (sf); previously on Jul 26, 2024
Baa1 (sf) Placed On Review for Downgrade
Ser. 2002A-3, Downgraded to Baa2 (sf); previously on Jul 26, 2024
Baa1 (sf) Placed On Review for Downgrade
Ser. 2002A-6, Downgraded to Baa2 (sf); previously on Jul 26, 2024
Baa1 (sf) Placed On Review for Downgrade
Ser. 2002-2A-9, Downgraded to Baa2 (sf); previously on Jul 26, 2024
Baa1 (sf) Placed On Review for Downgrade
Ser. 2002-2A-11, Downgraded to Baa2 (sf); previously on Jul 26,
2024 Baa1 (sf) Placed On Review for Downgrade
Ser. 2002-2A-13, Downgraded to Baa2 (sf); previously on Jul 26,
2024 Baa1 (sf) Placed On Review for Downgrade
Ser. 2002-2A-15, Downgraded to Baa2 (sf); previously on Jul 26,
2024 Baa1 (sf) Placed On Review for Downgrade
Sub. Ser. 2002-2B-2, Downgraded to Ba1 (sf); previously on Jul 26,
2024 Baa3 (sf) Placed On Review for Downgrade
RATINGS RATIONALE
The rating actions resolve the review actions announced on July 26,
2024 on the notes, and reflect reporting of weighted average
remaining term to maturity (WAM) of loans in Income-Based-Repayment
(IBR) consistent with the terms of the IBR plans. The rating
actions also reflect the latest performance of the transactions and
Moody's 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 cashflow scenarios with weights
accorded to each scenario.
For ALG Student Loan Trust I (2004 Indenture) and ALG Student Loan
Trust II (2007 Indenture), the actions reflect the shorter updated
remaining terms on the loans compared to those previously reported
due to the large proportion of consolidated loans in the pools with
significantly longer remaining terms.
For Academic Loan Funding Trust 2012-1, Academic Loan Funding Trust
2013-1 and Student Loan Consolidation Center Student Loan Trust I
(2002 Indenture), the administrator confirmed that they have been
reporting the remaining term for IBR loans consistent with the
terms of the IBR plans, therefore there is no change in the
reported WAMs calculation.
For College Loan Corporation Trust 2005-2, College Loan Corporation
Trust I (2002 Indenture) and College Loan Corporation Trust II
(2007 Indenture), the updated WAM increased by about two months for
each trust. The rating actions on these three transactions also
reflect Moody's assessment of a change in the format of the
collateral data provided by the sponsor. Specifically, the
collateral representative loans ("replines") data provided for the
transactions is now grouped by remaining term, in addition to
grouping by other fields. Previously, the data was grouped by
seasoning, in addition to grouping by other fields. Under this new
format, the remaining term distribution of the collateral pools is
shown to be less clustered around the collateral weighted average
maturity and more widely distributed. This indicates that the
underlying notes may amortize more slowly than previously expected,
thereby increasing the likelihood that the bonds will not pay off
by their legal final maturity dates in certain modeled scenarios.
For ALG Student Loan Trust I (2004 Indenture), ALG Student Loan
Trust II (2007 Indenture), Student Loan Consolidation Center
Student Loan Trust I (2002 Indenture) and College Loan Corporation
Trust I (2002 Indenture), Moody's analysis on the auction rate
securities (ARS) also considers the issuer's ability to prioritize
paydown on auction rate notes depending on parity levels.
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.
*********
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