/raid1/www/Hosts/bankrupt/TCR_Public/241215.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, December 15, 2024, Vol. 28, No. 349
Headlines
522 FUNDING 2018-2: Moody's Affirms Ba3 Rating on $20.5MM E Notes
ACREC 2023-FL2: DBRS Confirms B(low) Rating on Class G Notes
AGL CLO 35: Fitch Assigns 'BB+sf' Final Rating on Class E Notes
ANTARES CLO 2024-6: S&P Assigns BB- (sf) Rating on Class E Notes
APIDOS CLO L: Fitch Assigns 'BB+sf' Rating on Class E Notes
APIDOS CLO LI: Fitch Assigns 'BB+(EXP)sf' Rating on Class E Notes
ATLAS SENIOR XXIV: S&P Assigns BB- (sf) Rating on Class E Notes
BAHA TRUST 2024-MAR: DBRS Gives Prov. BB Rating on Class HRR Certs
BALANCE HOLDING: Case Summary & 16 Unsecured Creditors
BAMLL COMMERCIAL 2020-BOC: Fitch Lowers Cl. E Certs Rating to CCCsf
BANK 2021-BNK31: Fitch Affirms 'B-sf' Rating on Two Tranches
BANK 2024-5YR12: Fitch Assigns 'B-sf' Final Rating on Two Tranches
BANK OF AMERICA 2016-UBS10: DBRS Confirms C Rating on 4 Classes
BANK5 2024-5YR11: DBRS Finalizes BB(low) Rating on Class G Certs
BARINGS 2017-I: S&P Places 'BB-' Rating on D-R Notes on Watch Neg.
BARINGS CLO 2019-II: S&P Assigns BB- (sf) in Class E-RR Notes
BARINGS CLO 2019-II: S&P Assigns Prelim 'BB-' Rating on ERR Notes
BB-UBS TRUST 2012-TFT: DBRS Confirms C Rating on Class E Certs
BENEFIT STREET XXXVI: Moody's Gives B1 Rating to $250,000 E-2 Notes
BRAVO RESIDENTIAL 2024-NQM8: Fitch Gives B(EXP) Rating on B-2 Notes
BX COMMERCIAL 2021-IRON: DBRS Confirms B(low) Rating on 2 Classes
CARLYLE US 2024-7: Fitch Assigns 'BB-sf' Rating on Class E Notes
CD 2017-CD6: Fitch Affirms 'B-sf' Rating on Class G-RR Certificates
CF 2019-CF3: Fitch Lowers Rating on Class H-RR Certs to 'CCsf'
CHASE FUNDING 2003-3: Moody's Hikes Rating on Cl. IM-1 Debt to Caa1
CHASE HOME 2024-10: DBRS Gives Prov. B(low) Rating on B5 Certs
CIFC FUNDING 2013-IV: Moody's Affirms Ba3 Rating on Cl. E-RR Notes
CIFC FUNDING 2018-I: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes
CITIGROUP 2016-P6: Fitch Lowers Class E Debt to CCCsf
COLUMBIA CENT 34: Fitch Assigns 'BB-sf' Rating on Class E Notes
COMM 2024-CBM: DBRS Gives Prov. B(low) Rating on Class F Certs
CRUCIBLE INDUSTRIES: Case Summary & 20 Top Unsecured Creditors
D DUNCAN FLORISTRY: Case Summary & 13 Unsecured Creditors
ELMWOOD CLO 24: S&P Assigns B- (sf) Rating on Class F-R Notes
EQUIFIRST LOAN 2007-1: Moody's Hikes Rating on 2 Tranches to Ba1
G FAB INC: Case Summary & 16 Unsecured Creditors
GCAT TRUST 2024-INV4: Moody's Assigns B2 Rating to Cl. B-5 Certs
GENERATE CLO 9: S&P Assigns BB- (sf) Rating on Class E-R Notes
GS MORTGAGE 2021-DM: DBRS Confirms B(low) Rating on Class F Certs
GS MORTGAGE 2024-PJ10: DBRS Gives Prov. B(low) Rating on B5 Notes
HARTWICK PARK: S&P Assigns BB- (sf) Rating on Class E-R Notes
HARVEST SBA 2024-1: DBRS Gives Prov. BB Rating on C Notes
HERTZ VEHICLE III: DBRS Confirms Credit Ratings on 32 Securities
HPS LOAN 10-2016: S&P Affirms B- (sf) Rating on Class E Debt
HPS LOAN 2024-22: Fitch Assigns 'BB+sf' Rating on Class E Notes
IMSCI 2013-3: DBRS Confirms C Rating on F Certs
JAMESTOWN CLO XVI: Moody's Assigns Ba3 Rating to $20MM E-R Notes
JP MORGAN 2021-1440: DBRS Confirms B Rating on Class C Certs
JP MORGAN 2024-11: DBRS Gives Prov. B(low) Rating on B5 Certs
JP MORGAN 2024-1: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B-5 Certs
JPMBB COMMERCIAL 2014-C25: Moody's Cuts Rating on Cl. C Certs to B2
JW TRUST 2024-BERY: DBRS Finalizes BB Rating on Class F Certs
KKR CLO 21: Moody's Lowers Rating on $12MM Class F Notes to Caa1
LAKE SHORE V: S&P Assigns BB- (sf) Rating on Class C-R Notes
LCM 42 LTD: Fitch Assigns 'BB+(EXP)sf' Rating on Class E Notes
MADISON PARK XVII: Fitch Assigns 'BBsf' Rating on Cl. E-2-R2 Notes
MADISON PARK XVII: Moody's Gives B3 Rating to $250,000 F-R-2 Notes
MFA 2024-NQM3: Fitch Assigns 'B-(EXP)sf' Rating on Class B2 Certs
MIDOCEAN CLO XVII: Fitch Assigns 'BB-sf' Rating on Class E Notes
MORGAN STANLEY 2013-C12: Moody's Affirms B3 Rating on Cl. D Certs
MORGAN STANLEY 2018-H4: Fitch Lowers Rating on G-RR Certs to 'CCsf'
NASSAU 2019: Fitch Affirms BB-sf Rating on Cl. B Notes, Outlook Neg
NEUBERGER BERMAN XXI: Fitch Assigns BB-sf Rating on Cl. E-R3 Notes
NEW RESIDENTIAL 2024-NQM3: Fitch Gives 'B-(EXP)' Rating on B-2 Note
OAKTREE CLO 2021-1: S&P Assigns B- (sf) Rating on Class F Notes
OCP CLO 2024-38: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
OCP CLO AEGIS 2024-39: S&P Assigns BB-(sf) Rating on Class E Notes
OCTAGON 62: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
OHA CREDIT 4: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R2 Notes
OHA CREDIT XVII: S&P Assigns BB- (sf) Rating on Class E Notes
ORION CLO 2024-4: S&P Assigns BB- (sf) Rating in Class E Loans
PALMER SQUARE 2024-4: S&P Assigns Prelim BB-(sf) Rating on E Notes
PRIMAL CRUSHING: Case Summary & 20 Largest Unsecured Creditors
RATE MORTGAGE 2024-J4: DBRS Finalizes B(low) Rating on B5 Notes
RCKT MORTGAGE 2024-CES9: Fitch Gives 'B(EXP)sf' on Five Tranches
REESE PARK: Fitch Assigns 'BBsf' Rating on Class E-RR Notes
REESE PARK: Moody's Assigns B3 Rating to $250,000 F-RR Notes
RIVERBANK PARK: S&P Assigns Prelim BB- (sf) Rating on E Notes
SBALR COMMERCIAL 2020-RR1: DBRS Confirms C Rating on 3 Classes
SCULPTOR CLO XXXIV: S&P Assigns Prelim BB- (sf) Rating on E Notes
SHACKLETON 2014-V-R: Moody's Cuts Rating on $9.5MM F Notes to Caa3
SHANKARA LLC: Case Summary & Five Unsecured Creditors
SIGNAL PEAK 9: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
SIXTH STREET VIII: S&P Assigns BB- (sf) Rating on Cl. D-R2 Notes
SOFI PERSONAL 2024-3: Fitch Corrects Oct. 28 Ratings Release
SREIT COMMERCIAL 2021-MFP2: DBRS Confirms B(low) Rating on G Certs
SYMPHONY CLO 46: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes
TCW CLO 2024-3: Fitch Assigns 'BB-sf' Rating on Class E Notes
TOWD POINT 2024-2: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B2 Notes
TRINITAS CLO XXXI: S&P Assigns Prelim BB- (sf) Rating on E Notes
UBS COMMERCIAL 2017-C3: Fitch Lowers Rating on E-RR Certs to 'BBsf'
UPGRADE RECEIVABLES 2024-1: DBRS Gives Prov. B Rating on E Notes
WELLS FARGO 2020-C56: Fitch Affirms 'B-sf' on Class J-RR Notes
WFRBS COMMERCIAL 2013-C11: S&P Affirms CCC (sf) Rating on F Notes
WIND RIVER 2019-3: S&P Affirms BB- (sf) Rating on Class E-2R Debt
WINDHILL CLO 3: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
[*] Moody's Takes Action on 7 Bonds From 5 US RMBS Deals
[*] Moody's Upgrades Ratings on 23 Bonds From 3 US RMBS Deals
[*] Moody's Upgrades Ratings on 6 Bonds From 2 US RMBS Deals
[*] Moody's Upgrades Ratings on 9 Bonds From 2 US RMBS Deals
[*] S&P Takes Various Actions on 100 Classes From 40 US RMBS Deals
[] Moody's Upgrades Ratings on 26 Bonds From 10 US RMBS Deals
*********
522 FUNDING 2018-2: Moody's Affirms Ba3 Rating on $20.5MM E Notes
-----------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by 522 Funding CLO 2018-2(A), Ltd.:
US$23.25M Class C Mezzanine Secured Deferrable Floating Rate
Notes, Upgraded to Aaa (sf); previously on Jul 23, 2024 Upgraded to
Aa1 (sf)
US$26.25M Class D Mezzanine Secured Deferrable Floating Rate
Notes, Upgraded to A2 (sf); previously on Jul 23, 2024 Upgraded to
Baa2 (sf)
Moody's have also affirmed the ratings on the following notes:
US$270M (Current outstanding amount US$87,129,587) Class A Senior
Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jul
23, 2024 Affirmed Aaa (sf)
US$36M Class B-1 Senior Secured Floating Rate Notes, Affirmed Aaa
(sf); previously on Jul 23, 2024 Upgraded to Aaa (sf)
US$15M Class B-2 Senior Secured Fixed Rate Notes, Affirmed Aaa
(sf); previously on Jul 23, 2024 Upgraded to Aaa (sf)
US$20.5M Class E Junior Secured Deferrable Floating Rate Notes,
Affirmed Ba3 (sf); previously on Jul 23, 2024 Affirmed Ba3 (sf)
522 Funding CLO 2018-2(A), Ltd., issued in April 2018, is a
collateralised loan obligation (CLO) backed by a portfolio of
mostly high-yield senior secured US loans. The portfolio is managed
by MS 522 CLO CM LLC. The transaction's reinvestment period ended
in April 2023.
RATINGS RATIONALE
The rating upgrades on the Class C and D notes are primarily a
result of the deleveraging of the Class A notes following
amortisation of the underlying portfolio since the last rating
action in July 2024.
The affirmations on the ratings on the Class A, B-1, B-2 and E
notes are primarily a result of the expected losses on the notes
remaining consistent with their current rating levels, after taking
into account the CLO's latest portfolio, its relevant structural
features and its actual over-collateralisation ratios.
The Class A notes have paid down by approximately USD76.1 million
(28.2%) since the last rating action in July 2024 and USD182.9
million (67.7%) since closing. As a result of the deleveraging,
over-collateralisation (OC) has increased across the capital
structure. According to the trustee report dated November 2024 [1]
the Class A/B, Class C, Class D and Class E OC ratios are reported
at 160.6%, 137.5%, 118.2% and 106.6% compared to June 2024 [2]
levels of 140.7%, 126.9%, 114.3% and 106.0%, 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: USD223.65m
Defaulted Securities: USD1.77m
Diversity Score: 55
Weighted Average Rating Factor (WARF): 2934
Weighted Average Life (WAL): 3.64 years
Weighted Average Spread (WAS): 3.42%
Weighted Average Recovery Rate (WARR): 46.92%
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" published in
October 2024. Moody's concluded the ratings of the notes are not
constrained by these risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.
Additional uncertainty about performance is due to the following:
-- Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.
-- Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assume have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Moody's analysed
defaulted recoveries assuming the lower of the market price or the
recovery rate to account for potential volatility in market prices.
Recoveries higher than Moody's expectations would have a positive
impact on the notes' ratings.
In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
Moody's other analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
ACREC 2023-FL2: DBRS Confirms B(low) Rating on Class G Notes
------------------------------------------------------------
DBRS, Inc. confirmed its credit ratings on all classes of notes
issued by ACREC 2023-FL2 LLC (the Issuer) as follows:
-- Class A Notes at AAA (sf)
-- Class A-S Notes at AAA (sf)
-- Class B Notes at AA (low) (sf)
-- Class C Notes at A (low) (sf)
-- Class D Notes at BBB (sf)
-- Class D-E Notes at BBB (sf)
-- Class D-X Notes at BBB (sf)
-- Class E Notes at BBB (low) (sf)
-- Class E-E Notes at BBB (low) (sf)
-- Class E-X Notes at BBB (low) (sf)
-- Class F Notes at BB (low) (sf)
-- Class G Notes at B (low) (sf)
All trends are Stable.
The credit rating confirmations reflect the overall stable
performance of the transaction. The transaction is fully composed
of loans backed by multifamily properties, a property type which
has historically shown more resiliency in terms of maintaining
property value and cash flow compared with other property types.
Morningstar DBRS determined that most of the individual borrowers
are progressing with their respective business plans to increase
property cash flow and value. For loans exhibiting increased
execution and other risks, Morningstar DBRS applied stressed
scenarios in the analysis for this review, including elevated
loan-to-value ratios (LTVs) based on higher capitalization rates
(cap rates) as compared with the implied cap rates based on the
issuance appraisals and the issuance or in-place cash flows. This
analysis resulted in higher expected losses (ELs) for those loans
and increased the weighted average (WA) EL for the overall pool as
compared with the WA pool EL at the previous Morningstar DBRS
credit rating action in November 2023. The transaction's
significant cushion in non-rated and below investment grade rated
proceeds of nearly $100.0 million provides significant support;
however, limiting the overall impact of the increase in the pool
EL, with the credit rating confirmations supported.
In conjunction with this press release, Morningstar DBRS has
published a Surveillance Performance Update report with in-depth
analysis and credit metrics for the transaction as well as business
plan updates on select loans. For access to this report, please
click on the link under Related Documents below or contact us at
info-DBRS@morningstar.com.
The initial collateral consisted of 15 floating-rate mortgage loans
secured by 18 mostly transitional properties with a cut-off balance
totaling $534.2 million. Most loans were in a period of transition
with plans to stabilize the performance and improve the values of
the underlying assets. As of the October 2024 remittance, 13 loans
secured by 16 properties, with a current cumulative trust balance
of $491.9 million, remain in the transaction as two loans, with a
cumulative former trust balance of $64.3 million, have been paid in
full since the previous Morningstar DBRS credit rating action. The
transaction is static with a two-year Replenishment Period, whereby
the Issuer can purchase funded loan participation interests into
the trust. The Replenishment Period is scheduled to end with the
February 2025 Payment Date. As of October 2024, the Replenishment
Account had a balance of $42.1 million.
Leverage across the pool remains similar to issuance metrics with a
current weighted-average (WA) as-is appraised loan-to-value ratio
(LTV) of 73.3% and a current WA as-stabilized LTV of 64.0%. At
issuance, these metrics were 73.0% and 64.0%, respectively.
Morningstar DBRS recognizes that select property values may be
inflated as the majority of the individual property appraisals were
completed in 2021 and 2022 and may not reflect the rise in interest
rates and cap rates since that time. As such, in the analysis for
this review, Morningstar DBRS applied upward LTV adjustments across
12 loans, representing 92.2% of the current trust balance.
Through November 2024, the lender had advanced cumulative loan
future funding of $27.8 million to nine of the outstanding
individual borrowers since their respective loan closings to aid in
property stabilization efforts. This includes $5.1 million in
cumulative advances to seven individual borrowers since November
2023. The largest cumulative advance ($6.3 million) to a single
borrower since loan closing was made to the borrower of the Brandon
Portfolio loan, which is secured by a portfolio of two multifamily
properties totaling 285 units in Brandon, Florida.. The borrower's
business plan is to complete a significant capital expenditure
(capex) project totaling $7.3 million across the portfolio and to
operate the individual properties as one asset. The borrower
appears to be progressing with its capex plan, as according to the
collateral manager's Q2 2024 Quarterly Asset Review report, the
borrower had completed the property amenity and exterior upgrades
as well as interior upgrades to 172 units, up from 110 unit
upgrades as of Q2 2023. The property had an occupancy rate of 95.4%
with an average rental rate of $1,593 per unit as of September
2024, which compares favorably with the September 2023 figures of
87.0% and $1,588 per unit, respectively. The collateral manager has
reported that renovated and rented units achieved a monthly rental
rate premium of approximately $450 per unit, above the targeted
premium of $300 per unit. The net cash flow (NCF) of $2.6 million
for the trailing 12 months (T-12) ended September 30, 2024, was
less than both the original Morningstar DBRS stabilized NCF of $3.0
million and the original issuer stabilized NCF of $4.3 million. An
additional $1.0 million of loan future funding remains available to
the borrower; however, loan maturity is upcoming in January 2025.
According to the collateral manager, the borrower is expected to
exercise the first of up to two 12-month extension options.
An additional $10.3 million allocated to six individual borrowers
remains available. The largest portion ($3.8 million) is allocated
to the borrower of the Galleria Courtyards loan, which is secured
by a multifamily property in Smyrna, Georgia. Total loan future
funding of $8.4 million was available to the borrower at loan
closing to complete its capex plan, which consists of upgrading all
240 unit interiors and property exteriors. Since November 2023, the
lender advanced an additional $0.7 million to the borrower to
continue to implement its business plan, however, it appears the
borrower remains behind in its business plan execution. According
to the Q2 2024 update from the collateral manager, 137 unit
upgrades had been completed to date, an increase from the 96 unit
upgrades completed as of Q2 2023. As of the September 2024 rent
roll, the property was 89.6% occupied with an average rental rate
of $1,593 per unit. In comparison, these figures were 88.8% and
$1,698 per unit, respectively, as of October 2023. Reportedly,
renovated and rented units achieved a monthly rental rate premium
of approximately $500 per unit, above the targeted premium of $300
per unit. The NCF of $2.5 million or the T-12 ended September 30,
2024, equals the original Morningstar DBRS stabilized NCF of $2.5
million but is less than the original issuer stabilized NCF of $3.0
million. The loan also matures in in January 2025, and according to
the collateral manager, the borrower is expected to exercise the
first of up to two 12-month extension options.
Including the Brandon Portfolio and Galleria Courtyard loans, seven
loans, representing 47.9% of the current trust balance, are
scheduled to mature in the next six months. According to the
collateral manager, six borrowers are expected to exercise
available extension options, which will require them to purchase
replacement interest rate cap agreements and to rebalance the loans
if property performance does not meet required minimum thresholds.
The remaining loan, Millennia NC Portfolio (Prospectus ID#14; 5.6%
of the current trust balance), is secured by a portfolio of three
multifamily properties in the greater Raleigh-Durham, North
Carolina area. While an outstanding extension option is available
to the borrower, the collateral manager has not received
notification regarding the borrower's plan for the March 2025
maturity date. According to the October 2024 reporting, the loan is
less than 30 days delinquent. The stabilization efforts have
stalled as the borrower has struggled to complete capex across the
portfolio and increase rental rates because of issues related to
collection loss. In its analysis of the loan, Morningstar DBRS
applied upward as-is and as-stabilized LTV adjustments to the loan,
which resulted in a loan EL above the WA EL for the overall pool.
As of the October 2024 reporting, no loans are specially serviced
nor are there any loans on the servicer's watchlist. According to
the collateral manager, loan modifications have been executed with
four borrowers, representing 32.5% of the current trust balance,
that have allowed the borrowers to extend maturity dates or to
access existing reserve accounts. The Accent Edgewood loan
(Prospectus ID#2; 7.6% of the current pool balance) was modified at
loan maturity in May 2024 to allow the borrower to extend the loan
to May 2025 with one additional 12-month extension option. In
exchange, the borrower paid the loan down by $6.0 million and
purchased a new interest rate cap agreement.
Notes: All figures are in US dollars unless otherwise noted.
AGL CLO 35: Fitch Assigns 'BB+sf' Final Rating on Class E Notes
---------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to AGL
CLO 35 Ltd.
Entity/Debt Rating Prior
----------- ------ -----
AGL CLO 35 LTD.
A-1 LT NRsf New Rating NR(EXP)sf
A-2 LT AAAsf New Rating AAA(EXP)sf
A-L LT NRsf New Rating NR(EXP)sf
B LT AA+sf New Rating AA+(EXP)sf
C LT A+sf New Rating A+(EXP)sf
D-1 LT BBB+sf New Rating BBB+(EXP)sf
D-2 LT BBB-sf New Rating BBB-(EXP)sf
E LT BB+sf New Rating BB+(EXP)sf
F LT NRsf New Rating NR(EXP)sf
Subordinated Notes LT NRsf New Rating NR(EXP)sf
Transaction Summary
AGL CLO 35, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by AGL
CLO Credit Management LLC. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $400 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. 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
99.69% first-lien senior secured loans and has a weighted average
recovery assumption of 74.37%. Fitch stressed the indicative
portfolio by assuming a higher portfolio concentration of assets
with lower recovery prospects and further reduced recovery
assumptions for higher rating stresses.
Portfolio Composition (Positive): The largest three industries may
comprise up to 39% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity required by 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 is 12 months less
than the WAL covenant to account for structural and reinvestment
conditions after the reinvestment period. In Fitch's opinion, these
conditions would reduce the effective risk horizon of the portfolio
during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2, between
'BB+sf' and 'A+sf' for class B, between '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 'BBsf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2 notes as
these notes are in the highest rating category of 'AAAsf'.
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.
Date of Relevant Committee
02 December 2024
ESG Considerations
Fitch does not provide ESG relevance scores for AGL CLO 35 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.
ANTARES CLO 2024-6: S&P Assigns BB- (sf) Rating on Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Antares CLO 2024-6
Ltd./Antares CLO 2024-6 LLC's floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by middle-market speculative-grade
(rated 'BB+' or lower) senior-secured term loans. The transaction
is managed by Antares Capital Advisers LLC, a wholly owned
subsidiary of Antares Capital 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 debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Antares CLO 2024-6 Ltd./Antares CLO 2024-6 LLC
Class A-1, $560.00 million: AAA (sf)
Class A-2, $50.00 million: AAA (sf)
Class B, $85.00 million: AA (sf)
Class C (deferrable), $70.00 million: A (sf)
Class D (deferrable), $55.00 million: BBB- (sf)
Class E (deferrable), $60.00 million: BB- (sf)
Subordinated notes, $126.12 million: Not rated
APIDOS CLO L: Fitch Assigns 'BB+sf' Rating on Class E Notes
-----------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Apidos
CLO L.
Entity/Debt Rating
----------- ------
Apidos CLO L
A-1 LT NRsf New Rating
A-2 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
F LT NRsf New Rating
Subordinated Notes LT NRsf New Rating
Transaction Summary
Apidos CLO L (the issuer) is an arbitrage cash flow collateralized
loan obligation (CLO) that will be managed by CVC Credit Partners,
LLC. Net proceeds from the issuance of the secured and subordinated
notes will provide financing on a portfolio of approximately $500
million of primarily first lien senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard CLO structural
features.
Asset Security (Positive): The indicative portfolio consists of
99.2% first-lien senior secured loans and has a weighted average
recovery assumption of 73.74%. Fitch stressed the indicative
portfolio by assuming a higher portfolio concentration of assets
with lower recovery prospects and further reduced recovery
assumptions for higher rating stresses.
Portfolio Composition (Positive): The largest three industries may
comprise up to 39% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity required by 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 the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio is 12 months less
than the WAL covenant to account for structural and reinvestment
conditions after the reinvestment period. In Fitch's opinion, these
conditions would reduce the effective risk horizon of the portfolio
during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-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
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for
class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
ESG CONSIDERATIONS
Fitch does not provide ESG relevance scores for Apidos CLO L.
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.
APIDOS CLO LI: Fitch Assigns 'BB+(EXP)sf' Rating on Class E Notes
-----------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
Apidos CLO LI Ltd.
Entity/Debt Rating
----------- ------
Apidos CLO LI 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
F LT NR(EXP)sf Expected Rating
Subordinated Notes LT NR(EXP)sf Expected Rating
Transaction Summary
Apidos CLO LI Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by CVC
Credit Partners, LLC. Net proceeds from the issuance of the secured
and subordinated notes will provide financing on a portfolio of
approximately $500 million of primarily first lien senior secured
leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B/B-', which is in line with that of
recent CLOs. Issuers rated in the 'B' rating category denote a
highly speculative credit quality. However, the notes benefit from
appropriate credit enhancement and standard CLO structural
features.
Asset Security (Positive): The indicative portfolio consists of
97.25% first lien senior secured loans and has a weighted average
recovery assumption of 72.08%. Fitch stressed the indicative
portfolio by assuming a higher portfolio concentration of assets
with lower recovery prospects and further reduced recovery
assumptions for higher rating stresses.
Portfolio Composition (Positive): The largest three industries may
comprise up to 40% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity required by industry,
obligor and geographic concentrations is in line with that of other
recent CLOs.
Portfolio Management (Neutral): The transaction has a five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting to the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio is 12 months less
than the WAL covenant to account for structural and reinvestment
conditions after the reinvestment period. In Fitch's opinion, these
conditions would reduce the effective risk horizon of the portfolio
during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-1, between
'BBB+sf' and 'AA+sf' for class A-2, between '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 'BBsf' 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 Apidos CLO LI 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.
ATLAS SENIOR XXIV: S&P Assigns BB- (sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to Atlas Senior Loan Fund
XXIV Ltd./Atlas Senior Loan Fund XXIV 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 Crescent Capital Group 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 debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Atlas Senior Loan Fund XXIV Ltd./Atlas Senior Loan Fund XXIV LLC
Class A1, $240.00 million: AAA (sf)
Class AJ, $16.00 million: AAA (sf)
Class B, $48.00 million: AA (sf)
Class C (deferrable), $24.00 million: A (sf)
Class D1 (deferrable), $20.00 million: BBB (sf)
Class DJ (deferrable), $8.00 million: BBB- (sf)
Class E (deferrable), $12.00 million: BB- (sf)
Subordinated notes, $36.65 million: Not rated
BAHA TRUST 2024-MAR: DBRS Gives Prov. BB Rating on Class HRR Certs
------------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2024-MAR (the Certificates) to be issued by BAHA Trust 2024-MAR
(the Trust):
-- Class A at (P) AAA (sf)
-- Class X at (P) AAA (sf)
-- Class B at (P) AA (low) (sf)
-- Class C at (P) A (low) (sf)
-- Class D at (P) BBB (low) (sf)
-- Class E at (P) BB (high) (sf)
-- Class HRR at (P) BB (sf)
All trends are Stable.
The BAHA Trust 2024-MAR (BAHA 2024-MAR) transaction is secured by
the borrower's fee-simple and partial leasehold interest in the
Baha Mar Resort, a beachfront, luxury resort encompassing 2,323
keys. The AAA Four Diamond luxury resort is well located on New
Providence, an island of the Bahamas, approximately 185 miles
southeast of the coast of Florida. The resort offers three hotel
brands: the Grand Hyatt Baha Mar (1,800 keys), SLS Baha Mar (298
keys), and the Rosewood Baha Mar (225 keys). The differentiated,
upscale hotel brands present various offerings and experiences that
attract a diverse guest base across from transient, corporate, and
group travelers at various price points. Morningstar DBRS has a
positive view of the collateral considering its high property
quality, prime beachfront location, strong post-coronavirus
recovery, and significant capital investment made into the
property.
Located along Cable Beach, the collateral offers access to
approximately 3,000 square feet (sf) of white-sand beaches, and the
infamous, turquoise Caribbean water. The resort offers an extensive
amenity package, including 45 food and beverage (F&B) outlets, over
10 pools, the Baha Bay waterpark, a casino, 33,000 sf of high-end
retail, two spas, two fitness centers, a racquet club featuring
both tennis and pickleball courts, and approximately 300,000 sf of
meeting space, including the 200,000 sf Baha Mar convention center.
The resort also offers multiple day and nightclubs, a game zone, a
kids club, and an art gallery. The property's robust amenities
package appeals to leisure, corporate, and group demand, allowing
the property to easily shift segmentation. The Baha Mar Resort has
collected impressive awards, notably from AAA, Forbes, Conde Nast,
and U.S. News, highlighting the resort's luxury offerings and
experience.
Built in 2017 and 2018, the collateral opened in multiple phases
between April 2017 and June 2018. Since the borrower parent's
acquisition of the resort in 2017, the borrower parent has invested
approximately $570 million in capital improvements to enhance the
collateral's competitive position in the market. This capex program
included the addition of Baha Bay, a luxury waterpark for
approximately $189 million. Ongoing renovations include the $12.8
million rooms renovation at the SLS ($42,953 per key), which is
anticipated to be complete by Q4 2024. Additionally, the borrower
parent is completing a $16.8 million renovation and expansion of
the Jazz Club, which is anticipated to be one of the main
entertainment venues at the collateral. Morningstar DBRS believes
the room renovations of the SLS Baha Mar and delivery of the new
Jazz Club will not only elevate guest experiences, but also
increase revenue potential. The continued investment from the
borrower parent further strengthens the collateral's competitive
position as a top-performing resort in the Bahamas and the greater
Caribbean.
The mortgage loan of $1.50 billion will be used to return $1.3
billion of equity to the transaction borrower parent, fund an
insurance upfront reserve of $120.7 million reserve for windstorm
insurance deficiency, cover approximately $30.0 million in closing
costs, and fund a deferred maintenance reserve. The loan is a
five-year fixed-rate interest-only (IO) mortgage loan. The interest
rate will be fixed annum rate, which will be determined based on
the final pricing of the Certificates.
The borrower parent for this transaction is Chow Tai Fook
Enterprises (CTFE), a private investment holding company
representing the Cheng family of Hong Kong, one of Hong Kong's
wealthiest families. The family's total assets exceed $150 billion.
The borrower parent boasts an investment portfolio across multiple
different sectors such as power generation, healthcare, education,
media, and commercial real estate. Notable lodging assets owned by
CTFE include the Carlyle, a Rosewood hotel, the Beverly Wilshire, a
Four Seasons hotel, the Rosewood Hong Kong, and the Rosewood
Washington, D.C. CTFE has actively invested in the subject property
since completing the development of the asset between 2017 and
2018.
The property has demonstrated strong performance since the
coronavirus pandemic. The subject property opened in phases between
2017 and 2018, right before the onset of the pandemic. In 2019,
prior to the pandemic, the collateral reported an occupancy rate of
62.1% and an average daily rate (ADR) of $347.57, resulting in a
revenue per available room (RevPAR) of $215.96. While occupancy
declined during the coronavirus pandemic, the property's
performance continued to struggle in 2021 as a result of
international travel restrictions, with a YE2021 RevPAR of $160.44
representing a 25.7% decline over 2019 levels. RevPAR has continued
to increase rapidly over the past two years; the property achieved
a RevPAR of $373.51 in 2022 and $421.34 as of YE2023. The
property's trailing twelve-month period (T-12) ended August 30,
2024, of $424.27 is 96.5% higher than the 2019 RevPAR, but only
0.69% higher than the 2023 RevPAR. Morningstar DBRS believes this
normalization of the room rate is because of the phasing out of the
pent-up transient demand witnessed in 2022 and H1 2023 following
the removal of the coronavirus pandemic-related travel
restrictions. Morningstar DBRS expects moderate room rate growth in
the future because of the subject's desirable location, ongoing
capital improvements, and diversified amenities and offerings.
Morningstar DBRS concluded a stabilized RevPAR of $409.70, which is
3.4% less than the T-12 2024 level.
Notes: All figures are in U.S. dollars unless otherwise noted.
BALANCE HOLDING: Case Summary & 16 Unsecured Creditors
------------------------------------------------------
Debtor: Balance Holding Company, LLC
2401 M Street, NW
Washington, DC 20037
Chapter 11 Petition Date: December 12, 2024
Court: United States Bankruptcy Court
District of Columbia
Case No.: 24-00421
Debtor's Counsel: Kermit A. Rosenberg, Esq.
WASHINGTON GLOBAL LAW GROUP, PLLC
1701 Pennsylvania Avenue, NW, Suite 202
Washington, DC 20006
Tel: 202-683-2014
E-mail: krosenberg@washglobal-law.com
Estimated Assets: $0 to $50,000
Estimated Liabilities: $1 million to $10 million
The petition was signed by Benjamin Wiedemer as manager.
A full-text copy of the petition containing, among other items, a
list of the Debtor's 16 unsecured creditors is available for free
at PacerMonitor.com at:
https://www.pacermonitor.com/view/IKNECSY/Balance_Holding_Company_LLC__dcbke-24-00421__0001.0.pdf?mcid=tGE4TAMA
BAMLL COMMERCIAL 2020-BOC: Fitch Lowers Cl. E Certs Rating to CCCsf
-------------------------------------------------------------------
Fitch Ratings has downgraded six classes of BAMLL Commercial
Mortgage Securities Trust 2020-BOC Commercial Mortgage Pass-Through
Certificates, Series 2020-BOC and has assigned Negative Outlooks
following the downgrades.
Entity/Debt Rating Prior
----------- ------ -----
BAMLL 2020-BOC
A 05551JAA8 LT A-sf Downgrade AA-sf
B 05551JAE0 LT BBB-sf Downgrade A-sf
C 05551JAG5 LT BB-sf Downgrade BBB-sf
D 05551JAJ9 LT B-sf Downgrade BB-sf
E 05551JAL4 LT CCCsf Downgrade B+sf
X 05551JAC4 LT BB-sf Downgrade BBB-sf
KEY RATING DRIVERS
The downgrades reflect Fitch's reassessment of a lower long-term
sustainable net cash flow (NCF) since the last rating action due to
the limited property leasing activity and challenged submarket
conditions in Bellevue. This includes additional new supply coming
online and continued elevated availability, and considers the
anticipated cash flow deterioration and imminent departure of the
single tenant at lease expiration in 2025.
The Negative Outlooks account for potential downgrades if market
conditions worsen beyond Fitch's reassessed view of sustainable
performance. Additional factors include failure to stabilize
property performance before the loan's maturity in January 2027,
limited leasing activity at the property and submarket, and further
deterioration in office valuations in the submarket.
The collateral, which comprises two office buildings, is entirely
net-leased to Microsoft Corporation through June 2025 for the
Bravern I property and through August 2025 for the Bravern II
property. Microsoft has provided indication it will not be renewing
its leases at expiration; the buildings have already been vacated
and are predominantly dark.
There are no termination or contraction options for either
building. Microsoft is reducing its presence in the Bellevue market
having confirmed intentions to vacate office space at City Center
Plaza, Advanta Office Commons, and Lincoln Square. The
servicer-reported YE 2023 NCF DSCR is 3.15x
A cash flow sweep has been triggered since July 2023 due to the
physical occupancy of the collateral falling below 375,000 sf
(approximately 47% of NRA). As of the November 2024 remittance
reporting, $30.0 million has been collected in reserves; this
amount is capped at $30 million. While the collected reserves are
expected to offset costs for re-tenanting the space, Fitch
anticipates significant expenditures beyond what will be reserved
to further stabilize performance and improve prospects for a sale
or refinance.
Fitch has further revised its sustainable NCF downward to $24.4
million from $26.5 million at the last rating action. This is 22%
below Fitch's issuance NCF of $31.4 million, largely due to higher
vacancy and leasing cost assumptions. Fitch's analysis reflects the
current in-place base rent, with the pass-through of expenses as a
fully net-lease structure. Fitch lowered its sustainable long-term
occupancy assumption to 80% from 85% at the last rating action,
accounting for both the elevated submarket availability and Costar
vacancy forecast through 2027. Fitch's capital expenditures are
estimated at $4.30 psf, reflecting $0.30 psf for replacement
reserves plus $4.00 psf for tenant improvements and leasing
commissions.
As of 3Q24, Costar reports the submarket vacancy, availability rate
and average asking rent of 16.4%, 26.4% and $58.28 psf,
respectively, compared to 10.3%, 29.1% and $56.21 psf at the last
rating action. This has worsened from vacancy and rental levels of
3.2% and $51.91, respectively, at the time of issuance.
Fitch's analysis incorporated a stressed capitalization rate of
9.0%, unchanged from the last rating action and up from 8% at
issuance, to factor the increased office sector and submarket
performance concerns. This results in a Fitch-stressed valuation
decline approximately 55% below the issuance appraisal and 31%
below Fitch's issuance value.
High-Quality Office Collateral: The Bravern Office Commons is a
749,694-sf, class A office property located in downtown Bellevue,
WA. Developed in 2009, the property consists of two buildings
(Bravern I and Bravern II) and is part of a mixed-use development
that includes approximately 305,000sf of luxury retail space
(non-collateral) and 455 high-end residential units
(non-collateral). The loan collateral includes a seven-level,
approximately 3,130-stall, subterranean parking garage. Fitch
assigned a property quality grade of 'B+' at issuance.
Full Term, Interest-Only Loan: The loan is interest only for the
seven-year term, maturing January 2027, with a fixed rate coupon of
3.20%. In its analysis, Fitch applied an upward loan-to-value (LTV)
hurdle adjustment due to the low coupon.
Fitch Leverage: The $304 million mortgage loan has a Fitch debt
service coverage ratio and loan-to-value of 0.80x and 112.2%,
respectively, compared to 0.87x and 103.3% at the last rating
action and 1.15x and 77.5% at issuance. The sponsor acquired the
property in December 2019 for $608 million ($811psf).
Institutional Sponsorship: Australian Retirement Trust, formed
through the merger of QSuper and Sunsuper in 1Q22, is one of
Australia's largest superannuation benefits fund with over AUD300
billion (USD 204 billion) in retirement savings. At issuance,
Invesco had served as investment advisor to QSuper, pursuant to an
investment advisory and management agreement.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to classes may occur should property NCF and occupancy
and/or market conditions deteriorate beyond Fitch's reassessed view
of sustainable performance, including if the property does not move
towards stabilizing to an 80% occupancy level and/or Microsoft's
space is not leased at or above current Fitch assumptions as the
loan approaches maturity in January 2027, as well as limited
leasing progress or office valuations in the submarket deteriorate
further.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades are not considered likely given the single-event risk and
the current ratings reflect Fitch's view of sustainable
performance, but is possible with significant and sustained leasing
that contributes to stabilize performance and an improved Fitch
NCF, and the prospect for refinance is more certain.
The Negative Outlooks could be revised to Stable if property
performance and market conditions stabilize and capital market
activity indicates positive sales trends in the Bellevue office
market.
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.
BANK 2021-BNK31: Fitch Affirms 'B-sf' Rating on Two Tranches
------------------------------------------------------------
Fitch Ratings has affirmed 36 classes of BANK 2021-BNK31,
commercial mortgage pass-through certificates, series 2021-BNK31.
Fitch has also affirmed 38 classes of BANK 2021-BNK32, commercial
mortgage pass-through certificates, series 2021-BNK32.
Entity/Debt Rating Prior
----------- ------ -----
BANK 2021-BNK31
A-1 06541AAZ3 LT AAAsf Affirmed AAAsf
A-3 06541ABB5 LT AAAsf Affirmed AAAsf
A-3-1 06541ABC3 LT AAAsf Affirmed AAAsf
A-3-2 06541ABD1 LT AAAsf Affirmed AAAsf
A-3-X1 06541ABE9 LT AAAsf Affirmed AAAsf
A-3-X2 06541ABF6 LT AAAsf Affirmed AAAsf
A-4 06541ABG4 LT AAAsf Affirmed AAAsf
A-4-1 06541ABH2 LT AAAsf Affirmed AAAsf
A-4-2 06541ABJ8 LT AAAsf Affirmed AAAsf
A-4-X1 06541ABK5 LT AAAsf Affirmed AAAsf
A-4-X2 06541ABL3 LT AAAsf Affirmed AAAsf
A-S 06541ABP4 LT AAAsf Affirmed AAAsf
A-S-1 06541ABQ2 LT AAAsf Affirmed AAAsf
A-S-2 06541ABR0 LT AAAsf Affirmed AAAsf
A-S-X1 06541ABS8 LT AAAsf Affirmed AAAsf
A-S-X2 06541ABT6 LT AAAsf Affirmed AAAsf
A-SB 06541ABA7 LT AAAsf Affirmed AAAsf
B 06541ABU3 LT AA-sf Affirmed AA-sf
B-1 06541ABV1 LT AA-sf Affirmed AA-sf
B-2 06541ABW9 LT AA-sf Affirmed AA-sf
B-X1 06541ABX7 LT AA-sf Affirmed AA-sf
B-X2 06541ABY5 LT AA-sf Affirmed AA-sf
C 06541ABZ2 LT A-sf Affirmed A-sf
C-1 06541ACA6 LT A-sf Affirmed A-sf
C-2 06541ACB4 LT A-sf Affirmed A-sf
C-X1 06541ACC2 LT A-sf Affirmed A-sf
C-X2 06541ACD0 LT A-sf Affirmed A-sf
D 06541AAJ9 LT BBBsf Affirmed BBBsf
E 06541AAL4 LT BBB-sf Affirmed BBB-sf
F 06541AAN0 LT BB-sf Affirmed BB-sf
G 06541AAQ3 LT B-sf Affirmed B-sf
X-A 06541ABM1 LT AAAsf Affirmed AAAsf
X-B 06541ABN9 LT A-sf Affirmed A-sf
X-D 06541AAA8 LT BBB-sf Affirmed BBB-sf
X-F 06541AAC4 LT BB-sf Affirmed BB-sf
X-G 06541AAE0 LT B-sf Affirmed B-sf
BANK 2021-BNK32
A-1 06542BAY3 LT AAAsf Affirmed AAAsf
A-2 06542BAZ0 LT AAAsf Affirmed AAAsf
A-3 06542BBB2 LT AAAsf Affirmed AAAsf
A-4 06542BBC0 LT AAAsf Affirmed AAAsf
A-4-1 06542BBD8 LT AAAsf Affirmed AAAsf
A-4-2 06542BBE6 LT AAAsf Affirmed AAAsf
A-4-X1 06542BBF3 LT AAAsf Affirmed AAAsf
A-4-X2 06542BBG1 LT AAAsf Affirmed AAAsf
A-5 06542BBH9 LT AAAsf Affirmed AAAsf
A-5-1 06542BBJ5 LT AAAsf Affirmed AAAsf
A-5-2 06542BBK2 LT AAAsf Affirmed AAAsf
A-5-X1 06542BBL0 LT AAAsf Affirmed AAAsf
A-5-X2 06542BBM8 LT AAAsf Affirmed AAAsf
A-S 06542BBQ9 LT AAAsf Affirmed AAAsf
A-S-1 06542BBR7 LT AAAsf Affirmed AAAsf
A-S-2 06542BBT3 LT AAAsf Affirmed AAAsf
A-S-X1 06542BBU0 LT AAAsf Affirmed AAAsf
A-S-X2 06542BBV8 LT AAAsf Affirmed AAAsf
A-SB 06542BBA4 LT AAAsf Affirmed AAAsf
B 06542BBW6 LT AA-sf Affirmed AA-sf
B-1 06542BBX4 LT AA-sf Affirmed AA-sf
B-2 06542BBY2 LT AA-sf Affirmed AA-sf
B-X1 06542BBZ9 LT AA-sf Affirmed AA-sf
B-X2 06542BCA3 LT AA-sf Affirmed AA-sf
C 06542BCB1 LT A-sf Affirmed A-sf
C-1 06542BCC9 LT A-sf Affirmed A-sf
C-2 06542BCD7 LT A-sf Affirmed A-sf
C-X1 06542BCE5 LT A-sf Affirmed A-sf
C-X2 06542BCF2 LT A-sf Affirmed A-sf
D 06542BAJ6 LT BBBsf Affirmed BBBsf
E 06542BAL1 LT BBB-sf Affirmed BBB-sf
F 06542BAN7 LT BB-sf Affirmed BB-sf
G 06542BAQ0 LT B-sf Affirmed B-sf
X-A 06542BBN6 LT AAAsf Affirmed AAAsf
X-B 06542BBP1 LT AA-sf Affirmed AA-sf
X-D 06542BAA5 LT BBB-sf Affirmed BBB-sf
X-F 06542BAC1 LT BB-sf Affirmed BB-sf
X-G 06542BAE7 LT B-sf Affirmed B-sf
KEY RATING DRIVERS
Stable Performance and 'Bsf' Loss Expectations: The affirmations
across both transactions reflect stable pool performance and loss
expectations since Fitch's prior rating action. Deal-level 'Bsf'
rating case losses are 2.9% for BANK 2021-BNK31 and 3.0% for BANK
2021-BNK32. The BANK 2021-BNK31 transaction has four Fitch Loans of
Concern (FLOCs; 2.4% of the pool), all of which are secured by a
single tenant, Walgreens, who has announced it would be closing
stores over the next three years.
The BANK 2021-BNK32 transaction has two FLOCs (4.1%), including the
Boca Office Portfolio (3.3%) loan, secured by a four-property
mixed-use office/retail portfolio in Boca Raton, FL with near-term
rollover concerns, and the specially serviced Blossom Gardens
Apartments, Inc. (0.8%) loan, secured by a 184-unit co-operative
property in Flushing, NY that was recently affected by a fire.
FLOCs: The Boca Office Portfolio (3.3%), which has a granular rent
roll of over 150 tenants, was 82.0% occupied as of March 2024, down
from 90% at the time of issuance. The servicer-reported NOI DSCR
was 2.35x for YE23. Near-term rollover includes 15.0% of the NRA
between 2025 and 2026 as of the June 2024 rent roll. Fitch's 'Bsf'
rating case loss of 3.7% (prior to a concentration adjustment) is
based on a 10.0% cap rate to the Fitch issuance NCF. The loan is
scheduled to mature in March 2026.
Fitch is also monitoring the performance of The Blossom Gardens
Apartments, Inc. (0.8%) loan, which transferred to special
servicing in October 2023 as a result of a fire affecting 36 of the
184 units. According to the servicer watchlist commentary, the
borrower has entered into a service contract for insurance
rehabilitation, which was noted to be deficient.
Minimal Changes in Credit Enhancement (CE): As of the November 2024
distribution date, the aggregate pool balances of the BANK
2021-BNK31 and BANK 2021-BNK32 transactions have been paid down by
2.5% and 0.7%, respectively, since issuance. There are no defeased
loans in both transactions.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Downgrades to the 'AAAsf' rated classes are not expected due to
the position in the capital structure and expected continued
amortization and loan repayments, but may occur if deal-level
losses increase significantly and/or interest shortfalls occur or
are expected to occur;
- Downgrades to classes rated in the 'AAsf', 'Asf' and 'BBBsf'
categories may occur should performance of the FLOCs and/or office
properties deteriorate further, particularly Boca Office Portfolio,
or should expected losses for the pool increase significantly due
to outsized loan-level losses and/or if additional loans become
FLOCs;
- Downgrades to classes rated in the 'BBsf' and 'Bsf' categories
could occur with higher than expected losses from continued
underperformance of the FLOCs and with greater certainty of losses
on the specially serviced loan or other FLOCs.
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, including Boca Office Portfolio. 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.
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.
BANK 2024-5YR12: Fitch Assigns 'B-sf' Final Rating on Two Tranches
------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
BANK5 2024-5YR12 commercial mortgage pass-through certificates,
series 2024-5YR12 as follows:
- $2,556,000 class A-1 'AAAsf'; Outlook Stable;
- $114,000,000a class A-2 'AAAsf'; Outlook Stable;
- $0a class A-2-1 'AAAsf'; Outlook Stable;
- $0ab class A-2-X1 'AAAsf'; Outlook Stable;
- $0a class A-2-2 'AAAsf'; Outlook Stable;
- $0ab class A-2-X2 'AAAsf'; Outlook Stable;
- $465,997,000a class A-3 'AAAsf'; Outlook Stable;
- $0a class A-3-1 'AAAsf'; Outlook Stable;
- $0ab class A-3-X1 'AAAsf'; Outlook Stable;
- $0a class A-3-2 'AAAsf'; Outlook Stable;
- $0ab class A-3-X2 'AAAsf'; Outlook Stable;
- $582,553,000b class X-A 'AAAsf'; Outlook Stable;
- $81,141,000a class A-S 'AAAsf'; Outlook Stable;
- $0a class A-S-1 'AAAsf'; Outlook Stable;
- $0ab class A-S-X1 'AAAsf'; Outlook Stable;
- $0a class A-S-2 'AAAsf'; Outlook Stable;
- $0ab class A-S-X2 'AAAsf'; Outlook Stable;
- $43,692,000a class B 'AA-sf'; Outlook Stable;
- $0a class B-1 'AA-sf'; Outlook Stable;
- $0ab class B-X1 'AA-sf'; Outlook Stable;
- $0a class B-2 'AA-sf'; Outlook Stable;
- $0ab class B-X2 'AA-sf'; Outlook Stable;
- $33,288,000a class C 'A-sf'; Outlook Stable;
- $0a class C-1 'A-sf'; Outlook Stable;
- $0ab class C-X1 'A-sf'; Outlook Stable;
- $0a class C-2 'A-sf'; Outlook Stable;
- $0ab class C-X2 'A-sf'; Outlook Stable;
- $158,121,000b class X-B 'AA-sf'; Outlook Stable;
- $18,725,000c class D 'BBBsf'; Outlook Stable;
- $9,363,000c class E 'BBB-sf'; Outlook Stable;
- $28,088,000bc class X-D 'BBB-sf'; Outlook Stable;
- $18,725,000c class F 'BB-sf'; Outlook Stable;
- $18,725,000bc class X-F 'BB-sf'; Outlook Stable;
- $11,443,000c class G 'B-sf'; Outlook Stable;
- $11,443,000bc class X-G 'B-sf'; Outlook Stable.
The following classes are not expected to be rated by Fitch:
- $33,289,000c class J;
- $33,289,000c class X-J;
- $34,738,500d class RR;
- $9,062,500d RR Interest.
(a) The class A2, class A3, class AS, class B and class C are
exchangeable certificates. Each class of exchangeable certificates
may be exchanged for the corresponding classes of exchangeable
certificates, and vice versa. The dollar denomination of each of
the received classes of certificates must be equal to the dollar
denomination of each of the surrendered classes of certificates.
The class A2 may be surrendered (or received) for the received (or
surrendered) classes A-2-1, A-2-X1, A-2-2 and A-2-X2. The class A-3
may be surrendered (or received) for the received (or surrendered)
classes A-3-1, A-3-X1, A-3-2 and A-3-X2. The class AS may be
surrendered (or received) for the received (or surrendered) classes
A-S-1, AS-X1, A-S-2 and A-S-X2. The class B may be surrendered (or
received) for the received (or surrendered) classes B-1, B-X1, B-2
and B-X2. The class C may be surrendered (or received) for the
received (or surrendered) classes C-1, C-X1, C-2 and C-X2.
The ratings of the exchangeable classes would reference the ratings
of the associate referenced or original classes.
(b) Notional amount and interest only.
(c) Privately placed and pursuant to Rule 144A.
(d) Vertical-risk retention interest.
Transaction Summary
The certificates represent the beneficial ownership interest in the
trust, the primary assets of which are 27 loans secured by 147
commercial properties with an aggregate principal balance of
$876,020,000 as of the cutoff date. The loans were contributed to
the trust by Bank of America, National Association, Morgan Stanley
Mortgage Capital Holdings LLC, JPMorgan Chase Bank, National
Association, and Wells Fargo Bank, National Association.
The master servicer is Wells Fargo Bank, National Association and
the special servicer is KeyBank National Association. The trustee
and certificate administrator is Computershare Trust Company,
National Association. The certificates will follow a sequential
paydown structure.
The final rating of 'AA-sf' for Class X-B differs from the Expected
Rating of 'A-(EXP)sf'.
KEY RATING DRIVERS
Fitch Net Cash Flow: Fitch Ratings performed cash flow analyses on
20 loans totaling 94.5% of the pool by balance. Fitch's resulting
aggregate net cash flow (NCF) of $435.4 million represents a 17.6%
decline from the issuer's aggregate underwritten NCF of $260.3
million.
Higher Fitch Leverage: The pool has higher leverage than recent
multiborrower transactions rated by Fitch. The pool's Fitch
loan-to-value ratio (LTV) of 100.5% is higher than both the 2024
YTD and 2023 five-year multiborrower transaction averages of 94.6%
and 89.7%, respectively. The pool's Fitch NCF debt yield (DY) of
9.4% is lower than both the 2024 YTD and 2023 averages of 10.3% and
10.6%, respectively.
Investment Grade Credit Opinion Loans: Two loans representing 16.6%
of the pool by balance received an investment-grade credit opinion.
Queens Center received an investment-grade credit opinion of
'BBB+sf*' on a standalone basis. Rockefeller Center received an
investment-grade credit opinion of 'A+sf*' on a standalone basis.
The pool's total credit opinion percentage is higher than both the
2024 YTD average of 11.8% and the 2023 average of 14.6% for
five-year multiborrower transactions. Excluding the credit opinion
loans, the pool's Fitch LTV and DY are 106.1% and 9.1%,
respectively, compared to the equivalent five-year multiborrower
2024 YTD LTV and DY averages of 93.6% and 10.3%, respectively.
Higher Pool Concentration: The pool is more concentrated than
recently rated Fitch transactions. The top 10 loans represent 73.1%
of the pool, which is worse than both the 2024 YTD five-year
multiborrower average of 58.9% and the 2023 average of 65.3%. Fitch
measures loan concentration risk with an effective loan count,
which accounts for both the number and size of loans in the pool.
The pool's effective loan count is 18.4. Fitch views diversity as a
key mitigant to idiosyncratic risk. Fitch raises the overall loss
for pools with effective loan counts below 40.
Shorter-Duration Loans: Loans with five-year terms constitute 100%
of the pool, whereas Fitch-rated multiborrower transactions have
historically included mostly loans with 10-year terms. Fitch's
historical loan performance analysis shows that five-year loans
have a modestly lower probability of default than 10-year loans,
all else being equal. This is mainly attributable to the shorter
window of exposure to potentially 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
Reduction in cash flow decreases property value and capacity to
meet its debt service obligations.
The lists below indicate the model implied rating sensitivity to
changes to the same variable, Fitch NCF:
- Original Rating:
'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf';
- 10% NCF Decline:
'AA-sf'/'A-sf'/'BBB-sf'/'BB+sf'/'BBsf'/'Bsf'/less than 'CCCsf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Similarly, improvement in cash flow increases property value and
capacity to meet its debt service obligations.
The lists below indicate the model implied rating sensitivity to
changes in one variable, Fitch NCF:
- Original Rating:
'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf';
- 10% NCF Increase:
'AAAsf'/'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 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.
BANK OF AMERICA 2016-UBS10: DBRS Confirms C Rating on 4 Classes
---------------------------------------------------------------
DBRS Limited confirmed its credit ratings on all classes of
Commercial Mortgage Pass-Through Certificates, Series 2016-UBS10
issued by Bank of America Merrill Lynch Commercial Mortgage Trust
2016-UBS10 as follows:
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (sf)
-- Class C at BBB (high) (sf)
-- Class D at B (low) (sf)
-- Class E at CCC (sf)
-- Class F at C (sf)
-- Class G at C (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (high) (sf)
-- Class X-D at B (sf)
-- Class X-E at C (sf)
-- Class X-F at C (sf)
There are no trends on Classes E, F, G, XE, and XF, which have
credit ratings that do not typically carry trends in commercial
mortgage-backed securities (CMBS) credit ratings. All other trends
are Stable.
Morningstar DBRS' expectations for the pool are largely unchanged
since the last credit rating action in December 2023. Since then,
one loan has transferred to special servicing; there are now three
loans, representing 14.4% of the pool, in special servicing.
Morningstar DBRS' analysis includes a liquidation scenario for two
of the three specially serviced loans, resulting in implied losses
of approximately $54.0 million, a slight increase from Morningstar
DBRS' projected losses of $47.6 million at the time of the last
credit rating action. The current implied losses remain contained
to Classes E and below, which already carry distressed ratings.
As of the November 2024 remittance, 41 of the original 52 loans
remain in the trust with an aggregate balance of $570.0 million,
representing a collateral reduction of 35.0% since issuance. All
remaining loans in the pool are scheduled to mature within the next
18 months. While Morningstar DBRS expects the majority of loans
will repay, additional defaults could increase Morningstar DBRS'
projected losses and potentially result in credit rating
downgrades. For loans that are not in special servicing but have
exhibited increased default risks, Morningstar DBRS increased the
probability of default, and, in certain cases, applied stressed
loan-to-value ratios to increase the expected loss (EL) as
applicable. The resulting weighted-average (WA) EL for these loans
is more than 65% higher than the pool average EL. Excluding
Morningstar DBRS' loans of concern, the remaining pool reported a
YE2023 weighted-average (WA) debt service coverage ratio of 1.85
times and WA debt yield of 13.6%.
The largest loan in special servicing is Belk Headquarters
(Prospectus ID#3, 9.1% of the current pool balance), which is
secured by a 473,698-square-foot Class B office property in
suburban Charlotte, North Carolina. The subject had previously
served as the headquarters for a single tenant, Belk, but the
tenant went dark in 2021; soon thereafter, the loan transferred to
the special servicer in December 2022 at the request of the
borrower and negotiations surrounding a deed in lieu of foreclosure
remain ongoing as per the latest servicer commentary from November
2024. While Belk, which has a lease through 2031, continues to
honor its contractual obligations and the loan has remained
current, Morningstar DBRS expects the property's value has likely
declined significantly from its issuance value of $96.9 million,
given the challenged office landscape and low investor appetite for
this specific property type. A cash flow sweep was triggered as a
result of Belk's failure to occupy its space; as per the servicer,
approximately $8.6 million has been accumulated in the cash
management account till date. Morningstar DBRS' liquidation
scenario for this loan considered a conservative haircut to the
issuance appraisal given the fully vacant status of the building,
suggesting a near full loss of the loan amount could be possible.
The second-largest loan in special servicing is Princeton Pike
Corporate Center (Prospectus ID#18, 3.5% of the current pool
balance), which is secured by an eight-building suburban office
complex in Lawrenceville, New Jersey. The loan is pari passu with
the MSBAM 2016-C28 and MSBAM 2016-C29 transactions, which are also
rated by Morningstar DBRS. The loan transferred to special
servicing in February 2024 for imminent monetary default. However,
as of the November 2024 reporting, the loan remains current and
discussions surrounding a potential loan modification remain
ongoing. Occupancy has fallen significantly, reported at 59.5% as
per the February 2024 rent roll, with leases totaling approximately
23.0% of the net rentable area scheduled to rollover in the next 12
months. The occupancy decline follows the departure of several
tenants through 2023, and while there is not a YE2023 financial
statement that has yet been made available, Morningstar DBRS
expects the YE2023 and YE2024 cash flows will also indicate
performance decline given this loss in revenue. Given the current
payment status, an updated appraisal has not been ordered. Although
workout discussions remain ongoing, it is likely that the
property's value has declined since issuance given the low in-place
occupancy rate and softening submarket metrics. Morningstar DBRS'
liquidation scenario was based on a haircut to the issuance
appraised value, resulting in a projected loss severity approaching
40%.
Notes: All figures are in U.S. dollars unless otherwise noted.
BANK5 2024-5YR11: DBRS Finalizes BB(low) Rating on Class G Certs
----------------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings on the
following classes of Commercial Mortgage Pass-Through Certificates
Series, 2024-5YR11 (the Certificates) issued by BANK5 2024-5YR11
(the Trust):
-- Class A-3 at AAA (sf)
-- Class A-3-1 at AAA (sf)
-- Class A-3-2 at AAA (sf)
-- Class A-3-X1 at AAA (sf)
-- Class A-3-X2 at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (low) (sf)
-- Class A-S at AAA (sf)
-- Class A-S-1 at AAA (sf)
-- Class A-S-2 at AAA (sf)
-- Class A-S-X1 at AAA (sf)
-- Class A-S-X2 at AAA (sf)
-- Class B at AA (sf)
-- Class B-1 at AA (sf)
-- Class B-2 at AA (sf)
-- Class B-X1 at AA (sf)
-- Class B-X2 at AA (sf)
-- Class C at A (high) (sf)
-- Class C-1 at A (high) (sf)
-- Class C-2 at A (high) (sf)
-- Class C-X1 at A (high) (sf)
-- Class C-X2 at A (high) (sf)
-- Class X-D at A (low) (sf)
-- Class X-F at BBB (low) (sf)
-- Class X-G at BB (sf)
-- Class D at BBB (high) (sf)
-- Class E at BBB (high) (sf)
-- Class F at BB (high) (sf)
-- Class G at BB (low) (sf)
All Trends are Stable.
Morningstar DBRS discontinued and withdrew its provisional ratings
on the Class A-2, Class A-2-1, Class A-2-2, Class A-2-X1, and Class
A-2-X2 Certificates initially contemplated in the offering
documents, as they were removed from the transaction.
Classes X-D, X-F, X-G, D, E, F, and G will be privately placed.
The Class A-3-1, Class A-3-2, Class A-3-X1, Class A-3-X2, Class
A-S-1, Class A-S-2, Class A-S-X1, Class A-S-X2, Class B-1, Class
B-2, Class B-X1, Class B-X2, Class C-1, Class C-2, Class C-X1, and
Class C-X2 certificates are also offered certificates. Such classes
of certificates, together with the Class A-3, Class A-S, Class B,
and Class C certificates, constitute the "Exchangeable
Certificates". The Class D, Class E, Class F, Class G, and Class J
certificates, together with the Exchangeable Certificates with a
certificate balance, are referred to as the "principal balance
certificates."
The collateral of the BANK5 2024-5YR11 transaction consists of 33
fixed-rate loans secured by 77 commercial and multifamily
properties with an aggregate cut-off date balance of $795.38
million. One loan (Atrium Hotel Portfolio 24 Pack), representing
6.3% of the pool, is shadow-rated investment grade by Morningstar
DBRS. The conduit pool was analyzed to determine the provisional
ratings, reflecting the long-term probability of loan default
within the term and its liquidity at maturity. When the cut-off
balances were measured against the Morningstar DBRS NCF and their
respective constants, the initial Morningstar DBRS WA DSCR of the
pool was 1.47x. The WA Morningstar DBRS Issuance LTV and Balloon
LTV of the pool is 58.3% as a result of the pool lacking
amortization. These credit metrics are based on the A-note
balances. Excluding the shadow-rated loans, the deal still exhibits
reasonable WA Morningstar DBRS Issuance and Balloon LTVs of 60.1%.
However, six loans, representing 23.7% of the allocated pool
balance, exhibit a Morningstar DBRS Issuance LTV in excess of
67.1%, a threshold generally indicative of above-average default
frequency. Additionally, 18 loans, representing 41.0% of the
allocated pool balance, exhibit a Morningstar DBRS DSCR below
1.25x, a threshold indicate of a higher likelihood of midterm
default. The transaction has a sequential-pay pass-through
structure.
Seven loans, representing 28.7% of the pool, are located in areas
with a Morningstar DBRS Market Rank of 7 or 8, indicative of dense
urban areas that benefit from increased liquidity driven by
consistently strong investor demand, even during times of economic
stress. Additionally, seven loans, representing 26.8% of the
allocated pool balance, are located in areas with a Morningstar
DBRS Market Rank of 5 or 6. Markets with these ranks benefit from
lower default frequencies than less dense suburban, tertiary, and
rural markets. The predominant urban markets represented in the
deal are in New York and Chicago. Additionally, 12 loans,
representing 43.3% of the pool, are located in MSA Group 3, which
represents the best-performing group in historical CMBS default
rates among the top 25 MSAs.
Eleven loans, representing 35.2% of the pool, have Morningstar DBRS
Issuance LTVs below 59.3%, a threshold historically indicative of
relatively low-leverage financing and generally associated with
below-average default frequency. Even with the exclusion of the
shadow-rated loan, which represents 6.3% of the pool, the
transaction exhibits a WA Morningstar DBRS Issuance LTV of 60.1%.
Only one loan in the pool, Lake Eustis MHP, has a Morningstar DBRS
LTV equal to or above 70.0%.
Four loans, representing 19.5% of the pool, received a property
quality assessment of Average + or better, with no loans in the
pool receiving a property quality of Average - or worse.
Higher-quality properties are more likely to retain existing
tenants/guests and more easily attract new tenants/guests,
resulting in a more stable performance.
The pool contains 33 loans and is concentrated with a lower
Herfindahl score of 16.0, with the top 10 loans representing 70.5%
of the pool. These metrics are lower than those in the Morningstar
DBRS-rated BANK5 2024-5YR7, BANK5 2024-5YR8, and BANK5 2024-5YR10
transactions, which had Herfindahl scores of 21.2, 16.7, and 19.5,
respectively. The pool's low diversity is accounted for in the
Morningstar DBRS model, raising the transaction's credit
enhancement levels to account for the more concentrated pool.
The pool has a relatively high concentration of loans secured by
office and retail properties at 14 loans, representing 59.5% of the
pool balance. These were among the property types most affected by
the COVID-19 pandemic. Future demand for office space is uncertain
due to the post-pandemic growth of work from home or hybrid work,
resulting in less use of office space, and in some cases, companies
downsizing their office space footprints. Retail will continue to
be affected by decreasing consumer sentiment and spending, with
many retail companies closing stores as a result of decreased
sales. Four of the office loans and four of the retail loans,
representing 41.4% of the total pool balance, are located in areas
with Morningstar DBRS Market Ranks of 6, 7, and 8, which exhibit
the lowest historical CMBS PODs and LGDs. Furthermore, two of the
office loans and five of the retail loans, representing 35.6% of
the total pool balance, are in MSA Group 3, which is the
best-performing group among the top 25 MSAs in historical CMBS
default rates. Four of the five office loans and six of the nine
retail properties in the pool were sampled, representing 94.3% and
89.4% of each property type's respective trust balance.
In today's challenging interest-rate environment, debt service
payments have nearly doubled from mid-2022. Elevated interest rates
have severely constrained DSCRs, and the subject transaction has a
WA Morningstar DBRS DSCR of 1.47x, or 1.30x when excluding
shadow-rated loans. While adequate to service debt, the ratio is
considerably lower than historical conduit transactions and
provides for a smaller cushion should cash flows be disrupted.
Loans with lower DSCRs receive a POD penalty in the Morningstar
DBRS model.
All 33 loans in the pool are structured with IO payment structures
and do not benefit from any amortization. One of the IO loans,
Atrium Hotel Portfolio 24 Pack, representing 6.3% of the pool, is
shadow-rated investment grade by Morningstar DBRS. The IO loans
have a WA Morningstar DBRS LTV of 58.3%, indicative of moderately
low leverage. Twelve loans, representing 46.2% of the pool, are
located in areas with Morningstar DBRS Market Ranks of 6 or higher,
while seven loans, representing 28.7% of the pool are in areas with
Morningstar DBRS Market Ranks of 7 or 8. These urban markets
benefit from increased liquidity even during times of economic
stress.
Twenty-five loans, representing 86.1% of the total pool balance,
are refinancing or recapitalizing existing debt. Morningstar DBRS
views loans that refinance existing debt as more credit negative
compared with loans that finance an acquisition. Acquisition
financing typically includes a meaningful cash investment by the
sponsor, which aligns their interests more closely with those of
the lender, whereas refinance transactions may be cash neutral or
cash-out transactions, the latter of which may reduce the
borrower's commitment to a property. The loans that are refinancing
existing debt exhibit relatively low leverage. Specifically, the
Morningstar DBRS WA Issuance and Balloon LTVs of the loans
refinancing existing debts are 57.4%.
Twenty-six of the 33 loans in the pool exhibit negative leverage,
defined as the issuer's implied cap rate (issuer's NCF divided by
the appraised value), less the current interest rate. On average,
the transaction exhibits -0.32% of negative leverage. While cap
rates have been increasing over the last few years, they have not
surpassed the current interest rates. In the short-term, this
suggests borrowers are willing to have their equity returns reduced
in order to secure financing. Longer-term, should interest rates
hold steady, the loans in this transaction could be subject to
negative value adjustments that may affect the borrower's ability
to refinance their loans.
Notes: All figures are in U.S. dollars unless otherwise noted.
BARINGS 2017-I: S&P Places 'BB-' Rating on D-R Notes on Watch Neg.
------------------------------------------------------------------
S&P Global Ratings placed its 'BB- (sf)' rating on the class D-R
debt from Barings Middle Market CLO 2017-I LLC on CreditWatch with
negative implications. The transaction is a $507.10 million
middle-market collateralized loan obligation (CLO) managed by
Barings LLC. It was originally issued in 2017, but rated by S&P
Global Ratings only when it was refinanced in November 2021. The
reinvestment period is scheduled to end in January 2026.
The junior overcollateralization (O/C) ratio test was reported as
failing in the September 2024 monthly trustee report, and,
subsequently, all other O/C ratio tests for the CLO were reported
as failing in the October 2024 report. As a result, the CLO paid
down 7% of its senior note balance on the October payment date, and
interest on the class D-R debt was deferred.
S&P said, "We understand that the O/C ratios declined primarily due
to haircuts in the O/C calculations following exposure to four
assets in the collateral pool that started to defer interest. Based
on discussions with the manager, we further understand that the
manager has been working with the affected borrowers. When we
reviewed the CLO in September and October, our analysis showed that
the CLO tranches were passing at their assigned rating levels, and
we decided to continue monitoring the situation.
"We were subsequently informed in November that the largest
deferring obligor was no longer deferring. Due to this improvement
and the reduced senior note balance following the October 2024
diversion of interest cash to reduce the 'AAA' note balance, the
November 2024 monthly trustee report O/C ratios improved, and the
senior and mezzanine O/C ratio tests are now passing. However, the
junior-most O/C ratio test (class D) continues to fail."
While the developments over the last two months are overall
positive, there still are uncertainties related to the remaining
deferring obligors, class D O/C continuing to fail, and class D
notes currently deferring its interest. As a result, S&P placed the
rating on the class D-R notes on CreditWatch with negative
implications and intend to resolve it within 90 days following a
committee review.
BARINGS CLO 2019-II: S&P Assigns BB- (sf) in Class E-RR Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-RR, B-RR,
C-RR, D-1-RR, D-2-RR, and E-RR replacement debt from Barings CLO
Ltd. 2019-II/Barings CLO 2019-II LLC, a CLO managed by Barings LLC
that was originally issued in April 2019 and underwent a first
refinancing in May 2021. At the same time, S&P withdrew its ratings
on the class A1-R, A2-R, B-R, C-R, and D-R debt following payment
in full.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The non-call period was extended to Dec. 10, 2026.
-- The reinvestment period was extended to Dec. 10, 2029.
-- The legal final maturity dates for the replacement debt and the
existing subordinated notes were extended to Jan. 15, 2038.
-- The previous floating-rate class C-R debt was replaced by the
sequential floating-rate classes D-1-RR and D-2-RR debt.
-- The issuer amended provisions related to workout assets.
-- The concentration limitations of the collateral portfolio's
investment guidelines were amended.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Barings CLO Ltd. 2019-II/Barings CLO 2019-II LLC
Class A-RR, $320.00 million: AAA (sf)
Class B-RR, $60.00 million: AA (sf)
Class C-RR (deferrable), $30.00 million: A (sf)
Class D-1-RR (deferrable), $25.00 million: BBB (sf)
Class D-2-RR (deferrable), $10.00 million: BBB- (sf)
Class E-RR (deferrable), $15.00 million: BB- (sf)
Ratings Withdrawn
Barings CLO Ltd. 2019-II/Barings CLO 2019-II LLC
Class A1-R to NR from 'AAA (sf)'
Class A2-R 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
Barings CLO Ltd. 2019-II/Barings CLO 2019-II LLC
Subordinated notes(i), $52.65 million: NR
(i)The initial principal amount of the subordinated notes includes
$51.80 million issued on the original closing date in April 2019,
$6.10 million issued on the second closing date in May 2021, and
$47.40 million issued on the third closing date in December 2024.
After giving effect to a reduction of the principal amount of the
subordinated notes, the aggregate outstanding amount of the
subordinated notes will be reduced to $52.65 million as of the
December 2024 closing date.
NR--Not rated.
BARINGS CLO 2019-II: S&P Assigns Prelim 'BB-' Rating on ERR Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-RR, B-RR, C-RR, D-1-RR, D-2-RR, E-RR replacement debt from
Barings CLO Ltd. 2019-II/Barings CLO 2019-II LLC, a CLO managed by
Barings LLC that was originally issued in April 2019 and underwent
a first refinancing in May 2021.
The preliminary ratings are based on information as of Dec. 9,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Dec. 10, 2024, refinancing date, the proceeds from the
replacement debt will be used to redeem the May 2021 debt. S&P
said, "At that time, we expect to withdraw our ratings on the May
2021 debt and assign ratings to the replacement debt. However, if
the refinancing doesn't occur, we may 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 Dec. 10, 2026.
-- The reinvestment period will be extended to Dec. 10, 2029.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) will be extended to Jan. 15,
2038.
-- The previous floating-rate class C-R debt is expected to be
replaced by the sequential floating-rate classes D-1-RR and D-2-RR
debt.
-- The issuer is amending provisions related to workout assets.
-- 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 debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
Barings CLO Ltd. 2019-II/Barings CLO 2019-II LLC
Class A-RR, $320.00 million: AAA (sf)
Class B-RR, $60.00 million: AA (sf)
Class C-RR (deferrable), $30.00 million: A (sf)
Class D-1-RR (deferrable), $25.00 million: BBB (sf)
Class D-2-RR (deferrable), $10.00 million: BBB- (sf)
Class E-RR (deferrable), $15.00 million: BB- (sf)
Other Debt
Barings CLO Ltd. 2019-II/Barings CLO 2019-II LLC
Subordinated notes(i), $52.65 million: Not rated
(i)The initial principal amount of the subordinated notes includes
$51.80 million issued on the original closing date, $6.10 million
issued on the second closing date in 2021, and $47.40 million
issued on the closing date in 2024. After giving effect to a
reduction of the principal amount of the subordinated notes, the
aggregate outstanding amount of the subordinated notes as of the
2024 closing date will be reduced to $52.65 million.
BB-UBS TRUST 2012-TFT: DBRS Confirms C Rating on Class E Certs
--------------------------------------------------------------
DBRS Limited downgraded the credit ratings on five classes of
Commercial Mortgage Pass-Through Certificates, Series 2012-TFT
issued by BB-UBS Trust 2012-TFT as follows:
-- Class A to AA (sf) from AAA (sf)
-- Class X-A to AA (high) (sf) from AAA (sf)
-- Class B to B (sf) from BBB (high) (sf)
-- Class C to C (sf) from B (low) (sf)
-- Class D to C (sf) from CCC (sf)
In addition, Morningstar DBRS confirmed the credit ratings on two
classes as follows:
-- Class TE at B (high) (sf)
-- Class E at C (sf)
There are no trends on Classes C, D, and E, which have credit
ratings that do not typically carry trends in commercial
mortgage-backed securities (CMBS) credit ratings. The trends on
Classes A, X-A, and B were changed to Negative from Stable, while
the trend on Class TE remains Stable.
The credit rating downgrades for Classes C and D are reflective of
Morningstar DBRS' loss projection for the Tucson Mall loan
(Prospectus ID#1; 60.2% of the pool), which remains in special
servicing as of the November 2024 remittance. Both classes were
previously downgraded in December 2022 given exhibited performance
declines and an updated appraisal, which showed a significant value
decline from issuance for the Tucson Mall property. As part of this
review, Morningstar DBRS derived an updated value of $108.3 million
for Tucson Mall, representing a 10.5% decline from the July 2021
appraised value of $121.0 million and a 72.9% decline from the
issuance appraised value of $400.0 million. Although the sponsor
has shown recent commitment to the property, the continued lag in
performance and the very high loan-to-value ratio (LTV) implied by
the Morningstar DBRS value that approached 170%, and the upcoming
end of the forbearance period, the consideration of a liquidation
scenario to determine recoverability as part of the analysis for
this review was supported. The liquidation scenario suggests that
losses could erode into Class C, supporting the C (sf) credit
ratings on the transaction's three most junior classes.
The transaction was originally backed by three separate 7.5-year,
fixed-rate, interest-only (IO) first-mortgage loans. The two
remaining loans are secured by Tucson Mall in Tucson, Arizona, and
Town East Mall (Prospectus ID#3; 39.8% of the pool) in the Dallas
suburb of Mesquite, Texas. Both loans were modified to extend their
maturity dates to June 2024 but were ultimately not repaid and were
transferred to special servicing. While the values for both malls
have declined significantly since issuance, the transaction's
senior bonds have benefited from principal paydown of over $25.0
million due to principal curtailments and continued loan
amortization since Morningstar DBRS' last review. Although
Morningstar DBRS' recoverability scenario for both loans suggests
that Classes A and B remain insulated from loss, there remains
significant uncertainty with regard to the ultimate recoverability
given the low investor appetite for regional mall property types
and the possibility that one or both of the collateral malls'
performance could further deteriorate through the workout period.
The credit rating downgrades and Negative trends for Classes A and
B reflect these factors.
The Tucson Mall loan is secured by a 667,581-square-foot (sf)
portion of a 1.3 million-sf super-regional mall in Tucson. The
property is currently anchored by noncollateral tenants Dillard's,
Macy's, JCPenney, and Dick's Sporting Goods, as well as a
collateral tenant Curacao (12.2% of net rentable area (NRA), lease
expires July 2034), which backfilled Forever 21's surrendered space
in October 2024. Inclusive of Curacao, collateral occupancy was
reported at 87.0% as of the July 2024 rent roll; however, despite
the relatively stable occupancy levels, net cash flow (NCF) is
expected to remain well below issuance as the YE2023 financials
reported a NCF of $12.6 million (debt service coverage ratio (DSCR)
of 1.16x) compared with the issuance NCF of $24.1 million.
According to servicer commentary, a $7.9 million principal
curtailment was applied, and the loan was modified in October 2024
to grant a maturity forbearance through to an initial expiration
date of November 1, 2024. The forbearance may be extended for
30-day periods at the lender's discretion but will reportedly not
be extended beyond March 2025.
The Town East Mall loan is secured by a 421,206-sf portion of a 1.2
million-sf regional mall in Mesquite, 10 miles east of Dallas. The
property is anchored by Dillard's, JCPenney, and Macy's, none of
which are collateral for the loan. The mall has been 80.0% occupied
since 2022; however, when excluding the vacant Sears box, occupancy
is over 95.0%. The loan reported a YE2023 NCF of $16.5 million
compared with the issuance NCF of $16.8 million and, as of June
2024, reported a DSCR of 1.75x. In July 2024, a loan modification
was executed that extended the loan's maturity date to December
2024, in exchange for a principal paydown of $11.0 million. The
maturity date can be extended to June 2025 provided that the
borrower has a written refinance commitment letter or a listing
agreement with a broker engaged to sell the property prior to June
2025 and, as of November 2024, the loan was returned to the master
servicer. Despite the stable NCF, the mall's value declined over
25% since issuance, most recently being reported at $187.0 million
(LTV of 64.4%) as of June 2021.
In the analysis for this review, Morningstar DBRS derived updated
values for both collateral malls, using the YE2023 NCFs for each,
with a 10.0% haircut applied. For Tucson Mall, a capitalization
(cap) rate of 10.5% was applied, resulting in an updated
Morningstar DBRS value of $108.3 million (LTV of 168.3%), in line
with the previous Morningstar DBRS value derived in 2022 and 10.5%
below the July 2021 value of $121.0 million. For Town East Mall, a
cap rate of 10.0% was applied, resulting in a value of $148.4
million (LTV of 81.4%), approximately 18.2% below the previous
Morningstar DBRS value and 20.7% below the July 2021 appraised
value of $187.0 million, but still suggestive of remaining equity
that should incentivize the sponsor to achieve a successful takeout
of the trust loan, supporting the Stable trend for the Class TE
with this credit rating action. A positive qualitative adjustment
of 0.25% for cash flow volatility was applied to the LTV sizing for
the Town East Mall analysis to reflect the generally stable
in-place cash flows since issuance.
Morningstar DBRS' credit ratings on the applicable classes address
the credit risk associated with the identified financial
obligations in accordance with the relevant transaction documents.
Where applicable, a description of these financial obligations can
be found in the transactions' respective press releases at
issuance.
Notes: All figures are in U.S. dollars unless otherwise noted.
BENEFIT STREET XXXVI: Moody's Gives B1 Rating to $250,000 E-2 Notes
-------------------------------------------------------------------
Moody's Ratings has assigned ratings to two classes of notes issued
by Benefit Street Partners CLO XXXVI, Ltd. (the Issuer or Benefit
Street Partners XXXVI):
US$320,000,000 Class A-1 Senior Secured Floating Rate Notes due
2038, Definitive Rating Assigned Aaa (sf)
US$250,000 Class E-2 Secured Deferrable Floating Rate Notes due
2038, Definitive Rating Assigned B1 (sf)
The notes listed are referred to herein, collectively, as the Rated
Notes.
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.
Benefit Street Partners XXXVI is a managed cash flow CLO. The
issued notes will be collateralized primarily by broadly syndicated
senior secured corporate loans. At least 90.0% of the portfolio
must consist of first lien senior secured loans and up to 10.0% of
the portfolio may consist of second lien loans, unsecured loans and
bonds. The portfolio is approximately 90% ramped as of the closing
date.
Benefit Street Partners L.L.C. (the Manager) will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.
In addition to the Rated Notes, the Issuer issued six other classes
of secured notes and one class of subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in May 2024.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 75
Weighted Average Rating Factor (WARF): 3177
Weighted Average Spread (WAS): 3.40%
Weighted Average Coupon (WAC): 6.00%
Weighted Average Recovery Rate (WARR): 46%
Weighted Average Life (WAL): 8.0 years
Methodology Underlying the Rating Action
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2024.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the 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.
BRAVO RESIDENTIAL 2024-NQM8: Fitch Gives B(EXP) Rating on B-2 Notes
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to BRAVO Residential
Funding Trust 2024-NQM8 (BRAVO 2024-NQM8).
Entity/Debt Rating
----------- ------
BRAVO 2024-NQM8
A-1A LT AAA(EXP)sf Expected Rating
A-1B LT AAA(EXP)sf Expected Rating
A-1 LT AAA(EXP)sf Expected Rating
A-2 LT AA(EXP)sf Expected Rating
A-3 LT A(EXP)sf Expected Rating
M-1 LT BBB(EXP)sf Expected Rating
B-1 LT BB(EXP)sf Expected Rating
B-2 LT B(EXP)sf Expected Rating
B-3 LT NR(EXP)sf Expected Rating
SA LT NR(EXP)sf Expected Rating
XS LT NR(EXP)sf Expected Rating
FB LT NR(EXP)sf Expected Rating
R LT NR(EXP)sf Expected Rating
Transaction Summary
The BRAVO 2024-NQM8 notes are supported by 533 loans with a total
balance of approximately $226 million as of the cutoff date.
Approximately 91.8% of the loans in the pool were originated by
Citadel Servicing Corporation (d/b/a Acra Lending) [Citadel] and
8.2% by First Guaranty Mortgage Corporation (First Guaranty).
Approximately 91.8% of the loans will be serviced by Citadel
(primarily subserviced by ServiceMac) and the remaining approximate
8.2 % of the loans will be serviced by Nationstar Mortgage LLC
(d/b/a Rushmore).
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 9.9% above a long-term sustainable level (vs. 11.6%
on a national level as of 2Q24, up 0.1% since later 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 4.3% YoY nationally as of August 2024 despite modest
regional declines, but are still being supported by limited
inventory.
Non-Qualified Mortgage Credit Quality (Mixed): The collateral
consists of 533 loans totaling around $226 million and seasoned at
around 39 months in aggregate, calculated by Fitch as the
difference between the origination date and the cutoff date. The
borrowers have a strong credit profile, a 731 model FICO and a 46%
debt to income (DTI) ratio, including mapping for debt service
coverage ratio (DSCR) loans, and low leverage of 62% for a
sustainable loan to value (sLTV) ratio.
Of the pool, 59.6% of loans are treated as owner-occupied, while
40.4% are treated as an investor property or second home, which
include loans to foreign nationals or loans where the residency
status was not confirmed. Additionally, 11.7% of the loans were
originated through a retail channel. Of the loans, 60.2% are
non-qualified mortgages (non-QMs), 1.6% are safe-harbor qualified
mortgages (SHQM), while the Ability to Repay/Qualified Mortgage
Rule (ATR) is not applicable for the remaining portion.
Loan Documentation (Negative): Approximately 92.2% of the pool
loans were underwritten to less than full documentation, as
determined by Fitch, and approximately 39.8% were underwritten to a
12-month or 24-month bank statement program for verifying income,
which is not consistent with Appendix Q standards and Fitch's view
of a full documentation program.
A key distinction between this pool and legacy Alt-A loans is that
these loans adhere to underwriting and documentation standards
required under the Consumer Financial Protections Bureau's (CFPB)
ATR, which reduces the risk of borrower default arising from lack
of affordability, misrepresentation or other operational quality
risks due to the rigors of the ATR mandates regarding underwriting
and documentation of a borrower's ability to repay.
Additionally, approximately 30.0% of the loans are a DSCR product,
while the remainder comprise a mix of asset depletion, profit and
loss (P&L), 12- or 24-month tax returns, award letter and written
verification of employment (WVOE) products. Separately, 37 loans
were originated to foreign nationals or the borrower residency
status of the loans could not be confirmed.
Modified Sequential-Payment Structure (Mixed): The structure
distributes principal pro rata among the senior notes, while
shutting out the subordinate bonds from principal until all senior
classes are reduced to zero. If a cumulative loss trigger event or
delinquency trigger event occurs in a given period, principal will
be distributed sequentially to class A-1A, A-1B, A-2 and A-3 notes
until they are reduced to zero.
The structure includes a step-up coupon feature where the fixed
interest rate for class A-1A, A-1B, A-2 and A-3 will increase by
125bps, subject to the net WAC, after four years. This eliminates
the modest excess spread available to repay losses. Interest
distribution amounts otherwise allocable to the unrated class B-3,
to the extent available, may be used to reimburse any unpaid cap
carryover amount for class A-1A, A-1B, A-2 and A-3, prior to the
payment of any current interest and interest carryover amounts due
to the class B-3 notes on such payment date. The class B-3 notes
will not be reimbursed for any amounts that were paid to the senior
classes as cap carryover amounts.
Further, on each payment date on and after the payment date in
december 2028 on which the aggregate note amount of the senior
notes is greater than zero or any current interest, interest
carryforward amount or cap carryover amount is owed to any class of
senior notes, the note rate for the classes M-1, B-1 and B-2 notes
will be a per annum rate equal to 0.000%. Following December 2028,
it is highly unlikely these four bonds will receive any further
interest payments due to the large expected cap carryover
shortfalls on the senior bonds.
No P&I Advancing (Mixed): The servicers will not be advancing
delinquent monthly payments of P&I. As P&I advances made on behalf
of loans that become delinquent and eventually liquidate reduce
liquidation proceeds to the trust, the loan-level loss severities
(LS) are less for this transaction than for those where the
servicer is obligated to advance P&I.
The downside to this is the additional stress on the structure, as
liquidity is limited in the event of large and extended
delinquencies. The structure has enough internal liquidity through
the use of principal to pay interest, excess spread and credit
enhancement (CE) to pay timely interest to senior notes during
stressed delinquency and cash flow periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper market value declines (MVDs) at
the national level. The analysis assumes MVDs of 10.0%, 20.0% and
30.0% in addition to the model-projected 9.9% at the base case. The
analysis indicates that there is some potential for rating
migration with higher MVDs for all rated classes, compared with the
model projection. Specifically, a 10% additional decline in home
prices would lower all rated classes by one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all of the rated classes.
Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated class excluding those being assigned
ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by multiple third-party review firms. The third-party due
diligence described in Form 15E focused on regulatory compliance.
Fitch considered this information in its analysis and, as a result,
due to the clean diligence there was an immaterial impact to the
transaction.
ESG Considerations
BRAVO 2024-NQM8 has an ESG Relevance Score of '4' for Transaction
Parties & Operational Risk due to the R&W framework without
offsetting mitigants, which has a negative impact on the credit
profile, and is relevant to the ratings 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.
BX COMMERCIAL 2021-IRON: DBRS Confirms B(low) Rating on 2 Classes
-----------------------------------------------------------------
DBRS, Inc. confirmed its credit ratings on all classes of the
Commercial Mortgage Pass-Through Certificates issued by BX
Commercial Mortgage Trust 2021-IRON as follows:
-- Class A at A (low) (sf)
-- Class X-NCP at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class F at B (low) (sf)
-- Class HRR at B (low) (sf)
All trends are Stable.
The credit rating confirmations reflect the stable performance of
the transaction. Since Morningstar DBRS' last credit rating action
in November 2023, there have been no changes to the collateral and
the loan continues to exhibit healthy credit metrics, with the
YE2023 financial reporting, reflecting occupancy, revenue, and net
cash flow (NCF) figures that remain consistent with Morningstar
DBRS' expectations.
The transaction is secured by a portfolio of 14 industrial
properties with a combined 2.3 million square feet throughout
California, New Jersey, Pennsylvania, Maryland, and Virginia, with
the largest concentration being in California. The collateral
consists of function bulk warehouse products. The portfolio was
part of a sale-leaseback to Iron Mountain, Inc. (Iron Mountain) and
serves as secure document storage and tape storage facilities for
Iron Mountain's record retention and storage clients. Iron Mountain
is the sole occupant of 100% of the net rentable area on two
triple-net leases with annual 3.0% rent escalations and lease
expiration dates in August 2030 and November 2030, respectively.
There are no termination options during the loan term, and Iron
Mountain has four successive five-year renewal options available.
The $232.0 million floating-rate interest-only (IO) loan, along
with $194.3 million in sponsor equity from the loan sponsor BREIT
Operating Partnership L.P., an affiliate of The Blackstone Group,
Inc., funded the $420 million acquisition of the portfolio. The
loan had an initial two-year initial term and was structured with
five one-year extension options for a fully extended maturity date
of February 2028. The borrower exercised its second option
extending maturity through February 2025 and has not yet exercised
the third extension option, however, Morningstar DBRS believes the
loan is well positioned to exercise its third extension option.
Execution of each option is conditional upon, among other things,
no events of default and the borrower's purchase of an interest
rate cap agreement for each extension term. Morningstar DBRS notes
that the cost to purchase a rate cap has likely increased given the
current interest rate environment.
The transaction features a partial pro rata/sequential-pay
structure, which allows for pro rata paydowns for the first 30.0%
of the original principal balance, where individual properties may
be released from the trust at a price of 105.0% of the allocated
loan amount (ALA). Proceeds are applied sequentially for the
remaining 70.0% of the pool balance with the release price
increasing to 110.0% of the ALA. Morningstar DBRS applied a penalty
to the transaction's capital structure to account for the pro rata
nature of certain prepayments and for the weak deleveraging
premium. As of the November 2024 reporting, there have been no
property releases, and the trust remains in a pro rata payment
schedule.
According to the YE2023 reporting, the portfolio generated a NCF of
$19.4 million (a debt service coverage ratio (DSCR) of 1.17 times
(x)), compared with the YE2022 figure of $18.7 million (a DSCR of
2.30x) and the Morningstar DBRS figure of $16.3 million (a DSCR of
1.69x) derived at issuance. The decline in the DSCR was primarily
driven by a significant increase in debt service obligations, given
the loan's floating-rate structure. Performance is expected to
remain consistent as occupancy has remained at 100% since
issuance.
Morningstar DBRS' credit ratings are based on a value analysis,
completed at issuance, that considered a capitalization rate of
7.00%, resulting in a Morningstar DBRS value of $233.5 million and
a whole-loan loan-to-value ratio (LTV) of 99.3% for the portfolio
compared with the LTV of 54.5% based on the appraised value at
issuance of $425.6 million. Morningstar DBRS considers the LTV on
the trust debt to be high. When combined with the lack of
amortization, the high LTV could potentially result in elevated
refinance risk and/or loss severities in an event of default. In
addition, the sponsor has the right to incur future mezzanine debt
on the portfolio, subject to a maximum appraisal LTV of 57.0% and
an aggregate debt yield of 7.98% or more. As of this review, the
servicer confirmed that no additional mezzanine debt had been
incurred.
In its analysis, Morningstar DBRS maintained the positive
qualitative adjustments to the final LTV sizing benchmarks
totalling 7.5% for cash flow volatility, property quality, and
market fundamentals to account for strong cash flow stability
attributable to the two absolute triple-net Iron Mountain leases,
strong functionality metrics, and positioning across
strong-performing gateway industrial markets.
Notes: All figures are in U.S. dollars unless otherwise noted.
CARLYLE US 2024-7: Fitch Assigns 'BB-sf' Rating on Class E Notes
----------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle
US CLO 2024-7, Ltd.
Entity/Debt Rating Prior
----------- ------ -----
Carlyle US CLO
2024-7, Ltd.
A-1 LT AAAsf New Rating AAA(EXP)sf
A-2 LT AAAsf New Rating AAA(EXP)sf
B LT AAsf New Rating AA(EXP)sf
C LT Asf New Rating A(EXP)sf
D-1 LT BBB-sf New Rating BBB-(EXP)sf
D-2 LT BBB-sf New Rating BBB-(EXP)sf
E LT BB-sf New Rating BB-(EXP)sf
Subordinated LT NRsf New Rating NR(EXP)sf
Transaction Summary
Carlyle US CLO 2024-7, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Carlyle CLO Management 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', 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
98.32% first lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 73.33% versus a
minimum covenant, in accordance with the initial expected matrix
point of 69%.
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
that of 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 'B+sf' for
class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-1 and class A-2
notes as these notes are in the highest rating category of
'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for
class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Carlyle US CLO
2024-7, 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.
CD 2017-CD6: Fitch Affirms 'B-sf' Rating on Class G-RR Certificates
-------------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of CD 2017-CD6 Mortgage
Trust. Fitch has also affirmed the MOA 2020-CD6 E horizontal risk
retention pass through certificate (2017 CD6 III Trust).
The Rating Outlook on classes E-RR, F-RR, G-RR of CD 2017-CD6
Mortgage Trust and class MOA 2020-CD6 E remain Negative.
Entity/Debt Rating Prior
----------- ------ -----
CD 2017-CD6
A-3 125039AC1 LT AAAsf Affirmed AAAsf
A-4 125039AE7 LT AAAsf Affirmed AAAsf
A-5 125039AF4 LT AAAsf Affirmed AAAsf
A-M 125039AH0 LT AAAsf Affirmed AAAsf
A-SB 125039AD9 LT AAAsf Affirmed AAAsf
B 125039AJ6 LT AA-sf Affirmed AA-sf
C 125039AK3 LT A-sf Affirmed A-sf
D 125039AQ0 LT BBBsf Affirmed BBBsf
E-RR 125039AS6 LT BBB-sf Affirmed BBB-sf
F-RR 125039AU1 LT BB-sf Affirmed BB-sf
G-RR 125039AW7 LT B-sf Affirmed B-sf
X-A 125039AG2 LT AAAsf Affirmed AAAsf
X-B 125039AL1 LT AA-sf Affirmed AA-sf
X-D 125039AN7 LT BBBsf Affirmed BBBsf
MOA 2020-CD6 E
E-RR 90214VAA2 LT BBB-sf Affirmed BBB-sf
KEY RATING DRIVERS
Stable 'Bsf' Loss Expectations: Loss expectations for the pool
remain relatively stable since Fitch's prior rating action. Twelve
loans (36.3% of pool) are considered Fitch Loans of Concern
(FLOCs), including one specially serviced loan, Cleveland East
(1.3%) and five additional loans in the top 15 with upcoming
rollover and/or performance concerns. Fitch's current ratings
reflect a 'Bsf' rating case loss of 4.5%.
The Negative Outlooks reflect possible downgrade with further
performance deterioration on FLOCs, particularly on larger loans
with tenant rollover, including Headquarters Plaza (8.9%),
Lightstone Portfolio (4.4%), Hotel Mela Times Square (3.8%), Tustin
Centre I & II (3.7%), Corporate Woods Portfolio (2.6%) and Gurnee
Mills (1.7%). Additionally, the pool has a high office
concentration consisting of 33.9% of the pool.
FLOCs: The largest contributor to loss expectations is the
specially serviced Cleveland East loan (1.3%), which is secured by
two suburban office properties totaling 499,454-sf located in Ohio
(Mayfield Heights and Highland Hills). The loan transferred back to
special servicing for a second time in June 2024 for imminent
monetary default. Previously, the loan had transferred to special
servicing in May 2022 due to maturity default; the loan was
modified whereby the maturity date was extended to July 2024, with
two, one-year extension options, and the loan was returned to the
master servicer in February 2023.
The servicer-reported YE 2023 NOI was 47% below YE 2022. Occupancy
declined to 53.1% as of the March 2024 rent roll from 77% at YE
2022 as the former major tenant, Progressive Insurance (previously
22.9% of NRA) vacated upon lease expiration in January 2023.
Fitch's 'Bsf' rating case loss of 52.3% (prior to concentration
add-ons) reflects a discount to the most recent appraisal or a
stressed value of $39 psf.
The second largest contributor to loss expectations is the largest
loan in the pool, Headquarters Plaza (classified as a FLOC), which
is secured by a mixed-use office, hotel, and retail complex located
in Morristown, NJ. The loan previously transferred to special
servicing in June 2020 for payment default as a result of
coronavirus pandemic-related hardship. The borrower completed a $15
million PIP renovation for the hotel and approximately $4.8 million
renovation for the commercial portion of the property in late 2021.
Property performance declined in 2021 and the first half of 2022
due to ongoing renovations at the hotel and some vacating tenants
at the office property.
As of June 2024, the property was 88% occupied and the
servicer-reported NOI DSCR for the loan was 0.98x. This compares to
92% and 2.26x, respectively, at YE 2019. The sponsor is working to
re-tenant and update the office and retail components. Fitch's
'Bsf' case loss of 6.7% (prior to a concentration adjustment) is
based on an 11.0% cap rate and 10% stress to the YE 2019 NOI as
performance is expected to improve in the near-term.
The third largest contributor to loss expectations is the Gurnee
Mills FLOC, which is secured by a 1,683,915-sf class B regional
mall located in Gurnee, IL. The largest tenants are Bass Pro Shops
Outdoor (8.1% of NRA; lease expiry in December 2025), Macy's (7.7%;
January 2039) and Kohl's Department Stores Inc. (7.0%; February
2029). Bass Pro Shops recently extended its lease through December
2025 from December 2023 (originally had an August 2018 expiration
date).
Per the March 2024 rent roll, the total mall occupancy was 81% when
including non-collateral anchors. Near-term rollover includes 7.8%
of NRA in 2024 and 12.5% in 2025. The YE 2023 NOI was 8% below YE
2022 and 11% below the Fitch issuance NCF. Fitch's 'Bsf' rating
case loss of 28.3% (prior to concentration add-ons) reflects a 12%
cap rate and 15% stress to the YE 2022 NOI, factoring an elevated
probability of default.
Increased Credit Enhancement (CE): As of the November 2024
distribution date, the pool's aggregate principal balance has been
paid down by 20.3% to $846.6 million from $1.06 billion at
issuance. Nine loans (10.4%) are defeased. Fifteen loans,
representing 38.3% of the pool, are full-term interest-only.
Seventeen loans, representing 26.3% of the pool, were structured
with a partial interest-only component and are now amortizing. As
of November 2024, the trust has not incurred any realized losses.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
The Negative Outlook on classes E-RR, F-RR and G-RR, as well as MOA
2020-CD6 E reflect the potential for downgrades due to concerns
surrounding the underperformance of larger FLOCs including
Headquarters Plaza, Lightstone Portfolio, Hotel Mela Times Square,
Tustin Centre I & II, Corporate Woods Portfolio, Port Gardner
Building, as well as Gurnee Mills. Downgrades to these classes are
expected if expected losses on these loans increase.
Downgrades to the classes rated 'AAAsf' are not considered likely
due to position in the capital structure and continued expected
increases in CE, but may occur at 'AAAsf' should interest
shortfalls occur.
Downgrades to classes B, X-B, C, D and X-D may occur if overall
pool performance declines or loss expectations increase
significantly.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades could be triggered by significantly improved performance
coupled with paydown and/or defeasance. An upgrade to classes B and
C could occur with continued increases in CE along with
stabilization of the FLOCs, but would be limited as concentrations
increase. Classes would not be upgraded above 'AA+sf' if there is
likelihood of interest shortfalls.
Upgrades of classes C or D would only occur with significant
improvement in CE and stabilization of the FLOCs. An upgrade to
classes E-RR, F-RR and G-RR as well as MOA 2020-CD6 E, are not
likely unless performance of the aforementioned FLOCs improves, and
if performance of the remaining pool is stable and overall loss
expectations do not increase.
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.
PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS
The 2017 CD6 III Trust horizontal risk retention pass-through
certificate (MOA 2020-CD6 E) is a direct pass-through to class E-RR
in CD 2017-CD6 and rated 'BBB-sf'/Negative.
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.
CF 2019-CF3: Fitch Lowers Rating on Class H-RR Certs to 'CCsf'
--------------------------------------------------------------
Fitch has downgraded six and affirmed nine classes CF 2019-CF3
Mortgage Trust, commercial mortgage pass-through certificates,
series 2019-CF3. Class D, E, F-RR and X-D have been assigned a
Negative Rating Outlook following their downgrades. The Rating
Outlooks for classes A-S, B, C and X-B were revised to Negative
from Stable.
Fitch Ratings has affirmed 15 classes of CF 2019-CF2 Mortgage
Trust, commercial mortgage pass-through certificates, series
2019-CF2. The Rating Outlooks for classes F, G, X-F and X-G remain
Negative.
Entity/Debt Rating Prior
----------- ------ -----
CF 2019-CF3
A-2 12529TAU7 LT AAAsf Affirmed AAAsf
A-3 12529TAW3 LT AAAsf Affirmed AAAsf
A-4 12529TAX1 LT AAAsf Affirmed AAAsf
A-S 12529TAY9 LT AAAsf Affirmed AAAsf
A-SB 12529TAV5 LT AAAsf Affirmed AAAsf
B 12529TBB8 LT AA-sf Affirmed AA-sf
C 12529TBC6 LT A-sf Affirmed A-sf
D 12529TAC7 LT BBB-sf Downgrade BBBsf
E 12529TAE3 LT BB-sf Downgrade BBB-sf
F-RR 12529TAG8 LT B-sf Downgrade BBsf
G-RR 12529TAJ2 LT CCCsf Downgrade Bsf
H-RR 12529TAL7 LT CCsf Downgrade CCCsf
X-A 12529TAZ6 LT AAAsf Affirmed AAAsf
X-B 12529TBA0 LT AA-sf Affirmed AA-sf
X-D 12529TAA1 LT BB-sf Downgrade BBB-sf
CF 2019-CF2
A-4 12528YAE3 LT AAAsf Affirmed AAAsf
A-5 12528YAF0 LT AAAsf Affirmed AAAsf
A-S 12528YAJ2 LT AAAsf Affirmed AAAsf
A-SB 12528YAC7 LT AAAsf Affirmed AAAsf
B 12528YAK9 LT AA-sf Affirmed AA-sf
C 12528YAL7 LT A-sf Affirmed A-sf
D 12528YAT0 LT BBBsf Affirmed BBBsf
E 12528YAV5 LT BBB-sf Affirmed BBB-sf
F 12528YAX1 LT BB-sf Affirmed BB-sf
G 12528YAZ6 LT B-sf Affirmed B-sf
X-A 12528YAG8 LT AAAsf Affirmed AAAsf
X-B 12528YAH6 LT A-sf Affirmed A-sf
X-D 12528YAM5 LT BBB-sf Affirmed BBB-sf
X-F 12528YAP8 LT BB-sf Affirmed BB-sf
X-G 12528YAR4 LT B-sf Affirmed B-sf
KEY RATING DRIVERS
Increased 'Bsf' Loss Expectations: CF 2019-CF3: Deal-level 'Bsf'
rating case loss is 5.7%, up from 4.7% at Fitch's prior rating
action. Seven loans (18.8%) were flagged as Fitch Loans of Concern
(FLOCs), including two loans (7%) in special servicing. The
downgrades reflect higher pool loss expectations, driven primarily
by the newly specially serviced loan 225 Bush (3.7%) and DC Mixed
Use Portfolio VI (4.4%).
The Negative Outlooks reflect the potential for downgrades if the
performance of the specially serviced loans, most notably 225 Bush,
continues to deteriorate or if the resolution is prolonged, if
expected losses on the other larger FLOCs materialize, or if
additional loans experience performance declines.
CF 2019-CF2: Deal-level 'Bsf' rating case loss is 4.4%, up from
3.1% at Fitch's prior rating action. Five loans (11.4%) were
flagged as FLOCs, including one loan (2.2%) in special servicing.
The affirmations reflect increasing loss expectations that have
been largely offset by paydown.
The Negative Outlooks reflect the potential for downgrades should
136-20 38th Avenue (2.9%) and Beverly Hills BMW (2.9%) experience
further performance declines. Fitch ran a sensitivity scenario that
increased the probability of default on these two loans which was
used to test the viability of potential upgrades on senior
classes.
Largest Increases in Loss Expectations: The largest increase in
loss since the prior rating action and second largest contributor
to overall pool loss expectations in CF 2019-CF3 is 225 Bush, which
is secured by a 579,987-sf office property located in San
Francisco, CA. The loan recently transferred to special servicing
Nov. 7, 2024 due to maturity default after it did not repay at its
Nov. 6, 2024 maturity date. The loan had remained current until the
maturity default.
It was previously flagged as a FLOC due to the declining occupancy
since issuance and the sponsor's inability to backfill increasing
vacancies given an elevated submarket vacancy. The largest tenant
at issuance, Twitch (14.5% of NRA), vacated upon its lease
expiration in August 2021. In addition, tenant Knotel (4.6% of NRA)
and several other smaller tenants vacated upon lease expiration,
causing occupancy to decline further to 44% as of June 2024 and 47%
as of December 2023, from 55% at the prior rating action and 97.8%
at issuance.
According to Costar as of 1Q24, the submarket vacancy, availability
rate and asking rents were 30.1%, 34.4% and $52.59 psf,
respectively, down from vacancy and rental levels of 25% and
$53.64, respectively, at the prior rating action; the metrics have
significantly worsened from 8.1% and $75.29, respectively, at the
time of issuance. Fitch's 'Bsf' rating case loss of 28.6% (prior to
concentration adjustments) compares to 3.1% expected loss at the
last rating action and reflects the recent default.
The updated Fitch NCF of $11.9 million is 24% below Fitch's NCF at
the prior rating action and 50% below Fitch's issuance NCF of $23.2
million. The Fitch NCF reflects leases in place according to the
December 2023 rent roll and also assumes Fitch's view of
sustainable, long-term performance. Fitch's analysis incorporated a
higher stressed cap rate of 8.75%, up from 7.75% at issuance, to
factor increased office sector and submarket performance concerns,
resulting in a Fitch-stressed valuation that is approximately 80%
below the issuance appraisal.
The second largest increase in loss since the prior rating action
and second largest contributor to overall pool loss expectations in
CF 2019-CF3 is DC Mixed Use Portfolio VI, which is secured by seven
mixed-use properties throughout downtown Washington, D.C. and
suburban Virginia. The properties contain 80.0% retail space, 15.0%
of office space and 5.0% of multifamily space. No tenant comprises
more than 12.5% of NRA.
DSCR declined from 1.35x at YE 2021 to 1.27x at YE 2022 and 0.78x
at Sept 2023, but has increased to 1.76x as of YTD March 2024.
Occupancy has remained unchanged at 92% from YE 2022. Fitch's 'Bsf'
rating case loss of 24% (prior to concentration adjustments)
reflects the YE 2022 and a 9% cap rate.
The largest increase in loss since the prior rating action and
largest contributor to overall pool loss expectations in CF
2019-CF2 is Uline Arena (6%), which is secured by a 255,000-sf
mixed use office and retail property located in Washington, D.C.
The mix is approximately 73% office and 27% retail. While the loan
has been current most of 2024, delinquency was reported in April
and May 2024. Servicer reported occupancy and DSCR were 92% and
1.44x, respectively, compared to 97% and 1.43x, respectively, the
prior year. Fitch's 'Bsf' rating case loss of 17.6% (prior to
concentration add-ons) reflects 7.5% stress to TTM June 2024 NOI
and an 8.75% cap rate.
The second largest increase in loss since the prior rating action
and second largest contributor to overall pool loss expectations is
106 N Grove & 25 N Harrison (2%), which is secured by two
multifamily properties (154 units) in East Orange, NJ. The loan is
currently less than one-month delinquent and has been less than
one-month delinquent at least five times in 2024. It was flagged as
a FLOC due to fluctuating performance.
Servicer reported occupancy was 94% as of TTM June 2024, compared
to 100% at YE 2022 and 97% at YE 2021. DSCR was 1.49x at TTM June
2024, compared to 1.05x at YE 2022 and 1.30x at YE 2021. Fitch's
'Bsf' rating case loss of 21.4% (prior to concentration add-ons)
reflects a 7.5% haircut to TTM June 2024 NOI and an 8.75% cap
rate.
Change in Credit Enhancement (C/E): As of the November 2024
remittance report, CF 2019-CF3 has been reduced by 1.3% since
issuance. Two loans (3.8%) have been defeased. Interest shortfalls
of approximately $600,000 are impacting non-rated class J-RR. As of
the October 2024 remittance report, CF 2019-CF2 has been reduced by
13.4% since issuance. Three loans (2.3%) have been defeased.
Interest shortfalls of approximately $12,000 are impacting
non-rated class NR-RR.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Downgrades to senior 'AAAsf' rated classes are not expected due
high CE and expected continued amortization and loan repayments,
but may occur if deal-level losses increase significantly and/or
interest shortfalls occur or are expected to occur;
- Downgrades to junior 'AAAsf' rated classes, particularly those
with Negative Outlooks, are expected with continued performance
deterioration of the FLOCs, most notably 225 Bush, increased
expected losses and limited to no improvement in class CE, or if
interest shortfalls occur;
- Downgrades to the 'AAsf' and 'Asf' rated categories could occur
should performance of the FLOCs, most notably from 225 Bush, Gold
Brooklyn Multifamily Portfolio and DC Mixed Use Portfolio VI in CF
2019-CF3 and Uline Arena and 106 N Grove & 25 N Harrison in CF
2019-CF2, deteriorate further or if more loans than expected
default at or prior to maturity;
- Downgrades for the 'BBBsf', 'BBsf', and 'Bsf' categories are
likely with higher than expected losses from continued
underperformance of the FLOCs, particularly the aforementioned
FLOCs with deteriorating performance and with greater certainty of
losses on the specially serviced loans or other FLOCs;
- Downgrades to the 'CCCsf' and 'CCsf' rated classes would occur
should additional loans transfer to special servicing and/or
default, or as losses become realized or more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Upgrades to the 'AAsf' and 'Asf' rated 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. This includes 225 Bush, Gold
Brooklyn Multifamily Portfolio and DC Mixed Use Portfolio VI in CF
2019-CF3 and Uline Arena and 106 N Grove & 25 N Harrison in CF
2019-CF2;
- Upgrades to the 'BBBsf' rated categories would be limited based
on sensitivity to concentrations or the potential for future
concentration. Classes would not be upgraded above 'AA+sf' if there
is likelihood for interest shortfalls;
- Upgrades to the 'BBsf' and 'Bsf' rated categories 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 distressed 'CCCsf' and 'CCsf' rated classes are
not expected, but possible with better than expected recoveries on
specially serviced loans or improved performance 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.
CHASE FUNDING 2003-3: Moody's Hikes Rating on Cl. IM-1 Debt to Caa1
-------------------------------------------------------------------
Moody's Ratings has upgraded the ratings of seven 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 Mortgage Funding Trust 2006-AR1
Cl. I-A-1, Upgraded to A1 (sf); previously on Mar 5, 2024 Upgraded
to Ba1 (sf)
Cl. II-A-1, Upgraded to A2 (sf); previously on Mar 5, 2024 Upgraded
to Ba3 (sf)
Issuer: Chase Funding Trust, Series 2003-3
Cl. IA-5, Upgraded to A3 (sf); previously on Mar 18, 2021
Downgraded to Ba3 (sf)
Cl. IM-1, Upgraded to Caa1 (sf); previously on Apr 10, 2012
Downgraded to Caa2 (sf)
Issuer: RAMP Series 2005-RS6 Trust
Cl. M-6, Upgraded to Baa1 (sf); previously on Feb 27, 2024 Upgraded
to Caa1 (sf)
Issuer: RAMP Series 2007-RZ1 Trust
Cl. M-1S, Upgraded to Baa1 (sf); previously on Nov 15, 2018
Upgraded to Caa2 (sf)
Issuer: Structured Asset Investment Loan Trust 2005-2
Cl. M3, Upgraded to A1 (sf); previously on Mar 5, 2024 Upgraded to
Ba3 (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 an increase in credit enhancement available
to the bonds. All but one of the bonds have seen significant growth
in credit enhancement over the past year, which is the key driver
for these upgrades. The credit enhancement has grown, on average,
by 14% for these upgraded tranches over the last 12 months.
Bear Stearns Mortgage Funding Trust 2006-AR1, Class II-A-1 did not
experience growth in credit enhancement over the past year.
However, given the recent collateral trends, Moody's lowered
Moody's expected loss for the transaction, thus, leading to the
upgrade.
In addition, 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.
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.
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.
Principal Methodology
The principal methodology used in these ratings was "US Residential
Mortgage-backed Securitizations: Surveillance" published in
December 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.
CHASE HOME 2024-10: DBRS Gives Prov. B(low) Rating on B5 Certs
--------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the Mortgage
Pass-Through Certificates, Series 2024-10 (the Certificates) to be
issued by Chase Home Lending Mortgage Trust 2024-10 (CHASE 2024-10)
as follows:
-- $277.5 million Class A-2 at (P) AAA (sf)
-- $277.5 million Class A-3 at (P) AAA (sf)
-- $277.5 million Class A-3-X at (P) AAA (sf)
-- $208.1 million Class A-4 at (P) AAA (sf)
-- $208.1 million Class A-4-A at (P) AAA (sf)
-- $208.1 million Class A-4-X at (P) AAA (sf)
-- $69.4 million Class A-5 at (P) AAA (sf)
-- $69.4 million Class A-5-A at (P) AAA (sf)
-- $69.4 million Class A-5-X at (P) AAA (sf)
-- $166.5 million Class A-6 at (P) AAA (sf)
-- $166.5 million Class A-6-A at (P) AAA (sf)
-- $166.5 million Class A-6-X at (P) AAA (sf)
-- $111.0 million Class A-7 at (P) AAA (sf)
-- $111.0 million Class A-7-A at (P) AAA (sf)
-- $111.0 million Class A-7-X at (P) AAA (sf)
-- $41.6 million Class A-8 at (P) AAA (sf)
-- $41.6 million Class A-8-A at (P) AAA (sf)
-- $41.6 million Class A-8-X at (P) AAA (sf)
-- $40.6 million Class A-9 at (P) AAA (sf)
-- $40.6 million Class A-9-A at (P) AAA (sf)
-- $40.6 million Class A-9-X at (P) AAA (sf)
-- $138.7 million Class A-11 at (P) AAA (sf)
-- $138.7 million Class A-11-X at (P) AAA (sf)
-- $138.7 million Class A-12 at (P) AAA (sf)
-- $138.7 million Class A-13 at (P) AAA (sf)
-- $138.7 million Class A-13-X at (P) AAA (sf)
-- $138.7 million Class A-14 at (P) AAA (sf)
-- $138.7 million Class A-14-X at (P) AAA (sf)
-- $138.7 million Class A-14-X2 at (P) AAA (sf)
-- $138.7 million Class A-14-X3 at (P) AAA (sf)
-- $138.7 million Class A-14-X4 at (P) AAA (sf)
-- $456.8 million Class A-X-1 at (P) AAA (sf)
-- $13.7 million Class B-1 at (P) AA (low) (sf)
-- $13.7 million Class B-1-A at (P) AA (low) (sf)
-- $13.7 million Class B-1-X at (P) AA (low) (sf)
-- $7.8 million Class B-2 at (P) A (low) (sf)
-- $7.8 million Class B-2-A at (P) A (low) (sf)
-- $7.8 million Class B-2-X at (P) A (low) (sf)
-- $4.9 million Class B-3 at (P) BBB (low) (sf)
-- $3.2 million Class B-4 at (P) BB (low) (sf)
-- $1.5 million Class B-5 at (P) B (low) (sf)
Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-11-X,
A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-X-1, B-1-X, B-2-X are
interest-only (IO) certificates. The class balances represent
notional amounts.
Classes A-2, A-3, A-3-X, A-4, A-4-A, A-4-X, A-5, A-6, A-7, A-7-A,
A-7-X, A-8, A-9, A-11, A-11-X, A-12, A-13, A-13-X, B-1, and B-2 are
exchangeable certificates. These classes can be exchanged for
combinations of depositable certificates as specified in the
offering documents.
Classes A-2, A-3, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A,
A-8, A-8-A, A-11, A-12, A-13, and A-14 are super senior
certificates. These classes benefit from additional protection from
the senior support certificate (Classes A-9 and A-9-A) with respect
to loss allocation.
The (P) AAA (sf) credit ratings on the Certificates reflect 6.70%
of credit enhancement provided by subordinated certificates. The
(P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB
(low) (sf), and (P) B (low) (sf) credit ratings reflect 3.90%,
2.30%, 1.30%, 0.65%, and 0.35% of credit enhancement,
respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
The transaction is a securitization of a portfolio of first-lien,
fixed-rate prime residential mortgages funded by the issuance of
the Mortgage Pass-Through Certificates, Series 2024-10 (the
Certificates). The Certificates are backed by 430 loans with a
total principal balance of $515,426,108 as of the Cut-Off Date
(November 1, 2024).
The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity from 15 to 30 years and a
weighted-average (WA) loan age of three months. Approximately 99.8%
of the loans are traditional, nonagency, prime jumbo mortgage
loans. The remaining 0.2% of the loans are conforming mortgage
loans. Details on the underwriting of conforming loans can be found
in the Key Probability of Default Drivers section. Approximately
83.1% of the loans were underwritten using an automated
underwriting system (AUS) designated by Fannie Mae or Freddie Mac.
In addition, all the loans in the pool were originated in
accordance with the new general Qualified Mortgage (QM) rule.
JP Morgan Chase Bank, N.A. (JPMCB) is the Originator of 100% of the
pool and Servicer of 100.0% of the pool.
For this transaction, generally, the servicing fee payable for
mortgage loans is composed of three separate components: the base
servicing fee, the delinquent servicing fee, and the additional
servicing fee. These fees vary based on the delinquency status of
the related loan and will be paid from interest collections before
distribution to the securities.
U.S. Bank Trust Company, National Association, rated AA with a
Stable trend by Morningstar DBRS, will act as Securities
Administrator. U.S. Bank Trust National Association will act as
Delaware Trustee. JPMCB will act as Custodian. Pentalpha
Surveillance LLC (Pentalpha) will serve as the Representations and
Warranties (R&W) Reviewer.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that incorporates performance triggers and
credit-enhancement floors.
Notes: All figures are in U.S. dollars unless otherwise noted.
CIFC FUNDING 2013-IV: Moody's Affirms Ba3 Rating on Cl. E-RR Notes
------------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by CIFC Funding 2013-IV, Ltd.:
US$23.5M Class C-RR Mezzanine Secured Deferrable Floating Rate
Notes, Upgraded to Aaa (sf); previously on Jun 4, 2024 Upgraded to
Aa2 (sf)
US$31.5M Class D-RR Mezzanine Secured Deferrable Floating Rate
Notes, Upgraded to A3 (sf); previously on Jun 4, 2024 Upgraded to
Baa2 (sf)
Moody's have also affirmed the ratings on the following notes:
US$305M (Current outstanding amount US$118,898,285) Class A-1-RR
Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously
on May 29, 2018 Definitive Rating Assigned Aaa (sf)
US$15M Class A-2-RR Senior Secured Floating Rate Notes, Affirmed
Aaa (sf); previously on May 29, 2018 Definitive Rating Assigned Aaa
(sf)
US$59M Class B-RR Senior Secured Floating Rate Notes, Affirmed Aaa
(sf); previously on Jun 4, 2024 Upgraded to Aaa (sf)
US$26M Class E-RR Junior Secured Deferrable Floating Rate Notes,
Affirmed Ba3 (sf); previously on May 29, 2018 Definitive Rating
Assigned Ba3 (sf)
US$6.25M Class F-RR Junior Secured Deferrable Floating Rate Notes,
Affirmed Caa1 (sf); previously on Jun 4, 2024 Downgraded to Caa1
(sf)
CIFC Funding 2013-IV, Ltd., originally issued in November 2013,
refinanced in February 2017 and May 2018, is a collateralised loan
obligation (CLO) backed by a portfolio of mostly high-yield senior
secured US loans. The portfolio is managed by CIFC Asset Management
LLC. The transaction's reinvestment period ended in April 2023.
RATINGS RATIONALE
The rating upgrades on the Class C-RR and D-RR notes are primarily
a result of the significant deleveraging of the senior notes
following amortisation of the underlying portfolio since the last
rating action in June 2024.
The affirmations on the ratings on the Class A-1-RR, A-2-RR, B-RR,
E-RR and F-RR 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-1-RR notes have paid down by approximately USD137.3
million (45.0%) since the payment date in April 2024. As a result
of the deleveraging, over-collateralisation (OC) has increased
across the capital structure. According to the trustee report dated
November 2024 [1] the Class A/B, Class C, Class D and Class E OC
ratios are reported at 152.94%, 136.34%, 119.01% and 107.71%
compared to May 2024 [2] levels of 132.57%, 123.76%, 113.64% and
106.45% 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 its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its 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: USD297.97m
Diversity Score: 67
Weighted Average Rating Factor (WARF): 3000
Weighted Average Life (WAL): 3.2 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.34%
Weighted Average Recovery Rate (WARR): 47.29%
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 its 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" published in
October 2024. Moody's concluded the ratings of the notes are not
constrained by these risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change.
Additional uncertainty about performance is due to the following:
-- Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.
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
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
CIFC FUNDING 2018-I: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to the CIFC
Funding 2018-I, Ltd. reset transaction.
Entity/Debt Rating Prior
----------- ------ -----
CIFC Funding
2018-I, Ltd.
A 12551RAA6 LT PIFsf Paid In Full AAAsf
X LT AAAsf New Rating
A-1-R LT AAAsf New Rating
A-2-R LT AAAsf New Rating
B-R LT AAsf New Rating
C-R LT Asf New Rating
D-1-R LT BBB-sf New Rating
D-2-R LT BBB-sf New Rating
E-R LT BB-sf New Rating
Transaction Summary
CIFC Funding 2018-I, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) managed by CIFC Asset
Management LLC that originally closed in March 2018. This is the
first refinancing in which the existing secured notes will be
refinanced in whole, on Dec. 9, 2024. Net proceeds from the
issuance of the secured and subordinated notes will provide
financing on a portfolio of approximately $550 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 24.34, versus a maximum covenant, in accordance with
the initial expected matrix point of 24.63. 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
99.04% first lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 76.3% 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 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
that of 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 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-R notes, between
'B+sf' and 'BBB+sf' for class C-R 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-R 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-R notes, 'AAsf' for class C-R
notes, 'Asf' for class D-1-R notes, 'A-sf' for class D-2-R notes,
and 'BBB+sf' for class E-R notes.
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
2018-I, Ltd. reset transaction.
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.
CITIGROUP 2016-P6: Fitch Lowers Class E Debt to CCCsf
-----------------------------------------------------
Fitch Ratings has downgraded three and affirmed nine classes of
Citigroup Commercial Mortgage Trust 2016-P6 (CGCMT 2016-P6). Fitch
has also assigned Negative Rating Outlooks to two classes following
their downgrades. In addition, the Outlooks were revised to
Negative from Stable for five affirmed classes.
Fitch has affirmed 15 classes of Citigroup Commercial Mortgage
Trust 2016-C2 (CGCMT 2016-C2). The Outlooks remain Negative for
five affirmed classes.
Entity/Debt Rating Prior
----------- ------ -----
CGCMT 2016-P6
A-4 17291EAV3 LT AAAsf Affirmed AAAsf
A-5 17291EAW1 LT AAAsf Affirmed AAAsf
A-AB 17291EAX9 LT AAAsf Affirmed AAAsf
A-S 17291EAY7 LT AAAsf Affirmed AAAsf
B 17291EAZ4 LT AA-sf Affirmed AA-sf
C 17291EBA8 LT A-sf Affirmed A-sf
D 17291EAA9 LT BB-sf Downgrade BBB-sf
E 17291EAC5 LT CCCsf Downgrade B-sf
F 17291EAE1 LT CCCsf Affirmed CCCsf
X-A 17291EBB6 LT AAAsf Affirmed AAAsf
X-B 17291EBC4 LT AA-sf Affirmed AA-sf
X-D 17291EAL5 LT BB-sf Downgrade BBB-sf
CGCMT 2016-C2
A-3 17291CBQ7 LT AAAsf Affirmed AAAsf
A-4 17291CBR5 LT AAAsf Affirmed AAAsf
A-AB 17291CBS3 LT AAAsf Affirmed AAAsf
A-S 17291CBT1 LT AAAsf Affirmed AAAsf
B 17291CBU8 LT AA-sf Affirmed AA-sf
C 17291CBV6 LT A-sf Affirmed A-sf
D 17291CAA3 LT BBB-sf Affirmed BBB-sf
E 17291CAG0 LT BB-sf Affirmed BB-sf
E-1 17291CAC9 LT BB+sf Affirmed BB+sf
E-2 17291CAE5 LT BB-sf Affirmed BB-sf
EF 17291CBC8 LT CCCsf Affirmed CCCsf
F 17291CAN5 LT CCCsf Affirmed CCCsf
X-A 17291CBW4 LT AAAsf Affirmed AAAsf
X-B 17291CBX2 LT A-sf Affirmed A-sf
X-D 17291CBG9 LT BBB-sf Affirmed BBB-sf
KEY RATING DRIVERS
Increased 'Bsf' Loss Expectations; CGCMT 2016-P6: Deal-level 'Bsf'
rating case loss is 9.2% in CGCMT 2016-P6, up from 6.9% at Fitch's
prior rating action. The downgrades reflect higher pool loss
expectations, driven primarily by a lower updated appraisal value
for the specially serviced 681 Fifth Avenue loan (8.4%), which
became 90+ days delinquent, where performance remains depressed and
foreclosure litigation is ongoing.
The CGCMT 2016-P6 transaction has a high concentration of Fitch
Loans of Concern (FLOCs), totaling 12 loans (47.9% of the pool),
including eight loans (14.3%) in special servicing, six (3.5%) of
which were transferred for non-monetary default related to the same
sponsor and guarantor.
The Negative Outlooks in CGCMT 2016-P6 incorporate an additional
sensitivity scenario on additional FLOCs, including 925 La Brea
Avenue (4.0%), Georgetown Plaza (3.5%), Boynton Trail Centre
(3.4%), Seven Mile Crossing (2.4%) and Venture Plaza (0.8%), that
considers their heightened probability of default due to
anticipated refinance concerns, upcoming rollover, declining
performance trends and/or lack of updated reporting.
In addition, the Negative Outlooks reflect possible further
downgrades with additional value degradation, a prolonged workout
and/or increasing exposure on the 681 Fifth Avenue loan, as well as
limited performance stabilization on the aforementioned FLOCs.
CGCMT 2016-C2: The affirmations in CGCMT 2016-C2 reflect generally
stable pool performance and loss expectations. Deal-level 'Bsf'
rating case loss is 4.6% in CGCMT 2016-C2. The CGCMT 2016-C2
transaction has seven FLOCs (29.8%), including one loan (2.5%) in
special servicing.
The Negative Outlooks in CGCMT 2016-C2 reflect the potential for
downgrades with further performance deterioration and/or lack of
stabilization particularly on the specially serviced Marriott -
Livonia at Laurel Park loan (2.5%), and given the significant
upcoming maturities in the pool, including refinance and upcoming
rollover concerns on larger FLOCs, Opry Mills (11.1%) and Crocker
Park Phase One & Two (10.5%).
FLOCs: The largest increase in loss since the prior rating action
and largest contributor to overall pool loss expectations in CGCMT
2016-P6 is the 681 Fifth Avenue loan, which is secured by a
mixed-use (retail/office) property in Manhattan's Plaza District.
The loan transferred to special servicing in September 2023 due to
payment default. The loan has been 90+ days delinquent since March
2024, with foreclosure litigation ongoing and a receiver in place.
The majority of the property's rental income (78% of total base
rents) came from the dark retail tenant, Tommy Hilfiger (27.3% of
the NRA), that vacated in April 2019 but continued to pay rent
until its lease expiration in May 2023. As of the December 2023
rent roll, occupancy was 52%, unchanged since office tenant Apex
(7.2% of the NRA) vacated at its March 2023 lease expiration, but
down from 59% at YE 2022 and 86% at YE 2018. The servicer-reported
June 2023 NOI DSCR fell to 0.93x from 1.65x at YE 2022.
Fitch's 'Bsf' rating case loss of 62.8% (prior to concentration
add-ons) reflects a stressed value of $1,081 psf, considering the
most recent June 2024 appraisal value, which has declined 76% from
the appraisal value at issuance.
The second largest increase in loss since the prior rating action
and the second largest contributor to overall pool loss
expectations in CGCMT 2016-P6 is the 925 La Brea Avenue loan, which
is secured by a mixed-use (office/retail) property in West
Hollywood, CA. This FLOC was flagged for declining property
performance and elevated vacancy.
According to the June 2024 rent roll the property was 73% occupied,
in line with YE 2023 but down from 100% at YE 2020. The previous
largest tenant, WeWork, vacated 75% of the NRA ahead of its June
2029 lease expiration and stopped paying rent in Q2 2021.
The current largest tenants include Regus (49% of NRA through July
2032) and Burke Williams Spa (24.3%, August 2026), which occupies
the ground floor retail space. Regus assumed a portion of the
former WeWork space (49% of NRA) in July 2022, with the remaining
26% of the NRA still vacant.
The servicer-reported June 2024 NOI DSCR was 0.72x, compared with
0.50x at YE 2023, -0.02x at YE 2022, and -0.46x at YE 2021.
Fitch's 'Bsf' rating case loss of 17.1% (prior to concentration
add-ons) reflects a 9% cap rate and a 7.5% stress to the TTM June
2024 NOI. Fitch also ran an additional sensitivity scenario which
assumes a 100% probability of default to account for the elevated
vacancy and refinance risk, where the loan-level 'Bsf' sensitivity
case loss increases to 36.3% (prior to concentration add-ons).
The largest increase in loss since the prior rating action and
largest contributor to overall pool loss expectations in CGCMT
2016-C2 is the Marriott - Livonia at Laurel Park loan, which is
secured by a 224-key full-service hotel in Livonia, MI. The loan
transferred to special servicing in March 2020 due to
pandemic-related performance deterioration and had previously been
granted a short-term forbearance. The asset became REO in July
2023.
An updated STR report and financial statement were requested, but
not provided. According to the servicer and as of TTM September
2024, the property was operating with an occupancy of 58.8%, ADR of
$128.39 and RevPAR of $75.51, which represents a 94.8% penetration
ratio to its competitive set. This compares to 53.9%, $124.61 and
$67.15 (99% penetration ratio) as of the TTM December 2022 STR
report. The latest servicer-reported YE 2022 NOI DSCR had declined
to 0.61x compared with 1.27x at YE 2021.
Fitch's 'Bsf' rating case loss of 84.2% (prior to concentration
add-ons) reflects a discount to the most recently available
appraisal and factors the higher loan exposure since the prior
rating action.
The second largest contributor to overall loss expectations in
CGCMT 2016-C2 is the Opry Mills loan, which is secured by a 1.2
million sf super-regional mall located in Nashville, TN,
approximately seven miles from downtown Nashville. The property is
located adjacent to the Gaylord Opryland Resort & Convention
Center, the largest non-gaming hotel and convention facility. This
FLOC was flagged due to anticipated refinance concerns and upcoming
rollover risk. The loan matures in July 2026.
Upcoming rollover includes 20% of the NRA in 2025, including anchor
tenant Bass Pro Shops (11.9% NRA; lease expires in April 2025). The
mall was 97% occupied in June 2024, with a June 2024 NOI DSCR of
2.97x YE 2023 compared with 3.15x at YE 2023.
Fitch's 'Bsf' rating case loss of 3.7% (prior to concentration
add-ons) reflects a 12% cap rate and a 20% stress to the YE 2023
NOI due to upcoming rollover concerns.
The third largest contributor to overall loss expectations in CGCMT
2016-C2 is Crocker Park Phase One and Two loan, which is secured by
a 615,062-sf mixed use (retail/office) property built in 2004 and
located in Westlake, OH in the Cleveland metro area. Office
accounts for about 18% of the collateral NRA. This loan is a FLOC
due to anticipated refinance concerns and upcoming rollover risk.
The loan matures in August 2026.
Upcoming rollover includes 30.5% of the NRA in 2025 and 8.2% of the
NRA in 2026. According to the March 2024 rent roll, occupancy was
99%, unchanged since June 2023, and up from 97% at YE 2021 and 98%
at issuance. The largest retail tenants include Dick's Sporting
Goods (12.2% NRA; January 2025), Fitness & Sports Clubs (6.5% NRA;
February 2032), Barnes & Noble (4.7% NRA; March 2025), and Regal
Cinemas Crocker Park 16 (4.0% NRA; January 2029).
A leasing update was requested for Dick's Sporting Goods and Barnes
& Noble, but not provided. The largest office tenants include Wells
Fargo (2.8% NRA; August 2029) and Key Bank (2.4%; August 2028). The
servicer-reported June 2024 NOI DSCR was 1.43x compared with 1.37x
at YE 2023 and 1.28x at YE 2022.
Fitch's 'Bsf' rating case loss of 3.8% (prior to concentration
add-ons) reflects an 8.75% cap rate and a 20% stress to the YE 2023
NOI due to upcoming rollover concerns.
Increased Credit Enhancement (CE): As of the November 2024
distribution date, the pool's aggregate balance for CGCMT 2016-P6
has been reduced by 24.6% to $688.8 million from $913.4 million at
issuance. Five loans (3.4% of pool) have been defeased.
As of the November 2024 distribution date, the pool's aggregate
balance for CGCMT 2016-C2 has been reduced by 11.0% to $542.0
million from $609.2 million at issuance. Nine loans (13.7% of pool)
have been defeased.
Undercollateralization: The CGCMT 2016-P6 transaction is
undercollateralized by approximately $530,607 due to a WODRA on the
Sheraton Portland Airport loan, which was reflected in the August
2021 remittance report.
In addition, the CGCMT 2016-C2 transaction is undercollateralized
by approximately $754,400 due to a WODRA on Crocker Park Phase One
and Two and Hyatt Regency Huntington Beach Resort loans, which was
reflected in the June 2022 remittance report.
Investment-Grade Credit Opinion Loan At issuance: The Vertex
Pharmaceuticals loan (11.1%), which was assigned an
investment-grade credit opinion of 'BBB-sf' on a standalone basis
at issuance, continues to exhibit investment-grade credit
characteristics.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Downgrades to senior 'AAAsf' rated classes are not expected due
to the position in the capital structure and expected continued
amortization and loan repayments, but may occur if deal-level
losses increase significantly and/or interest shortfalls occur or
are expected to occur;
- Downgrades to junior 'AAAsf' rated classes, particularly those
with Negative Outlooks, are expected with continued performance
deterioration of the FLOCs, increased expected losses and limited
to no improvement in class CE, or if interest shortfalls occur;
- Downgrades to the 'AAsf' and 'Asf' rated categories could occur
should performance of the FLOCs, most notably 681 Fifth Avenue, 925
La Brea Avenue, Georgetown Plaza, Boynton Trail Centre, Seven Mile
Crossing, and Venture Plaza in CGCMT 2016-P6 and Marriott - Livonia
at Laurel Park, Opry Mills, and Crocker Park Phase One and Two in
CGCMT 2016-C2, deteriorate further or if more loans than expected
default at or prior to maturity;
- Downgrades for the 'BBBsf' and 'BBsf' categories are likely with
higher than expected losses from continued underperformance of the
FLOCs, particularly the aforementioned office and retail FLOCs with
deteriorating performance and with greater certainty of losses on
the specially serviced loans or other FLOCs;
- Downgrades to the 'CCCsf' rated classes would occur should
additional loans transfer to special servicing and/or default, or
as losses become realized or more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Upgrades to the 'AAsf' and 'Asf' rated 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. This includes 681 Fifth Avenue,
925 La Brea Avenue, Georgetown Plaza, Boynton Trail Centre, Seven
Mile Crossing, and Venture Plaza in CGCMT 2016-P6 and Marriott -
Livonia at Laurel Park, Opry Mills, and Crocker Park Phase One &
Two in CGCMT 2016-C2;
- Upgrades to the 'BBBsf' rated categories 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' rated categories 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 distressed 'CCCsf' rated classes 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.
COLUMBIA CENT 34: Fitch Assigns 'BB-sf' Rating on Class E Notes
---------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Columbia
Cent CLO 34 Limited.
Entity/Debt Rating
----------- ------
Columbia Cent
CLO 34 Limited
A-1 LT NRsf New Rating
A-J LT AAAsf New Rating
B LT AAsf New Rating
C LT NRsf New Rating
D-1F LT BBBsf New Rating
D-1N LT BBBsf New Rating
D-J LT BBB-sf New Rating
E LT BB-sf New Rating
Subordinated LT NRsf New Rating
X LT AAAsf New Rating
Transaction Summary
Columbia Cent CLO 34 Limited (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Columbia Cent CLO Advisers, LLC. Net proceeds from the issuance of
the secured and subordinated notes will provide financing on a
portfolio of approximately $400 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 23.4, versus a maximum covenant, in accordance with
the initial expected matrix point of 23.5. 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
97.5% first lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 74.02% versus a
minimum covenant, in accordance with the initial expected matrix
point of 70.2%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 42.5% 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
that of 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 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for
class A-J, between 'BB+sf' and 'A+sf' for class B, between less
than 'B-sf' and 'BBB-sf' for class D-1, between less than 'B-sf'
and 'BB+sf' for class D-J, and between less than 'B-sf' and 'B+sf'
for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class X and class A-J
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, 'A+sf' for class D-1, 'A-sf' for
class D-J, 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 Columbia Cent CLO
34 Limited. 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.
COMM 2024-CBM: DBRS Gives Prov. B(low) Rating on Class F Certs
--------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2024-CBM (the Certificates) to be issued by COMM 2024-CBM Mortgage
Trust (the Trust):
-- Class A-1 at (P) AAA (sf)
-- Class A-2 at (P) AAA (sf)
-- Class X-CP at (P) BBB (sf)
-- Class B at (P) AA (low) (sf)
-- Class C at (P) A (low) (sf)
-- Class D at (P) BBB (low) (sf)
-- Class E at (P) BB (low) (sf)
-- Class F at (P) B (low) (sf)
All trends are Stable.
The COMM 2024-CBM Mortgage Trust (COMM 2024-CBM or the Trust)
transaction is secured by the borrower's fee-simple and/or
leasehold interest in 52 hospitality properties across 25 states,
totaling 7,677 keys. The loan will be secured by the borrower's
fee-simple interest in six assets, leasehold interest in seven
assets, and both fee-simple and leasehold interest in the remaining
39 assets, whereby the land parcels are currently owned by a sister
entity to CBM Two Hotels LP. The land owned by CBM Two Hotels LP
for these 39 assets will be included as part of the collateral. The
portfolio was previously securitized in the COMM 2020-CBM Mortgage
Trust (COMM 2020-CBM) transaction, rated by Morningstar DBRS, and
there have been no downgrades since issuance.
Since the prior securitization in 2020, the portfolio has seen a
value decrease of -7.7% to the current appraised value of $1.10
billion from the previous appraised value of $1.18 billion.
Additionally, there has been a -22.4% decrease in the Morningstar
DBRS NCF and a -31.1% decrease in the Morningstar DBRS Value since
the 2020 securitization. The portfolio's RevPAR performance has
rebounded following the coronavirus pandemic to levels slightly
above 2019, but the increased expense load has caused NOI to
decrease from pre-coronavirus levels.
The sponsor acquired the portfolio (including 18 other
hotels--noncollateral) in 2005 for $822.7 million. This purchase
price includes the allocable share of the hotel portfolio
acquisition in March 2005, the ground lease acquisition in December
2005, redemption of Host Hotels' interest in September 2009, and
the acquisition of Marriott's interest in June 2012. The sponsor
has since invested $647.2 million into the portfolio (roughly $12.4
million per asset) and has a total cost basis of $1.02 billion. The
sponsor has an estimated 92.7% cost to value ratio based on the
current appraised value.
All 52 hotels are branded Courtyard by Marriott limited-service
hotels managed by Marriott. The properties were built between 1985
and 1990, with a WA vintage of 1988. The sponsor has spent $647.2
million on capital improvements across the portfolio since 2005,
with $323.2 million invested since 2019 as part of Marriott's North
American brand modernization effort. All properties in the
portfolio received, or are currently receiving, an exterior
re-imagining and a guest room refresh that is expected to be
completed shortly. As of September 2024, approximately nine hotels
are still undergoing renovations (0.96% of available room nights).
The sponsor for this transaction is CBM Joint Venture Limited
Partnership, a joint venture between Clarion Partners LLC and a
large domestic pension fund. Clarion Partners has more than $75.0
billion in assets under management (AUM) and offers a broad range
of real estate investment strategies. The sponsor acquired the
portfolio beginning in 2005 and currently has a total cost basis of
$1.02 billion. The sponsor has successfully refinanced the subject
portfolio twice (COMM 2015-LC21 Mortgage Trust and COMM 2020-CBM),
including $684 million most recently in 2020. Morningstar DBRS
rated the prior COMM 2020-CBM transaction and, as of the date of
this report, all payments are current and there have been no bond
downgrades since issuance in late 2020.
The whole mortgage loan proceeds of $677.0 million, along with
$20.0 million of sponsor equity, will refinance approximately
$684.0 million of existing debt and cover remaining closing costs
of approximately $13.0 million. The loan is a five-year, fixed-rate
IO mortgage loan with an assumed whole-loan coupon of approximately
7.680%. Based on the portfolio appraised value of $1.10 billion,
the loan has an LTV of 61.5%. Morningstar DBRS has concluded a
value of $678.9 million using a cap rate of 9.50%, resulting in a
Morningstar DBRS Whole Loan LTV of 99.7%.
The portfolio has observed a consistent RevPAR trend in recent
years, ranging between $89.36 in YE2022 and $97.84 as of the
trailing twelve-month period ended September 2024. The subject has
consistently outperformed their respective competitive sets. As of
the September 2024 TTM, the portfolio has an average RevPAR
penetration of 119.4%. Their average NCF growth between 2022 and
the September 2024 TTM period is 5.0% and RevPAR has observed an
annual growth of 4.7% per year over the same period. The growth has
slowed; however, as NCF and RevPAR growth between 2023 and
September 2024 TTM was 1.1% and 1.9%, respectively. The Morningstar
DBRS NCF results in a DSCR of 1.19x and a debt yield (DY) of 9.9%.
The portfolio appears to be achieving a stabilized NCF following
the large-scale renovations that is nearly complete and the
nationwide hotel disruptions from the coronavirus pandemic. Prior
to 2020, the portfolio observed a RevPAR of $94.99 in 2018 and
$91.60 in 2019, so the subject has surpassed RevPAR levels observed
prior to the large-scale renovations and the coronavirus pandemic.
However, the portfolio has seen a -9.6% decline in total NCF
between 2019 and the September 2024 TTM, primarily driven by
increased expenses. While the NCF has not been able to fully
rebound to levels observed in 2019, the portfolio continues to see
growth. Additionally, the September 2024 TTM NCF of approximately
$67.9 million sufficiently covers the whole loan's debt service of
$44.6 million by approximately $23.3 million.
Notes: All figures are in U.S. dollars unless otherwise noted.
CRUCIBLE INDUSTRIES: Case Summary & 20 Top Unsecured Creditors
--------------------------------------------------------------
Debtor: Crucible Industries, LLC
575 State Fair Boulevard
Solvay, NY 13209
Business Description: Crucible Industries develops and
manufactures specialty steels.
Chapter 11 Petition Date: December 12, 2024
Court: United States Bankruptcy Court
Northern District of New York
Case No.: 24-31059
Judge: Hon. Wendy A Kinsella
Debtor's Counsel: Charles J. Sullivan, Esq.
BOND, SCHOENECK & KING, PLLC
One Lincoln Center
Syracuse, NY 13202
Tel: (315) 218-8000
E-mail: csullivan@bsk.com
Estimated Assets: $10 million to $50 million
Estimated Liabilities: $10 million to $50 million
The petition was signed by John Shiesley as president.
A full-text copy of the petition is available for free at
PacerMonitor.com at:
https://www.pacermonitor.com/view/LDGWRSI/Crucible_Industries_LLC__nynbke-24-31059__0001.0.pdf?mcid=tGE4TAMA
List of Debtor's 20 Largest Unsecured Creditors:
Entity Nature of Claim Claim Amount
1. Abrasive-Tool Corporation Trade Debt $128,671
1555 Emerson Street
Rochester, NY
14606-3197
2. ATI Specialty Materials Trade Debt $163,598
2021 McKinney Avenue
Dallas, TX 75201
3. Bodycote IMT Inc. Trade Debt $560,788
270 Emig Road
Emigsville, PA 17318
4. Butler Bros. Trade Debt $313,341
200 Lisbon Street
Lewiston, ME 04240
5. CCMA, LLC Trade Debt $162,325
867820 Reliable Parkway
Chicago, IL 60686
6. Constellation New Energy, Inc. Trade Debt $354,794
100 Constellation
Way, Suite 500
Baltimore, MD
21202-6302
7. Ellwood National Steel Trade Debt $230,049
1 Front Street
Irvine, PA 16329
8. FRC Global Inc. Trade Debt $329,088
1000 N. West Street
Suite 3008
Wilmington, DE
19801-1050
9. G.O. Carlson, Inc. Trade Debt $352,588
d/b/a Electralloy
175 Main Street
Oil City, PA 16301
10. Harbisonwalker International Trade Debt $203,686
24074 Network Place
Chicago, IL
60673-1240
11. Matheson Tri-Gas, Inc. Trade Debt $327,726
909 Lake Carolyn Parkway
Suite 1300
Irving, TX
75039-4821
12. Messer Trade Debt $274,916
88718 Expedite Way
Chicago, IL
60695-1700
13. National Grid Corp. Services $765,394
P.O. Box 371376 Provided
Pittsburgh, PA
15250-7376
14. Onondaga County $823,027
Finance Department
421 Montgomery
Street, 15th Floor
Syracuse, NY 13202
15. Profound Alloys, LLC Trade Debt $163,399
6000 Waterdam
Plaza Drive
Suite 240
Canonsburg, PA 15317
16. Purther Recycling Inc. Trade Debt $241,392
3001 W. Big Beaver Road
Suite 324
Troy, MI 48084
17. RHI US Ltd. Trade Debt $134,279
62156 Collections
Center Drive
Chicago, IL
60693-0621
18. Schenker Inc. Trade Debt $328,146
3501 Island Avenue
Philadelphia, PA
19153
19. Thompson & Johnson Equipment Trade Debt $139,827
6926 Fly Road
East Syracuse, NY 13057
20. Treibacher Industries AG Trade Debt $234,725
Auer-von-Welsbach-StraBe 1
9330 Althofen
Austria
D DUNCAN FLORISTRY: Case Summary & 13 Unsecured Creditors
---------------------------------------------------------
Debtor: D Duncan Floristry and Boutique LLC
818 Broadway Street
Cape Girardeau, MO 63701
Business Description: D Duncan Floristry & Boutique creates floral
designs for weddings, anniversaries,
funerals, birthdays, and more.
Chapter 11 Petition Date: December 12, 2024
Court: United States Bankruptcy Court
Eastern District of Missouri
Case No.: 24-10677
Debtor's Counsel: David M. Dare, Esq.
HERREN, DARE & STREETT
439 S. Kirkwood Road, Suite 204
St. Louis, MO 63122
Tel: 314-965-3373
Fax: 314-965-2225
Email: hdsstl@hdsstl.com
Total Assets: $1,098,900
Total Liabilities: $1,461,129
The petition was signed by Dustin Duncan as owner.
A full-text copy of the petition containing, among other items, a
list of the Debtor's 13 unsecured creditors is available for free
at PacerMonitor.com at:
https://www.pacermonitor.com/view/PEAYY7I/D_Duncan_Floristry_and_Boutique__moebke-24-10677__0001.0.pdf?mcid=tGE4TAMA
ELMWOOD CLO 24: S&P Assigns B- (sf) Rating on Class F-R Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
D-1R, D-2R, and E-R replacement debt and new class F-R debt from
Elmwood CLO 24 Ltd./Elmwood CLO 24 LLC, a CLO originally issued in
December 2023 that is managed by Elmwood Asset Management LLC. At
the same time, S&P withdrew its ratings on the original class A-1,
A-2, B, C, D, and E debt following payment in full on the Dec. 11,
2024, refinancing date.
The replacement debt was issued via a supplemental indenture, which
outlined the terms of the replacement debt. According to the
supplemental indenture:
-- The reinvestment period was extended to Jan. 17, 2030.
-- The non-call period was extended to Dec. 11, 2026.
-- The replacement class B-R, C-R, and E-R debt was issued at a
lower spread over three-month CME term SOFR than the original
debt.
-- The original class A-1 and A-2 debt was replaced by one new
class, A-R.
-- The original class D debt was replaced by two new classes, D-1R
and D-2R.
-- New class F-R debt was issued.
-- No new subordinated notes were issued, and the stated maturity
of the original subordinated notes was extended to Jan. 17, 2038.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. 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
Elmwood CLO 24 Ltd./Elmwood CLO 24 LLC
Class A-R, $315.0 million: AAA (sf)
Class B-R, $65.0 million: AA (sf)
Class C-R (deferrable), $30.0 million: A (sf)
Class D-1R (deferrable), $30.0 million: BBB- (sf)
Class D-2R (deferrable), $3.0 million: BBB- (sf)
Class E-R (deferrable), $16.0 million: BB- (sf)
Class F-R (deferrable), $8.5 million: B- (sf)
Ratings Withdrawn
Elmwood CLO 24 Ltd./Elmwood CLO 24 LLC
Class A-1 to not rated from 'AAA (sf)'
Class A-2 to not rated from 'AAA (sf)'
Class B to not rated from 'AA (sf)'
Class C (deferrable) to not rated from 'A (sf)'
Class D (deferrable) to not rated from 'BBB- (sf)'
Class E (deferrable) to not rated from 'BB- (sf)'
Other Debt
Elmwood CLO 24 Ltd./Elmwood CLO 24 LLC
Subordinated notes, $42.0 million: Not rated
EQUIFIRST LOAN 2007-1: Moody's Hikes Rating on 2 Tranches to Ba1
----------------------------------------------------------------
Moody's Ratings has upgraded the ratings of three bonds from
EquiFirst Loan Securitization Trust 2007-1. The collateral backing
this deal consists of subprime mortgages.
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: EquiFirst Loan Securitization Trust 2007-1
Cl. A-1, Upgraded to Baa1 (sf); previously on Feb 16, 2024 Upgraded
to Ba1 (sf)
Cl. A-2B, Upgraded to Ba1 (sf); previously on Feb 16, 2024 Upgraded
to Caa1 (sf)
Cl. A-2C, Upgraded to Ba1 (sf); previously on Feb 27, 2018 Upgraded
to Caa2 (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 an increase in credit enhancement available
to the bonds. Credit enhancement grew by 29.1% for each of the
upgraded bonds over the past 12 months.
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 considered the existence of historical
interest shortfalls for some of the bonds.
No action was taken on the other rated class in this deal because
its expected loss remains commensurate with its current rating,
after taking into account the updated performance information,
structural features and credit enhancement.
Principal Methodology
The principal methodology used in these ratings was "US Residential
Mortgage-backed Securitizations: Surveillance" published in
December 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.
G FAB INC: Case Summary & 16 Unsecured Creditors
------------------------------------------------
Debtor: G Fab Inc.
f/d/b/a G Fab LLC
581 Antelope Rd
White City, OR 97503
Business Description: G Fab is a specialty contractor that serves
the White City, OR area and specializes in
structural steel.
Chapter 11 Petition Date: December 12, 2024
Court: United States Bankruptcy Court
District of Oregon
Case No.: 24-62739
Judge: Hon. Thomas M Renn
Debtor's Counsel: Keith Y Boyd, Esq.
KEITH Y BOYD, PC
724 S Central Ave 106
Medford, OR 97501
Tel: (541) 973-2422
Email: keith@boydlegal.net
Estimated Assets: $1 million to $10 million
Estimated Liabilities: $1 million to $10 million
The petition was signed by Tracey Glenn as president.
A full-text copy of the petition containing, among other items, a
list of the Debtor's 16 unsecured creditors is available for free
at PacerMonitor.com at:
https://www.pacermonitor.com/view/QWPA42Y/G_Fab_Inc__orbke-24-62739__0001.0.pdf?mcid=tGE4TAMA
GCAT TRUST 2024-INV4: Moody's Assigns B2 Rating to Cl. B-5 Certs
----------------------------------------------------------------
Moody's Ratings has assigned definitive ratings to 58 classes of
residential mortgage-backed securities (RMBS) issued by GCAT
2024-INV4 Trust, and sponsored by Blue River Mortgage III LLC.
The securities are backed by a pool of prime jumbo (4.2% by
balance) and GSE-eligible (95.8% by balance) residential mortgages
aggregated by Blue River Mortgage III LLC originated by multiple
entities and serviced by NewRez LLC d/b/a Shellpoint Mortgage
Servicing, PennyMac Loan Services LLC and PennyMac Corp.
(collectively, PennyMac).
The complete rating actions are as follows:
Issuer: GCAT 2024-INV4 Trust
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-5, Definitive Rating Assigned Aaa (sf)
Cl. A-6, Definitive Rating Assigned Aaa (sf)
Cl. A-7, Definitive Rating Assigned Aaa (sf)
Cl. A-8, Definitive Rating Assigned Aaa (sf)
Cl. A-9, Definitive Rating Assigned Aaa (sf)
Cl. A-10, Definitive Rating Assigned Aaa (sf)
Cl. A-11, Definitive Rating Assigned Aaa (sf)
Cl. A-12, Definitive Rating Assigned Aaa (sf)
Cl. A-13, Definitive Rating Assigned Aa1 (sf)
Cl. A-14, Definitive Rating Assigned Aa1 (sf)
Cl. A-15, Definitive Rating Assigned Aa1 (sf)
Cl. A-16, Definitive Rating Assigned Aa1 (sf)
Cl. A-17, Definitive Rating Assigned Aaa (sf)
Cl. A-18, Definitive Rating Assigned Aaa (sf)
Cl. A-19, Definitive Rating Assigned Aaa (sf)
Cl. A-20, Definitive Rating Assigned Aaa (sf)
Cl. A-21, Definitive Rating Assigned Aaa (sf)
Cl. A-22, Definitive Rating Assigned Aaa (sf)
Cl. A-23, Definitive Rating Assigned Aa1 (sf)
Cl. A-24, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-2*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-3*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-4 *, Definitive Rating Assigned Aaa (sf)
Cl. A-X-5*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-6 *, Definitive Rating Assigned Aaa (sf)
Cl. A-X-7*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-8*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-9*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-10*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-11*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-12*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-13*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-14*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-15*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-16*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-17*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-18*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-19*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-20*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-21*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-22*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-23*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-24*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-25*, Definitive Rating Assigned Aa1 (sf)
Cl. B-1-A, Definitive Rating Assigned Aa3 (sf)
Cl. B-1, Definitive Rating Assigned Aa3 (sf)
Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf)
Cl. B-2-A, Definitive Rating Assigned A2 (sf)
Cl. B-2, Definitive Rating Assigned A2 (sf)
Cl. B-X-2*, Definitive Rating Assigned A2 (sf)
Cl. B-3, Definitive Rating Assigned Baa2 (sf)
Cl. B-4, Definitive Rating Assigned Ba2 (sf)
Cl. B-5, Definitive Rating Assigned B2 (sf)
*Reflects Interest-Only Classes
Moody's are withdrawing the provisional ratings for the Class A-1A
Loans assigned on November 14, 2024, because the issuer will not be
issuing this class.
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
0.78%, in a baseline scenario-median is 0.45% and reaches 8.55% 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.
GENERATE CLO 9: S&P Assigns BB- (sf) Rating on Class E-R Notes
--------------------------------------------------------------
S&P Global Ratings assigned ratings to the class A-R, B-R, C-R,
D-1R, D-2R, and E-R replacement debt and new class X-R debt from
Generate CLO 9 Ltd./Generate CLO 9 LLC, a CLO managed by Generate
Advisors LLC that was originally issued in November 2021. At the
same time, S&P withdrew its ratings on the original class A, B-1,
B-2, C, D, and E debt following payment in full on the Dec. 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 replacement class A-R, B-R, C-R, D-1R, and E-R debt was
issued at a lower spread over three-month term SOFR than the
original notes.
-- The new end of reinvestment period will be Jan. 20, 2030, the
end of non-call period will be Jan. 20, 2027, and the stated
maturity will be Jan. 20, 2038.
-- Of the identified underlying collateral obligations, 100.00%
have credit ratings (which may include confidential ratings,
private ratings, and credit estimates) assigned by S&P Global
Ratings.
-- Of the identified underlying collateral obligations, 95.79%
have recovery ratings (which may include confidential and private
ratings) assigned by S&P Global Ratings.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Generate CLO 9 Ltd./Generate CLO 9 LLC
Class X-R, $4.00 million: AAA (sf)
Class A-R, $283.50 million: AAA (sf)
Class B-R, $58.50 million: AA (sf)
Class C-R (deferrable), $27.00 million: A (sf)
Class D-1R (deferrable), $24.75 million: BBB (sf)
Class D-2R (deferrable), $5.63 million: BBB- (sf)
Class E-R (deferrable), $14.63 million: BB- (sf)
Ratings Withdrawn
Generate CLO 9 Ltd./Generate CLO 9 LLC
Class A to NR from 'AAA (sf)'
Class B-1 to NR from 'AA (sf)'
Class B-2 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
Generate CLO 9 Ltd./Generate CLO 9 LLC
Subordinated notes, $43.30 million: NR
NR--Not rated.
GS MORTGAGE 2021-DM: DBRS Confirms B(low) Rating on Class F Certs
-----------------------------------------------------------------
DBRS Limited confirmed its credit ratings on the Commercial
Mortgage Pass-Through Certificates, Series 2021-DM issued by GS
Mortgage Securities Corporation Trust 2021-DM as follows:
-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class F at B (low) (sf)
All trends are Stable.
The credit rating confirmations reflect the overall stable
performance of the transaction since issuance, backed by a
portfolio of multifamily properties across three states. The
collateral continues to exhibit healthy performance metrics, with
occupancy and net cash flow (NCF) figures at or exceeding the
Morningstar DBRS figures derived at issuance.
The collateral for the loan includes the borrower's fee-simple and
leasehold interests in a portfolio of 18 suburban multifamily
properties totaling 3,483 units in South Florida (58.8% of the
allocated loan amount (ALA)), with one property in each of Salt
Lake City (19.3% of the ALA) and Boston (22.1% of the ALA). All 16
of the properties in Florida are secured by affordable housing
properties, of which five are age-restricted properties. Under the
current legislation, 14 of the properties in Florida should receive
100% exemption of ad valorem taxes on all affordable units if the
properties continue to meet all other statutory requirements for
the affordable housing tax exemption. According to recent servicer
commentary, the Cedar Forest property (4.7% of the ALA) in suburban
Tampa, experienced major damage from recent hurricane activity. No
estimate of total damage or payout has been provided.
The transaction sponsor is Starwood Real Estate Property Trust,
Inc., which is indirectly controlled by the experienced
institutional private investment firm Starwood Capital Group. Loan
proceeds of $529.8 million along with the borrower's equity of
approximately $392.8 million went toward acquiring the property for
$883.0 million and covering closing costs and transaction
expenses.
The transaction features a partial pro rata/sequential-pay
structure, which allows for pro rata paydowns for the first 20.0%
of the original principal balance, where individual properties may
be released from the trust at a price of 105.0% of the ALA, with
customary debt yield tests. Proceeds are applied sequentially for
the remaining 80.0% of the pool balance with the release price
increasing to 110.0% of the ALA. Morningstar DBRS applied a penalty
to the transaction's capital structure to account for the pro rata
nature of certain prepayments and for the weak deleveraging
premiums. The interest-only floating-rate loan had an initial
two-year term with three one-year extension options. The loan
matured on November 8, 2024; As of the November 2024 reporting, the
servicer noted that the borrower has exercised the second extension
option with a current maturity date scheduled for November 9, 2025.
Each extension is conditional upon, among other things, no events
of default and the borrower's purchase of an interest rate cap
agreement for each extension term. The borrower will be required to
maintain a debt yield above 4.25% throughout the loan term or cash
management provisions will be triggered. As of the YE2023
financials, the debt yield was 6.58%.
According to the trailing 12-month (T-12) financials for the period
ended June 30, 2024, the portfolio had a consolidated occupancy
rate of 96.8%, compared with 98.7% at issuance. Cash flows continue
to steadily increase year over year, with the T-12 ended June 30,
2024, NCF at $36.6 million, compared with the YE2023 NCF of $34.4
million and the Morningstar DBRS NCF of $30.2 million at issuance.
Despite the increase in interest rates since issuance, the loan
continues to report a healthy debt service coverage ratio (DSCR) of
2.05 times (x) as of the June 2024 reporting, compared with the
YE2022 DSCR of 1.84x. According to the June 2024 rent rolls, the
portfolio had an average rental rate of $1,442 per unit, below the
June 2023 figure of $1,610 per unit but above the $1,187 per unit
figure at issuance. While the T-12 ended June 30, 2024, effective
gross income has grown 20.9% when compared with the Morningstar
DBRS NCF derived at issuance, operating expenses have also risen by
22.1%, primarily driven by increases in property insurance,
utilities, and payroll and benefits.
Morningstar DBRS' credit ratings are based on a value analysis
completed at issuance, which considered a capitalization rate for
the portfolio of 5.89%, resulting in a Morningstar DBRS value of
$513.3 million and a loan-to-value ratio (LTV) of 103.2% on the
mortgage loan. The Morningstar DBRS value represents a 42.8%
haircut to the appraiser's value of $899.3 million at issuance. To
account for the high leverage, Morningstar DBRS programmatically
reduced its LTV benchmark targets for the transaction by 1.5%
across the capital structure. Morningstar DBRS applied positive
qualitative adjustments to its sizing, totaling 6.75%, to reflect
the historically stable performance, property quality, and strong
submarket fundamentals for the underlying portfolio.
Notes: All figures are in U.S. dollars unless otherwise noted.
GS MORTGAGE 2024-PJ10: DBRS Gives Prov. B(low) Rating on B5 Notes
-----------------------------------------------------------------
DBRS, Inc. assigned the following provisional credit ratings on the
Mortgage-Backed Notes, Series 2024-PJ10 (the Notes) to be issued by
the GS Mortgage-Backed Securities Trust 2024-PJ10 (GSMBS
2024-PJ10):
-- $267.9 million Class A-1 at (P) AAA (sf)
-- $267.9 million Class A-2 at (P) AAA (sf)
-- $267.9 million Class A-3 at (P) AAA (sf)
-- $200.9 million Class A-4 at (P) AAA (sf)
-- $200.9 million Class A-5 at (P) AAA (sf)
-- $200.9 million Class A-6 at (P) AAA (sf)
-- $160.7 million Class A-7 at (P) AAA (sf)
-- $160.7 million Class A-8 at (P) AAA (sf)
-- $160.7 million Class A-9 at (P) AAA (sf)
-- $40.2 million Class A-10 at (P) AAA (sf)
-- $40.2 million Class A-11 at (P) AAA (sf)
-- $40.2 million Class A-12 at (P) AAA (sf)
-- $107.2 million Class A-13 at (P) AAA (sf)
-- $107.2 million Class A-14 at (P) AAA (sf)
-- $107.2 million Class A-15 at (P) AAA (sf)
-- $67.0 million Class A-16 at (P) AAA (sf)
-- $67.0 million Class A-17 at (P) AAA (sf)
-- $67.0 million Class A-18 at (P) AAA (sf)
-- $15.8 million Class A-19 at (P) AAA (sf)
-- $15.8 million Class A-20 at (P) AAA (sf)
-- $15.8 million Class A-21 at (P) AAA (sf)
-- $283.7 million Class A-22 at (P) AAA (sf)
-- $283.7 million Class A-23 at (P) AAA (sf)
-- $283.7 million Class A-24 at (P) AAA (sf)
-- $283.7 million Class A-25 at (P) AAA (sf)
-- $283.7 million Class A-X-1 at (P) AAA (sf)
-- $267.9 million Class A-X-2 at (P) AAA (sf)
-- $267.9 million Class A-X-3 at (P) AAA (sf)
-- $267.9 million Class A-X-4 at (P) AAA (sf)
-- $200.9 million Class A-X-5 at (P) AAA (sf)
-- $200.9 million Class A-X-6 at (P) AAA (sf)
-- $200.9 million Class A-X-7 at (P) AAA (sf)
-- $160.7 million Class A-X-8 at (P) AAA (sf)
-- $160.7 million Class A-X-9 at (P) AAA (sf)
-- $160.7 million Class A-X-10 at (P) AAA (sf)
-- $40.2 million Class A-X-11 at (P) AAA (sf)
-- $40.2 million Class A-X-12 at (P) AAA (sf)
-- $40.2 million Class A-X-13 at (P) AAA (sf)
-- $107.2 million Class A-X-14 at (P) AAA (sf)
-- $107.2 million Class A-X-15 at (P) AAA (sf)
-- $107.2 million Class A-X-16 at (P) AAA (sf)
-- $67.0 million Class A-X-17 at (P) AAA (sf)
-- $67.0 million Class A-X-18 at (P) AAA (sf)
-- $67.0 million Class A-X-19 at (P) AAA (sf)
-- $15.8 million Class A-X-20 at (P) AAA (sf)
-- $15.8 million Class A-X-21 at (P) AAA (sf)
-- $15.8 million Class A-X-22 at (P) AAA (sf)
-- $283.7 million Class A-X-23 at (P) AAA (sf)
-- $283.7 million Class A-X-24 at (P) AAA (sf)
-- $283.7 million Class A-X-25 at (P) AAA (sf)
-- $283.7 million Class A-X-26 at (P) AAA (sf)
-- $20.2 million Class B-1A at (P) AA (low)(sf)
-- $20.2 million Class B-X-1 at (P) AA (low)(sf)
-- $20.2 million Class B-1 at (P) AA (low)(sf)
-- $4.4 million Class B-2A at (P) A (low)(sf)
-- $4.4 million Class B-X-2 at (P) A (low)(sf)
-- $4.4 million Class B-2 at (P) A (low)(sf)
-- $3.3 million Class B-3 at (P) BBB (low)(sf)
-- $1.7 million Class B-4 at (P) BB (low)(sf)
-- $788.0 thousand Class B-5 at (P) B (low)(sf)
-- $267.9 million Class A-1L at (P) AAA (sf)
-- $267.9 million Class A-2L at (P) AAA (sf)
-- $267.9 million Class A-3L at (P) AAA (sf)
Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11,
A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-19, A-20, A-1L, A-2L,
and A-3L are super senior notes. These classes benefit from
additional protection from the senior support note (Class A-21)
with respect to loss allocation.
Classes A-1-X, A-2-X, A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X,
A-9-X, A-10-X, A-11-X, A-12-X, A-13-X, A-14-X, A-15-X, A-16-X,
A-17-X, A-18-X, A-19-X, A-20-X, A-21-X, A-22-X, A-23-X, A-24-X,
A-25-X, A-26-X, B-X-1, and B-X-2 are interest-only (IO) notes. The
class balances represent notional amounts.
Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-10, A-11, A-13,
A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-25, B-1,
and B-2 are exchangeable notes. These classes can be exchanged for
combinations of exchange notes as specified in the offering
documents.
Classes A-1L, A-2L, and A-3L are loans that may be funded at the
Closing Date as specified in the offering documents.
The AAA (sf) credit ratings on the Notes reflect 10.00% of credit
enhancement provided by subordinated notes. The AA (low) (sf), A
(low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit
ratings reflect 3.60%, 2.20%, 1.15%, 0.60%, and 0.35% credit
enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
The securitization is a portfolio of first-lien fixed-rate prime
residential mortgages funded by the issuance of the Mortgage-Backed
Notes, Series 2024-PJ10 (the Notes). The Notes are backed by 287
loans with a total principal balance of $315,197,126 as of the
Cut-Off Date.
The pool consists of first-lien, fully amortizing fixed-rate
mortgages (FRMs) with original terms to maturity of 30 years. The
weighted-average (WA) original combined loan-to-value (CLTV) for
the portfolio is 69.6%. A small portion of the pool (25.8%)
comprises loans with Morningstar DBRS calculated current CLTV
ratios between 80.0% and 90.0%, while none of the pool falls above
90.0% current CLTV. In addition, 98.0% of the loans in the pool
were originated in accordance with the general Qualified Mortgage
(QM) rule subject to the average prime offer rate designation.
The mortgage loans are originated by United Wholesale Mortgage, LLC
(UWM; 59.2%), and various other originators, each comprising less
than 10.0% of the pool.
The mortgage loans will be serviced by Newrez, LLC (Newrez), doing
business as (dba) Shellpoint Mortgage Servicing (Shellpoint;
82.1%), PennyMac Loan Services (PennyMac; 13.5%) and United
Wholesale Mortgage LLC (UWM/Cenlar FSB; 4.4%).
Computershare Trust Company, N.A. will act as the Master Servicer,
Paying Agent, and Custodian. U.S. Bank Trust National Association
(U.S. Bank; rated AA with a Stable trend by Morningstar DBRS) will
act as Delaware Trustee. U.S. Bank Trust Company, National
Association will act as Collateral Trustee. Pentalpha Surveillance
LLC (Pentalpha) will serve as the Representation and Warranty
Reviewer.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that incorporates performance triggers and
credit enhancement floors.
This transaction allows for the issuance of Classes A-1L, A-2L and
A-3L loans which are the equivalent of ownership of Classes A-1,
A-2 and A-3 Notes, respectively. These classes are issued in the
form of a loan made by the investor instead of a note purchased by
the investor. If these loans are funded at closing, the holder may
convert such class into an equal aggregate debt amount of the
corresponding Notes. There is no change to the structure if these
Classes are elected.
Notes: All figures are in US dollars unless otherwise noted.
HARTWICK PARK: S&P Assigns BB- (sf) Rating on Class E-R Notes
-------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-R, and E-R replacement debt from Hartwick Park CLO
Ltd./Hartwick Park CLO LLC, a CLO originally issued in December
2023 that is managed by Blackstone CLO Management LLC.
The preliminary ratings are based on information as of Dec. 10,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Dec. 16, 2024, refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. S&P
said, "At that time, we expect to withdraw our ratings on the
original debt and assign ratings to the replacement debt. However,
if the refinancing doesn't occur, we may affirm our ratings on the
original debt and withdraw our preliminary ratings on the
replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The replacement class A-R, B-R, C-R, D-R, and E-R debt is
expected to be issued at a lower floating spread, replacing the
current floating spread on the original rated debt.
-- The stated maturity and non-call period will be extended by one
year, and the reinvestment period will be extended by two years.
-- The class A notes, class A-L loans, and class A-L notes will be
replaced by a single tranche of class A-R notes.
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
Hartwick Park CLO Ltd./Hartwick Park CLO LLC
Class B-R, $42.00 million: AA (sf)
Class C-R (deferrable), $21.00 million: A (sf)
Class D-R (deferrable), $21.00 million: BBB- (sf)
Class E-R (deferrable), $14.00 million: BB- (sf)
Other Debt
Hartwick Park CLO Ltd./Hartwick Park CLO LLC
Class A-R, $224.00 million: Not rated
Subordinated notes, $30.30 million: Not rated
HARVEST SBA 2024-1: DBRS Gives Prov. BB Rating on C Notes
---------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the following
notes to be issued by Harvest SBA Loan Trust 2024-1 (HSLT 2024-1).
-- $81,400,000 Class A Notes at (P) A (low) (sf)
-- $7,800,000 Class B Notes at (P) BBB (low) (sf)
-- $6,000,000 Class C Notes at (P) BB (sf)
CREDIT RATING RATIONALE/DESCRIPTION
The provisional credit ratings are based on Morningstar DBRS'
review of the following analytical considerations:
-- The transaction's capital structure and available credit
enhancement. Note subordination, cash held in the Reserve Account,
cash held in the Reserve Account, and available excess spread, as
well as other structural provisions create credit enhancement
levels which are sufficient to support Morningstar DBRS' stressed
cumulative net loss (CNL) hurdle rate assumptions of 15.24%,
11.83%, and 9.06% respectively, for each of the A (low) (sf), BBB
(low) (sf), and BB (sf) rating categories.
-- The transaction parties' capabilities with regard to
originating, underwriting, and servicing of SBA 7(a) loans:
(1) Morningstar DBRS performed an operational review of Harvest and
found it to be an acceptable originator and servicer for the
collateral.
(2) In addition, Computershare Trust Company, N.A., which is an
experienced servicer of CRE-backed loans, is the Backup Servicer
and custodian for the transaction.
-- A review by Morningstar DBRS of Harvest's historical collateral
performance since Harvest began originating, which found low
defaults and minimal net losses.
-- A review of the initial collateral pool, which shows diversity
by business type and property type, among other metrics, as well as
strong overall credit characteristics, most notably with a weighted
average obligor FICO score of 729, weighted average time in
business of 18 years, and a weighted average current loan-to-value
ratio of 74.46%.
-- Harvest's underwriting process, which evaluates the small
business borrower's ability to repay the loan primarily from the
business cash flows of normal operations (recurring income sources)
to service both its existing debt and the requested loan. The
weighted average debt service coverage ratio (DSCR) for loans in
the initial pool is 2.53x.
-- A review of the collateral pool's industry concentrations
against historical performance of SBA data for significant industry
concentrations as well as aggregate vintage performance.
-- Collateral eligibility and concentration limits built into the
prefunding parameters that ensure that the final collateral pool
continues to maintain strong credit characteristics and collateral
diversification.
-- The transaction features a full turbo structure to the Notes.
-- The legal structure and expected legal opinions that will
address the true sale of the receivables, the nonconsolidation of
the assets of the Issuer, that the Indenture Trustee has a valid
first-priority security interest in the assets, and consistency
with Morningstar DBRS' Legal Criteria for U.S. Structured Finance.
-- The transaction assumptions consider Morningstar DBRS' baseline
macroeconomic scenarios for rated sovereign economies, available in
its commentary Baseline Macroeconomic Scenarios For Rated
Sovereigns September 2024 Update, published on September 25, 2024.
These baseline macroeconomic scenarios replace Morningstar DBRS'
moderate and adverse coronavirus pandemic scenarios, which were
first published in April 2020.
Morningstar DBRS' credit ratings on the notes referenced herein
address the credit risk associated with the identified financial
obligations in accordance with the relevant transaction documents.
The associated financial obligations for the Class A, Class B and
Class C Notes are the Interest Payment Amount (including any unpaid
interest from prior periods) and the Note Principal Balance.
Notes: All figures are in US dollars unless otherwise noted.
HERTZ VEHICLE III: DBRS Confirms Credit Ratings on 32 Securities
----------------------------------------------------------------
DBRS, Inc. confirmed its credit ratings on 32 securities issued by
eight Hertz Vehicle Financing III LLC transactions.
The Affected Ratings are available at https://bit.ly/49jo35c
The Issuers are:
Hertz Vehicle Financing III LLC, Series 2021-1
Hertz Vehicle Financing III LLC, Series 2021-2
Hertz Vehicle Financing III LLC, Series 2024-2
Hertz Vehicle Financing III LLC, Series 2024-1
Hertz Vehicle Financing III LLC, Series 2023-3
Hertz Vehicle Financing III LLC, Series 2023-1
Hertz Vehicle Financing III LLC, Series 2023-2
Hertz Vehicle Financing III LLC, Series 2023-4
The confirmations are based on the following analytical
considerations:
-- The fleet mix remains strong, with a high portion of vehicles
from investment grade manufacturers.
-- Gains above book value remain consistently strong, with
residual gains well over 100% in recent months.
-- The pool is in compliance with all concentration limits.
-- The transaction assumptions consider Morningstar DBRS' baseline
macroeconomic scenarios for rated sovereign economies, available in
its commentary Baseline Macroeconomic Scenarios For Rated
Sovereigns - September 2024 Update, published on September 25,
2024. These baseline macroeconomic scenarios replace Morningstar
DBRS' moderate and adverse COVID-19 pandemic scenarios, which were
first published in April 2020.
Notes: The principal methodology applicable to the credit ratings
is Morningstar DBRS Master U.S. ABS Surveillance (August 06, 2024).
HPS LOAN 10-2016: S&P Affirms B- (sf) Rating on Class E Debt
------------------------------------------------------------
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class X-R3, A-1R3,
A-1JR3, A-2R3, B-R3, C-R3, and D-R3 replacement debt from HPS Loan
Management 10-2016 Ltd./HPS Loan Management 10-2016 LLC, a CLO
managed by HPS Investment Partners LLC that was originally issued
in December 2016 and underwent a second refinancing in June 2021.
At the same time, S&P withdrew its ratings on the class X, A-1-RR,
A-1-J, A-2-RR, B-RR, C-R, and D-R debt following payment in full on
the Dec. 9, 2024, refinancing date. It also affirmed its rating on
the class E debt, which was not refinanced.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture, the non-call period for the replacement
debt was set to Dec. 9, 2025.
Replacement And June 2021 Debt Issuances
Replacement debt
-- Class X-R3, $1.50 million: Three-month CME term SOFR + 0.95%
-- Class A-1R3, $244.00 million: Three-month CME term SOFR +
1.12%
-- Class A-1JR3, $6.00 million: Three-month CME term SOFR + 1.35%
-- Class A-2R3, $54.00 million: Three-month CME term SOFR + 1.60%
-- Class B-R3, $24.00 million: Three-month CME term SOFR + 1.85%
-- Class C-R3, $24.00 million: Three-month CME term SOFR + 2.95%
-- Class D-R3, $14.00 million: Three-month CME term SOFR + 6.45%
June 2021 debt
-- Class X, $1.50 million: Three-month CME term SOFR + 1.16%
-- Class A-1-RR, $244.00 million: Three-month CME term SOFR +
1.40%
-- Class A-1-J, $6.00 million: Three-month CME term SOFR + 1.66%
-- Class A-2-RR, $54.00 million: Three-month CME term SOFR +
1.91%
-- Class B-RR, $24.00 million: Three-month CME term SOFR + 2.31%
-- Class C-R, $24.00 million: Three-month CME term SOFR + 3.41%
-- Class D-R, $14.00 million: Three-month CME term SOFR + 6.67%
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.
"On a standalone basis, the results of the cash flow analysis
indicated a lower rating on the class E debt. Given the overall
credit quality of the portfolio and the passing coverage tests, we
affirmed our rating on the class E debt.
"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
HPS Loan Management 10-2016 Ltd./HPS Loan Management 10-2016 LLC
Class X-R3, $1.50 million: AAA (sf)
Class A-1R3, $244.00 million: AAA (sf)
Class A-1JR3, $6.00 million: AAA (sf)
Class A-2R3, $54.00 million: AA (sf)
Class B-R3, $24.00 million: A (sf)
Class C-R3, $24.00 million: BBB- (sf)
Class D-R3, $14.00 million: BB- (sf)
Ratings Withdrawn
HPS Loan Management 10-2016 Ltd./HPS Loan Management 10-2016 LLC
Class X to NR from 'AAA (sf)'
Class A-1-RR to NR from 'AAA (sf)'
Class A-1-J to NR from 'AAA (sf)'
Class A-2-RR to NR from 'AA (sf)'
Class B-RR to NR from 'A (sf)'
Class C-R to NR from 'BBB- (sf)'
Class D-R to NR from 'BB- (sf)'
Rating Affirmed
HPS Loan Management 10-2016 Ltd./HPS Loan Management 10-2016 LLC
Class E: B- (sf)
Other Debt
HPS Loan Management 10-2016 Ltd./HPS Loan Management 10-2016 LLC
Subordinated notes, $47.35 million: NR
NR--Not rated.
HPS LOAN 2024-22: Fitch Assigns 'BB+sf' Rating on Class E Notes
---------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to HPS Loan
Management 2024-22, Ltd.
Entity/Debt Rating
----------- ------
HPS Loan Management
2024-22, Ltd.
A-1 Loans LT AAAsf New Rating
A-1 Notes LT AAAsf New Rating
A-2 LT AAAsf New Rating
B LT AA+sf New Rating
C LT A+sf New Rating
D-1 LT BBBsf New Rating
D-2A LT BBB-sf New Rating
D-2B LT BBB-sf New Rating
E LT BB+sf New Rating
F LT NRsf New Rating
Subordinated LT NRsf New Rating
Transaction Summary
HPS Loan Management 2024-22, Ltd. (the issuer) is an arbitrage cash
flow collateralized loan obligation (CLO) that will be managed by
HPS Investment Partners CLO (UK) LLP. 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. Issuers rated in the 'B' rating category denote a
highly speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard CLO structural
features.
Asset Security (Positive): The indicative portfolio consists of
98.5% first-lien senior secured loans and has a weighted average
recovery assumption of 75.29%. 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 41% 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 4.9-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting to the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The weighted average life (WAL) used for the transaction stress
portfolio is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between '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 'B+sf' for
class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-1 and class A-2
notes as these notes are in the highest rating category of
'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for
class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other Nationally
Recognized Statistical Rating Organizations and/or European
securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, 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 HPS Loan Management
2024-22, 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.
IMSCI 2013-3: DBRS Confirms C Rating on F Certs
-----------------------------------------------
DBRS Limited confirmed its credit ratings on two classes of
Commercial Mortgage Pass-Through Certificates Series 2013-3 issued
by Institutional Mortgage Securities Canada Inc. (IMSCI) Series
2013-3 as follows:
-- Class E at BB (sf)
-- Class F at C (sf)
The trend on Class E is Stable. There is no trend on Class F, which
has a credit rating that does not generally carry a trend in
commercial mortgage-backed securities (CMBS) credit ratings.
The credit rating confirmations reflect the ongoing concerns with
the remaining three loans in the pool: Lunar and Whimbrel
Apartments (Prospectus ID#10, 37.3% of the pool), Snowbird and
Skyview Apartments (Prospectus ID#11, 34.7% of the pool), and
Parkland and Gannet Apartments (Prospectus ID#17, 28.0% of the
pool). The loans are secured by three underperforming multifamily
properties located in Fort McMurray, Alberta, affected by the
downturn of the oil and gas industry in 2014. All three of the
loans are currently on the servicer's watchlist for low debt
service coverage ratio (DSCR), failure to submit financial
statements, and an overall increased level of default risk. As of
February 2024, the servicer reported occupancy figures ranging from
75% to 97% across all the properties, remaining slightly depressed
from the April 2023 figures. All three loans are currently in a
forbearance period to December 2024 and, as confirmed by the
servicer, the borrower continues to remain in compliance with the
terms. Previously, the sponsor worked with the servicer to
formalize several loan modifications, allowing various forms of
payment relief and maturity extensions, including $600,000 in
required principal curtailment payments with each extension. The
sponsor, Lanesborough Real Estate Investment Trust, is reportedly
in weak financial standing according to its Q1 2024 earnings
report. The sponsor planned to sell several assets, including the
subject properties, and wind-up operations earlier this year;
however, the move was ultimately voted down by unitholders in June
2024. Although the sponsor continues to have financial problems,
the loans received a principal paydown of approximately $1.0
million since the November 2023 remittance and continue to remain
current on debt service payments. Morningstar DBRS analyzed the
loans with a liquidation scenario utilizing the most recent
full-year financials and stressed capitalization rate. The results
of the liquidation scenario suggest an implied loss in excess of
$2.4 million, which would be primarily contained to the unrated
Class G and would begin to creep into Class F, which is already at
a credit rating that implies very highly speculative credit
quality, thereby supporting the credit rating confirmations.
Notes: All figures are in Canadian dollars unless otherwise noted.
JAMESTOWN CLO XVI: Moody's Assigns Ba3 Rating to $20MM E-R Notes
----------------------------------------------------------------
Moody's Ratings has assigned ratings to five classes of CLO
refinancing notes (the "Refinancing Notes") issued by Jamestown CLO
XVI Ltd. (the "Issuer").
US$248,000,000 Class A-R Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)
US$56,000,000 Class B-R Senior Secured Floating Rate Notes due
2034, Assigned Aa1 (sf)
US$20,000,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned A2 (sf)
US$23,000,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned Baa3 (sf)
US$20,000,000 Class E-R Senior Secured Deferrable Floating Rate
Notes due 2034, 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.
Investcorp Credit Management US LLC (the "Manager") will continue
to direct the selection, acquisition and disposition of the assets
on behalf of the Issuer and may engage in trading activity,
including discretionary trading, during the transaction's remaining
reinvestment period.
The Issuer previously issued one class of subordinated notes, which
will remain outstanding.
In addition to the issuance of the Refinancing Notes, the
Refinancing Notes' non-call period will be extended.
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: $395,364,074
Defaulted par: $1,604,841
Diversity Score: 75
Weighted Average Rating Factor (WARF): 2811
Weighted Average Spread (WAS): 3.41%
Weighted Average Recovery Rate (WARR): 46.16%
Weighted Average Life (WAL): 5.38 years
In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio, and lower recoveries on defaulted assets.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2024.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.
JP MORGAN 2021-1440: DBRS Confirms B Rating on Class C Certs
------------------------------------------------------------
DBRS Limited confirmed the credit ratings on all Classes of
Commercial Mortgage Pass-Through Certificates issued by J.P. Morgan
Chase Commercial Mortgage Securities Trust 2021-1440 as follows:
-- Class A at A (sf)
-- Class B at BBB (sf)
-- Class C at B (sf)
-- Class D at CCC (sf)
-- Class E at CCC (sf)
-- Class F at CCC (sf)
Morningstar DBRS changed the trends on Classes A, B, and C to
Stable from Negative. Classes D, E, and F have credit ratings that
do not carry a trend in commercial mortgage-backed securities
(CMBS).
The $399.0 million floating rate loan is interest-only (IO) and is
secured by the borrower's fee-simple interest in a 25-story,
740,387-square-foot office property in Midtown Manhattan. Since the
last credit rating action, the servicer executed a loan
modification, terms of which included a reduction in the note rate
and an extension of the loan maturity from March 2024 to October
2025, with two one-year extension options available subject to debt
yield tests. The borrower was also required to deposit $24.5
million into a lender-controlled reserve account and agree to a
deed-in-lieu of foreclosure in the event of a future default. In
addition, a new appraisal was completed in April 2024, valuing the
property at $320.0 million. The credit rating confirmations reflect
Morningstar DBRS' expectations for ultimate recoverability, with
Classes A, B, and C well insulated from potential losses. Given the
positive developments with the loan modification and increased
certainty in recoverability of these bonds based on the most recent
appraised value, Morningstar DBRS revised the trends for Classes A,
B, and C to Stable from Negative.
Morningstar DBRS remains concerned with the asset's high vacancy,
declined cash flow performance, and increased propensity for
interest shortfalls given the change in note rate, which remain
contributing factors in the confirmed credit ratings for Classes D,
E, and F. The loan transferred to the special servicer in September
2023 when the borrower communicated a desire to transfer title to
the lender. As previously mentioned, the loan's May 2024
modification includes a reduction in the spread, resulting in a
lower note rate for the remaining term. The reduced interest
payments have contributed to accumulating interest shortfalls of
approximately $1.2 million per remittance period, currently
totaling $7.6 million as of the October 2024 remittance.
Morningstar DBRS expects these shortfalls to continue through loan
maturity, the cumulative interest shortfalls are expected to total
approximately $20.0 million by maturity, thereby supporting the
confirmed credit ratings for Classes D, E, and F.
Morningstar DBRS' primary concern with regard to the performance of
the underlying asset is tied to the departure of major tenant
Macy's (previously 26.6% of the net rentable area (NRA)) after its
January 2024 lease expiration and large exposure to WeWork (40.3%
of the NRA). WeWork filed for bankruptcy in November 2023 and
subsequently modified its lease at the subject, inclusive of a
significant reduction to the rental rate. In addition, WeWork's
lease term was shortened to October 2028, with an extension option
available until final maturity in June 2035. There is also a
one-time termination option, which can be exercised at no cost with
at least four months' notice, effective May 31, 2026. Given the
tenant's bankruptcy, Morningstar DBRS believes it is likely that
the termination option will be exercised, and the space will become
vacant in June 2026. At issuance, it was noted that approximately
92.0% of the WeWork space was being used by Pinterest and Amazon as
clients of WeWork. Morningstar DBRS requested an update on the
status of those contracts, but the servicer has advised the tenant
is not required to provide that information.
The loan was returned to the master servicer in August 2024 and
continues to perform in accordance with the modification terms;
however, as per the October 2024 remittance, it is being monitored
on the servicer's watchlist for a low debt service coverage ratio
(DSCR), active lockbox, and delinquent insurance payments. The
declined cash flow is tied to the declined vacancy as well as
WeWork's rent reduction. As per the rent roll dated October 2024,
the property is 58.6% occupied down from 85% at YE2023 and 93.0% at
issuance. Based on the financial statement for the trailing 12
months (T-12) period ended June 30, 2024, the debt yield is 1.2%,
which is well below the maturity extension threshold of 5.0%.
Unless there is a meaningful uptick in occupancy and cash flow
levels, Morningstar DBRS believes it is unlikely the borrower will
be able to exercise its extension option at maturity in October
2025.
Offsetting some of these concerns are the considerable reserves,
totaling $42.4 million as of October 2024 reporting. The loan was
originally structured with a full cash flow sweep that commenced at
loan closing. Morningstar DBRS has inquired as to whether the
reported reserve balance is inclusive of the $24.5 million
deposited by the borrower as per the loan modification; however, a
response has not been received as of this writing. Additionally,
the April 2024 appraised value of $320.0 million, although a 40.7%
decline from the issuance appraised value of $540.0 million,
implies the senior bonds are well insulated from potential losses.
In the absence of an updated appraisal at the last review,
Morningstar DBRS concluded a stressed value of $205.0 million in
December 2023 based on a blended approach that gave credit to the
in-place tenancy and an estimate of revenue for the vacant space,
less the cost to re-lease to a stabilized rate of 81.9%.
Morningstar DBRS updated its loan-to-value ratio (LTV) sizing
approach for purposes of the current review, based on a stress to
the most recent appraised value, and concluded a value of $256.0
million. The Morningstar DBRS LTV of 155.9% compares to the
appraised value LTV of 124.7%. Morningstar DBRS maintained
qualitative adjustments totaling 1.0%, inclusive of a negative
adjustment to account for increased cash flow volatility, and
positive adjustments for property quality and strong market
fundamentals.
Notes: All figures are in U.S. dollars unless otherwise noted.
JP MORGAN 2024-11: DBRS Gives Prov. B(low) Rating on B5 Certs
-------------------------------------------------------------
DBRS, Inc. assigned the following provisional credit ratings to the
Mortgage Pass-Through Certificates, Series 2024-11 (the
Certificates) to be issued by the J.P. Morgan Mortgage Trust
2024-11 (JPMMT 2024-11):
-- $395.8 million Class A-2 at (P) AAA (sf)
-- $395.8 million Class A-3 at (P) AAA (sf)
-- $395.8 million Class A-3-X at (P) AAA (sf)
-- $296.9 million Class A-4 at (P) AAA (sf)
-- $296.9 million Class A-4-A at (P) AAA (sf)
-- $296.9 million Class A-4-X at (P) AAA (sf)
-- $99.0 million Class A-5 at (P) AAA (sf)
-- $99.0 million Class A-5-A at (P) AAA (sf)
-- $99.0 million Class A-5-X at (P) AAA (sf)
-- $237.5 million Class A-6 at (P) AAA (sf)
-- $237.5 million Class A-6-A at (P) AAA (sf)
-- $237.5 million Class A-6-X at (P) AAA (sf)
-- $158.3 million Class A-7 at (P) AAA (sf)
-- $158.3 million Class A-7-A at (P) AAA (sf)
-- $158.3 million Class A-7-X at (P) AAA (sf)
-- $59.4 million Class A-8 at (P) AAA (sf)
-- $59.4 million Class A-8-A at (P) AAA (sf)
-- $59.4 million Class A-8-X at (P) AAA (sf)
-- $49.6 million Class A-9 at (P) AAA (sf)
-- $49.6 million Class A-9-A at (P) AAA (sf)
-- $49.6 million Class A-9-X at (P) AAA (sf)
-- $69.9 million Class A-11 at (P) AAA (sf)
-- $69.9 million Class A-11-X at (P) AAA (sf)
-- $69.9 million Class A-12 at (P) AAA (sf)
-- $69.9 million Class A-13 at (P) AAA (sf)
-- $69.9 million Class A-13-X at (P) AAA (sf)
-- $69.9 million Class A-14 at (P) AAA (sf)
-- $69.9 million Class A-14-X at (P) AAA (sf)
-- $69.9 million Class A-14-X2 at (P) AAA (sf)
-- $69.9 million Class A-14-X3 at (P) AAA (sf)
-- $69.9 million Class A-14-X4 at (P) AAA (sf)
-- $515.3 million Class A-X-1 at (P) AAA (sf)
-- $515.3 million Class A-X-2 at (P) AAA (sf)
-- $515.3 million Class A-X-3 at (P) AAA (sf)
-- $9.9 million Class B-1 at (P) AA (low) (sf)
-- $9.9 million Class B-1-A at (P) AA (low) (sf)
-- $9.9 million Class B-1-X at (P) AA (low) (sf)
-- $10.7 million Class B-2 at (P) A (low) (sf)
-- $10.7 million Class B-2-A at (P) A (low) (sf)
-- $10.7 million Class B-2-X at (P) A (low) (sf)
-- $6.0 million Class B-3 at (P) BBB (low) (sf)
-- $2.7 million Class B-4 at (P) BB (low) (sf)
-- $1.1 million Class B-5 at (P) B (low) (sf)
Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-11-X,
A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-X-1, A-X-2, A-X-3,
B-1-X, and B-2-X are interest-only (IO) certificates. The class
balances represent notional amounts.
Classes A-2, A-3, A-3-X, A-4, A-4-A, A-4-X, A-5, A-6, A-7, A-7-A,
A-7-X, A-8, A-9, A-11, A-11-X, A-12, A-13, A-13-X, A-X-1, B-1, and
B-2 are exchangeable certificates. These classes can be exchanged
for combinations of depositable certificates as specified in the
offering documents.
Classes A-2, A-3, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A,
A-8, A-8-A, A-11, A-12, A-13, and A-14 are super senior
certificates. These classes benefit from additional protection from
the senior support certificate (Classes A-9 and A-9-A) with respect
to loss allocation.
The (P) AAA (sf) credit ratings on the Certificates reflect 5.95%
of credit enhancement provided by subordinated certificates. The
(P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB
(low) (sf), and (P) B (low) (sf) credit ratings reflect 4.15%,
2.20%, 1.10%, 0.60%, and 0.40% of credit enhancement,
respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
The transaction is a securitization of a portfolio of first-lien,
fixed-rate prime residential mortgages funded by the issuance of
the Mortgage Pass-Through Certificates, Series 2024-11 (the
Certificates). The Certificates are backed by 441 loans with a
total principal balance of $547,864,527 as of the Cut-Off Date
(November 1, 2024).
The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of 15 to 30 years and a weighted-average
(WA) loan age of three months. Approximately 93.7% of the loans are
traditional, nonagency, prime jumbo mortgage loans. The remaining
6.3% of the loans are conforming mortgage loans that were
underwritten using an automated underwriting system (AUS)
designated by Fannie Mae or Freddie Mac and were eligible for
purchase by such agencies. Details on the underwriting of
conforming loans can be found in the Key Probability of Default
Drivers section. In addition, all of the loans in the pool were
originated in accordance with the new general Qualified Mortgage
(QM) rule.
United Wholesale Mortgage, LLC (UWM) originated 67.0% of the pool
and PennyMac Loan Services, LLC originated 15.4%. Various other
originators, each comprising less than 15%, originated the
remainder of the loans. The mortgage loans will be serviced or
subserviced, as applicable, by United wholesale Mortgage (67.0%)
and PennyMac (15.4%). For the JPMorgan Chase Bank, N.A.
(JPMCB)-serviced loans, Shellpoint will act as interim servicer
until the loans transfer to JPMCB on the servicing transfer date
(March 1, 2025).
For certain Servicers in this transaction, the servicing fee
payable for mortgage loans is composed of three separate
components: the base servicing fee, the delinquent servicing fee,
and the additional servicing fee. These fees vary based on the
delinquency status of the related loan and will be paid from
interest collections before distribution to the securities.
Nationstar Mortgage LLC (Nationstar) will act as the Master
Servicer. Citibank, N.A. (Citibank; rated AA (low) with a Stable
trend by Morningstar DBRS) will act as Securities Administrator and
Delaware Trustee. Computershare Trust Company, N.A. (Computershare)
will act as Custodian. Pentalpha Surveillance LLC (Pentalpha) will
serve as the Representations and Warranties (R&W) Reviewer.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that incorporates performance triggers and
credit enhancement floors.
Notes: All figures are in US dollars unless otherwise noted.
JP MORGAN 2024-1: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B-5 Certs
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to JP Morgan Seasoned
Mortgage Trust 2024-1 (JPSMT 2024-1).
Entity/Debt Rating
----------- ------
JPSMT 2024-1
A-2 LT AA+(EXP)sf Expected Rating
A-2-A LT AA+(EXP)sf Expected Rating
A-2-X LT AA+(EXP)sf Expected Rating
A-3 LT AAA(EXP)sf Expected Rating
A-3-A LT AAA(EXP)sf Expected Rating
A-3-X LT AAA(EXP)sf Expected Rating
A-4 LT AAA(EXP)sf Expected Rating
A-4-A LT AAA(EXP)sf Expected Rating
A-4-X LT AAA(EXP)sf Expected Rating
A-5 LT AAA(EXP)sf Expected Rating
A-5-A LT AAA(EXP)sf Expected Rating
A-5-X LT AAA(EXP)sf Expected Rating
A-6 LT AAA(EXP)sf Expected Rating
A-6-A LT AAA(EXP)sf Expected Rating
A-6-X LT AAA(EXP)sf Expected Rating
A-7 LT AAA(EXP)sf Expected Rating
A-7-A LT AAA(EXP)sf Expected Rating
A-7-X LT AAA(EXP)sf Expected Rating
A-8 LT AAA(EXP)sf Expected Rating
A-8-A LT AAA(EXP)sf Expected Rating
A-8-X LT AAA(EXP)sf Expected Rating
A-9 LT AA+(EXP)sf Expected Rating
A-9-A LT AA+(EXP)sf Expected Rating
A-9-X LT AA+(EXP)sf Expected Rating
A-X-1 LT AA+(EXP)sf Expected Rating
A-X-2 LT AAA(EXP)sf Expected Rating
B-1 LT AA-(EXP)sf Expected Rating
B-2 LT A-(EXP)sf Expected Rating
B-3 LT BBB-(EXP)sf Expected Rating
B-4 LT BB-(EXP)sf Expected Rating
B-5 LT B-(EXP)sf Expected Rating
B-6 LT NR(EXP)sf Expected Rating
FB LT NR(EXP)sf Expected Rating
Transaction Summary
Fitch expects to rate the residential mortgage-backed certificates
to be issued by J.P. Morgan Seasoned Mortgage Trust 2024-1 (JPSMT
2024-1) as indicated above. The transaction is expected to close on
Dec. 20, 2024.
The certificates are supported by one collateral group that
consists of 394 seasoned performing loans (SPLs) with a total
balance of approximately $321.08 million, which includes $355,000,
or 2.8%, of the aggregate pool balance in non-interest-bearing
deferred principal amounts as of the statistical calculation date,
per transaction documents.
The main originators in the transaction are Banc of California, NA
and First Republic Bank, with all other originators making up less
than 10% of the pool. Of the loans in the transaction, 100% are
seasoned 24 months or more. For seasoned loans, Fitch's analysis
puts less emphasis on the originator and the origination process.
NewRez, rated 'RPS2' by Fitch, will service 70.0% of the loans;
Chase, rated 'RPS1-', will service 28.4% of the loans. United
Wholesale Mortgage LLC (not assessed by Fitch) will service the
remaining 1.6% of the loans.
Distributions of principal and interest (P&I) and loss allocations
are based on a traditional senior-subordinate, shifting interest
structure whereby the subordinate classes receive only scheduled
principal and are locked out from receiving unscheduled principal
or prepayments for five years. The servicers will provide full
advancing until deemed non-recoverable for the life of the
transaction.
The collateral is 65.0% fixed rate and 35.0% ARM loans. The
certificates are fixed rate and capped at the net weighted average
coupon (WAC) or based on the net WAC or they are floating rate or
inverse floating rate based off the SOFR index and capped at the
net WAC.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Fitch views the home
price values of this pool as 9.9% above a long-term sustainable
level, compared to 11.6% on a national level as of 2Q24. This is up
0.1% since last quarter, based on Fitch's updated view on
sustainable home prices. Housing affordability is the worst it has
been in decades driven by both high interest rates and elevated
home prices. Home prices have increased 4.3% yoy nationally as of
August 2024 despite modest regional declines, but are still being
supported by limited inventory.
Seasoned Performing Credit Quality (Mixed): The collateral consists
of 394 seasoned, performing fully amortizing and interest only
fixed-rate and adjustable-rate mortgage loans secured by first
liens on primarily one- to four-family residential properties,
planned unit developments (PUDs), two-to-four family homes,
condominiums, townhouses, and cooperatives, totaling $321.08
million, which includes $355,000 of non-interest-bearing deferred
principal amounts. The loans have maturities of up to 40 years.
The loans are seasoned approximately 71 months in aggregate,
according to Fitch (69 months per the transaction documents). The
loans were originated mainly by Banc of California, NA. (54.0%) and
First Republic Bank (17.3%) with all other originators making up
less than 10% of the loan pool. The loans are being serviced by
NewRez (70.0%), Chase (28.4%) and United Wholesale Mortgage, LLC
(1.6%).
The borrower profile is typical of recent seasoned prime
transactions Fitch has seen. The borrowers have a moderate credit
profile (756 FICO, according to Fitch, and 757 per the transaction
documents) and low current leverage. The borrower profile also
includes a current combined LTV of 48.4% per the transaction
documents, an original CLTV of 66.3% as determined by Fitch, and a
sustainable LTV (sLTV) as determined by Fitch of 55.2%. The
borrowers have a WA debt-to-income ratio (DTI) of 33.6%.
Of the pool, 1.9% of the loans have been modified. As of the cutoff
date, the pool is 100% current. Specifically, 91.0% of the loans
have had clean payment histories for the past two years. The pool
consists of 81.8% of loans where the borrower maintains a primary
residence, while 18.2% are investment properties or second homes.
Fitch viewed the high percentage of primary residences as a
positive feature in its analysis.
Geographic Concentration (Negative): Approximately 62.4% of the
pool is concentrated in California. The largest MSA concentrations
are in the Los Angeles MSA (33.3%), the San Francisco MSA (12.0%)
and New York MSA (9.3%). The top three MSAs account for 54.7% of
the pool. As a result, there was a 1.14x probability of default
(PD) penalty for geographic concentration, which increased the
'AAAsf' loss by 0.74%.
Loan Count Concentration (Negative): The loan count for this pool
(394 loans) results in a loan count concentration penalty. The loan
count concentration penalty applies when the WA number (WAN) of
loans is less than 300; in this pool, the WAN is 172. The loan
count concentration for this pool results in a 1.23x penalty, which
increases loss expectations by 161 bps at the 'AAAsf' rating
category.
Shifting-Interest Structure with Full Advancing (Mixed): The
mortgage cash flow and loss allocation are based on a
senior-subordinate, shifting-interest structure, whereby the
subordinate classes receive only scheduled principal and are locked
out from receiving unscheduled principal or prepayments for five
years. The lockout feature helps to maintain subordination for a
longer period should losses occur later in the life of the
transaction. The applicable credit support percentage feature
redirects subordinate principal to classes of higher seniority if
specified credit enhancement (CE) levels are not maintained.
The servicers will provide full advancing for the life of the
transaction; each servicer is expected to advance delinquent
principal and interest (P&I) on loans until deemed non-recoverable.
Although full P&I advancing will provide liquidity to the
certificates, it will also increase the loan-level loss severity
(LS) since the servicer looks to recoup P&I advances from
liquidation proceeds, which results in less recoveries.
Nationstar is the master servicer and will advance if the servicers
are unable to do so. If the master servicer is unable to advance,
then the securities administrator (Citibank) will advance.
CE Floor (Positive): A CE or senior subordination floor of 5.50%
has been considered to mitigate potential tail-end risk and loss
exposure for senior tranches as the pool size declines and
performance volatility increases due to adverse loan selection and
small loan count concentration. Additionally, a junior
subordination floor of 2.50% has been considered to mitigate
potential tail-end risk and loss exposure for subordinate tranches
as the pool size declines and performance volatility increases due
to adverse loan selection and small loan count concentration.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. Sensitivity analyses was conducted at the
state and national levels to assess the effect of higher MVDs for
the subject pool as well as lower MVDs, illustrated by a gain in
home prices.
This defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model-projected 41.4% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all of the rated classes.
Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated class excluding those being assigned
ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
CRITERIA VARIATION
One criteria variation was used in the analysis. The variation was
to Fitch's "U.S. RMBS Loan Loss Model Criteria." Fitch used lower
LS floors that start at 20% for the 'AAAsf' stress and end at 5% at
the base case, rather than starting at 30% for the 'AAAsf' stress
and ending at 10% in the base case in the analysis of this pool due
to the seasoning of the loans and the very low LTVs.
Using a 30% LS floor is overly punitive, since almost 37% of the
pool will liquidate without a loss under Fitch's analysis if no LS
floor is applied at the 'AAAsf' stress. Not applying this criteria
variation would result in a one-category differential in the
ratings. Fitch used a customized model for the analysis so the
lower LS floors could be used.
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. A third-party due diligence review was
performed on 65.5% of the loans in the final pool by AMC and Opus.
These loans had a credit, compliance, valuations, and data
integrity review completed by SitusAMC and Clayton, which are
assessed by Fitch as 'Acceptable' third-party review (TPR) firms.
100% of the loans received a tax and title lien search by AMC. All
the loans are serviced by NewRez, Chase and United Wholesale
Mortgage; the servicers have stated that they follow standard
servicing practices to monitor lien status, tax and title issue and
advances as needed to maintain the current lien status of the
loans. As a result, no adjustments were made to the expected losses
to account for any tax and lien search findings.
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review
performed on 65.5% of the loans in the final pool. The third-party
due diligence was generally consistent with Fitch's "U.S. RMBS
Rating Criteria." SitusAMC and Opus were engaged to perform the
review.
Loans reviewed under this engagement were given compliance, credit
and valuation grades and assigned initial grades for each
subcategory. Additionally, 100% of the loans received a tax and
title lien search by AMC. Minimal exceptions and waivers were noted
in the due diligence reports. Refer to the "Third-Party Due
Diligence" section for more detail.
Fitch also utilized data files provided by the issuer on its SEC
Rule 17g-5 designated website. Fitch received loan level
information based on the ResiPLS data layout format, and the data
provided was considered comprehensive. The data contained in the
ResiPLS layout data tape were reviewed by the due diligence
companies, and no material discrepancies were noted.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
JPMBB COMMERCIAL 2014-C25: Moody's Cuts Rating on Cl. C Certs to B2
-------------------------------------------------------------------
Moody's Rating has affirmed the ratings on three classes and
downgraded the ratings on four classes in JPMBB Commercial Mortgage
Securities Trust 2014-C25, Commercial Mortgage Pass-Through
Certificates, Series 2014-C25 as follows:
Cl. A-5, Affirmed Aaa (sf); previously on Nov 11, 2020 Affirmed Aaa
(sf)
Cl. A-S, Affirmed Aa1 (sf); previously on Nov 11, 2020 Affirmed Aa1
(sf)
Cl. B, Downgraded to Baa1 (sf); previously on Apr 23, 2021
Downgraded to A2 (sf)
Cl. C, Downgraded to B2 (sf); previously on Apr 23, 2021 Downgraded
to Ba3 (sf)
Cl. EC, Downgraded to Ba2 (sf); previously on Apr 23, 2021
Downgraded to Baa3 (sf)
Cl. X-A*, Affirmed Aa1 (sf); previously on Nov 11, 2020 Affirmed
Aa1 (sf)
Cl. X-B*, Downgraded to Baa1 (sf); previously on Apr 23, 2021
Downgraded to A2 (sf)
* Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings on two P&I classes, Cl. A-5 and Cl. A-S, were affirmed
due to the transaction's key metrics, including Moody's
loan-to-value (LTV) ratio and Moody's stressed debt service
coverage ratio (DSCR). These classes will benefit from payment
priority from any principal proceeds from any loan payoffs or
resolutions.
The ratings on two P&I classes, Cl B and Cl. C, were downgraded due
to increased risk of losses and interest shortfalls driven
primarily by the significant exposure to specially serviced and
troubled loans (91% of the pool balance). Eleven loans,
representing 78.5% of the pool are in special servicing, including
the CityPlace Loan (24% of the pool), which has passed its original
maturity date in October 2024. Furthermore, the largest performing
loan, Spectra Energy Headquarters (12.5% of the pool), has passed
its anticipated repayment date (ARD) in October 2024 and all excess
cash flow will now be applied to principal for the remaining term
of the loan. Nearly all of the loans have now passed their original
maturity date or anticipated repayment date ("ARD").
The ratings on one IO class, Cl. X-A, was affirmed based on the
credit quality of its referenced classes.
The ratings on one IO class, Cl. X-B, was downgraded due to the
decline in the credit quality of its referenced class.
The ratings on one exchangeable class, Cl. EC, was downgraded due
to the decline in the credit quality of its referenced exchangeable
classes. Cl. EC references classes Cl. A-S, Cl. B and Cl. C.
Moody's rating action reflects a base expected loss of 34.2% of the
current pooled balance. Moody's base expected loss plus realized
losses is now 13.2% of the original pooled balance.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or a significant improvement in
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 or troubled loans or
interest shortfalls.
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 78.5% of the pool is in
special servicing, and Moody's identified an additional troubled
loan representing 12.5% of the pool. In this approach, Moody's
determine a probability of default for each specially serviced loan
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 to the most junior classes and
the recovery as a pay down of principal to the most senior
classes.
DEAL PERFORMANCE
As of the November 2024 distribution date, the transaction's
aggregate certificate balance has decreased by 65.0% to $414.8
million from $1.18 billion at securitization. The certificates are
collateralized by 17 mortgage loans ranging in size from less than
1% to 24.0% of the pool, with the top ten loans (excluding
defeasance) constituting 87.8% of the pool. One loan, constituting
2.8% of the pool, has defeased and is secured by US government
securities. Eleven loans, representing 78.5% of the pool are in
special servicing.
As of the November 2024 remittance report, nine loans, representing
58.6% of the pool are classified as non-performing maturity
default, two loans representing 11.5% of the pool are classified as
real estate owned (REO), and two loans representing 10.7% of the
pool are in foreclosure.
Four loans have been liquidated from the pool, resulting in an
aggregate realized loss of $14.2 million (for an average loss
severity of 77%). Eleven loans, representing 78.5% of the pool, are
currently in special servicing.
The largest specially serviced loan is the CityPlace Loan ($99.4
million – 24.0% of the pool), which is secured by five adjacent
office buildings and one mixed-use office building located in Creve
Coeur, Missouri. Creve Coeur is located approximately seventeen
miles west of the St. Louis central business district. The
collateral is part of a larger 31-acre campus, which includes 1.2
million square feet (SF) of office space, retail, and residential
buildings. The loan transferred to special servicing in July 2024
due to imminent maturity default. The borrower was not able to pay
off the loan at its October 2024 maturity date. The borrower and
the servicer are in workout discussions and the cash management has
been implemented. Tenants constituting approximately 50% of the NRA
have a lease expiration over the next three years. As of March
2024, the property was 86% occupied compared to 87% in December
2022 and 94% in December 2019. As of March 2024, the reported NOI
DSCR was 1.59X based on amortizing payments and a fixed interest
rate of 4.5%, compared to year-end 2022 NOI DSCR of 1.60X. As of
the November 2024 remittance, the loan has amortized 8.7% since
securitization and is last paid through the October 2024 payment
date.
The second specially serviced loan is the Mall at Barnes Crossing
and Market Center Tupelo Loan ($58.1 million – 14.0% of the
pool), which is secured by a 569,430 SF collateral portion of a
670,384 SF single-story regional mall and a 60,327 SF adjacent
strip center located in Tupelo, Mississippi. The anchors include a
Belk (non-collateral), Belk Home Store, and JC Penney. A former
Sears space (78,600 SF) is now vacant. Other major tenants include
a Dick's Sporting Goods (lease expiration in January 2025). Barnes
& Noble (lease expiration in January 2025) and Cinemark Theater
(lease expiration in January 2029). As of March 2024, the reported
NOI DSCR was 1.33X with 81% occupancy, compared to 1.61X and 79% as
of December 2022, and compared to 1.89X and 95% at securitization,
respectively. The property is generating sufficient cash flow to
cover debt service, however, the property has significant lease
rollover risk with approximately 80% of NRA expiring within the
next three years. The loan transferred to special servicing in
September 2024 due to non-monetary default ahead of its October
2024 maturity date. As of the November 2024 remittance, the loan
has amortized 13.3% since securitization and is last paid through
its September 2024 payment date.
The third largest specially serviced loan is the Hilton Houston
Post Oak Loan ($39.3 million – 9.5% of the pool), which
represents a pari passu portion of a $69.9 million mortgage loan.
The loan is secured by 448 key full-service hotel located in
Houston, Texas, near the Houston Galleria shopping area. The loan
transferred to special servicing in May 2020 for monetary default.
The borrower filed for bankruptcy in late 2021 and the loan
eventually went into foreclosure, becoming REO in September 2022.
Performance was significantly impacted by the pandemic, however the
recent performance shows slight improvement and as of December
2023, the reported NOI DSCR was 1.81X, compared to 0.56X in 2021
and 0.06X in 2020. As of the November 2024 remittance, the loan was
last paid through January 2024 payment. The most recent appraisal
from February 2024 valued the property 45% lower than the value at
securitization, and the master servicer has recognized an appraisal
reduction of $7.9 million.
The fourth specially serviced loan is the Southport Plaza ($25.0
million – 6.0% of the pool), which is secured by a Class B Office
/ Flex property located in Staten Island, New York. The property
contains 127,522 SF of office space and 64,558 SF of
industrial/flex space. The loan transferred to special servicing in
June 2020 for monetary default as a result of the Covid-19
pandemic. The loan was previously modified, but the borrower was
not able to pay off the loan at its maturity date in October 2024.
The servicer is evaluating an extension proposal from borrower. As
of the November 2024 remittance, the loan was last paid through
September 2024 payment date. The most recent appraisal from May
2024 valued the property 35% lower than the value at
securitization.
The fifth specially serviced loan is the American Center Loan
($24.9 million – 6.0% of the pool), which is secured by a 508,000
SF office property located in Southfield, Michigan. The loan
transferred to special servicing in November 2024 due to imminent
maturity default ahead of its November 2024 maturity date. The
property is generating sufficient cash flow to cover debt service,
however, the property has single tenant (45% of NRA) concentration
risk with a lease expiration in 2026. As of the November 2024
remittance, the loan has amortization approximately 13.8% since
securitization and was last paid through its October 2024 payment
date.
The remaining six specially serviced loans are secured by four
office properties and one retail and one hotel property, of which
four loans have experienced significant performance decline since
securitization.
Moody's have also assumed a high default probability for the third
largest loan in the pool, constituting 12.5% of the pool and have
estimated an aggregate loss of $142 million (a 38% expected loss on
average) from these specially serviced and troubled loans. The
troubled loan is the Spectra Energy Headquarters loan ($52.0
million – 12.5% of the pool), which is secured by a by a 614,000
SF, Class-B+ office building located within the West Loop submarket
of Houston, Texas. The property is 100% occupied by Spectra Energy
Corporation with a lease expiration in April 2026. The loan did not
pay off on its ARD in October 2024 and all excess cash flow will
now be applied to principal for the remaining term of the loan. The
loan is performing at a NOI DSCR of 2.14X, as June 2024. However,
due to the lagging performance of the Houston office market, the
loan may face heightened refinance risk at its final maturity in
October 2027.
As of the November 2024 remittance statement cumulative interest
shortfalls were $5.3 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.
JW TRUST 2024-BERY: DBRS Finalizes BB Rating on Class F Certs
-------------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings on the
following classes of Commercial Mortgage Pass-Through Certificates,
Series 2024-BERY (the Certificates) issued by JW Trust 2024-BERY:
-- Class A at AAA (sf)
-- Class B at AA (sf)
-- Class C at AA (low) (sf)
-- Class D at A (low) (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
-- Class HRR at BB (low) (sf)
All trends are Stable.
The JW 2024-BERY transaction is secured by the fee-simple interest
in the JW Marriott Turnberry Resort, a 685-key, full-service resort
and the private, members-only Turnberry Isle Country Club. The
270-acre resort is opportunely situated in Aventura, between Miami
and Fort Lauderdale, Florida, on the eastern side of the Florida
coast. The resort provides a host of amenities for club members,
hotel guests, and non-members alike, which Morningstar DBRS views
positively, in addition to its strong historical performance,
property quality, and experienced and dedicated sponsor.
The borrower sponsor for this transaction will be Fontainebleau
Developments, a real estate development and hospitality group with
a portfolio based on the premise of designing, owning, marketing,
and operating its assets throughout the entire development of each
project. The portfolio of hospitality assets includes the
Fontainebleau Miami Beach, Hilton Nashville Downtown, and the
Fontainebleau Las Vegas. Fontainebleau Developments is led by
Jeffrey Soffer, the loan guarantor, who is the chairman and chief
executive officer, and has been at the firm for 25 years, helping
to expand the company from a regional leader to a nationally
recognized organization. The resort is a Marriott Flag and is
managed by Fontainebleau Development LLC.
Following the two recent renovations at the property, occupancy has
seen a strong recovery with the occupancy rate for the T-12 ended
July 31, 2024, at 79.5%. During renovations in 2019, the property
achieved an occupancy rate of 57.6%, ADR of $283.86, and RevPAR of
$180.87. Occupancy dipped in 2020 following the pandemic but
recovered in 2022 amid further renovations. The resort achieved an
occupancy rate of 67.9%, ADR of $358.98, and RevPAR of $243.81 in
2022 and has since seen continued growth through July 2024. For the
T-12 ended July 31, 2024, the occupancy rate was 79.5% with an ADR
of $329.80 and a RevPAR of $262.29, displaying adequate recovery
after both the pandemic and the property renovations.
Notes: All figures are in U.S. dollars unless otherwise noted.
KKR CLO 21: Moody's Lowers Rating on $12MM Class F Notes to Caa1
----------------------------------------------------------------
Moody's Ratings has taken a variety of rating actions on the
following notes issued by KKR CLO 21 Ltd.:
US$63M Class B Senior Secured Floating Rate Notes, Upgraded to Aaa
(sf); previously on Mar 27, 2023 Upgraded to Aa1 (sf)
US$32.4M Class C Senior Secured Deferrable Floating Rate Notes,
Upgraded to Aa1 (sf); previously on Mar 27, 2023 Upgraded to A1
(sf)
US$38.1M Class D Senior Secured Deferrable Floating Rate Notes,
Upgraded to Baa1 (sf); previously on Apr 11, 2018 Assigned Baa3
(sf)
US$12M Class F Senior Secured Deferrable Floating Rate Notes,
Downgraded to Caa1 (sf); previously on Apr 11, 2018 Assigned B3
(sf)
Moody's have also affirmed the ratings on the following notes:
US$390M (Current outstanding amount US$244,202,654) Class A Senior
Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Apr
11, 2018 Assigned Aaa (sf)
US$28.5M Class E Senior Secured Deferrable Floating Rate Notes,
Affirmed Ba3 (sf); previously on Apr 11, 2018 Assigned Ba3 (sf)
KKR CLO 21 Ltd., originally 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 portfolio
is managed by KKR Financial Advisors II, LLC. The transaction's
reinvestment period ended in April 2023.
RATINGS RATIONALE
The rating upgrades on the Class B, Class C and Class D notes are
primarily a result of the deleveraging of the senior notes
following amortisation of the underlying portfolio over the last 12
months. The Class A notes have paid down by approximately USD 126.7
million (32.5% of original balance) over the last 12 months and EUR
145.8 million (37.4%) since closing. As a result of the
deleveraging, over-collateralisation (OC) has increased for Class
A/B, Class C and Class D. According to the trustee report dated
October 2024 [1] the Class A, Class B and Class C OC ratios are
reported at 140.79%, 127.36% and 114.51%, compared to October 2023
[2] levels of 131.39%, 122.26% and 113.02%, respectively.
The downgrade rating action on the Class F notes reflects the
specific risks to the junior notes posed by credit deterioration in
the underlying CLO portfolio over the last 12 months. The credit
quality has deteriorated as reflected in the deterioration in the
average credit rating of the portfolio (measured by the weighted
average rating factor, or WARF) and in the proportion of securities
from issuers with ratings of Caa1 or lower. According to the
trustee report dated October 2023 [2], the WARF was 3064, compared
with 3314 in October 2024 [1]. Securities with ratings of Caa1 or
lower currently make up approximately 11.3% of the underlying
portfolio, as per the October 2024 report [1], versus 8.2% in
October 2023 [2].
The affirmations on the ratings on the Class A and Class E notes
are primarily a result of the expected losses on the notes
remaining consistent with their current rating levels, after taking
into account the CLO's latest portfolio, its relevant structural
features and its actual over-collateralisation ratios.
Key model inputs:
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 its 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 440.1m
Defaulted Securities: USD 4.6m
Diversity Score: 61
Weighted Average Rating Factor (WARF): 3168
Weighted Average Life (WAL): 3.76 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.58%
Weighted Average Recovery Rate (WARR): 46.57%
Par haircut in OC tests and interest diversion test: 2.16%
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 its 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" published in
October 2024. 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
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
LAKE SHORE V: S&P Assigns BB- (sf) Rating on Class C-R Notes
------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class X-R notes, A-1R loans, A-2R loans, B-R notes, and
C-R notes from Lake Shore MM CLO V LLC, a CLO originally issued in
November 2022 that is managed by First Eagle Alternative Credit
LLC.
The preliminary ratings are based on information as of Dec. 11,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Dec. 12, 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 Dec. 12, 2026.
-- The reinvestment period will be extended to Dec. 12, 2028.
-- The legal final maturity dates (for the replacement debt and
the existing variable dividend notes) will be extended to Jan. 15,
2037.
-- The turbo feature of the original class C debt was removed.
-- The class X-R notes are expected to be issued in connection
with this refinancing. These notes are expected to be paid down
using interest proceeds in 15 payment dates beginning with the
payment date in April 2025.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
Lake Shore MM CLO V LLC
Class X-R, $22.60 million: AAA (sf)
Class A-1R loans, $270.00 million: A (sf)
Class A-2R loans, $30.00 million: A (sf)
Class B-R (deferrable), $28.00 million: BBB- (sf)
Class C-R (deferrable), $24.00 million: BB- (sf)
Other Debt
Lake Shore MM CLO V LLC
Variable dividend notes, $50.00 million: Not rated
LCM 42 LTD: Fitch Assigns 'BB+(EXP)sf' Rating on Class E Notes
--------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
LCM 42 Ltd.
Entity/Debt Rating
----------- ------
LCM 42 Ltd.
A-1 LT NR(EXP)sf Expected Rating
A-2 LT AAA(EXP)sf Expected Rating
B LT AA+(EXP)sf Expected Rating
C LT A+(EXP)sf Expected Rating
D-1 LT BBB+(EXP)sf Expected Rating
D-2 LT BBB-(EXP)sf Expected Rating
E LT BB+(EXP)sf Expected Rating
F LT NR(EXP)sf Expected Rating
Subordinated Notes LT NR(EXP)sf Expected Rating
Transaction Summary
LCM 42 Ltd. (the issuer) is an arbitrage cash flow collateralized
loan obligation (CLO) that will be managed by LCM Asset Management
LLC. Net proceeds from the issuance of the secured and subordinated
notes will provide financing on a portfolio of approximately $300
million of primarily first-lien senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard CLO structural
features.
Asset Security (Positive): The indicative portfolio consists of
100% first-lien senior secured loans and has a weighted average
recovery assumption of 77.19%. 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 43.5% 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 required by industry,
obligor and geographic concentrations is in line with that of 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 the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio is 12 months less
than the WAL covenant to account for structural and reinvestment
conditions after the reinvestment period. In Fitch's opinion, these
conditions would reduce the effective risk horizon of the portfolio
during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2, between
'BB+sf' and 'AA-sf' for class B, between 'B+sf' and 'A-sf' for
class C, between less than 'B-sf' and 'BBBsf' for class D-1,
between less than 'B-sf' and 'BB+sf' for class D-2, and between
less than 'B-sf' and 'BBsf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2 notes as
these notes are in the highest rating category of 'AAAsf'.
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, 'A+sf' for class D-2, and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for LCM 42 Ltd. In
cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, programme,
instrument or issuer, Fitch will disclose in the key rating drivers
any ESG factor which has a significant impact on the rating on an
individual basis.
MADISON PARK XVII: Fitch Assigns 'BBsf' Rating on Cl. E-2-R2 Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Madison
Park Funding XVII, Ltd. reset transaction.
Entity/Debt Rating
----------- ------
Madison Park
Funding XVII, Ltd.
A-R-3 LT AAAsf New Rating
B-1-R2 LT AAsf New Rating
B-2-R2 LT AAsf New Rating
C-R-3 LT Asf New Rating
D-1-R2 LT BBB+sf New Rating
D-2-R2 LT BBB-sf New Rating
E-2-R2 LT BBsf New Rating
F-2-R2 LT NRsf New Rating
Subordinated LT NRsf New Rating
X LT NRsf New Rating
Transaction Summary
Madison Park Funding XVII, Ltd. (the issuer) is an arbitrage cash
flow collateralized loan obligation (CLO) managed by UBS Asset
Management (Americas), Inc. that originally closed in May 2015 and
refinanced in 2017 and in 2021. The CLO's secured notes will be
refinanced on Dec. 6, 2024 from proceeds of the new secured notes.
Net proceeds from the issuance of the secured and subordinated
notes will provide financing on a portfolio of approximately $448
million (excluding defaults) of primarily first-lien senior secured
leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B'/'B-', which is in line with that of
recent CLOs. Issuers rated in the 'B' rating category denote a
highly speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard CLO structural
features.
Asset Security (Positive): The indicative portfolio consists of
97.21% first-lien senior secured loans and has a weighted average
recovery assumption of 74.34%. 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 41% 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 4.9-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio 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, between 'BB+sf'
and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C,
between less than 'B-sf' and 'BB+sf' for class D-1, between less
than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf'
and 'B+sf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A 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, 'A+sf' for class D-2, and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Madison Park
Funding 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.
MADISON PARK XVII: Moody's Gives B3 Rating to $250,000 F-R-2 Notes
------------------------------------------------------------------
Moody's Ratings has assigned ratings to three classes of CLO
refinancing notes (the Refinancing Notes) issued by Madison Park
Funding XVII, Ltd. (the Issuer):
US$3,000,000 Class X Floating Rate Senior Notes due 2037, Assigned
Aaa (sf)
US$288,000,000 Class A-R-3 Floating Rate Senior Notes due 2037,
Assigned Aaa (sf)
US$250,000 Class F-R-2 Deferrable Floating Rate Junior Notes due
2037, Assigned B3 (sf)
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least
90.0% of the portfolio must consist of first lien senior secured
loans and up to 10.0% of the portfolio may consist of not senior
secured loans.
UBS Asset Management (Americas) LLC (the Manager) will continue to
direct the selection, acquisition and disposition of the assets on
behalf of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's reinstated 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 six 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: reinstatement and
extension of the reinvestment period; extensions of the stated
maturity and non-call period; changes to certain collateral quality
tests; 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: $450,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 3040
Weighted Average Spread (WAS): 3.40%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 46.00%
Weighted Average Life (WAL): 8.0 years
Methodology Underlying the Rating Action
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2024.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.
MFA 2024-NQM3: Fitch Assigns 'B-(EXP)sf' Rating on Class B2 Certs
-----------------------------------------------------------------
Fitch Ratings has assigned expected ratings to MFA 2024-NQM3
Trust.
Entity/Debt Rating
----------- ------
MFA 2024-NQM3
A1 LT AAA(EXP)sf Expected Rating
A2 LT AA(EXP)sf Expected Rating
A3 LT A(EXP)sf Expected Rating
M1 LT BBB-(EXP)sf Expected Rating
B1 LT BB-(EXP)sf Expected Rating
B2 LT B-(EXP)sf Expected Rating
B3 LT NR(EXP)sf Expected Rating
AIOS LT NR(EXP)sf Expected Rating
XS 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 MFA 2024-NQM3 Trust (MFA 2024-NQM3) as indicated
above. The certificates are supported by 651 nonprime loans with a
total balance of approximately $380.1 million as of the cutoff
date.
Loans in the pool were originated by multiple originators,
including Citadel Servicing Corporation dba Acra Lending,
Excelerate Capital and FundLoans Capital, Inc. Loans were
aggregated by MFA Financial, Inc. (MFA). Loans are currently
serviced by Planet Home Lending and Citadel Servicing Corporation,
with all Citadel loans subserviced by ServiceMac LLC.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Fitch has updated its
view on sustainable home prices and, as a result, it views the home
price values of this pool as 9.9% above a long-term sustainable
level (versus 11.6% on a national level as of 2Q24, up 0.1% qoq).
Housing affordability is at its worst levels in decades due to both
high interest rates and elevated home prices. Home prices had
increased 4.3% yoy nationally as of August 2024, despite modest
regional declines, and are still being supported by limited
inventory.
Nonqualified Mortgage Credit Quality (Negative): The collateral
consists of 651 loans totaling $380.1 million and seasoned at
approximately six months in aggregate, as calculated by Fitch. The
borrowers have a moderate credit profile consisting of a 729 Fitch
model FICO and moderate leverage with a 74.4% sustainable
loan-to-value ratio (sLTV).
The pool is 60.5% comprised of loans for homes in which the
borrower maintains as a primary residence, while 39.5% comprises
investor properties or second homes, as calculated by Fitch.
Additionally, 64.8% are nonqualified mortgages (non-QM), while the
QM rule does not apply to the remainder. This pool consists of a
variety of weaker borrowers and collateral types, including second
liens, foreign nationals and nonstandard property types.
Fitch's expected loss in the 'AAAsf' stress is 23.25%. This is
mainly driven by the non-QM collateral and the significant investor
cash flow product concentration.
Loan Documentation (Negative): Approximately 91.2% of loans in the
pool were underwritten to less than full documentation and 48.7%
were underwritten to a bank statement program for verifying income.
A key distinction between this pool and legacy Alt-A loans is that
these loans adhere to underwriting and documentation standards
required under the Consumer Financial Protections Bureau's (CFPB)
Ability-to-Repay Rule (ATR Rule).
This reduces the risk of borrower default arising from lack of
affordability, misrepresentation or other operational quality risks
due to the rigor of the Rule's mandates with respect to the
underwriting and documentation of a borrower's ATR.
Its treatment of alternative loan documentation increased 'AAAsf'
expected losses by approximately 1,000 bps, compared with a
transaction of 100% fully documented loans.
High Percentage of Debt Service Coverage Ratio Loans (Negative):
There are 275 debt service coverage ratio (DSCR) products in the
pool (42.2% by loan count). These business purpose loans are
available to real estate investors that are qualified on a cash
flow basis, rather than debt to income (DTI), and borrower income
and employment are not verified.
Compared with standard investment properties for DSCR loans, Fitch
converts the DSCR values to DTI and treats them as low
documentation. Its treatment for DSCR loans results in a higher
Fitch-reported nonzero DTI. Further, no-ratio loans are treated as
100% DTI. Its expected loss for DSCR loans is 36.3% in the 'AAAsf'
stress.
Modified Sequential Payment Structure with No Advancing (Mixed):
The structure differs slightly from that of the previous MFA
2024-NQM2 transaction. The B-1 class, which was split into two
classes, B-1A and B-1B, has reverted to just a B-1 class,
consistent with MFA 2024-NQM1 and prior Fitch-rated transactions.
There have been no additional changes to the principal waterfall or
priority of payments.
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 or delinquency 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 not be
made on the mortgage loans. The lack of advancing reduces loss
severities, as a lower amount is repaid to the servicer when a loan
liquidates and liquidation proceeds are prioritized to cover
principal repayment over accrued but unpaid interest. The downside
to this is the additional stress on the structure, as there is
limited liquidity in the event of large and extended
delinquencies.
MFA 2024-NQM3 has a step-up coupon for the senior classes (A-1, A-2
and A-3). After four years, the senior classes pay the lesser of a
100 bps increase to the fixed coupon or the net weighted average
coupon (WAC) 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 41.4% 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
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 Canopy, Clayton, Consolidated Analytics, Evolve,
Infinity, Maxwell and Stonehill. 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 at the loan level for each loan where
satisfactory due diligence was completed. This adjustment resulted
in 47bps reduction to 'AAAsf' losses.
ESG Considerations
MFA 2024-NQM3 has an ESG Relevance Score of '4' for Transaction
Parties & Operational Risk due to elevated Operational Risk, which
has a negative impact on the credit profile, and is relevant to the
rating[s] in conjunction with other factors.
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
MIDOCEAN CLO XVII: Fitch Assigns 'BB-sf' Rating on Class E Notes
----------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to MidOcean
CLO XVII, Ltd.
Entity/Debt Rating
----------- ------
MidOcean CLO XVII, Ltd.
A-1 LT NRsf New Rating
A-2 LT AAAsf New Rating
B LT AAsf New Rating
C LT Asf New Rating
D-1 LT BBBsf New Rating
D-2 LT BBB-sf New Rating
E LT BB-sf New Rating
Subordinated Notes LT NRsf New Rating
Transaction Summary
MidOcean CLO XVII, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
MidOcean Credit RR Manager LLC. Net proceeds from the issuance of
the secured and subordinated notes will provide financing on a
portfolio of approximately $400 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 23.36, 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
94.8% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 73.94% versus a
minimum covenant, in accordance with the initial expected matrix
point of 72.7%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 40% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a 5.1-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 '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 'B+sf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2 notes as
these notes are in the highest rating category of 'AAAsf'.
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, 'A-sf' for class D-2, and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable
ESG Considerations
Fitch does not provide ESG relevance scores for MidOcean 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.
MORGAN STANLEY 2013-C12: Moody's Affirms B3 Rating on Cl. D Certs
-----------------------------------------------------------------
Moody's Ratings has affirmed the ratings on four classes and
downgraded the rating on one class in Morgan Stanley Bank of
America Merrill Lynch Trust 2013-C12, Commercial Mortgage
Pass-Through Certificates, Series 2013-C12 as follows:
Cl. C, Affirmed Baa2 (sf); previously on Feb 15, 2024 Affirmed Baa2
(sf)
Cl. D, Affirmed B3 (sf); previously on Feb 15, 2024 Affirmed B3
(sf)
Cl. E, Affirmed Caa2 (sf); previously on Feb 15, 2024 Affirmed Caa2
(sf)
Cl. F, Affirmed C (sf); previously on Feb 15, 2024 Affirmed C (sf)
Cl. PST, Downgraded to Baa2 (sf); previously on Feb 15, 2024
Downgraded to A3 (sf)
RATINGS RATIONALE
The ratings on two P&I classes, Cl. C and Cl. D, were affirmed
because of their credit support, Moody's expectations of principal
recovery from the remaining loans in the pool and the transaction's
key metrics, including Moody's loan-to-value (LTV) ratio and
Moody's stressed debt service coverage ratio (DSCR), being within
acceptable ranges. The ratings on two P&I classes, Cl. E and Cl. F,
were affirmed based on Moody's expected loss from the remaining
loans in the pool.
The rating on the exchangeable class, Cl. PST, was downgraded due
to the decline in the credit quality of its referenced exchangeable
classes resulting from paydowns of higher rated reference
exchangeable classes. Cl. PST originally referenced Cl. A-S, Cl. B
and Cl. C, however, Cl. A-S and Cl. B have paid off in full.
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 34.0% of the
current pooled balance, compared to 30.0% at Moody's last review.
Moody's base expected loss plus realized losses is now 5.4% of the
original pooled balance, compared to 6.2% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, an increase in realized and
expected losses from specially serviced and troubled loans or
interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Large Loan and
Single Asset/Single Borrower Commercial Mortgage-backed
Securitizations" published in July 2024.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 82% of the pool is in
special servicing. In this approach, Moody's determine a
probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then apply the aggregate loss
from specially serviced loans to the most junior classes and the
recovery as a pay down of principal to the most senior classes.
DEAL PERFORMANCE
As of the November 18, 2024 distribution date, the transaction's
aggregate certificate balance has decreased by 85% to $189.3
million from $1.28 billion at securitization. The certificates are
collateralized by seven mortgage loans ranging in size from 1.4% to
34% of the pool. One loan, constituting 1.4% of the pool, has
defeased and is secured by US government securities.
There have been no loans liquidated from the pool but a loss of
$5.1 million has been realized due to the previous recovery of
servicer advances. Five loans, constituting 81.7% of the pool, are
currently in special servicing.
The largest specially serviced loan is the 15 MetroTech Center Loan
($64.9 million -- 34.3% of the pool), which is secured by a
19-story, Class A office building containing approximately 650,000
square feet (SF) of net rentable area located in Brooklyn, New
York. The loan represents a pari passu portion of a $122.8 million
mortgage loan. It is one of seven Class A buildings situated within
the MetroTech Center. The property was built in 2003 and contains a
two-level below-grade parking garage offering 113 spaces. As of
September 2024, the property was 65% leased compared to 75% in July
2023, 65% in September 2020 and 98% in December 2019. The property
also faces significant lease rollover as the largest tenant (30% of
NRA) has a lease which expired in July 2024 and is currently in
holdover with lease renewal discussions underway. The loan
transferred to special servicing in July 2023 and remains current
on monthly debt service payments after passing its September 2023
maturity date. The loan is cash managed and benefits from
amortization, having paid down over 27% since securitization. The
special servicer plans to dual track a foreclosure, including the
acceleration of the loan and the appointment of a receiver, along
with a possible loan modification with the borrower. The borrower
did not close on an approved loan modification citing uncertainty
around certain lease renewals and next steps are being evaluated,
including the potential application of a portion of the loan's
reserves.
The second largest specially serviced loan is the Westfield
Countryside Loan ($48.2 million -- 25.5% of the pool), which
represents a pari passu portion of a $135.8 million mortgage loan.
The loan is secured by a 465,000 square foot (SF) component of an
approximately 1.26 million square foot (SF) super-regional mall
located in Clearwater, Florida approximately 20 miles west of
Tampa. The mall is anchored by Dillard's, Macy's and JC Penney, all
of which are non-collateral. A former Sears space (non-collateral)
was previously partially backfilled by a Whole Food's and Nordstrom
Rack. The largest collateral tenant includes a 12-screen Cobb
Theaters (lease expiration in December 2026). As of April 2024,
collateral and inline occupancy were both 82%, compared to 71% and
63%, respectively, in December 2023 and 93% and 88% in March 2020.
The property's NOI has generally declined since 2019, and the
property's 2023 NOI was 34% below securitization levels with an NOI
DSCR of 1.17X. The loan was originally sponsored by Westfield and
O'Connor Capital Partners, however, Westfield previously indicated
that they were no longer going to support the asset and cooperated
with a friendly foreclosure. All rents are currently being cash
trapped and JLL is the receiver and is currently managing the
property. The most recent appraisal value reported in October 2023
represented a 57% decline from its value at securitization and was
15% below the total outstanding loan amount. The loan has been in
special servicing since June 2020 and as of the November 2024
remittance statement was last paid through its June 2024 payment
date. A 28% appraisal reduction has been recognized (based on the
loan's outstanding balance) as of the November 2024 remittance
statement. Per the servicer's commentary, the property was listed
for sale and the special servicer is currently working with a
potential buyer to determine if they can get to acceptable terms to
close a sale after a prior offer was re-traded.
The third largest specially serviced loan is the Deer Springs Town
Center ($25.1 million -- 13.2% of the pool), which is secured by a
195,000 SF anchored retail center located in North Las Vegas,
Nevada. The loan became delinquent and transferred to special
servicing in October 2018 following the closure of the former
largest tenant, Toys R Us (65,705 SF, 34% of the NRA). A receiver
was appointed in July 2019. The special servicer indicated that
several lease renewals have been executed and approximately 28,000
SF of the former Toys R Us space has been leased to Burlington.
Occupancy has increased to 79% as of June 2024 from 64% in January
2020 but remains well below the 91% from securitization. The loan
has amortized 16.5% and is last paid through the October 2020
payment date. An appraisal reduction of 21% of the outstanding loan
amount has been recognized as of the November 2024 remittance
statement and the special servicer indicated a disposition is
planned by year-end 2024.
The remaining two specially serviced loans are secured by retail
properties which are already REO and comprise 8.8% of the pool.
Moody's estimate an aggregate $64.4 million loss for the specially
serviced loans (41.6% expected loss on average).
As of the November 2024 remittance statement cumulative interest
shortfalls were $4.3 million and impact up to Cl. C. 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 sole non-specially serviced, non-defeased loan is the 385 Fifth
Avenue Loan ($32.0 million -- 16.9% of the pool), which is secured
by a 102,219 SF, 16 story office property with ground flood retail
located in the Murray Hill neighborhood of New York City. The loan
previously transferred to special servicing in April 2023 for
imminent maturity default ahead of its June 2023 maturity date. The
special servicer and borrower subsequently executed a loan
modification in November 2023, extending the maturity date to June
2025 and the loan was returned to the master servicer in June 2024.
The property was 99% leased as of June 2024. Moody's LTV and
stressed DSCR are 122% and 0.81X, respectively, compared to 124%
and 0.80X at the last review.
MORGAN STANLEY 2018-H4: Fitch Lowers Rating on G-RR Certs to 'CCsf'
-------------------------------------------------------------------
Fitch Ratings has downgraded two and affirmed 11 classes of Morgan
Stanley Capital I Trust (MSC) commercial mortgage pass-through
certificates series 2018-H4, along with affirming the 2018-H4 III
Trust horizontal risk retention pass-through certificate (MOA
2020-H4 E). The Rating Outlooks on classes B, C, D, X-B and X-D
have been revised to Negative from Stable. The Outlook on class
E-RR remains Negative.
Entity/Debt Rating Prior
----------- ------ -----
MSC 2018-H4
A-2 61691RAB2 LT PIFsf Paid In Full AAAsf
A-S 61691RAH9 LT AAAsf Affirmed AAAsf
A-SB 61691RAC0 LT AAAsf Affirmed AAAsf
A3 61691RAD8 LT AAAsf Affirmed AAAsf
A4 61691RAE6 LT AAAsf Affirmed AAAsf
B 61691RAJ5 LT AA-sf Affirmed AA-sf
C 61691RAK2 LT A-sf Affirmed A-sf
D 61691RAL0 LT BBB-sf Affirmed BBB-sf
E-RR 61691RAN6 LT BBsf Affirmed BBsf
F-RR 61691RAQ9 LT CCCsf Downgrade B-sf
G-RR 61691RAS5 LT CCsf Downgrade CCCsf
X-D 61691RBA3 LT BBB-sf Affirmed BBB-sf
XA 61691RAF3 LT AAAsf Affirmed AAAsf
XB 61691RAG1 LT AA-sf Affirmed AA-sf
MOA 2020-H4 E
E-RR 90216VAA0 LT BBsf Affirmed BBsf
KEY RATING DRIVERS
Performance and 'Bsf' Loss Expectations: Deal-level 'Bsf' rating
case losses have increased to 6.4% from 5.4% at Fitch's prior
rating action. 12 loans were flagged as Fitch Loans of Concern
(FLOCs; 24.6% of the pool), including two loans (9.5%) in special
servicing.
The downgrades of classes F-RR and G-RR reflect higher pool loss
expectations, driven primarily by two specially serviced loans
secured by office properties: Fordham Medical Office Portfolio
(5.4%) and 300 North Greene (4.0%).
The Negative Outlooks reflect the pool's elevated office exposure
of 32%, underperforming hotel loans and the potential for
downgrades should performance of the FLOCs continue to deteriorate
and/or fail stabilize, particularly Mama Shelter LA (1.8%),
Fairfield Inn Perimeter Center (1.6%) and Fairfield Inn Buckhead
(1.4%).
In addition, Fitch ran a sensitivity scenario which increased the
probability of default on the Google Kirkland Campus Phase I loan
(8.9%), due to single-tenant exposure, with Google's lease set to
expire in January 2026, two years prior to loan maturity. A
12-month notice is required; if Google does not renew, there is a
full cash sweep through lease expiration which is estimated to
total $4.3 million after 12 months. This scenario contributed to
the Negative Outlooks on classes B, C, D, X-B and X-D.
Largest Loss Contributors: The largest increase in loss
expectations since the prior rating action and second largest
contributor to overall pool loss expectations is Fordham Medical
Office Portfolio, which is secured by a portfolio of three
buildings totaling 63,209-sf; two buildings are located in the
Fordham area of the Bronx (54,180 sf) and one building (9,029 sf)
is located in Manhattan. The loan transferred to special servicing
in August 2024 as a result of a dispute between the lender and
borrower about the cost of forced place insurance coverage.
According to servicer updates, the lender is pursuing foreclosure
and the appointment of a receiver.
The property is 100% occupied as of the September 2024 rent roll.
Upcoming rollover at the property includes 3.5% (5.4% GPR) of the
NRA in 2025, followed by 2.4% (3.7% GPR) in 2026 and 7.9% (6.7%) in
2027. Fitch's 'Bsf' rating case loss of 18.7% (prior to
concentration adjustments) reflects a 9.75% cap rate, 10% stress to
the YE 2023 NOI and factors in the recent transfer to special
servicing as an updated appraisal is not available.
The second largest increase in loss expectations since the prior
rating action and third largest contributor to overall pool loss
expectations is Mama Shelter LA, a 70-key boutique hotel located in
the Hollywood market of Los Angeles, CA. The loan was transferred
to special servicing in July 2020 due to the coronavirus pandemic,
but it was subsequently modified and returned to the master
servicer in July 2021. The loan remains current and is performing
under the terms of the modification. It was designated as a FLOC
due to a low debt service coverage ratio (DSCR).
YE 2023 NOI DSCR was -0.80x, a significant decline from 1.49x at YE
2022. This decline is primarily attributed to an 18% drop in food
and beverage revenue from 2022. According to the TTM June 2024 STR
report, the property had an occupancy rate of 82.7%, an ADR of
$175, and a RevPAR of $144.4, indicating penetration rates of 127%,
66%, and 84%, respectively. Fitch's 'Bsf' rating case loss of
approximately 33.7% (prior to concentration adjustments) reflects a
11.25% cap rate to the TTM March 2023 NOI.
The largest contributor to overall pool loss expectations is the
300 North Greene asset, which is secured by a 325,771-sf office
property in downtown Greensboro, NC. The asset has been REO since
December 2021. Occupancy was a reported 71% as of June 2024, in
line with prior years. Wells Fargo has signed a lease extension
that will run through March 2030, however it will downsize to 2.8%
from 10.5%. The special servicer has indicated they are working to
renew existing tenants' leases and improve occupancy before selling
the asset. Fitch's 'Bsf' rating case loss of 30.5% (prior to
concentration add-ons) was based on a haircut to a recent
appraisal, reflecting a stressed value of $85 psf.
Increased Credit Enhancement (CE): As of the October 2024
distribution date, the transaction balance has been reduced by 8.2%
since issuance. The transaction includes two loans (6.4%) that have
fully defeased. Cumulative interest shortfalls of $1.8 million are
affecting classes F-RR, G-RR and H-RR.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to the 'AAAsf' rated classes are not expected due to the
continued expected amortization, position in the capital structure
and sufficient CE relative to loss expectations, but may occur
should interest shortfalls affect these classes.
Downgrades of classes rated in the 'AAsf', 'Asf' and 'BBBsf'
categories would occur if Google vacates Google Kirkland Campus
Phase I and the property is unable to re-tenant resulting in a
transfer to special servicing and significant value decline,
additional loans become FLOCs and/or further performance
deterioration of the loans flagged as FLOCs, including Mama Shelter
LA, Fairfield Inn Perimeter Center and Fairfield Inn Buckhead.
Downgrades of the class rated in the 'BBsf' category are likely
should loss expectations increase on the FLOCs, additional loans
transfer to special servicing and/or with a greater certainty of
losses.
Further downgrades to the 'CCCsf' and 'CCsf' rated classes would
occur as losses become realized or more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades of classes rated in the 'AAsf', 'Asf' and 'BBBsf'
categories may occur with significant improvement in CE and/or
defeasance but would be limited based on sensitivity to
concentrations or the potential for future concentration and with
performance stabilization or improved recovery expectations on the
FLOCs, particularly Fordham Medical Office resolves its insurance
dispute and transfers back to the master servicer and performance
improvement on the FLOCs. Classes would not be upgraded above 'Asf'
if there is a likelihood for interest shortfalls.
Upgrades of the class rated in the 'BBsf' category could occur if
performance of the office/hotel FLOCs improves significantly and/or
if there is sufficient CE, which would likely occur if the
non-rated class is not eroded and the senior classes pay-off.
Further upgrades to the 'CCCsf' and 'CCsf' rated classes are not
expected, but possible with better than expected recoveries on
specially serviced loans and/or significantly higher values on
FLOCs.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS
The 2018-H4 III Trust horizontal risk retention pass-through
certificate (MOA 2020-H4 E) is a direct pass-through to class E-RR
in MSC 2018-H4 and rated 'BBsf'/Negative.
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.
NASSAU 2019: Fitch Affirms BB-sf Rating on Cl. B Notes, Outlook Neg
-------------------------------------------------------------------
Fitch Ratings has affirmed the Nassau 2019 CFO LLC (Nassau 2019)
Liquidity Facility at 'A+sf', class A notes at 'BBBsf' and class B
notes at 'BB-sf'.
Entity/Debt Rating Prior
----------- ------ -----
Nassau 2019 CFO LLC
Class A 63172DAA9 LT BBBsf Affirmed BBBsf
Class B 63172DAB7 LT BB-sf Affirmed BB-sf
Liquidity Loans LT A+sf Affirmed A+sf
Transaction Summary
Nassau 2019 is a private equity collateralized fund obligation (PE
CFO) managed by Nassau Alternative Investments (NAI). The manager
is an affiliate of Nassau Financial Group. Nassau 2019 owns
interests in a diversified pool of alternative investment funds.
The issuance consists of notes backed by the ownership interests
in, and cash flows generated by, the funds.
The transaction consisted of approximately $162 million net asset
value (NAV) of funded commitments and $48 million of unfunded
capital commitments across 107 funds as of the July 31, 2024
valuation date. The NAV of the portfolio was based on valuations as
of March 31, 2024 and adjusted for subsequent capital calls and
distributions.
Since Fitch's last review, fund performance has improved, with
portfolio distributions increasing by 4% and slight upticks in fund
NAV. Fitch expects portfolio NAV appreciation and distributions to
remain limited due to the transaction's exposure to fund
investments in the buyout and venture capital sectors, which have
been particularly impacted by the weaker exit environment over the
last 12-18 months.
Absent an increase in distributions, contingent on an improving
exit environment for underlying investments, Fitch expects that the
class A and B notes' loan-to-value (LTV) ratios to remain at or
above 50% and 70%, respectively, for a prolonged period. The
transaction's liquidity will also be constrained while
distributions remain low. The primary sources of liquidity to meet
uncalled capital commitments, service debt and cover expenses will
be the liquidity facility and distributions from the underlying
funds.
KEY RATING DRIVERS
The rating affirmation of the undrawn liquidity facility reflects
its senior position in the capital structure and low loan to value
(LTV) of approximately 12%, if fully drawn. The Stable Outlook for
the undrawn liquidity facility reflects Fitch's expectation that
the facility, if drawn, can withstand Fitch's stress scenarios at
the current rating category.
The affirmation of the class A notes at 'BBBsf' reflects the notes
ability to withstand Fitch's stress scenarios at the 'BBBsf' rating
level. The Outlook for the class A notes reflects that at the
current LTV level of 50%, the class A notes could withstand a 22%
decline in NAV before breaching Fitch's relevant stress scenarios
at the 'BBBsf' rating level.
The affirmation of the class B Notes at 'BB-sf', reflects a
marginal shortfall under one of Fitch's stress scenarios at the
'BBsf' rating level. The Negative Outlook on the class B notes
reflects greater vulnerability to ongoing weakness in distributions
and market volatility at the 'BB-sf' rating level. The class B
notes had an LTV ratio of approximately 74% of NAV as of July 31,
2024.
Key structural protections include amortization triggers tied to
LTV levels, a liquidity facility to cover class A interest,
expenses, and capital calls in the event of liquidity gaps, and
long final maturities on the bonds to allow the structure
additional time to potentially weather down markets.
In the 12 months through July 31, 2024, the transaction's liquidity
needs included approximately $3 million in capital calls, $1
million in expenses, and $8 million in class A and class B note
interest, totaling $12 million. Over the same period liquidity
sources included $20 million of capacity available on the liquidity
facility, and $38 million of cash from distributions. Based on
these figures, Fitch calculates the transaction's liquidity
coverage ratio for a period of 12 months to be 4.8x.
An additional source of potential liquidity is Nassau 2019's right
to require Nassau's affiliates to contribute capital to the issuer
to satisfy capital calls if there is a cash shortfall. However,
Fitch did not consider this potential capital contribution in its
analysis, as Fitch does not have a formal credit view on Nassau, or
its parent NAI. A capital contribution by the sponsor would be
viewed as supportive of the transaction.
Fitch believes the manager (NAI) has sufficient capabilities and
resources required to manage this transaction. NAI's management
team has extensive experience, although it is comparably smaller
than the managers of other Fitch-rated PE CFOs.
The sponsor and noteholders' interests are aligned, as the sponsor
and its affiliates hold the equity stake and a portion of the class
B notes in Nassau 2019.
Fitch has a rating cap at the 'Asf' category for PE CFO
transactions, primarily driven by the uncertain nature of
alternative investment fund cash flows.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
PE CFO obligations have many inherent risks that the ratings may be
sensitive to, including the uncertainty of distributions, illiquid
nature of the underlying investments, the degree of transaction
leverage and the subjective nature of NAV calculations
- The liquidity facility could be downgraded if it is drawn and the
transaction's liquidity position is expected to deteriorate
materially. However, Fitch does not view this as likely in the
near-term given the low-LTV of the liquidity facility (if fully
drawn) and resiliency under Fitch's 'Asf' stress scenarios.
- The ratings assigned to the notes may be sensitive to actual cash
flows coming in lower than model projections, creating an increased
risk that the funds will not generate enough overall cash to repay
the noteholders, or pay for capital calls, expenses, and interest
on time.
The class A notes would be fully repaid assuming an additional 10%
distribution haircut, with approximately USD91 million of
collateral value remaining in the worst launch year. However, in a
15% distribution haircut scenario, the class A notes could be
downgraded to below 'BBsf'. Given the class B notes rating
sensitivity in Fitch's all quartile rating scenario, as described
above, the notes are more susceptible to a rating downgrade in the
event of sustained distribution shortfalls, as indicated by the
rating outlook.
- The ratings assigned to the notes may be also sensitive to
additional declines in NAV that Fitch believes indicate
insufficient forthcoming cash distributions to support the notes at
the current rating level stress. The class A notes would be fully
repaid assuming an additional 10% NAV haircut, with approximately
USD101 million of collateral value remaining in the worst launch
year.
However, in a 20% NAV haircut scenario, the class A notes could be
downgraded to below 'BBsf'. Given the class B notes rating
sensitivity in Fitch's all quartile rating scenario, as described
above, the notes are more susceptible to a rating downgrade in the
event of NAV depreciation, as indicated by the rating outlook.
- The ratings assigned to the notes are also sensitive to the
financial health of the transaction's counterparties. A rating
downgrade of a counterparty may be linked to and materially affect
the ratings on the notes, given the reliance of the issuer on
counterparties to provide functions, including providers of the
liquidity facility and bank accounts.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- The class A notes could be upgraded if they pass Fitch's 'Asf'
rating stresses with sufficient cushion to downside scenarios for
more than a temporary period.
- The class B notes could be upgraded to 'BBsf', or the Outlook
could be revised to Stable from Negative, if they pass Fitch's
'BBsf' rating stresses with sufficient cushion to downside
scenarios for more than a temporary period.
- Fitch has an 'A' category rating cap for PE CFOs. Therefore,
positive rating sensitivities are not applicable for the undrawn
liquidity facility.
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
As the timing and size of the cash flows is uncertain, Fitch used
historical private equity fund performance data from a well-known
third-party data provider, which covers all performance quartiles
of the various fund strategies and vintages ranging from 1990 to
2023, to model expected distributions, capital calls and NAVs of
the private equity funds.
NEUBERGER BERMAN XXI: Fitch Assigns BB-sf Rating on Cl. E-R3 Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Neuberger
Berman CLO XXI, Ltd. reset transaction.
Entity/Debt Rating Prior
----------- ------ -----
Neuberger Berman
CLO XXI, Ltd.
A-1-R2 64130DBE9 LT PIFsf Paid In Full AAAsf
X-R3 LT AAAsf New Rating
A-1R3 LT AAAsf New Rating
A-2R3 LT AAAsf New Rating
B-R3 LT AAsf New Rating
C-R3 LT Asf New Rating
D-1R3 LT BBB-sf New Rating
D-2R3 LT BBB-sf New Rating
E-R3 LT BB-sf New Rating
Transaction Summary
Neuberger Berman CLO XXI, Ltd. (the issuer) is an arbitrage cash
flow collateralized loan obligation (CLO) that will be managed by
Neuberger Berman Investment Advisers LLC. The transaction
originally closed in May 2021 and on Dec. 9, 2024 (Closing Date),
the CLO will refinance the secured notes issued on the second
refinancing date with net proceeds from the issuance of the secured
and additional subordinated notes (in addition to the existing
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', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 24.43, versus a maximum covenant, in accordance with
the initial expected matrix point of 26.07. 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
93.85% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 73.67% versus a
minimum covenant, in accordance with the initial expected matrix
point of 72.5%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 39% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Negative): The transaction has a 5.1-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting to the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The weighted average life (WAL) used for the transaction stress
portfolio and matrices analysis is 12 months less than the WAL
covenant to account for structural and reinvestment conditions
after the reinvestment period. In Fitch's opinion, these conditions
would reduce the effective risk horizon 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-R3, between 'BBB+sf' and 'AA+sf' for
class A-1R3, between 'BBB+sf' and 'AA+sf' for class A-2R3, between
'BB+sf' and 'A+sf' for class B-R3, between 'B+sf' and 'BBB+sf' for
class C-R3, between less than 'B-sf' and 'BB+sf' for class D-1R3,
between less than 'B-sf' and 'BB+sf' for class D-2R3, and between
less than 'B-sf' and 'BB-sf' for class E-R3.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class X-R3, class A-1R3
and class A-2R3 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-R3, 'AA+sf' for class C-R3,
'A+sf' for class D-1R3, 'A-sf' for class D-2R3, and 'BBB+sf' for
class E-R3.
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 Neuberger Berman
CLO XXI, 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.
NEW RESIDENTIAL 2024-NQM3: Fitch Gives 'B-(EXP)' Rating on B-2 Note
-------------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed notes
to be issued by New Residential Mortgage Loan Trust 2024-NQM3
(NRMLT 2024-NQM3).
Entity/Debt Rating
----------- ------
NRMLT 2024-NQM3
A-1A LT AAA(EXP)sf Expected Rating
A-1B LT AAA(EXP)sf Expected Rating
A-1 LT AAA(EXP)sf Expected Rating
A-2 LT AA-(EXP)sf Expected Rating
A-3 LT A-(EXP)sf Expected Rating
M-1 LT BBB-(EXP)sf Expected Rating
B-1 LT BB-(EXP)sf Expected Rating
B-2 LT B-(EXP)sf Expected Rating
B-3 LT NR(EXP)sf Expected Rating
XS LT NR(EXP)sf Expected Rating
AIOS LT NR(EXP)sf Expected Rating
R LT NR(EXP)sf Expected Rating
Transaction Summary
Fitch expects to rate the residential mortgage-backed notes to be
issued by NRMLT 2024-NQM3, as indicated above. The notes are
supported by 538 newly originated loans with a balance of $272
million as of the Nov. 1, 2024 cutoff date. The pool consists of
loans originated by NewRez LLC, as well as third-party originators
Champions Funding, LLC (Champions), among others.
The notes are secured mainly by non-qualified mortgage (QM) loans
as defined by the ability-to-repay (ATR) Rule. Of the loans in the
pool, 71.6% are designated as non-QM while the remainder are not
subject to the ATR Rule.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 11.2% above a long-term sustainable level (relative
to 11.6% on a national level as of 2Q24). Housing affordability is
the worst it has been in decades, driven by both high interest
rates and elevated home prices. Home prices had increased 4.3% yoy
nationally as of August 2024 despite modest regional declines, but
are still being supported by limited inventory.
Non-Prime Credit Quality (Negative): The collateral consists of 538
loans, totaling $272 million and seasoned approximately three
months in aggregate, according to Fitch, as calculated from
origination date. The borrowers have a moderate credit profile when
compared with other non-QM transactions, with a 750 Fitch model
FICO score and 37% debt/income ratios (DTI), as determined by Fitch
after converting the debt service coverage ratio (DSCR) values.
However, leverage (81% sustainable loan/value [sLTV]) within this
pool is consistent compared to previous NRMLT transactions from
2024. The pool consists of 68.2% of loans where the borrower
maintains a primary residence, while 31.8% are considered an
investor property or second home. In addition, only 20.0% of the
loans were originated through a retail channel. Moreover, 71.6% are
considered non-QM and the remainder are not subject to QM.
Modified Sequential-Payment Structure (Mixed): The structure pays
principal pro rata among the senior notes while shutting out the
subordinate bonds from principal until all senior classes are
reduced to zero. If a cumulative loss trigger event or delinquency
trigger event occurs in a given period, principal will be paid
sequentially to class A-1A, A-1B, A-2 and A-3 notes until they are
reduced to zero.
Starting on the payment date immediately following the first
payment date of which the principal balance of the mortgage loans
is less than or equal to 20% of the balance as of the cut-off date,
the class A-1A, A-1B, A-2 and A-3 notes feature a 100-bp coupon
step-up, subject to the net WAC. This increases the interest
allocation for the A-1A through A-3 and decreases the amount of
excess spread available in the transaction.
Loan Documentation (Negative): 71.4% of the pool was underwritten
to less than full documentation, according to Fitch. Approximately
54.2% was underwritten to a 12-month or 24-month 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 Protection Bureau's (CFPB)
ATR Rule. The standards are meant to reduce the risk of borrower
default arising from lack of affordability, misrepresentation or
other operational quality risks due to rigor of the ATR Rule's
mandates with respect to the underwriting and documentation of the
borrower's ATR. In addition, 7.7% are DSCR product and 6.9% are
Asset Depletion product.
High Investor Property Concentrations (Negative): Approximately
23.9% of the pool comprises investment property loans, including
7.7% underwritten to a cash flow ratio rather than the borrower's
DTI ratio. Investor property loans exhibit higher probability of
defaults (PDs) and higher loss severities (LS) than owner-occupied
homes. Fitch increased the PD by approximately 2.0x for the cash
flow ratio loans relative to a traditional income documentation
investor loan to account for the increased risk.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper market value declines (MVDs) at
the national level. The analysis assumes MVDs of 10.0%, 20.0% and
30.0% in addition to the model projected 42.3% at 'AAA'. The
analysis indicates that there is some potential rating migration
with higher MVDs for all rated classes, compared with the model
projection. Specifically, a 10% additional decline in home prices
would lower all rated classes by one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all of the rated classes.
Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated class excluding those being assigned
ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Evolve, Infinity, and SitusAMC. 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:
- Fitch applied a 5% PD credit was at the loan level for all loans
graded either 'A' or 'B';
- Fitch lowered its loss expectations by approximately 53bps 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.
OAKTREE CLO 2021-1: S&P Assigns B- (sf) Rating on Class F Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R,
B-R, C-1-R, C-2-R, D-1-R, D-2-R, E-R, and F-R replacement debt and
new class X debt from Oaktree CLO 2021-1 Ltd./Oaktree CLO 2021-1
LLC, a CLO originally issued in July 2021 that is managed by
Oaktree Capital Management L.P. At the same time, S&P withdrew its
ratings on the original class A-1, A-2, B, C, D, E, and F debt
following payment in full on the Dec. 6, 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 Dec. 6, 2026.
-- The reinvestment period was extended to Jan. 15, 2030.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) were extended by approximately 3.5
years to Jan. 15, 2038.
-- 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. 15, 2025.
-- Class X debt was issued on the refinancing date and is expected
to be paid down using interest proceeds during 16 payment dates
beginning with the payment date in July 2025.
-- The required minimum overcollateralization and interest
coverage ratios were amended.
-- No additional subordinated notes were issued on the refinancing
date.
-- The transaction has adopted benchmark replacement language and
was updated to conform to current rating agency methodology.
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
Oaktree CLO 2021-1 Ltd./Oaktree CLO 2021-1 LLC
Class X, $4.0 million: AAA (sf)
Class A-1-R, $248.0 million: AAA (sf)
Class A-2-R, $16.0 million: AAA (sf)
Class B-R, $40.0 million: AA (sf)
Class C-1-R (deferrable), $20.0 million: A+ (sf)
Class C-2-R (deferrable), $12.0 million: A (sf)
Class D-1-R (deferrable), $14.0 million: BBB+ (sf)
Class D-2-R (deferrable), $6.0 million: BBB- (sf)
Class E-R (deferrable), $12.0 million: BB- (sf)
Class F-R (deferrable), $6.0 million: B- (sf)
Ratings Withdrawn
Oaktree CLO 2021-1 Ltd./Oaktree CLO 2021-1 LLC
Class A-1 to not rated from 'AAA (sf)'
Class A-2 to not rated from 'AAA (sf)'
Class B to not rated from 'AA (sf)'
Class C to not rated from 'A (sf)'
Class D to not rated from 'BBB- (sf)'
Class E to not rated from 'BB- (sf)'
Class F to not rated from 'B- (sf)'
Other Debt
Oaktree CLO 2021-1 Ltd./Oaktree CLO 2021-1 LLC
Subordinated notes, $35.3 million: Not rated
OCP CLO 2024-38: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to OCP CLO
2024-38 Ltd./OCP CLO 2024-38 LLC's floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Onex Credit Partners LLC, a
subsidiary of Onex Corp.
The preliminary ratings are based on information as of Dec. 11,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The 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 2024-38 Ltd./OCP CLO 2024-38 LLC
Class A, $320.00 million: AAA (sf)
Class B, $60.00 million: AA (sf)
Class C (deferrable), $30.00 million: A (sf)
Class D-1 (deferrable), $30.00 million: BBB (sf)
Class D-2 (deferrable), $7.50 million: BBB- (sf)
Class E (deferrable), $12.50 million: BB- (sf)
Subordinated notes, $50.00 million: Not rated
OCP CLO AEGIS 2024-39: S&P Assigns BB-(sf) Rating on Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to OCP CLO Aegis 2024-39
Ltd./OCP CLO Aegis 2024-39 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 Onex Credit Partners LLC.
The ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
OCP CLO Aegis 2024-39 Ltd./OCP CLO Aegis 2024-39 LLC
Class A-1, $280.00 million: AAA (sf)
Class A-2, $12.00 million: AAA (sf)
Class B-1, $22.00 million: AA+ (sf)
Class B-2, $10.00 million: AA+ (sf)
Class C (deferrable), $20.00 million: A+ (sf)
Class D-1 (deferrable), $16.00 million: BBB+ (sf)
Class D-2 (deferrable), $4.00 million: BBB- (sf)
Class E (deferrable), $12.00 million: BB- (sf)
Subordinated notes, $33.20 million: Not rated
OCTAGON 62: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
-----------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to the
Octagon 62, Ltd. reset transaction.
Entity/Debt Rating Prior
----------- ------ -----
Octagon 62, Ltd.
A-1 675937AC0 LT PIFsf Paid In Full AAAsf
X-R LT NRsf New Rating
A-1-R LT AAAsf New Rating
A-2-R LT AAAsf New Rating
A-2A 675937AN6 LT PIFsf Paid In Full AAAsf
A-2B 675937AS5 LT PIFsf Paid In Full AAAsf
B-1 675937AQ9 LT PIFsf Paid In Full AAsf
B-2 675937AU0 LT PIFsf Paid In Full AAsf
B-R LT AAsf New Rating
C 675937AJ5 LT PIFsf Paid In Full Asf
C-R LT Asf New Rating
D 675937AL0 LT PIFsf Paid In Full BBB-sf
D-1-R LT BBBsf New Rating
D-2-R LT BBB-sf New Rating
E 675938AA2 LT PIFsf Paid In Full BB-sf
E-R LT BB-sf New Rating
Transaction Summary
Octagon 62, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) managed by Octagon Credit
Investors, LLC that originally closed in December 2022. On Dec. 5,
2024 (the first refinancing date), the CLO's existing secured notes
will be redeemed in full with refinancing proceeds. Net proceeds
from the issuance of the secured and subordinated notes will
provide financing on a portfolio of approximately $500 million of
primarily first-lien senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 24.02 versus a maximum covenant, in accordance with
the initial expected matrix point of 26.8. 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
96.61% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 74.73% versus a
minimum covenant, in accordance with the initial expected matrix
point of 73.0%.
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 5.1-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 'BBB+sf' and 'AA+sf' for class A-1-R, between
'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf'
for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between
less than 'B-sf' and '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
Upgrade scenarios are not applicable to the 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-R, 'AA+sf' for class C-R, 'A+sf'
for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class
E-R.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, 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 Octagon 62, 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.
OHA CREDIT 4: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
X-R2, A-R2, B-1-R2, B-2-R2, C-R2, D-1-R2, D-2-R2, and E-R2
replacement debt from OHA Credit Funding 4 Ltd./OHA Credit Funding
4 LLC, a CLO managed by Oak Hill Advisors L.P. that was originally
issued in September 2019 and underwent a refinancing in October
2021. The class X-R notes were not rated by S&P Global Ratings.
The preliminary ratings are based on information as of Dec. 9,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Dec. 16, 2024, refinancing date, the proceeds from the
replacement debt will be used to redeem the October 2021 debt. S&P
said, "At that time, we expect to withdraw our ratings on the
October 2021 debt and assign ratings to the replacement debt.
However, if the refinancing doesn't occur, we may affirm our
ratings on the October 2021 debt and withdraw our preliminary
ratings on the replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The replacement class X-R2, A-R2, B-1-R2, C-R2, D-1-R2, D-2-R2,
and E-R2 notes are expected to be issued at a lower spread over
three-month SOFR than the October 2021 notes.
-- The replacement class A-R2, C-R2, and E-R2 notes are expected
to be issued at a floating spread, replacing the current floating
spread.
-- The replacement class B-R debt will be split into the class
B-1-R2 and B-2-R2 debt, which will be pro-rata in payment with the
class B-1-R2 debt bearing floating interest and the class B-2-R2
debt bearing fixed interest.
-- The replacement class D-R debt will be split into the class
D-1-R2 and D-2-R2 debt, which will be sequential in payment and
will both bear floating rates.
-- The stated maturity will be extended 1.25 years.
-- The reinvestment period will be extended 3.25 years.
-- The non-call period will be extended 3.15 years.
-- The weighted average life test date will be extended 0.25
years.
-- The class X-R2 notes will be issued on the refinancing date and
are expected to be paid down using interest proceeds during the
first nine payment dates beginning with the payment date in January
2025.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
OHA Credit Funding 4 Ltd./OHA Credit Funding 4 LLC
Class X-R2, $2.50 million: AAA (sf)
Class A-R2, $372.00 million: AAA (sf)
Class B-1-R2, $71.00 million: AA (sf)
Class B-2-R2, $13.00 million: AA (sf)
Class C-R2 (deferrable), $36.00 million: A (sf)
Class D-1-R2 (deferrable), $36.00 million: BBB- (sf)
Class D-2-R2 (deferrable), $4.50 million: BBB- (sf)
Class E-R2 (deferrable), $19.50 million: BB- (sf)
Other Debt
OHA Credit Funding 4 Ltd./OHA Credit Funding 4 LLC
Subordinated notes, $51.40 million: Not rated
OHA CREDIT XVII: S&P Assigns BB- (sf) Rating on Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to OHA Credit Partners XVII
Ltd./OHA Credit Partners XVII 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 Oak Hill Advisors L.P., a subsidiary
of T. Rowe Price.
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
OHA Credit Partners XVII Ltd./OHA Credit Partners XVII LLC
Class A, $282.00 million: AAA (sf)
Class A-L, $0.00 million: AAA (sf)
Class A-L loans(i), $145.00 million: AAA (sf)
Class B-1, $92.00 million: AA (sf)
Class B-2, $13.00 million: AA (sf)
Class C (deferrable), $42.00 million: A (sf)
Class D-1 (deferrable), $42.00 million: BBB- (sf)
Class D-2 (deferrable), $7.00 million: BBB- (sf)
Class E (deferrable), $21.00 million: BB- (sf)
Subordinated notes, $62.20 million: Not rated
(i)All or a portion of the class A-L loans can be converted into
class A-L notes. Upon such conversion, the class A-L loans will be
decreased by such converted amount with a corresponding increase in
the class A-L notes. No class #A-L notes or any other class of
notes may be converted into class A-L loans.
ORION CLO 2024-4: S&P Assigns BB- (sf) Rating in Class E Loans
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to Orion CLO 2024-4
Ltd./Orion CLO 2024-4 LLC's fixed- and floating-rate debt.
The note issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Antares 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
Orion CLO 2024-4 Ltd./Orion CLO 2024-4 LLC
Class A, $165.0 million: AAA (sf)
Class A loans(i), $83.0 million: AAA (sf)
Class B, $56.0 million: AA (sf)
Class C (deferrable), $24.0 million: A (sf)
Class D-1 (deferrable), $24.0 million: BBB- (sf)
Class D-2 (deferrable), $4.0 million: BBB- (sf)
Class E (deferrable), $12.0 million: BB- (sf)
Subordinated notes, $40.6 million: Not rated
(i)All or a portion of the class A loans may be converted into
class A notes, subject to a maximum conversion of $83.0 million.
Upon a conversion, the balance on the class A notes may be
increased, and the balance of the class A loans decreased, to
reflect the conversion. No portion of the class A notes may be
converted into class A loans.
PALMER SQUARE 2024-4: S&P Assigns Prelim BB-(sf) Rating on E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Palmer
Square CLO 2024-4 Ltd./Palmer Square CLO 2024-4 LLC's floating-rate
debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior-secured term loans.
The transaction is managed by Palmer Square Capital Management
LLC.
The preliminary ratings are based on information as of Dec. 6,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- S&P's view of the collateral pool's diversification;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Palmer Square CLO 2024-4 Ltd./Palmer Square CLO 2024-4 LLC
Class A-1, $300.0 million: AAA (sf)
Class A-2, $30.0 million: AAA (sf)
Class B, $50.0 million: AA (sf)
Class C (deferrable), $30.0 million: A (sf)
Class D-1 (deferrable), $30.0 million: BBB- (sf)
Class D-2 (deferrable), $5.0 million: BBB- (sf)
Class E (deferrable), $15.0 million: BB- (sf)
Subordinated notes, $44.5 million: Not rated
PRIMAL CRUSHING: Case Summary & 20 Largest Unsecured Creditors
--------------------------------------------------------------
Debtor: Primal Crushing, LLC
4695 S 14th St
Abilene, TX 79605-4734
Business Description: The Debtor manufactures agriculture,
construction, and mining machinery.
Chapter 11 Petition Date: December 12, 2024
Court: United States Bankruptcy Court
Northern District of Texas
Case No.: 24-10218
Judge: Hon. Robert L Jones
Debtor's Counsel: Joseph Fredrick Postnikoff, Esq.
ROCHELLE MCCULLOUGH, LLP
300 Throckmorton Street, Suite 520
Forth Worth TX 76102-2929
Tel: (817) 347-5261
Email: JPostnikoff@romclaw.com
Estimated Assets: $1 million to $10 million
Estimated Liabilities: $1 million to $10 million
The petition was signed by Victor John Hirsch, III as member
manager.
A full-text copy of the petition containing, among other items, a
list of the Debtor's 20 largest unsecured creditors is available
for free at PacerMonitor.com at:
https://www.pacermonitor.com/view/ICMOSQY/Primal_Crushing_LLC_a_Texas_limited__txnbke-24-10218__0001.0.pdf?mcid=tGE4TAMA
RATE MORTGAGE 2024-J4: DBRS Finalizes B(low) Rating on B5 Notes
---------------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings on the
Mortgage-Backed Notes, Series 2024-J4 (the Notes) issued by RATE
Mortgage Trust 2024-J4 (RATE 2024-J4, or the Trust) as follows:
-- $310.5 million Class A-1 at AAA (sf)
-- $310.5 million Class A-2 at AAA (sf)
-- $310.5 million Class A-3 at AAA (sf)
-- $232.9 million Class A-4 at AAA (sf)
-- $232.9 million Class A-5 at AAA (sf)
-- $232.9 million Class A-6 at AAA (sf)
-- $186.3 million Class A-7 at AAA (sf)
-- $186.3 million Class A-8 at AAA (sf)
-- $186.3 million Class A-9 at AAA (sf)
-- $46.6 million Class A-10 at AAA (sf)
-- $46.6 million Class A-11 at AAA (sf)
-- $46.6 million Class A-12 at AAA (sf)
-- $124.2 million Class A-13 at AAA (sf)
-- $124.2 million Class A-14 at AAA (sf)
-- $124.2 million Class A-15 at AAA (sf)
-- $77.6 million Class A-16 at AAA (sf)
-- $77.6 million Class A-17 at AAA (sf)
-- $77.6 million Class A-18 at AAA (sf)
-- $38.9 million Class A-19 at AAA (sf)
-- $38.9 million Class A-20 at AAA (sf)
-- $38.9 million Class A-21 at AAA (sf)
-- $349.4 million Class A-22 at AAA (sf)
-- $349.4 million Class A-23 at AAA (sf)
-- $349.4 million Class A-24 at AAA (sf)
-- $349.4 million Class A-25 at AAA (sf)
-- $349.4 million Class A-X-1 at AAA (sf)
-- $310.5 million Class A-X-2 at AAA (sf)
-- $310.5 million Class A-X-3 at AAA (sf)
-- $310.5 million Class A-X-4 at AAA (sf)
-- $232.9 million Class A-X-5 at AAA (sf)
-- $232.9 million Class A-X-6 at AAA (sf)
-- $232.9 million Class A-X-7 at AAA (sf)
-- $186.3 million Class A-X-8 at AAA (sf)
-- $186.3 million Class A-X-9 at AAA (sf)
-- $186.3 million Class A-X-10 at AAA (sf)
-- $46.6 million Class A-X-11 at AAA (sf)
-- $46.6 million Class A-X-12 at AAA (sf)
-- $46.6 million Class A-X-13 at AAA (sf)
-- $124.2 million Class A-X-14 at AAA (sf)
-- $124.2 million Class A-X-15 at AAA (sf)
-- $124.2 million Class A-X-16 at AAA (sf)
-- $77.6 million Class A-X-17 at AAA (sf)
-- $77.6 million Class A-X-18 at AAA (sf)
-- $77.6 million Class A-X-19 at AAA (sf)
-- $38.9 million Class A-X-20 at AAA (sf)
-- $38.9 million Class A-X-21 at AAA (sf)
-- $38.9 million Class A-X-22 at AAA (sf)
-- $349.4 million Class A-X-23 at AAA (sf)
-- $349.4 million Class A-X-24 at AAA (sf)
-- $349.4 million Class A-X-25 at AAA (sf)
-- $349.4 million Class A-X-26 at AAA (sf)
-- $4.0 million Class B-1 at AA (high) (sf)
-- $4.0 million Class B-1A at AA (high) (sf)
-- $4.0 million Class B-X-1 at AA (high) (sf)
-- $6.8 million Class B-2 at A (low) (sf)
-- $6.8 million Class B-2A at A (low) (sf)
-- $6.8 million Class B-X-2 at A (low) (sf)
-- $2.0 million Class B-3 at BBB (sf)
-- $1.5 million Class B-4 at BB (low) (sf)
-- $731,000 Class B-5 at B (low) (sf)
Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8,
A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16,
A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24,
A-X-25, A-X-26, B-X-1, and B-X-2 are interest-only (IO) notes. The
class balances represent notional amounts.
Classes A-1, A-2, A-3, A-4, A-6, A-7, A-8, A-10, A-11, A-13, A-14,
A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-25, A-X-2, A-X-3,
A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-11, A-X-14, A-X-15, A-X-16,
A-X-17, A-X-20, A-X-23, A-X-24, A-X-25, A-X-26, B-1, B-X-1 and B-2
are exchangeable classes. These classes can be exchanged for
combinations of initial exchangeable notes as specified in the
offering documents.
Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11,
A-12, A-13, A-14, A-15, A-16, A-17 and A-18 are super senior
tranches. These classes benefit from additional protection from the
senior support notes (Classes A-19, A-20, and A-21) with respect to
loss allocation.
The AAA (sf) credit ratings on the Notes reflect 4.35% of credit
enhancement provided by subordinated notes. The AA (high) (sf), A
(low) (sf), BBB (sf), BB (low) (sf), and B (low) (sf) credit
ratings reflect 3.25%, 1.40%, 0.85%, 0.45%, and 0.25% of credit
enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
The Trust is a securitization of a portfolio of first-lien,
fixed-rate prime residential mortgages to be funded by the issuance
of the Notes. The Notes are backed by 310 loans with a total
principal balance of $365,287,243 as of the Cut-Off Date (November
1, 2024).
Guaranteed Rate, Inc. (Guaranteed Rate or GRI), as the Sponsor,
began issuing prime jumbo securitizations from its RATE shelf in
early 2021 and this transaction represents the ninth prime jumbo
RATE deal. The pool consists of fully amortizing fixed-rate
mortgages with original terms to maturity of 30 years and a
weighted-average loan age of one month.
Guaranteed Rate, which is also the Servicing Administrator and
Sponsor of the transaction, originated all of the mortgage loans,
and ServiceMac, LLC (ServiceMac) will service the loans.
Morningstar DBRS did not conduct an operational risk review of
ServiceMac for this transaction. Computershare Trust Company, N.A.
(rated BBB with a Stable trend by Morningstar DBRS) will act as the
Master Servicer, Loan Agent, Paying Agent, Note Registrar, and
Certificate Registrar. Deutsche Bank National Trust Company will
act as the Custodian. Wilmington Savings Fund Society, FSB will
serve as Trustee.
Similar to the prior RATE securitizations, the Servicing
Administrator will fund advances of delinquent principal and
interest (P&I) on any mortgage until such loan becomes 120 days
delinquent or such P&I advances are deemed to be unrecoverable by
the Servicer or the Master Servicer (Stop-Advance Loan). The
Servicing Administrator will also fund advances in respect of
taxes, insurance premiums, and reasonable costs incurred in the
course of servicing and disposing properties.
The interest entitlements for each class in this transaction are
reduced reverse sequentially by the delinquent interest that would
have accrued on the Stop-Advance Loans. In other words, investors
are not entitled to any interest on such severely delinquent
mortgages, unless such interest amounts are recovered. The
delinquent interest recovery amounts, if any, will be distributed
sequentially to the P&I notes.
The Sponsor will have the option, but not the obligation, to
repurchase any mortgage loan that becomes 90 to 120 days delinquent
under the Mortgage Bankers Association method at a price equal to
par plus interest and unreimbursed servicing advance amounts,
provided that such repurchases in aggregate do not exceed 10% of
the total principal balance as of the Cut-Off Date.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that is enhanced from a pre-crisis structure.
Morningstar DBRS discontinued and withdrew its credit ratings on
Classes A-1L, A-2L, and A-3L Loans initially contemplated in the
offering documents, as they were not issued at closing.
Notes: All figures are in US dollars unless otherwise noted.
RCKT MORTGAGE 2024-CES9: Fitch Gives 'B(EXP)sf' on Five Tranches
----------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed notes
issued by RCKT Mortgage Trust 2024-CES9 (RCKT 2024-CES9).
Entity/Debt Rating
----------- ------
RCKT 2024-CES9
A1-A LT AAA(EXP)sf Expected Rating
A1-B LT AAA(EXP)sf Expected Rating
A-2 LT AA(EXP)sf Expected Rating
A-3 LT A(EXP)sf Expected Rating
M-1 LT BBB(EXP)sf Expected Rating
B-1 LT BB(EXP)sf Expected Rating
B-2 LT B(EXP)sf Expected Rating
B-3 LT NR(EXP)sf Expected Rating
A-1 LT AAA(EXP)sf Expected Rating
A-4 LT AA(EXP)sf Expected Rating
A-5 LT A(EXP)sf Expected Rating
A-6 LT BBB(EXP)sf Expected Rating
B-1A LT BB(EXP)sf Expected Rating
B-X-1A LT BB(EXP)sf Expected Rating
B-1B LT BB(EXP)sf Expected Rating
B-X-1B LT BB(EXP)sf Expected Rating
B-2A LT B(EXP)sf Expected Rating
B-X-2A LT B(EXP)sf Expected Rating
B-2B LT B(EXP)sf Expected Rating
B-X-2B LT B(EXP)sf Expected Rating
XS LT NR(EXP)sf Expected Rating
A-1L LT AAA(EXP)sf Expected Rating
R LT NR(EXP)sf Expected Rating
Transaction Summary
The notes are supported by 5,142 closed-end second lien (CES) loans
with a total balance of approximately $451.4 million as of the
cutoff date. The pool consists of CES mortgages acquired by
Woodward Capital Management LLC from Rocket Mortgage LLC.
Distributions of principal and interest (P&I) and loss allocations
are based on a traditional senior-subordinate, sequential structure
in which excess cash flow can be used to repay losses or net
weighted average coupon (WAC) shortfalls.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): As a result of its
updated view on sustainable home prices, Fitch views the home price
values of this pool as 11.6% above a long-term sustainable level
(vs. 11.6% on a national level as of 2Q24). Housing affordability
is the worst it has been in decades driven by both high interest
rates and elevated home prices. Home prices have increased 4.3% yoy
nationally as of August 2024 despite modest regional declines, but
are still supported by limited inventory.
Prime Credit Quality (Positive): The collateral consists of 5,142
loans totaling approximately $451.4 million and seasoned at about
4.2 months in aggregate, as calculated by Fitch (two months, per
the transaction documents) and taken as the difference between the
origination date and the cutoff date. The borrowers have a strong
credit profile, including a WA Fitch model FICO score of 741,
debt-to-income ratio (DTI) of 38.4%, and moderate leverage, with a
sustainable loan-to-value ratio (sLTV) of 77.9%.
Of the pool, 98.8% of the loans are for primary residences, while
1.2% are for second homes or investor properties. Also, 84.7% of
loans were originated through a retail channel. Additionally, 59.0%
of loans are designated as safe-harbor qualified mortgages (SHQMs)
and 16.4% are higher-priced qualified mortgages (HPQMs). Given the
100% loss severity (LS) assumption, no additional penalties were
applied for the HPQM loan status.
Second Lien Collateral (Negative): The entire collateral pool
comprises CES loans originated by Rocket Mortgage. Fitch assumed no
recovery and a 100% LS 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 to Fitch's probability of default (PD) assumption.
Sequential Structure (Positive): The transaction has a typical
sequential payment structure. Principal payments are applied
sequentially to the bonds, while losses are allocated in reverse
order. Monthly excess cash flow, derived after the allocation of
the interest and principal priority of payments, is applied as
principal. First, it repays any current and previously allocated
cumulative applied realized loss, then to repay any potential net
WAC shortfalls. The senior classes feature a step-up coupon of
1.00% (if still outstanding) after the 48th payment date.
While Fitch had previously analyzed CES transactions using an
interest rate cut, this stress is no longer being applied. Given
the lack of evidence of interest rate modifications being used as a
loss mitigation tactic, applying the stress would have been overly
punitive. If interest rate modifications re-emerge 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.
180-Day Chargeoff Feature (Positive): The class XS majority
noteholder has the ability, but not the obligation, to instruct the
servicer to write off the balance of a loan at 180 days delinquent
(DQ) based on the Mortgage Bankers Association (MBA) delinquency
method. If the servicer expects meaningful recovery in any
liquidation scenario, the class XS majority noteholder may direct
the servicer to continue to monitor the loan and not charge it
off.
While the 180-day chargeoff feature will result in losses being
incurred sooner, there is a larger amount of excess interest to
protect against them. This compares favorably with a delayed
liquidation scenario, where losses occur later in the life of a
transaction and less excess is available to cover them. If a loan
is not charged off due to a presumed recovery, this will provide
added benefit to the transaction, above Fitch's expectations.
Additionally, recoveries realized after the writedown at 180 days
DQ (excluding forbearance mortgage or loss mitigation loans) will
be passed on to bondholders as principal.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch's incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the metropolitan statistical area 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 42.5% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all of the rated classes.
Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated class excluding those being assigned
ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC Diligence, LLC. The third-party due diligence
described in Form 15E focused on credit, regulatory compliance and
property valuation. Fitch considered this information in its
analysis and, as a result, Fitch made the following adjustment to
its analysis: a 5% PD credit to the 25.7% of the pool by loan count
in which diligence was conducted. This adjustment resulted in a
20bps reduction to the 'AAAsf' expected loss.
ESG Considerations
RCKT 2024-CES9 has an ESG Relevance Score of '4 [+]' for
Transaction Parties & Operational Risk due to operational risk
mitigation, 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.
REESE PARK: Fitch Assigns 'BBsf' Rating on Class E-RR Notes
-----------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Reese
Park CLO, Ltd. reset transaction.
Entity/Debt Rating
----------- ------
Reese Park
CLO, Ltd.
A-RR LT NRsf New Rating
B-RR LT AAsf New Rating
C-RR LT Asf New Rating
D-1-RR LT BBB+sf New Rating
D-2-RR LT BBB-sf New Rating
E-RR LT BBsf New Rating
F-RR LT NRsf New Rating
Subordinated LT NRsf New Rating
X-RR LT NRsf New Rating
Transaction Summary
Reese Park CLO, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Blackstone Liquid Credit Strategies LLC, that originally closed in
November 2020 and reset for the first time on November 2021. The
secured notes will be refinanced in whole on Dec. 6, 2024. Net
proceeds from the issuance of the secured and subordinated notes
will provide financing on a portfolio of approximately $500 million
of primarily first lien senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B/B-', which is in line with that of
recent CLOs. Issuers rated in the 'B' rating category denote a
highly speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard CLO structural
features.
Asset Security (Positive): The indicative portfolio consists of
96.17% first lien senior secured loans and has a weighted average
recovery assumption of 74.46%. Fitch stressed the indicative
portfolio by assuming a higher portfolio concentration of assets
with lower recovery prospects and further reduced recovery
assumptions for higher rating stresses.
Portfolio Composition (Positive): The largest three industries may
comprise up to 39% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity required by industry,
obligor and geographic concentrations is in line with that of 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 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-1-RR, between less than 'B-sf' and 'BB+sf' for class
D-2-RR, 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-1-RR, 'A-sf' for class D-2-RR, 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 Reese Park CLO,
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.
REESE PARK: Moody's Assigns B3 Rating to $250,000 F-RR Notes
------------------------------------------------------------
Moody's Ratings has assigned ratings to three classes of CLO
refinancing notes (the Refinancing Notes) issued by Reese Park CLO,
Ltd. (the Issuer):
US$4,500,000 Class X-RR Senior Secured Floating Rate Notes due
2038, Assigned Aaa (sf)
US$317,500,000 Class A-RR Senior Secured Floating Rate Notes due
2038, Assigned Aaa (sf)
US$250,000 Class F-RR Junior Secured Deferrable Floating Rate Notes
due 2038, Assigned B3 (sf)
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks particularly those associated with the
CLO's portfolio and structure.
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least
90.0% of the portfolio must consist of first lien senior secured
loans and up to 10.0% of the portfolio may consist of not first
lien loans, cash and eligible investments.
Blackstone Liquid Credit Strategies LLC (the Manager) will continue
to direct the selection, acquisition and disposition of the assets
on behalf of the Issuer and may engage in trading activity,
including discretionary trading, during the transaction's extended
five year reinvestment period. Thereafter, subject to certain
restrictions, the Manager may reinvest unscheduled principal
payments and proceeds from sales of credit risk assets.
In addition to the issuance of the Refinancing Notes, the five
other classes of secured notes and one class of subordinated notes,
a variety of other changes to transaction features will occur in
connection with the refinancing. These include: extension of the
reinvestment period; extensions of the stated maturity and non-call
period; changes to certain collateral quality tests; and changes to
the overcollateralization test levels; and changes to the base
matrix and modifiers.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in May 2024.
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on Moody's published methodology
and could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Portfolio par: $499,386,495
Diversity Score: 65
Weighted Average Rating Factor (WARF): 3046
Weighted Average Spread (WAS): 3.30%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 46.0%
Weighted Average Life (WAL): 8.0 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2024.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.
RIVERBANK PARK: S&P Assigns Prelim BB- (sf) Rating on E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Riverbank
Park CLO Ltd./Riverbank 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 Dec. 9,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Riverbank Park CLO Ltd./Riverbank Park CLO LLC
Class A-1, $246.00 million: AAA (sf)
Class A-2, $18.00 million: Not rated
Class B-1, $30.00 million: AA (sf)
Class B-2, $10.00 million: AA (sf)
Class C (deferrable), $24.00 million: A (sf)
Class D (deferrable), $24.00 million: BBB- (sf)
Class E (deferrable), $16.00 million: BB- (sf)
Subordinated notes, $39.40 million: Not rated
SBALR COMMERCIAL 2020-RR1: DBRS Confirms C Rating on 3 Classes
--------------------------------------------------------------
DBRS Limited confirmed its credit ratings on all classes of
Commercial Mortgage Pass-Through Certificates, Series 2020-RR1
issued by SBALR Commercial Mortgage 2020-RR1 Trust as follows:
-- Class A-3 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class A-S at AA (high) (sf)
-- Class B at B (high) (sf)
-- Class C at CCC (sf)
-- Class D at C (sf)
-- Class E at C (sf)
-- Class F at C (sf)
In addition, Morningstar DBRS changed the trends on Classes A-3,
A-AB, X-A, A-S, and B to Stable from Negative. Classes C, D, E, and
F are assigned credit ratings that do not typically carry a trend
in commercial mortgage-backed securities (CMBS) credit ratings.
The credit rating confirmations reflect Morningstar DBRS' current
outlook and loss expectations for the transaction. During the prior
review, Morningstar DBRS downgraded its credit ratings on six
classes and changed the trends on Classes A-3, A-AB, X-A, A-S, and
B to Negative from Stable, primarily because of concerns related to
the transaction's largest loan group, Emerald Bronx Multifamily
Portfolio (the Emerald portfolio; Prospectus ID#s 2, 3, 4, 5, 6,
10, 11, and 13; 31.1% of the pool). Since that time, updated
appraisals have been made available for the properties backing the
eight defaulted loans. Those appraisals indicate the as-is values
for the underlying collateral have not deteriorated further over
the last year, supporting the change in trends to Stable from
Negative. Additional details are outlined below.
As of the October 2024 reporting, 50 of the original 59 loans
remain in the pool with an aggregate principal balance of $353.5
million, representing collateral reduction of 11.6% since issuance.
To date, the trust has incurred a total loss of approximately $1.0
million, which has been contained to the nonrated Class G
certificate. There are 13 loans, representing 19.2% of the pool, on
the servicer's watchlist, and 10 loans, representing 36.4% of the
pool, in special servicing. In addition, the largest loan in the
pool, Winner's Circle at Saratoga Apartments (Prospectus ID#1; 5.8%
of the pool), has fully defeased.
The transaction is highly exposed to rent-stabilized, workforce
housing, located in New York City (NYC), which represents 37.9% of
the current pool balance, as both the Emerald portfolio and another
group of loans, Gutman and Hoffman Multifamily Portfolio (Gutman
portfolio; Prospectus ID#s 9 and 12; 6.8% of the pool), are
collateralized by that property type. In the analysis for this
review, Morningstar DBRS assumed liquidation scenarios for all 10
loans in special servicing (based on haircuts to the most recent
appraised values), including the Emerald portfolio loans, Clarion
Suites Anchorage loan (Prospectus ID#7; 3.7% of the pool) and
Executive Center V loan (Prospectus ID#29; 1.6% of the pool), which
transferred to the special servicer in May 2024. Although both
loans within the Gutman portfolio are current and the reported cash
flows are relatively in line with the issuance figures, Morningstar
DBRS considered a stressed scenario for those two loans based on an
as-is value decline for the underlying properties. This approach
was considered appropriate given the increased challenges for
rent-stabilized assets located in NYC. The scenarios analyzed for
this review resulted in an aggregate forecast loss projection
totaling approximately $50.0 million, which would fully erode
Classes E, F, and G and reduce the Class D balance by more than
70.0%.
The Emerald portfolio is composed of eight loans secured by smaller
portfolios of multifamily properties, typically classified as
workforce housing. In total, the portfolio consists of 28
properties and 747 units in multiple neighborhoods in the Bronx.
The loans transferred to the special servicer between May 2023 and
November 2023 for imminent monetary default with the sponsor,
Emerald Equity Group, citing nonpaying tenants and inflated
expenses as the source of the payment issues. According to the most
recent servicer reporting, foreclosure litigation remains active
and in progress. Morningstar DBRS notes that the sponsor is having
difficulty outside of the subject portfolios, with other defaults
reported since 2020. In addition, the subject financing represented
an $8.7 million cash out, with equity of just more than $500,000
remaining. The appraisals for the properties backing the defaulted
loans reported weighted-average (WA) value declines of
approximately 45.0% when compared with the issuance appraised
values. When considering the updated values in a hypothetical
liquidation scenario, including a haircut to the most recent
appraised values, the resulting liquidated loss amounts suggest a
WA loss severity in excess of 35.0% could be realized upon
disposition.
The Clarion Suites Anchorage loan is secured by a 112-room
limited-service hotel in Anchorage, Alaska. The loan transferred to
the special servicer in October 2020 and the asset became real
estate owned in December 2021. According to the most recent
servicer commentary, an unsolicited purchase offer for the property
was received, the terms of which are currently being reviewed. The
most recent appraisal, dated March 2022, valued the property at
$16.0 million, considerably lower than the issuance appraisal value
of $22.0 million. Morningstar DBRS' analysis included a liquidation
scenario based on a haircut to the most recent appraised value,
resulting in a projected loss severity approaching 20.0%.
The Executive Center V loan is secured by a 57,180-square-foot (sf)
multitenant office property in Brookfield, Wisconsin. The loan
transferred to the special servicer in May 2024 after the borrower
stated that the property was not generating sufficient cash flow to
cover debt service obligations. Prior to its transfer to the
special servicer, the borrower executed three new leases increasing
occupancy to approximately 83.0% from 19.0%. However, the borrower
failed to reimburse the contractor for the renovations performed on
the two of three spaces, prompting the special servicer to move
forward with foreclosure proceedings. A July 2024 appraisal valued
the property at $4.8 million, 40.0% below the issuance appraised
value of $8.0 million. Morningstar DBRS' analysis included a
liquidation scenario based on a haircut to the most recent
appraised value, resulting in a projected loss severity of
approximately 40.0%.
Notes: All figures are in U.S. dollars unless otherwise noted.
SCULPTOR CLO XXXIV: S&P Assigns Prelim BB- (sf) Rating on E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Sculptor CLO
XXXIV Ltd./Sculptor CLO XXXIV 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 Sculptor CLO Advisors LLC.
The preliminary ratings are based on information as of Dec. 6,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Sculptor CLO XXXIV Ltd./Sculptor CLO XXXIV LLC
Class A-1, $252.00 million: AAA (sf)
Class A-2, $4.00 million: AAA (sf)
Class B, $48.00 million: AA (sf)
Class C (deferrable), $24.00 million: A (sf)
Class D-1 (deferrable), $20.00 million: BBB- (sf)
Class D-2 (deferrable), $8.00 million: BBB- (sf)
Class E (deferrable), $12.00 million: BB- (sf)
Subordinated notes, $40.00 million: Not rated
SHACKLETON 2014-V-R: Moody's Cuts Rating on $9.5MM F Notes to Caa3
------------------------------------------------------------------
Moody's Ratings has taken a variety of rating actions on Shackleton
2014-V-R CLO, Ltd. on the following notes:
US$65,500,000 Class B Senior Floating Rate Notes Due 2031,
Upgraded to Aaa (sf); previously on Nov 1, 2023 Upgraded to Aa1
(sf)
US$29,750,000 Class C Mezzanine Deferrable Floating Rate Notes Due
2031, Upgraded to Aa1 (sf); previously on May 7, 2018 Assigned A2
(sf)
US$33,500,000 Class D Mezzanine Deferrable Floating Rate Notes Due
2031, Upgraded to Baa2 (sf); previously on Sep 4, 2020 Confirmed at
Baa3 (sf)
US$9,500,000 Class F Junior Deferrable Floating Rate Notes Due
2031, Downgraded to Caa3 (sf); previously on Sep 4, 2020 Downgraded
to Caa2 (sf)
Moody's have also affirmed the ratings on the following notes:
US$385,000,000 (Current outstanding amount US$172,507,138) Class A
Senior Floating Rate Notes Due 2031, Affirmed Aaa (sf); previously
on May 7, 2018 Assigned Aaa (sf)
US$31,250,000 Class E Junior Deferrable Floating Rate Notes Due
2031, Affirmed B1 (sf); previously on Sep 4, 2020 Downgraded to B1
(sf)
Shackleton 2014-V-R CLO, Ltd., issued in May 2018, is a
collateralised loan obligation (CLO) backed by a portfolio of
broadly syndicated senior secured corporate loans. The portfolio is
managed by Alcentra NY, LLC. The transaction's reinvestment period
ended in April 2023.
RATINGS RATIONALE
The upgrades on the ratings on the Class B, C and D Notes are
primarily a result of the deleveraging of the Class A Notes
following amortisation of the underlying portfolio since the last
rating action in November 2023.
The Class A Notes have paid down by approximately USD 212.5 million
(55.2%) since closing. As a result of the deleveraging,
over-collateralisation (OC) has increased. According to the trustee
report dated October 2024 [1] the Class A/B, Class C, Class D and
Class E OC ratios are reported at 139.0%, 125.7%, 113.4% and 103.9%
compared to November 2023 [2] levels of 128.0%, 119.7%, 111.6% and
105.0% respectively. Moody's note that November 2024 payments are
not reflected in the reported OC ratios.
The deleveraging and OC improvements primarily resulted from high
prepayment rates of leveraged loans in the underlying portfolio.
Most of the prepaid proceeds have been applied to amortise the
liabilities. All else held equal, such deleveraging is generally a
positive credit driver for the CLO's rated liabilities.
The downgrade to the rating on the Class F Notes is due to the
deterioration in their over-collateralisation ratios since the last
rating action in November 2023. The action reflects the risk posed
to those junior notes. Defaults and asset sales have led to erosion
of the par amount of the portfolio, alongside an increased
concentration of Caa assets. Whilst there is no currently
applicable OC test associated with the Class F, the reported IDT
ratio based on Class F decreased to 101.37% in October 2024 [1]
from 103.1% in November 2023 [2].
The affirmations on the ratings on the Class A and Class E Notes
are primarily a result of the expected losses on the notes
remaining consistent with their current rating levels, after taking
into account the CLO's latest portfolio, its relevant structural
features and its actual over-collateralisation ratios.
The 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: USD350.65m
Defaulted Securities: USD9.0m
Diversity Score: 62
Weighted Average Rating Factor (WARF): 3145
Weighted Average Life (WAL): 3.27 years
Weighted Average Spread (WAS): 3.43%
Weighted Average Recovery Rate (WARR): 47.16%
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" published in
October 2024. Moody's concluded the ratings of the notes are not
constrained by these risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.
Additional uncertainty about performance is due to the following:
-- Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.
-- Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assume have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Recoveries
higher than Moody's expectations would have a positive impact on
the notes' ratings.
In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
Moody's other analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
SHANKARA LLC: Case Summary & Five Unsecured Creditors
-----------------------------------------------------
Debtor: Shankara, LLC
1016 N. Martin Luther King Hwy
Lake Charles, LA 70601
Case No.: 24-20562
Chapter 11 Petition Date: December 12, 2024
Court: United States Bankruptcy Court
Western District of Louisiana
Judge: Hon. John W Kolwe
Debtor's Counsel: Wade N. Kelly, Esq.
Wade N. Kelly Packard LaPray
WADE N KELLEY, LLC
Packard LaPray
2201 Oak Park Boulevard
Lake Charles, LA 70601
Tel: 337-431-7170
E-mail: staff@packardlaw.com
Estimated Assets: $100,000 to $500,000
Estimated Liabilities: $1 million to $10 million
The petition was signed by Sanjay Desai as manager/member.
A copy of the Debtor's list of five unsecured creditors is
available for free at PacerMonitor.com at:
https://www.pacermonitor.com/view/QLT7QBY/Shankara_LLC__lawbke-24-20562__0002.0.pdf?mcid=tGE4TAMA
A full-text copy of the petition is available for free at
PacerMonitor.com at:
https://www.pacermonitor.com/view/QPWFSIA/Shankara_LLC__lawbke-24-20562__0001.0.pdf?mcid=tGE4TAMA
SIGNAL PEAK 9: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
--------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class X,
A-1R, A-2R, B-R, C-R, D-1R, D-2R, and E-R replacement debt from
Signal Peak CLO 9 Ltd./Signal Peak CLO 9 LLC, a CLO originally
issued in June 2021 that is managed by ORIX Advisers LLC, a wholly
owned subsidiary of ORIX Corp. USA.
The preliminary ratings are based on information as of Dec. 6,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Dec. 12, 2024, refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt, which
wasn't rated by S&P Global Ratings. At that time, S&P expects to
assign ratings to the replacement debt. However, if the refinancing
doesn't occur, it may withdraw its preliminary ratings on the
replacement debt.
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture, the transaction
will be collateralized by at least 90% senior secured loans, cash,
and eligible investments, with a minimum of 90% of the loan
borrowers required to be based in the U.S., Canada, the U.K., and
Netherlands.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
Signal Peak CLO 9 Ltd./Signal Peak CLO 9 LLC
Class X, $5.000 million: AAA (sf)
Class A-1R, $310.000 million: AAA (sf)
Class A-2R, $10.000 million: AAA (sf)
Class B-R, $60.000 million: AA (sf)
Class C-R (deferrable), $30.000 million: A (sf)
Class D-1R (deferrable), $25.000 million: BBB (sf)
Class D-2R (deferrable), $10.000 million: BBB- (sf)
Class E-R (deferrable), $15.000 million: BB- (sf)
Subordinated notes, $52.245 million: Not rated
SIXTH STREET VIII: S&P Assigns BB- (sf) Rating on Cl. D-R2 Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R2,
A-2-R2, B-R2, C-R2, and D-R2 replacement debt from Sixth Street CLO
VIII Ltd./Sixth Street CLO VIII LLC, a CLO originally issued in
November 2021 that is managed by Sixth Street CLO VIII Management,
LLC. At the same time, we withdrew our ratings on the original
class A-1-R, A-2-R, B-R, C-R, and D-R debt following payment in
full on the Dec. 6, 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. 20, 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.
S&P said, "On a standalone basis, our cash flow analysis indicated
a lower rating on the class D-R2 debt than the rating action on the
debt reflects. However, we assigned our 'BB-(sf)' rating to the
class D-R2 debt after considering the margin of failure, the
relatively stable overcollateralization ratio since our last rating
action on the transaction, and that the transaction will soon enter
its amortization phase. Based on the latter, we expect the credit
support available to all rated classes to increase as principal is
collected and the senior debt is paid down. In addition, we believe
the payment of principal or interest on the class D-R2 debt when
due does not depend on favorable business, financial, or economic
conditions. Therefore, this class does not fit our definition of
'CCC' risk in accordance with our guidance criteria."
Replacement And Original Debt Issuances
Replacement debt
-- Class A-1-R2, $248.0 million: Three-month CME term SOFR +
1.15%
-- Class A-2-R2, $56.0 million: Three-month CME term SOFR + 1.65%
-- Class B-R2, $24.0 million: Three-month CME term SOFR + 1.80%
-- Class C-R2, $24.0 million: Three-month CME term SOFR + 2.95%
-- Class D-R2, $15.0 million: Three-month CME term SOFR + 6.75%
-- Subordinated notes, $39.6 million: Not applicable
Original debt
-- Class A-1-R, $248.0 million: Three-month CME term SOFR +
1.42%(i)
-- Class A-2-R, $56.0 million: Three-month CME term SOFR +
1.96%(i)
-- Class B-R, $24.0 million: Three-month CME term SOFR + 2.46%(i)
-- Class C-R, $24.0 million: Three-month CME term SOFR + 3.66%(i)
-- Class D-R, $15.0 million: Three-month CME term SOFR + 6.96%(i)
-- Subordinated notes, $39.6 million: Not applicable
(i)Includes 0.26% 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
Sixth Street CLO VIII Ltd./Sixth Street CLO VIII LLC
Class A-1-R2, $248.0 million: AAA (sf)
Class A-2-R2, $56.0 million: AA (sf)
Class B-R2, $24.0 million: A (sf)
Class C-R2, $24.0 million: BBB- (sf)
Class D-R2, $15.0 million: BB- (sf)
Subordinated notes, $39.6 million: Not rated
Ratings Withdrawn
Sixth Street CLO VIII Ltd./Sixth Street CLO VIII LLC
Class A-1-R to not rated from 'AAA (sf)'
Class A-2-R to not rated from 'AA (sf)'
Class B-R to not rated from 'A (sf)'
Class C-R to not rated from 'BBB- (sf)'
Class D-R to not rated from 'BB- (sf)'
SOFI PERSONAL 2024-3: Fitch Corrects Oct. 28 Ratings Release
------------------------------------------------------------
Fitch Ratings issued a correction of a release on SoFi Personal
Loan Trust 2024-3 published on Oct. 28, 2024. It clarifies that the
original E and F classes are now recorded as E-1, E-2, F-1, and
F-2, with no rating impact.
The amended ratings release is as follows:
Fitch Ratings has assigned ratings and Rating Outlooks to the notes
issued by SoFi Personal Loan Trust 2024-3 (SPLT 2024-3).
Entity/Debt Rating
----------- ------
SoFi Personal Loan
Trust 2024-3
A 83390LAA5 LT AAAsf New Rating
B 83390LAB3 LT AAsf New Rating
C 83390LAC1 LT Asf New Rating
D 83390LAD9 LT BBBsf New Rating
E-1 LT BBsf New Rating
E-2 LT BBsf New Rating
F-1 LT B+sf New Rating
F-2 LT B+sf New Rating
Transaction Summary
The SPLT 2024-3 trust is a discrete trust backed by a static pool
of unsecured consumer loans originated by SoFi Bank, National
Association (SoFi Bank) under the SoFi Personal Loan Program. The
transaction is being offered as a Rule 144A issuance. SoFi Bank is
the sponsor, administrator and servicer. SPLT 2024-3 is the fourth
SoFi-sponsored ABS transaction rated by Fitch.
KEY RATING DRIVERS
Consistent Receivable Quality: The SPLT 2024-3 pool primarily
consists of unsecured consumer loans made to obligors with strong
credit scores (average credit score: 746) and high incomes
(weighted average [WA] income: $173,085). The pool consists of
amortizing loans with a WA net interest rate of 12.66% and a WA
original term of 48 months, and has been seasoned for three months
on average.
Base Case Default Reflects Recent Performance Trends: SoFi's
managed default rates increased in vintage years 2022 and early
2023 relative to prior origination vintages since 2015. Fitch took
this recent weaker performance into account as part of its base
case default assumption analysis, using 2021 and 2022 as more
relevant years for comparative purposes. These periods are
considered more indicative of future trends and also highlight the
early-stage performance improvements observed in recent 2023 and
2024 vintages, leading to a base case default assumption of 6.11%.
Fitch applied a stress multiple of 4.5x at the 'AAAsf' stress level
for the pool.
Stable Historical Performance: To date, the default performance of
SoFi's prior securitizations and overall managed portfolio has been
stable. However, managed default performance, particularly in the
2022 and early 2023 vintages, has been weaker than seen in
historical originations. While early indicators show improving
performance in recent 2023 and 2024 vintages due to tighter credit
processes, Fitch factored these recent weaker performance trends
into its base case default assumptions and default stress
multiple.
Adequate Servicing Capabilities: SoFi has a long track record as an
originator, underwriter and servicer. SoFi began originating
personal loans in 2015. The entity's credit-risk profile is
mitigated by backup servicing provided by Systems & Services
Technologies, Inc. (SST). Fitch considers all parties to be
adequate servicers for this pool at their expected rating levels.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Current Expected Ratings: 'AAAsf', 'AAsf', 'Asf', 'BBBsf', 'BBsf',
'B+sf';
Increased default base case by 10%: 'AA+sf', 'AA-sf', 'A-sf',
'BBB-sf', 'B+sf', 'Bsf';
Increased default base case by 25%: 'AAsf', 'Asf', 'BBBsf',
'BB+sf', 'B-sf', 'CCCsf';
Increased default base case by 50%: 'A+sf', 'BBB+sf', 'BBB-sf',
'BBsf', 'NRsf', 'NRsf';
Increased default base case by 100%: 'BBB+sf', 'BBB-sf', 'BBsf',
'CCCsf', 'NRsf', 'NRsf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Current Expected Ratings: 'AAAsf', 'AAsf', 'Asf', 'BBBsf', 'BBsf',
'B+sf';
Decreased default base case by 25%: 'AAAsf', 'AAAsf', 'AA-sf',
'A-sf', 'BB+sf', 'BB+sf'.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Deloitte & Touche LLP. The third-party due diligence
described in Form 15E focused on a comparison and recalculation of
certain characteristics with respect to 125 randomly selected
statistical receivables. 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.
SREIT COMMERCIAL 2021-MFP2: DBRS Confirms B(low) Rating on G Certs
------------------------------------------------------------------
DBRS Limited confirmed its credit ratings on all classes of
Commercial Mortgage Pass-Through Certificates, Series 2021-MFP2
issued by SREIT Commercial Mortgage Trust 2021-MFP2 as follows:
-- Class A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (high) (sf)
-- Class D at BBB (high) (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)
All trends are Stable.
The credit rating confirmations reflect the overall stable
performance of the transaction, as evidenced by the net cash flow
(NCF) growth since issuance and stable occupancy rates across the
portfolio. The portfolio is backed by multifamily properties in
desirable submarkets in North Carolina and Florida that continue to
exhibit generally stable occupancy rates and report increased
average rental rates.
The transaction is secured by the borrower's fee-simple interest in
nine garden-style multifamily properties, totaling 3,441 units
across North Carolina (six properties, 58.0% of the allocated loan
amount (ALA)) and Florida (three properties, 42.0% of the ALA). The
sponsor, Starwood Real Estate Income Trust, Inc. (SREIT),
contributed $380.1 million of equity in the acquisition of the
subject portfolio. The interest-only, floating-rate loan had an
initial maturity of December 2023 and was structured with three
one-year extension options. Each of the extension options requires
the purchase of a new interest rate cap agreement, but they are not
subject to performance triggers or financial covenants. According
to the servicer, the second maturity extension, which would extend
the loan to December 2025, has been requested, leaving the single
one-year extension option remaining.
The loan has a partial pro rata/sequential-pay structure that
allows for pro rata paydowns for the first 20.0% of the original
principal balance, with customary debt yield and loan-to-value
ratio (LTV) tests. The prepayment premium for the release of
individual assets is 105% of the ALA for the first 20% of the
principal amount, and 110% of the ALA thereafter. Morningstar DBRS
considers the release premium to be weaker than the generally
credit-neutral standard of 115.0%. To date, there have been no
property releases.
As of the June 2024 rent roll, the portfolio reported an occupancy
of 91.8%, compared with the YE2023 and issuance figures of 93.0%
and 95.0%, respectively. The portfolio reported a weighted-average
(WA) rental rate of $1,687 per unit, which is a slight increase
from the June 2023 figure of $1,672 per unit, and comfortably above
the $1,368 per unit at issuance. According to Reis, the WA vacancy
rate across the represented submarkets for Q3 2024 was 6.9%, with a
five-year forecast vacancy rate of 5.8%. Despite the small
year-over-year decrease in occupancy, the NCF as of YE2023 was
reported at $39.7 million with a debt service coverage ratio (DSCR)
of 1.70 times (x). For comparison, the YE2022 NCF was $37.8 million
with a DSCR of 1.59x, and the Morningstar DBRS NCF derived at
issuance was $31.8 million with a DSCR of 2.14x. The decline in the
DSCR from issuance is attributable to the increased debt service
payments given the floating-rate nature of the loan.
Given the properties' locations in Florida and North Carolina,
Morningstar DBRS requested an update from the servicer about any
potential damages to the subject properties from Hurricane Helene
(September 2024) and Hurricane Milton (October 2024). As per the
servicer's response, no damages were reported across the portfolio;
however, Morningstar DBRS expects concerns about rising insurance
costs to persist for properties in high climate risk areas. The
purchase of an interest rate cap agreement, while mitigating
interest rate volatility risks, is also representative of a sizable
cost to the borrower. Given the rise in interest rates since the
transaction's closing in 2021, Morningstar DBRS also notes that
refinance risks have increased since issuance. Mitigating factors
include the significant equity contribution and the cash flow
growth since issuance, as well as the overall appeal of the
portfolio.
At issuance, Morningstar DBRS derived a value of $470.8 million
based on the Morningstar DBRS NCF of $31.8 million and a
capitalization rate of 6.75%, resulting in a Morningstar DRBS LTV
of 134.6% compared with the LTV of 65.0% based on the appraised
value at issuance. Positive qualitative adjustments totaling 5.75%
were applied to the LTV Sizing Benchmarks to reflect the continued
stable portfolio occupancy, growing average rental rates, and
location in well-performing submarkets with an average vacancy rate
that is projected to continue to tighten over the next five years.
Notes: All figures are in U.S. dollars unless otherwise noted.
SYMPHONY CLO 46: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
Symphony CLO 46, Ltd.
Entity/Debt Rating
----------- ------
Symphony CLO 46, Ltd.
A-1 LT NR(EXP)sf Expected Rating
A-2 LT AAA(EXP)sf Expected Rating
B-1 LT AA(EXP)sf Expected Rating
B-2 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
Symphony CLO 46, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Symphony Alternative Asset Management LLC. Net proceeds from the
issuance of the secured and subordinated notes will provide
financing on a portfolio of approximately $400 million of primarily
first lien senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B+'/'B', which is in line with that of
recent CLOs. The weighted average rating factor (WARF) of the
indicative portfolio is 23.2, versus a maximum covenant, in
accordance with the initial expected matrix point of 25.0. 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
98.5% first lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 75.7% versus a
minimum covenant, in accordance with the initial expected matrix
point of 73.0%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 47.5% of the portfolio balance in aggregate, while
the top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
that of 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 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
metrics; the results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2 notes, between
'BB+sf' and 'A+sf' for class B notes, between 'B+sf' 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-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 notes, 'AA+sf' 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 presale report, which is available at www.fitchratings.com.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other Nationally
Recognized Statistical Rating Organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assesses the asset portfolio
information.
Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the rating
agency's rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Symphony CLO 46,
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.
TCW CLO 2024-3: Fitch Assigns 'BB-sf' Rating on Class E Notes
-------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to TCW CLO
2024-3, LTD.
Entity/Debt Rating
----------- ------
TCW CLO 2024-3, LTD.
A1 Loan LT NRsf New Rating
A1 Notes LT NRsf New Rating
AJ LT AAAsf New Rating
B LT AAsf New Rating
C LT Asf New Rating
D1A LT BBBsf New Rating
D1F LT BBBsf New Rating
DJ LT BBB-sf New Rating
E LT BB-sf New Rating
Subordinated notes LT NRsf New Rating
X LT AAAsf New Rating
Transaction Summary
TCW CLO 2024-3, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by TCW
Asset Management Company LLC. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $400 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B+'/'B', which is in line with that of
recent CLOs. The weighted average rating factor (WARF) of the
indicative portfolio is 22.64, versus a maximum covenant, in
accordance with the initial expected matrix point of 23. 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
98.88% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 76.37% versus a
minimum covenant, in accordance with the initial expected matrix
point of 70.93%.
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 4.9-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting to the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The weighted average life (WAL) used for the transaction stress
portfolio and matrices analysis is 12 months less than the WAL
covenant to account for structural and reinvestment conditions
after the reinvestment period. In Fitch's opinion, these conditions
would reduce the effective risk horizon of the portfolio during
stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for
class AJ, 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 D1, between less than 'B-sf' and 'BB+sf' for class DJ, and
between less than 'B-sf' and 'B+sf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class X and class AJ
notes as these notes are in the highest rating category of
'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for
class D1, 'A-sf' for class DJ, and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other Nationally
Recognized Statistical Rating Organizations and/or European
securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for TCW CLO 2024-3,
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 2024-2: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B2 Notes
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Towd Point Mortgage
Trust 2024-2 (TPMT 2024-2).
Entity/Debt Rating
----------- ------
Towd Point
Mortgage Trust
2024-2
A1A LT AAA(EXP)sf Expected Rating
A1B LT AAA(EXP)sf Expected Rating
A2 LT AA-(EXP)sf Expected Rating
M1 LT A-(EXP)sf Expected Rating
M2 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
B4 LT NR(EXP)sf Expected Rating
B5 LT NR(EXP)sf Expected Rating
A1 LT AAA(EXP)sf Expected Rating
XS1 LT NR(EXP)sf Expected Rating
XS2 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 notes to be
issued by Towd Point Mortgage Trust 2024-2 (TPMT 2024-2) as
indicated above. The transaction is expected to close on Dec. 19,
2024. The notes are supported by 860 primarily seasoned performing
loans (SPLs) and reperforming loans (RPLs) with a total balance of
approximately $546 million.
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. The
servicers will advance delinquent (DQ) monthly payments of P&I for
up to 180 days or until deemed nonrecoverable.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 8.6% above a long-term sustainable level (vs. 11.6%
on a national level as of 2Q24, up 0.1% 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 4.3% YoY nationally as of August 2024 despite modest
regional declines, but are still being supported by limited
inventory.
Seasoned Prime Credit Quality (Positive): The collateral consists
of 860 seasoned performing and re-performing first and second lien
loans, totaling $546 million, and seasoned approximately 94 months
in aggregate (as calculated by Fitch as the difference between the
origination date and the run date). The pool is 99.5% current and
0.5% DQ. Over the last two years 93.4% of loans have been clean
current. Additionally, 0.7% of loans have a prior modification.
The borrowers have a very strong credit profile (769 Fitch model
FICO and 36% DTI) and low leverage (47% sustainable LTV [sLTV]).
The pool consists of 84.7% of loans where the borrower maintains a
primary residence, while 15.3% are investment properties or second
home.
Low Leverage (Positive): The pool consists of loans with a weighted
average (WA) original combined loan-to-value (CLTV) ratio of 63.2%.
All loans received updated property values, translating to a WA
current (mark-to-market) CLTV ratio of 42.3% after applicable
haircuts based on valuation type and a sLTV of 46.5% at the base
case. This reflects low leverage borrowers and is stronger than in
comparable seasoned transactions.
Payment Shock (Negative): Of the pool, 84% of the pool loans are
vulnerable to a future payment shock, either as a result of
underlying adjustable-rate loans or loans currently in an
interest-only period (or both). As the adjustable-rate loans were
originated under low rates and given the current rate environment,
the reset could prove to be meaningful. The borrowers' credit
profile and very low leverage should mitigate potential defaults
arising from a payment shock; however, defaults were still
increased by 60% to account for this risk.
Limited Advancing (Mixed): The deal is structured to six months of
servicer advances for DQ P&I. The limited advancing reduces loss
severities, as there is a lower amount repaid to the servicer when
a loan liquidates and liquidation proceeds are prioritized to cover
principal repayment over accrued but unpaid interest. The downside
to this is the additional stress on the structure side, as there is
limited liquidity in the event of large and extended
delinquencies.
Sequential-Pay Structure (Positive): The transaction's cash flow is
based on a sequential-pay structure (pro-rata to the AAAsf rated
notes), 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
re-allocate 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.
Indemnification Clause (Positive): U.S. Bank (the seller) will
provide the ability-to-repay (ATR) rep and will indemnify any
losses resulting from noncompliance with the ATR standards. Fitch
deems the indemnification provision, summarized below, to be robust
enough to cover any ATR-related risks or losses.
U.S. Bank's ATR representation states that all mortgage loans
originated on or after Jan. 10, 2014, comply with the ATR standards
specified in Section 1026.43(c) of Regulation Z. If a claim or
proposed settlement indicates a potential breach of this
representation, the U.S. Bank remedy provider will either
repurchase the mortgage loan or notify the issuer of its decision
not to repurchase.
If the loan is not repurchased, the remedy provider must compensate
the issuer for any losses resulting from a successful claim or
defense by the borrower related to the ATR representation. In
addition, the remedy provider will indemnify the issuer against
various costs and damages arising from any breach of the ATR
representation, except in cases of gross negligence, willful
misconduct by the issuer, or the issuer's failure to comply with
the U.S. bank master lease purchase agreement (MLPA) terms.
The analysis included two variations to Fitch's criteria. The
number of loans diligenced did not meet the minimum 200 loan sample
however this was mitigated by the number of loans diligenced on the
larger pool which this transaction is a subset of and there was no
rating impact as a result. The second variation resulted in a one
rating category improvement compared to if the variation was not
applied.
Due to the material amount of equity in the properties even after
the application of Fitch's property value decline assumptions,
Fitch's standard minimum loss severities were overly punitive. This
analysis included lower loss severity floors at each rating
category and are outlined further in the related presale report.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
This defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper market value declines (MVDs) at
the national level. The analysis assumes MVDs of 10.0%, 20.0% and
30.0% in addition to the model-projected 40.6% at 'AAAsf'. The
analysis indicates there is some potential rating migration with
higher MVDs for all rated classes compared with the model
projection. Specifically, a 10% additional decline in home prices
would lower all rated classes by one full category
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
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 class 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 AMC. A third-party due diligence was performed on
approximately 10.5% of the pool by loan count by AMC assessed as an
'Acceptable' third-party review (TPR) firm by Fitch. The scope
primarily focused on a regulatory compliance review to ensure loans
were originated in accordance with predatory lending regulations.
In addition, a tax and title review was completed on 100% of the
loans by Westcor.
While the review was substantially similar to Fitch criteria with
respect to RPL transactions, the sample size yielded minor
variations to the criteria as indicated above. Fitch considered
this information in its analysis and there was no impact on the
losses.
ESG Considerations
Towd Point Mortgage Trust 2024-2 has an ESG Relevance Score of '4'
for Exposure to Environmental Impacts due to geographic
concentrations, which has a negative impact on the credit profile,
and is relevant to the rating[s] in conjunction with other
factors.
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
TRINITAS CLO XXXI: S&P Assigns Prelim BB- (sf) Rating on E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Trinitas CLO
XXXI Ltd./Trinitas CLO XXXI 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 Trinitas Capital Management LLC.
The preliminary ratings are based on information as of Dec. 9,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Trinitas CLO XXXI Ltd./Trinitas CLO XXXI LLC
Class A-1, $73.00 million: AAA (sf)
Class A-1LA, 129.00 million: AAA (sf)
Class A-1LB, $50.00 million: AAA (sf)
Class A-2, $4.00 million: AAA (sf)
Class B, $48.00 million: AA (sf)
Class C (deferrable), $24.00 million: A (sf)
Class D-1 (deferrable), $24.00 million: BBB- (sf)
Class D-2 (deferrable), $4.00 million: BBB- (sf)
Class E (deferrable), $12.00 million: BB- (sf)
Subordinated notes, $40.70 million: Not rated
UBS COMMERCIAL 2017-C3: Fitch Lowers Rating on E-RR Certs to 'BBsf'
-------------------------------------------------------------------
Fitch Ratings has downgraded one and affirmed 12 classes of UBS
Commercial Mortgage Trust 2017-C3 commercial mortgage pass-through
certificates. Class E-RR has been assigned a Negative Rating
Outlook following the downgrade. The Outlooks for affirmed classes
B, C, D-RR, F-RR and X-B remain Negative.
Entity/Debt Rating Prior
----------- ------ -----
UBS 2017-C3
A-2 90276GAP7 LT AAAsf Affirmed AAAsf
A-3 90276GAR3 LT AAAsf Affirmed AAAsf
A-4 90276GAS1 LT AAAsf Affirmed AAAsf
A-S 90276GAW2 LT AA+sf Affirmed AA+sf
A-SB 90276GAQ5 LT AAAsf Affirmed AAAsf
B 90276GAX0 LT AA-sf Affirmed AA-sf
C 90276GAY8 LT A-sf Affirmed A-sf
D-RR 90276GAA0 LT BBBsf Affirmed BBBsf
E-RR 90276GAC6 LT BBsf Downgrade BBB-sf
F-RR 90276GAE2 LT B-sf Affirmed B-sf
G-RR 90276GAG7 LT CCCsf Affirmed CCCsf
X-A 90276GAU6 LT AAAsf Affirmed AAAsf
X-B 90276GAV4 LT AA-sf Affirmed AA-sf
KEY RATING DRIVERS
Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case
loss is 5.4%, up from 4.7% at Fitch's prior rating action,
primarily driven by higher expected losses on two specially
serviced loans. Thirteen loans (38.3% of the pool), including five
loans (17.4%) in special servicing have been identified as Fitch
Loans of Concern (FLOCs).
The downgrade reflects higher pool loss expectations, primarily
driven by the specially serviced Center 78 (4.7%) and Crowne Plaza
Memphis Downtown (2.2%) loans. The Negative Outlooks reflect the
potential for downgrades with further performance deterioration
and/or lack of stabilization on the FLOCs including the
aforementioned specially serviced loans. Office is the largest
property type concentration representing 25% of the pool; 14.8% are
considered FLOCs.
Largest Increases in Loss Expectations: The largest increase in
loss since the prior rating action and largest contributor to
overall pool loss expectations is The Center 78 (4.7%), which is
secured by a 372,672-sf suburban office building in Warren NJ. The
loan transferred to special servicing in December 2023 due to
imminent monetary default. The largest tenant is Haleon US Holdings
LLC (39% NRA; lease expires February 2027).
Occupancy declined to 65% per the October 2024 rent roll from 87%
at YE 2022 primarily due to the second largest tenant, EMC
Corporation, (13.6%) vacating at its 2023 lease expiration. Debt
service coverage ratio (DSCR) was a reported 0.96x at September
2023, down from 1.31x at YE 2022. Per the special servicer, the
appointment of a receiver has been approved.
The loan's delinquency status has fluctuated from current to up to
90+ days past-due and was 30 days delinquent as of the November
2024 remittance. No updated appraisal value has been provided.
Fitch's 'Bsf' rating case loss of 41.2% (prior to concentration
adjustments) reflects a 10% cap rate and annualized June 2024 NOI.
The second largest contributor to loss expectations is Crowne Plaza
Memphis Downtown loan (2.2%), which is secured by a 230-key
full-service hotel located in Memphis, TN. Performance has
deteriorated since issuance, and the loan transferred to special
servicing in June 2023. Performance failed to recover post
pandemic, with DSCR well below 1.0x since YE 2020. Fitch's 'Bsf'
rating case loss of 64.9% incorporates a stress to the most recent
appraised value, reflecting a value of $32,000 per key.
Change in Credit Enhancement (CE): As of the November 2024
distribution date, the transaction has been reduced by 12.4% since
issuance. Nine loans (29.6%) have been defeased. Interest
shortfalls of approximately $515,000 are impacting non-rated class
NR-RR.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Downgrades to 'AAAsf' rated classes are not expected due to the
high CE 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 or if defeasance
increases significantly;
- Downgrades to the classes rated in the 'AAsf' and 'Asf'
categories could occur should performance of the FLOCs, most
notably Center 78 and Crowne Plaza Memphis Downtown, deteriorate
further or if more loans than expected default at or prior to
maturity;
- Downgrades to the classes rated in the 'BBBsf', 'BBsf', and 'Bsf'
categories are likely with higher than expected losses from
continued underperformance of the FLOCs, particularly the
aforementioned loans with deteriorating performance and with
greater certainty of losses on the specially serviced loans or
other FLOCs;
- Downgrades to 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 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. This includes
Center 78 and Crowne Plaza Memphis Downtown;
- Upgrades to the 'BBBsf' category rated class would be limited
based on sensitivity to concentrations or the potential for future
concentration. The class 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 the distressed 'CCCsf' rated class are not expected,
but possible with better than expected recoveries on specially
serviced loans or improved performance 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.
UPGRADE RECEIVABLES 2024-1: DBRS Gives Prov. B Rating on E Notes
----------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the following
classes of notes to be issued by Upgrade Receivables Trust 2024-1
(Upgrade 2024-1):
-- $150,704,000 Class A Notes at (P) AA (low) (sf)
-- $45,997,000 Class B Notes at (P) A (low) (sf)
-- $37,969,000 Class C Notes at (P) BBB (low) (sf)
-- $35,125,000 Class D Notes at (P) BB (low) (sf)
-- $29,271,000 Class E Notes at (P) B (sf)
CREDIT RATING RATIONALE/DESCRIPTION
The provisional credit ratings on the Notes are based on
Morningstar DBRS' review by of the following considerations:
(1) The transaction's form and sufficiency of available credit
enhancement.
-- Overcollateralization, subordination, amounts held in the
Reserve Fund Account, and excess spread create credit enhancement
levels that are commensurate with the credit ratings.
-- Transaction cash flows are sufficient to repay investors under
all (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB
(low) (sf) and (P) B (sf) stress scenarios in accordance with the
terms of the Upgrade 2024-1 transaction documents.
-- The transaction provides for Class E Notes with a provisional
rating of (P) B (sf). While the Morningstar DBRS Rating U.S.
Structured Finance Transactions, Appendix I: U.S. Consumer Loan ABS
Transactions methodology does not set forth a range of multiples
for this asset class for the B (sf) level, the analytical approach
for this rating level is consistent with that contemplated by the
Methodology. The typical range of multiples applied in the
Morningstar DBRS stress analysis for a B (sf) rating is 1.00 times
(x) to 1.25x.
(2) The Morningstar DBRS cumulative net loss (CNL) assumption of
16.85% based on the Statistical Cutoff Date pool composition, which
is not expected to differ materially from the Cutoff Date pool, and
the expected prefunded receivables, which will be subject to a
Concentration Test (i.e., a set of collateral concentration
limits), which Morningstar DBRS took into consideration when
deriving the CNL assumption.
(3) The eligibility criteria and Concentration Test applicable to
the additional loan collateral that may be added to the trust
during the Prefunding Period, which is expected to total up to
20.00% of the total collateral backing Upgrade 2024-1.
(4) The transaction assumptions consider Morningstar DBRS' baseline
macroeconomic scenarios for rated sovereign economies, available in
its commentary Baseline Macroeconomic Scenarios for Rated
Sovereigns September 2024 Update, published on September 25, 2024.
These baseline macroeconomic scenarios replace Morningstar DBRS'
moderate and adverse COVID-19 pandemic scenarios, which were first
published in April 2020.
(5) Upgrade's experience, sourcing, and servicing capabilities.
(6) The Lending Partners' experience, underwriting, and origination
capabilities.
(7) The annual percentage rate (APR) charged on the loans and the
status of the Lending Partners as the true lenders.
-- The weighted-average (WA) APR of the loans in the pool is
21.92%.
-- All loans included in Upgrade 2024-1 are originated by CRB or
BRB in compliance with the relevant usury limit.
-- Upgrade is obliged to repurchase any loan if there is a breach
of a representation and warranty that materially and adversely
affects the interests of the purchaser.
(8) Systems & Services Technologies' (SST) ability to perform
duties as a Backup Servicer.
(9) The legal structure and expected legal opinions that will
address the true sale of the unsecured loans, the nonconsolidation
of the trust, that the trust has a valid perfected security
interest in the assets, and consistency with the Morningstar DBRS
Legal Criteria for U.S. Structured Finance.
Morningstar DBRS' credit ratings on the Notes referenced herein
address the credit risk associated with the identified financial
obligations in accordance with the relevant transaction documents.
The associated financial obligations are the note balance of and
accrued interest on the Class A, Class B, Class C, Class D, and
Class E Notes, including any unpaid accrued interest from prior
distribution dates.
Notes: All figures are in US dollars unless otherwise noted.
WELLS FARGO 2020-C56: Fitch Affirms 'B-sf' on Class J-RR Notes
--------------------------------------------------------------
Fitch Ratings has affirmed 29 classes of Wells Fargo Commercial
Mortgage Trust 2020-C57 (WFCM 2020-C57) and revised the Outlooks
for classes B, X-B, C, D, X-D and E-RR to Positive from Stable.
Fitch has also affirmed 28 classes of Wells Fargo Commercial
Mortgage Trust 2020-C56 (WFCM 2020-C56). The Outlooks for classes
F-RR, G-RR, H-RR and J-RR remain Negative.
Entity/Debt Rating Prior
----------- ------ -----
WFCM 2020-C56
A-1 95002RAS7 LT PIFsf Paid In Full AAAsf
A-2 95002RAT5 LT AAAsf Affirmed AAAsf
A-3 95002RAU2 LT AAAsf Affirmed AAAsf
A-4 95002RAW8 LT AAAsf Affirmed AAAsf
A-4-1 95002RBD9 LT AAAsf Affirmed AAAsf
A-4-2 95002RBE7 LT AAAsf Affirmed AAAsf
A-4-X1 95002RBF4 LT AAAsf Affirmed AAAsf
A-4-X2 95002RBG2 LT AAAsf Affirmed AAAsf
A-5 95002RAX6 LT AAAsf Affirmed AAAsf
A-5-1 95002RBH0 LT AAAsf Affirmed AAAsf
A-5-2 95002RBJ6 LT AAAsf Affirmed AAAsf
A-5-X1 95002RBK3 LT AAAsf Affirmed AAAsf
A-5-X2 95002RBL1 LT AAAsf Affirmed AAAsf
A-S 95002RAY4 LT AAAsf Affirmed AAAsf
A-S-1 95002RBM9 LT AAAsf Affirmed AAAsf
A-S-2 95002RBN7 LT AAAsf Affirmed AAAsf
A-S-X1 95002RBP2 LT AAAsf Affirmed AAAsf
A-S-X2 95002RBQ0 LT AAAsf Affirmed AAAsf
A-SB 95002RAV0 LT AAAsf Affirmed AAAsf
B 95002RAZ1 LT AA-sf Affirmed AA-sf
C 95002RBA5 LT A-sf Affirmed A-sf
D-RR 95002RAA6 LT BBB+sf Affirmed BBB+sf
E-RR 95002RAC2 LT BBBsf Affirmed BBBsf
F-RR 95002RAE8 LT BBB-sf Affirmed BBB-sf
G-RR 95002RAG3 LT BB+sf Affirmed BB+sf
H-RR 95002RAJ7 LT BB-sf Affirmed BB-sf
J-RR 95002RAL2 LT B-sf Affirmed B-sf
X-A 95002RBB3 LT AAAsf Affirmed AAAsf
X-B 95002RBC1 LT AAAsf Affirmed AAAsf
WFCM 2020-C57
A-1 95002XBA2 LT AAAsf Affirmed AAAsf
A-3 95002XBC8 LT AAAsf Affirmed AAAsf
A-3-1 95002XBK0 LT AAAsf Affirmed AAAsf
A-3-2 95002XBL8 LT AAAsf Affirmed AAAsf
A-3-X1 95002XBM6 LT AAAsf Affirmed AAAsf
A-3-X2 95002XBN4 LT AAAsf Affirmed AAAsf
A-4 95002XBD6 LT AAAsf Affirmed AAAsf
A-4-1 95002XBP9 LT AAAsf Affirmed AAAsf
A-4-2 95002XBQ7 LT AAAsf Affirmed AAAsf
A-4-X1 95002XBR5 LT AAAsf Affirmed AAAsf
A-4-X2 95002XBS3 LT AAAsf Affirmed AAAsf
A-S 95002XBE4 LT AA+sf Affirmed AA+sf
A-S-1 95002XBT1 LT AA+sf Affirmed AA+sf
A-S-2 95002XBU8 LT AA+sf Affirmed AA+sf
A-S-X1 95002XBV6 LT AA+sf Affirmed AA+sf
A-S-X2 95002XBW4 LT AA+sf Affirmed AA+sf
A-SB 95002XBB0 LT AAAsf Affirmed AAAsf
B 95002XBF1 LT AA-sf Affirmed AA-sf
C 95002XBG9 LT A-sf Affirmed A-sf
D 95002XAC9 LT BBBsf Affirmed BBBsf
E-RR 95002XAE5 LT BBB-sf Affirmed BBB-sf
F-RR 95002XAG0 LT BBB-sf Affirmed BBB-sf
G-RR 95002XAJ4 LT BB+sf Affirmed BB+sf
H-RR 95002XAL9 LT BBsf Affirmed BBsf
J-RR 95002XAN5 LT BB-sf Affirmed BB-sf
K-RR 95002XAQ8 LT B-sf Affirmed B-sf
X-A 95002XBH7 LT AAAsf Affirmed AAAsf
X-B 95002XBJ3 LT AA-sf Affirmed AA-sf
X-D 95002XAA3 LT BBBsf Affirmed BBBsf
KEY RATING DRIVERS
Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case
losses are 3.9% in WFCM 2020-C56 and 4.5% in WFCM 2020-C57. Fitch
Loans of Concerns (FLOCs) comprise 11 loans (25.5% of the pool) in
WFCM 2020-C56, including one specially serviced loan (3.8%), and
three loans (9.6%) in WFCM 2020-C57.
The Positive Outlooks in WFCM 2020-C57 reflect strong asset
performance and cash flow growth since issuance and the potential
for upgrades with sustained performance improvement. The Positive
Outlooks also consider concerns with office properties and tenant
rollover in weaker submarkets and uncertainty with the long-term
viability of cash flow performance improvement.
The Negative Outlooks in WFCM 2020-C56 reflect refinancing risks
for FLOCs secured by office properties, particularly Met Center 15
(4.3%) and HPE Campus (2.9%). Affirmations in each transaction
reflect generally stable pool performance and loss expectations
since Fitch's prior rating action.
The largest contributor to overall loss expectations in WFCM
2020-C56 is the Met Center 15 loan, which is secured by a
257,600-sf flex office property in Austin, TX built in 2001 and
originally 100% occupied by two credit-worthy tenants, Progressive
Insurance (84.3% NRA, 2026 expiration) and Waste Management. The
property is 9% occupied per the June 2024 rent roll following
Progressive Insurance terminating their lease in February 2024. The
loan is currently in cash management and per reporting, a lease
termination payment of $2.1 million is required. However, the
tenant reserve report shows $171,967 in reserves.
Waste Management, which occupied 16% of NRA, was a tenant since
2003, and extended its lease in 2017 through 2021 and subsequently
vacated the property. Per the September 2024 rent roll, Tokyo
Electro, a global company in semiconductor and display production
equipment, signed a 10-year lease beginning April 2025 to occupy
111,169-sf of flex space bringing occupancy to approximately 52%.
Fitch's 'Bsf' rating case loss of 21% (prior to concentration
add-ons) reflects a 10% cap rate and a 50% stress to the YE 2023
NOI.
The HPE Campus loan in WFCM 2020-C56 is secured by three buildings
totaling 447,364-sf of suburban office located in Roseville,
California northeast of Sacramento. The properties are fully leased
to Hewlett-Packard through April 2030; however, this FLOC was
flagged due to Hewlett-Packard listing 65% of the NRA as available
for sublease. Per CoStar and as of QTD 4Q24, comparable properties
in the Roseville/Rocklin office submarket had a 11.6% vacancy rate
and 14.5% availability rate while the total submarket had a 26%
vacancy rate and 25.4% availability rate. Fitch's 'Bsf' rating case
loss of 8% (prior to concentration add-ons) reflects a 10% cap rate
and 15% stress to the YE 2023 NOI due to space marketed for
sublease.
The largest contributor to overall loss expectations in WFCM
2020-C57 is the Landmark Corporate Center loan (4.7%) which is
secured by a 211,106-sf suburban office building located in
Greenwood Village, Colorado. The FLOC was flagged due to submarket
concerns. Per CoStar as of QTD 4Q24, comparable properties in the
Greenwood Village Office submarket had a 21% vacancy rate, 29.6%
availability rate and $26.12 market asking rent while the total
submarket had a 20.7% vacancy rate, 30.7% availability rate and
$28.83 market asking rent. Per the September 2024 rent roll, the
property had average in-place rent of $18.76 psf.
Per the September 2024 rent roll, the property was 85.8% occupied
compared to 96% at YE 2023 and 100% at underwriting. Waste
Management (15% rent, 10.3% NRA) vacated in 2024 driving occupancy
lower in 2024. Rollover included 44.3% of NRA in 2025, including
PAX8 Inc (35.1% NRA; exp April 2025) and Circle K Stores (9.2% NRA;
exp February 2025). Fitch's 'Bsf' rating case loss of 14% (prior to
concentration add-ons) reflects a 10% cap rate and 15% stress to
the annualized September 2024 NOI for rollover and submarket
concerns and an elevated probability of default.
The second largest contributor to overall loss expectations in WFCM
2020-C57 is the 501 3rd Street loan (3.3%) which is secured by a
three floor, 24,000-sf mixed use office/retail property located in
the SOMA district in CBD San Francisco, CA. The FLOC was flagged
due to above market rents, month-to-month and sponsor affiliated
tenancy and weak submarket performance. Per the June 2024 rent
roll, the property was 100% occupied and the largest tenant is an
affiliate of the sponsor (Schox, 50% NRA; 52.5% annual base rent;
exp in 2032 and 2033).
The second largest tenant Urban Digital Color Inc. (25% NRA) is on
a month to month lease and has been at the property for over 10
years. Per CoStar as of QTD 4Q24, the Rincon/South Beach Office
submarket had a 24.8% vacancy rate, 36.9% availability rate and
$42.68 market asking rent. Per the June 2024 rent roll, the
property had in-place rent of $84.22 psf. Fitch's 'Bsf' rating case
loss of 17% (prior to concentration add-ons) reflects a 10% cap
rate and 10% stress to the YE 2022 and an elevated probability of
default.
Defeasance: Per the October 2024 reporting, one loan (0.8%) was
defeased in WFCM 2020-C56.
Increased Credit Enhancement (CE): As of the October 2024
remittance report, the aggregate balances of the WFCM 2020-C56 and
WFCM 2020-C57 transactions have been reduced by 9.5% and 3.2%,
respectively, since issuance. Loan maturities are concentrated in
2030 with 36 loans for 75.8% of the pool in WFCM 2020-C56 and 39
loans for 94.5% of the pool in WFCM 2020-C57.
Cumulative interest shortfalls for the WFCM 2020-C56 and WFCM
2020-C57 transactions are $53,000 and $10,400, respectively; in
both transactions, they are affecting the non-rated class K-RR or
M-RR.
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, but may occur if deal-level
losses increase significantly and/or interest shortfalls occur or
are expected to occur.
Downgrades to classes rated in the 'AAsf' and 'Asf' categories may
occur should performance of the FLOCs deteriorate further or if
more loans than expected default at or prior to maturity. These
FLOCs include Met Center 15 and HPE Campus in WFCM 2020-C56 and
Landmark Corporate Center and 501 3rd Street in WFCM 2020-C57.
Downgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf'
categories could occur with higher than expected losses from
continued underperformance of the aforementioned FLOCs and with
greater certainty of losses on the FLOCs.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to 'AAsf' and 'Asf' category rated classes, particularly
those with Positive Outlooks, are possible with significantly
increased CE from paydowns, a sustained improvement in pool-level
loss expectations and performance stabilization of FLOCs. Upgrades
of these classes to 'AAAsf' will also consider the concentration of
defeased loans in the transaction.
Upgrades to the 'BBBsf' category rated classes, particularly those
with Positive Outlooks, would occur with sustained improvement in
pool performance coupled with stabilization of the FLOCs. Upgrades
would be limited based on sensitivity to concentrations or the
potential for future concentration. 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.
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.
WFRBS COMMERCIAL 2013-C11: S&P Affirms CCC (sf) Rating on F Notes
-----------------------------------------------------------------
S&P Global Ratings lowered its ratings on five classes of
commercial mortgage pass-through certificates from WFRBS Commercial
Mortgage Trust 2013-C11, a U.S. CMBS transaction. At the same time,
we affirmed one rating from the same transaction.
Rating Actions
The downgrades on classes B, C, D, despite the higher model
indicated ratings, and the downgrade on class E reflect:
-- S&P's belief that both loans remaining in the pool are unlikely
to be refinanced upon their modified 2026 maturity date given the
lack of meaningful performance improvement in the properties
securing the loans. S&P believes this may in turn lead to liquidity
stress on the rated certificates, if either of the loans become
delinquent at their respective maturity dates and the master
servicer curtails servicer advancing on the loans given the adverse
selection of the remaining collateral pool.
-- S&P's lower revised S&P Global Rating's net cash flow (NCF) for
the Republic Plaza loan ($129.8 million, 60.0% of the pooled trust
balance).
-- S&P's higher revised capitalization rate for the 515 Madison
Avenue loan ($86.5 million, 40.0%).
-- The affirmation of class F at 'CCC (sf)' reflects S&P's
qualitative consideration that the repayment of the class is
currently dependent upon favorable business, financial, and
economic conditions and that the class is currently vulnerable to
default. Based on its revised valuations of the properties securing
the loans, class F is susceptible to potential principal loss.
-- In addition, S&P downgraded its rating on the class X-B
interest-only (IO) certificates based on its criteria for rating IO
securities, in which the rating on the IO securities would not be
higher than that of the lowest-rated reference class. The notional
amount on class X-B references classes B and C.
S&P said, "We will continue to monitor the performance of the
transaction and the collateral loans, including any developments
and refinancing prospect around the loans for which we have revised
our NCFs and values. To the extent future developments differ
meaningfully from our underlying assumptions, we may take further
rating actions as we determine necessary."
Loan Details
Republic Plaza loan ($129.8 million pooled trust amount; 60.0% of
the pooled trust balance)
The loan is the largest remaining loan in the pool. It is secured
by the borrower's fee simple interest in a 1982-built, 56-story,
1.3 million-sq.-ft. class A office property and an adjacent
1982-built, 12-story, 1,275-space parking garage located in the
central business district of Denver. The office property is the
tallest building in Denver and is centrally located near mass
transit stations.
The trust loan represents a pari passu portion within a larger
whole loan. As of the November 2024 trustee remittance report, the
loan has a pooled trust balance of $129.8 million (down from $134.6
million at last review) and a whole loan balance of $234.5 million
(down from $243.1 million at last review). The whole loan was
amortizing on a 30-year schedule after an initial three-year IO
period, paid a fixed interest rate of 4.24% per annum, and matured
on Dec. 1, 2022. The loan, which has a reported paid-through date
of Nov. 1, 2024, was transferred to the special servicer on Nov.
22, 2022, due to imminent maturity default and was subsequently
modified and returned to the master servicer. As part of the loan
modification, the whole loan was converted to IO; it pays a fixed
interest rate of 4.24%, and the maturity date was extended to March
15, 2026. There is currently $15.1 million in reserves, which
includes tenant reserves of approximately $10.2 million.
The property's occupancy rate decreased to 72.7% as of the Sept.
30, 2024, rent roll from 81.2% as noted in the September 2022 rent
roll at last review primarily due to the second-largest tenant at
the property, DCP Operating Co. L.P. (which occupied floors 22
through 27 totaling 146,808 sq. ft., 10.3% of NRA) vacating upon
its lease expiration in May 2023. While the borrower has only
backfilled floor 22, it is our understanding that the remaining
spaces remain vacant. The servicer-reported cash flow has also
declined from $21.3 million in 2022 to $15.5 million in 2023 and
$10.1 million as of nine months ended Sept. 30, 2024.
Per correspondence with the master servicer, the borrower indicated
that the largest tenant at the property, Ovintiv (262,334 sq. ft.,
19.6%) will be vacating a portion of their space located on floors
eight and 40 (totaling 49,094 sq. ft., 3.7%) on Dec. 31, 2024. S&P
said, "In our current analysis, we utilized an in-place vacancy of
30.9% after adjusting the known upcoming vacancy of Ovintiv, a
$40.92 per sq. ft. S&P Global Ratings gross rent, and a 54.6%
operating expense ratio to derive a long-term sustainable NCF of
$16.3 million on the whole loan, which is down from $19.2 million
at last review. Our 30.9% vacancy rate and gross rent assumptions
are in line with CoStar's CBD Denver office submarket vacancy rate
of 34.3% and asking rent of $38.28 per sq. ft., as of December
2024. Using a 7.75% S&P Global Ratings capitalization rate,
unchanged from our last review, we derived an S&P Global Ratings
expected-case value of $210.6 million, or $157.40 per sq. ft.,
which is 14.8% lower than our $247.2 million value as of last
review and 29.4% lower than the December 2022 appraisal value of
$298.1 million. This yielded a 111.4% S&P Global Ratings LTV ratio
on the whole loan balance."
515 Madison Avenue loan ($86.5 million pooled trust amount;40.0% of
the pooled trust balance)
This loan is the second-largest loan remaining in the pool and is
secured by the borrower's fee simple interest in a 42-story,
1931-built, 324,265-sq.-ft. class B office property, with 8,701 sq.
ft. of ground floor retail space, located at 515 Madison Avenue, on
the corner of 53rd Street and Madison Avenue in the Plaza District
office submarket of midtown Manhattan. The property is near public
transportation and the Grand Central Terminal.
The loan has a pooled trust balance of $86.5 million (down from
$103.4 million at last review). The loan amortized on a 30-year
schedule after an initial three-year IO period, paid a fixed
interest rate of 3.86% per annum, and matured on Jan. 1, 2023. The
loan, which has a reported paid-through date of Nov. 1, 2024, and
is on the master servicer's watchlist due to debt service coverage,
occupancy, and maturity date triggers. The loan previously
transferred to the special servicer on Nov. 23, 2022, due to
imminent maturity default and subsequently got modified and
returned to the master servicer. As part of the loan modification,
the maturity date was extended to Jan. 1, 2025, with an option to
extend the maturity date to Jan. 1, 2026. Per the master servicer,
the extension notice was received on Oct. 10, 2023, and is
currently being processed. There is currently $2.6 million in
reserves.
S&P said, "In our current analysis, we maintained our NCF from last
review at $5.5 million, as it is in line with the servicer reported
cash flows of $5.4 million in 2023 and $2.5 million as of the six
months ended June 30, 2024. However, we increased our
capitalization rate to 8.25% from 7.25% at last review to reflect
our updated capitalization rates for class B office properties. As
a result, we arrived at an S&P Global Ratings' expected case value
of $66.6 million, which is 12.1% lower than our $75.8 million value
at issuance and 57.0% lower than the February 2023 appraisal value
of $155.0 million."
Transaction Summary
As of the November 2024 trustee remittance report, the collateral
pool balance was $216.4 million, which is 15.1% of the pool balance
at issuance. The pool currently includes two fixed-rate loans, down
from 82 loans at issuance.
S&P calculated an S&P Global Ratings weighted average debt service
coverage of 1.15x and an S&P Global Ratings weighted average
loan-to-value ratio of 118.8%, using a 7.95% S&P Global Ratings
weighted average capitalization rate.
According to the November 2024 trustee remittance report, the trust
is not incurring any interest shortfalls. To date, the transaction
has experienced $12.2 million in principal losses, or 0.9% of the
original pool trust balance.
Ratings Lowered
WFRBS Commercial Mortgage Trust 2013-C11
Class B to 'A+ (sf)' from 'AA- (sf)'
Class C to 'BBB (sf)' from 'BBB+ (sf)'
Class D to 'BB (sf)' from 'BB+ (sf)'
Class E to 'B (sf)' from 'B+ (sf)'
Class X-B to 'BBB (sf)' from 'BBB+ (sf)'
Rating Affirmed
WFRBS Commercial Mortgage Trust 2013-C11
Class F: CCC (sf)
WIND RIVER 2019-3: S&P Affirms BB- (sf) Rating on Class E-2R Debt
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R2, B-R2,
C-R2, D-R2, and E-1-R2 replacement debt from Wind River 2019-3 CLO
Ltd./Wind River 2019-3 CLO LLC, a CLO originally issued in May 2019
that is managed by First Eagle Alternative Credit LLC. At the same
time, S&P withdrew its ratings on the class A-R, B-R, C-R, D-R, and
E-1R debt following payment in full on the Dec. 6, 2024,
refinancing date. S&P also affirmed its ratings on the class E-2R
debt, which was not refinanced.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture, the non-call period for the replacement
debt was set to June 6, 2025.
Replacement And Original Debt Issuances
Replacement debt
-- Class A-R2, $272.09 million: Three-month CME term SOFR + 1.06%
-- Class B-R2, $66.00 million: Three-month CME term SOFR + 1.55%
-- Class C-R2, $39.30 million: Three-month CME term SOFR + 2.00%
-- Class D-R2, $32.70 million: Three-month CME term SOFR + 3.10%
-- Class E-1-R2, $12.00 million: Three-month CME term SOFR +
6.45%
Refinanced debt
-- Class A-R, $272.09 million: Three-month CME term SOFR + 1.34%
-- Class B-R, $66.00 million: Three-month CME term SOFR + 1.91%
-- Class C-R, $39.30 million: Three-month CME term SOFR + 2.46%
-- Class D-R, $32.70 million: Three-month CME term SOFR + 3.76%
-- Class E-1R, $12.00 million: Three-month CME term SOFR + 6.61%
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.
"On a standalone basis, the results of the cash flow analysis
indicated a lower rating on the class E-2R debt. Given the overall
credit quality of the portfolio and the passing coverage tests, we
affirmed our rating on the class E-2R debt.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Wind River 2019-3 CLO Ltd./Wind River 2019-3 CLO LLC
Class A-R2, $272.09 million: AAA (sf)
Class B-R2, $66.00 million: AA (sf)
Class C-R2, $39.30 million: A (sf)
Class D-R2, $32.70 million: BBB- (sf)
Class E-1-R2, $12.00 million: BB+ (sf)
Ratings Withdrawn
Wind River 2019-3 CLO Ltd./Wind River 2019-3 CLO LLC
Class A-R to not rated from 'AAA (sf)'
Class B-R to not rated from 'AA (sf)'
Class C-R to not rated from 'A (sf)'
Class D-R to not rated from 'BBB- (sf)'
Class E-1R to not rated from 'BB+ (sf)'
Rating Affirmed
Wind River 2019-3 CLO Ltd./Wind River 2019-3 CLO LLC
Class E-2R: BB- (sf)
Other Debt
Wind River 2019-3 CLO Ltd./Wind River 2019-3 CLO LLC
Subordinated notes, $61.40 million: Not rated
WINDHILL CLO 3: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Windhill CLO
3 Ltd./Windhill CLO 3 LLC's floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by middle market speculative-grade
(rated 'BB+' or lower) senior secured term loans. The transaction
is managed by PGIM Inc.
The preliminary ratings are based on information as of Dec. 6,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Windhill CLO 3 Ltd./Windhill CLO 3 LLC
Class A, $232.00 million: AAA (sf)
Class B, $40.00 million: AA (sf)
Class C (deferrable), $32.00 million: A (sf)
Class D (deferrable), $24.00 million: BBB (sf)
Class E (deferrable), $36.00 million: BB- (sf)
Subordinated notes, $33.48 million: Not rated
[*] Moody's Takes Action on 7 Bonds From 5 US RMBS Deals
--------------------------------------------------------
Moody's Ratings, on Dec. 5, 2024, upgraded the ratings of four
bonds and downgraded the ratings of three bonds from five 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: Aames Mortgage Investment Trust 2005-4
Cl. M3, Downgraded to B3 (sf); previously on Aug 10, 2018
Downgraded to B1 (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2006-ASAP3
Cl. A-1, Upgraded to Aa1 (sf); previously on Feb 1, 2024 Upgraded
to A2 (sf)
Cl. A-2D, Upgraded to Aa2 (sf); previously on Feb 1, 2024 Upgraded
to A2 (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2006-ASAP4
Cl. A-1, Upgraded to Baa2 (sf); previously on Feb 1, 2024 Upgraded
to Ba1 (sf)
Cl. A-2D, Upgraded to A3 (sf); previously on Feb 1, 2024 Upgraded
to Baa2 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-10
Cl. 3-AV-4, Downgraded to Caa1 (sf); previously on Oct 9, 2017
Upgraded to B3 (sf)
Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust 2003-NC2
Cl. M-1, Downgraded to B1 (sf); previously on Mar 25, 2016 Upgraded
to Ba2 (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, the potential impact of any collateral volatility on
the model output, and the ultimate size or any incurred and
projected loss.
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 or missed interest that are unlikely to be recouped.
Class 3-AV-4 from CWABS Asset-Backed Certificates Trust 2006-10 has
incurred historical principal losses but subsequently recouped
those losses, and as a result, missed interest on principal for
those periods will not be recouped. Each of the other 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.
Principal Methodologies
The principal methodology used in these ratings was "US Residential
Mortgage-backed Securitizations: Surveillance" published in
December 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.
[*] Moody's Upgrades Ratings on 23 Bonds From 3 US RMBS Deals
-------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 23 bonds from three US
residential mortgage-backed transactions (RMBS), backed by prime
jumbo and investment property mortgage loans.
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: GCAT 2024-INV1 Trust
Cl. 1-A-15, Upgraded to Aaa (sf); previously on Jan 30, 2024
Definitive Rating Assigned Aa1 (sf)
Cl. 1-A-16, Upgraded to Aaa (sf); previously on Jan 30, 2024
Definitive Rating Assigned Aa1 (sf)
Cl. 1-A-X-1*, Upgraded to Aaa (sf); previously on Jan 30, 2024
Definitive Rating Assigned Aa1 (sf)
Cl. 1-A-X-16*, Upgraded to Aaa (sf); previously on Jan 30, 2024
Definitive Rating Assigned Aa1 (sf)
Cl. 2-A-15, Upgraded to Aaa (sf); previously on Jan 30, 2024
Definitive Rating Assigned Aa1 (sf)
Cl. 2-A-16, Upgraded to Aaa (sf); previously on Jan 30, 2024
Definitive Rating Assigned Aa1 (sf)
Cl. 2-A-X-1*, Upgraded to Aaa (sf); previously on Jan 30, 2024
Definitive Rating Assigned Aa1 (sf)
Cl. 2-A-X-16*, Upgraded to Aaa (sf); previously on Jan 30, 2024
Definitive Rating Assigned Aa1 (sf)
Cl. B-1, Upgraded to Aa2 (sf); previously on Jan 30, 2024
Definitive Rating Assigned Aa3 (sf)
Cl. B-1-A, Upgraded to Aa2 (sf); previously on Jan 30, 2024
Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Upgraded to Aa3 (sf); previously on Jan 30, 2024
Definitive Rating Assigned A2 (sf)
Cl. B-2-A, Upgraded to Aa3 (sf); previously on Jan 30, 2024
Definitive Rating Assigned A2 (sf)
Cl. B-3, Upgraded to A3 (sf); previously on Jan 30, 2024 Definitive
Rating Assigned Baa2 (sf)
Cl. B-4, Upgraded to Baa3 (sf); previously on Jan 30, 2024
Definitive Rating Assigned Ba2 (sf)
Cl. B-5, Upgraded to Ba2 (sf); previously on Jan 30, 2024
Definitive Rating Assigned B2 (sf)
Cl. B-X-1*, Upgraded to Aa2 (sf); previously on Jan 30, 2024
Definitive Rating Assigned Aa3 (sf)
Cl. B-X-2*, Upgraded to Aa3 (sf); previously on Jan 30, 2024
Definitive Rating Assigned A2 (sf)
Issuer: Oceanview Mortgage Trust 2021-1
Cl. B-3, Upgraded to A3 (sf); previously on Jan 29, 2024 Upgraded
to Baa1 (sf)
Cl. B-4, Upgraded to Baa3 (sf); previously on Jan 29, 2024 Upgraded
to Ba1 (sf)
Cl. B-5, Upgraded to Ba2 (sf); previously on Jan 29, 2024 Upgraded
to B1 (sf)
Issuer: Oceanview Mortgage Trust 2021-3
Cl. B-3, Upgraded to Baa1 (sf); previously on Jan 29, 2024 Upgraded
to Baa2 (sf)
Cl. B-4, Upgraded to Ba1 (sf); previously on Jan 29, 2024 Upgraded
to Ba2 (sf)
Cl. B-5, Upgraded to Ba3 (sf); previously on Jan 29, 2024 Upgraded
to B2 (sf)
* Reflects Interest-Only Classes
RATINGS RATIONALE
The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying pools.
Each of the transactions Moody's reviewed continue to display
strong collateral performance, with a small number of loans in
delinquency. In addition, enhancement levels for the tranches have
grown, as the pools amortized. The credit enhancement for each
tranche upgraded has grown by, an average, 21% since closing.
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.
In addition, while Moody's analysis applied a greater probability
of default stress on loans that have experienced modifications,
Moody's decreased that stress to the extent the modifications were
in the form of temporary payment relief.
No actions were taken on the remaining rated classes in these deals
because their expected losses on the bonds remain commensurate with
their current ratings, after taking into account the updated
performance information, structural features and credit
enhancement.
Principal Methodologies
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in July 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds and/or pools.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
[*] Moody's Upgrades Ratings on 6 Bonds From 2 US RMBS Deals
------------------------------------------------------------
Moody's Ratings has upgraded the ratings of six bonds from two US
residential mortgage-backed transactions (RMBS), backed by GSE
eligible first-lien investment property mortgage loans.
The complete rating actions are as follows:
Issuer: Hundred Acre Wood Trust 2021-INV2
Cl. B3, Upgraded to A2 (sf); previously on Jan 22, 2024 Upgraded to
A3 (sf)
Cl. B4, Upgraded to Baa3 (sf); previously on Jan 22, 2024 Upgraded
to Ba1 (sf)
Cl. B5, Upgraded to Ba2 (sf); previously on Jan 22, 2024 Upgraded
to Ba3 (sf)
Issuer: Hundred Acre Wood Trust 2021-INV3
Cl. B3, Upgraded to A3 (sf); previously on Jan 22, 2024 Upgraded to
Baa1 (sf)
Cl. B4, Upgraded to Baa3 (sf); previously on Jan 22, 2024 Upgraded
to Ba1 (sf)
Cl. B5, Upgraded to Ba2 (sf); previously on Jan 22, 2024 Upgraded
to B1 (sf)
RATINGS RATIONALE
The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying pools.
The transactions continue to display strong collateral performance.
Cumulative losses for Hundred Acre Wood Trust 2021-INV2 is .03%
while Hundred Acre Wood Trust 2021-INV3 has not experienced any
cumulative losses to date. In addition, each transaction has a
small number of delinquent loans. Further, credit enhancement
levels for the tranches have grown significantly. The credit
enhancement for each tranche upgraded has grown by an average of
approximately 17% since closing.
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.
In addition, while Moody's analysis applied a greater probability
of default stress on loans that have experienced modifications,
Moody's decreased that stress to the extent the modifications were
in the form of temporary payment relief.
No actions were taken on the remaining rated classes in these deals
because their expected losses on the bonds remain commensurate with
their current ratings, after taking into account the updated
performance information, structural features, and credit
enhancement.
Principal Methodology
The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework" published in
July 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
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.
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
[*] Moody's Upgrades Ratings on 9 Bonds From 2 US RMBS Deals
------------------------------------------------------------
Moody's Ratings has upgraded the ratings of nine bonds from two US
residential mortgage-backed transactions (RMBS), backed by prime
jumbo and agency eligible mortgage loans.
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: GS Mortgage-Backed Securities Trust 2021-INV2
Cl. B-1, Upgraded to Aa2 (sf); previously on Nov 23, 2021
Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Upgraded to A1 (sf); previously on Mar 5, 2024 Upgraded to
A2 (sf)
Cl. B-3, Upgraded to Baa2 (sf); previously on Nov 23, 2021
Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Upgraded to Ba1 (sf); previously on Mar 5, 2024 Upgraded
to Ba2 (sf)
Cl. B-5, Upgraded to B1 (sf); previously on Nov 23, 2021 Definitive
Rating Assigned B3 (sf)
Issuer: GS Mortgage-Backed Securities Trust 2021-MM1
Cl. B-1, Upgraded to Aa1 (sf); previously on Mar 5, 2024 Upgraded
to Aa2 (sf)
Cl. B-3, Upgraded to A3 (sf); previously on Mar 5, 2024 Upgraded to
Baa1 (sf)
Cl. B-4, Upgraded to Baa3 (sf); previously on Mar 5, 2024 Upgraded
to Ba1 (sf)
Cl. B-5, Upgraded to Ba1 (sf); previously on Mar 5, 2024 Upgraded
to B1 (sf)
RATINGS RATIONALE
The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying pool.
Each of the transactions Moody's reviewed continue to display
strong collateral performance, with cumulative losses for GS
Mortgage-Backed Securities Trust 2021-INV2 at .04% and no
cumulative losses to date for GS Mortgage-Backed Securities Trust
2021-MM1. In addition, delinquency levels for each deal remain very
low. Also, the credit enhancement for each upgraded tranche has
grown by, an average of, 13.4% since closing.
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 considered the existence of historical
interest shortfalls for some of the bonds. Three of the upgraded
bonds have experienced historical interest shortfalls (GS 2021-MM1;
Class B-3, Class B-4, and Class B-5) 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.
In addition, while Moody's analysis applied a greater probability
of default stress on loans that have experienced modifications,
Moody's decreased that stress to the extent the modifications were
in the form of temporary payment relief.
No actions were taken on the remaining rated classes in these deals
because their expected losses on the bonds remain commensurate with
their current ratings, after taking into account the updated
performance information, structural features and credit
enhancement.
Principal Methodology
The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework" published in
July 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
[*] S&P Takes Various Actions on 100 Classes From 40 US RMBS Deals
------------------------------------------------------------------
S&P Global Ratings completed its review of 100 ratings from 40 U.S.
RMBS transactions issued between 2001 and 2007. The review yielded
37 upgrades, five downgrades, and 58 affirmations.
A list of Affected Ratings can be viewed at:
https://tinyurl.com/ejszn3bp
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance and/or structural
characteristics, and their potential effects on certain classes.
Some of these considerations may include:
-- Collateral performance or delinquency trends;
-- An increase or decrease in available credit support;
-- Available subordination and/or overcollateralization;
-- Expected duration;
-- A small loan count;
-- Reduced interest payments due to loan modifications; and
-- Payment priority.
Rating Actions
The rating changes reflect S&P's view regarding the associated
transaction-specific collateral performance, structural
characteristics, and/or the application of specific criteria
applicable to these classes.
The upgrades primarily reflect the classes' increased credit
support. Most of these transactions have failed their cumulative
loss triggers, which resulted in a permanent sequential principal
payment mechanism. This prevents credit support from eroding and
limits the affected classes' exposure to losses. As a result, the
upgrades reflect the classes' ability to withstand a higher level
of projected losses than we had previously anticipated. Most of
these classes are also receiving all of the principal payments or
are next in the payment priority when the more senior class pays
down.
S&P said, "We lowered our ratings on five classes from four
transactions to reflect our assessment of reduced interest payments
due to loan modifications and other credit-related events. To
determine the maximum potential rating for these securities, we
consider the amount of interest the security has received to date
versus how much it would have received absent such credit-related
events, as well as interest reduction amounts that we expect during
the remaining term of the security.
"The rating affirmations reflect our view that our projected credit
support, collateral performance, and credit-related reductions in
interest on these classes have remained relatively consistent with
our prior projections."
[] Moody's Upgrades Ratings on 26 Bonds From 10 US RMBS Deals
-------------------------------------------------------------
Moody's Ratings, on Dec. 6, 2024, upgraded the ratings of 26 bonds
from 10 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: ACE Securities Corp. Home Equity Loan Trust, Series
2006-OP1
Cl. A-2D, Upgraded to Aaa (sf); previously on Jan 22, 2024 Upgraded
to A2 (sf)
Issuer: FBR Securitization Trust 2005-2
Cl. M-3, Upgraded to Aaa (sf); previously on Jan 22, 2024 Upgraded
to Aa3 (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FF11
Cl. I-A-2, Upgraded to Aa1 (sf); previously on Jan 17, 2024
Upgraded to Baa3 (sf)
Cl. II-A-3, Upgraded to Ba1 (sf); previously on Jan 17, 2024
Upgraded to B1 (sf)
Cl. II-A-4, Upgraded to Ba1 (sf); previously on Jan 17, 2024
Upgraded to B1 (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FF12
Cl. A1, Upgraded to Ba1 (sf); previously on Jan 22, 2024 Upgraded
to B1 (sf)
Cl. A5, Upgraded to Baa3 (sf); previously on Jan 22, 2024 Upgraded
to B1 (sf)
Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, INABS
2006-C
Cl. 2A, Upgraded to A1 (sf); previously on Jan 17, 2024 Upgraded to
A3 (sf)
Cl. 3A-3, Upgraded to Baa1 (sf); previously on Jan 17, 2024
Upgraded to Baa2 (sf)
Cl. 3A-4, Upgraded to Ba3 (sf); previously on Jan 17, 2024 Upgraded
to B1 (sf)
Issuer: New Century Home Equity Loan Trust 2006-1
Cl. A-1, Upgraded to Aaa (sf); previously on Jan 17, 2024 Upgraded
to Aa1 (sf)
Issuer: Prime Mortgage Trust 2006-CL1
Cl. A-1, Upgraded to Aaa (sf); previously on Jan 17, 2024 Upgraded
to A1 (sf)
Cl. A-2* Upgraded to Aaa (sf); previously on Jan 17, 2024 Upgraded
to A1 (sf)
Issuer: Structured Asset Investment Loan Trust 2005-5
Cl. M4, Upgraded to Aaa (sf); previously on Jan 17, 2024 Upgraded
to Aa1 (sf)
Issuer: Structured Asset Securities Corp Trust 2005-WF1
Cl. M3, Upgraded to Aaa (sf); previously on Jan 22, 2024 Upgraded
to Aa2 (sf)
Cl. M4, Upgraded to Aaa (sf); previously on Jan 22, 2024 Upgraded
to A2 (sf)
Cl. M5, Upgraded to Aa1 (sf); previously on Jan 22, 2024 Upgraded
to Baa3 (sf)
Cl. M6, Upgraded to A2 (sf); previously on Jan 22, 2024 Upgraded to
Ba3 (sf)
Cl. M7, Upgraded to Baa2 (sf); previously on Jan 22, 2024 Upgraded
to Caa1 (sf)
Cl. M8, Upgraded to Baa3 (sf); previously on Jan 22, 2024 Upgraded
to Caa1 (sf)
Issuer: Structured Asset Securities Corp Trust 2005-WF2
Cl. M3, Upgraded to Aaa (sf); previously on Jan 22, 2024 Upgraded
to Aa1 (sf)
Cl. M4, Upgraded to Aaa (sf); previously on Jan 22, 2024 Upgraded
to Aa3 (sf)
Cl. M5, Upgraded to Aa3 (sf); previously on Jan 22, 2024 Upgraded
to Baa1 (sf)
Cl. M6, Upgraded to Baa1 (sf); previously on Jan 22, 2024 Upgraded
to Ba2 (sf)
Cl. M7, Upgraded to Ba1 (sf); previously on Jan 22, 2024 Upgraded
to Caa2 (sf)
Cl. M8, Upgraded to B1 (sf); previously on Jan 22, 2024 Upgraded 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.
The rating upgrades are a result of an increase in credit
enhancement available to the bonds. Each of the upgraded bonds have
displayed improved or stable collateral performance and credit
enhancement levels have grown on average by 11% since 12 months
ago.
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, were
analyzed as part of the upgrades.
In addition, 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 rating all classes except
interest-only classes was "US Residential Mortgage-backed
Securitizations: Surveillance" published in December 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.
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
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however, be complete or accurate. The Monday Bond Pricing table
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then-ending.
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*********
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