/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/201129.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, November 29, 2020, Vol. 24, No. 333 Headlines ACCESS FINANCIAL 1996-1: Moody's Assigns C Rating on Cl. A-6 Debt AMERICREDIT AUTOMOBILE 2020-3: DBRS Gives BB(high) on Cl. E Notes BANK 2020-BNK29: Fitch to Rate 2 Certificate Classes 'B-sf' BENCHMARK 2020-B21: Fitch to Rate 2 Certificate Classes 'Bsf' COMM 2014-FL5: S&P Lowers Class KH1 Certs Rating to B- (sf) FREDDIE MAC 2020-HQA5: S&P Rates 16 Classes of Notes 'BB- (sf)' GREEN TREE 1996-03: Moody's Lowers Rating on Class M-1 Debt to C GS MORTGAGE 2005-ROCK: S&P Affirms BB+(sf) Rating on Class J Certs JP MORGAN 2012-WLDN: S&P Lowers Class A Certs Rating to 'BB-(sf)' PALMER SQUARE 2020-3: S&P Assigns Prelim B- (sf) Rating to E Notes ********* ACCESS FINANCIAL 1996-1: Moody's Assigns C Rating on Cl. A-6 Debt ----------------------------------------------------------------- Moody's Investors Service assigned a rating to Class A-6 issued by Access Financial MH Contract Trust 1996-1. The collateral backing this deal consists of Manufactured Housing loans. Issuer: Access Financial MH Contract Trust 1996-1 Cl. A-6, Assigned C (sf); previously on Jun 3, 2020 Withdrawn (sf) RATINGS RATIONALE The assignment of the rating to Class A-6 reflects the correction of a prior error. The rating on this tranche was previously withdrawn due to an internal data error. This error has now been corrected, and a rating has been reassigned to Class A-6. The rating action also reflects the recent performance as well as Moody's updated loss expectation on the underlying pool. In light of the current macroeconomic environment, Moody's reviewed loss expectations based on the extent, if any, of performance deterioration of the underlying loans, resulting from a slowdown in economic activity and increased unemployment due to the coronavirus outbreak. In Manufactured Housing (MH) transactions, servicers typically provide payment deferrals to delinquent borrowers and will generally defer the forborne amount as a non-interest-bearing balance, due at maturity of the loan as a balloon payment. Its analysis of such collateral thus incorporates assumptions around the current and historical proportion of borrowers granted payment deferral. As per its MH loan surveillance methodology, Moody's assumes that approximately 40%-50% of borrowers in its rated-universe of MH pools have received one or more such deferrals, and this assumption remains unchanged in the current environment. The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Its analysis has considered the effect on the performance of residential mortgage loans from the current weak US economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous, and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Principal Methodologies The principal methodology used in this rating was "US RMBS Surveillance Methodology" published in July 2020. In addition, Moody's publishes a weekly summary of structured finance credit ratings and methodologies. Factors that would lead to an upgrade or downgrade of the rating: 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. AMERICREDIT AUTOMOBILE 2020-3: DBRS Gives BB(high) on Cl. E Notes ----------------------------------------------------------------- DBRS, Inc. assigned its provisional ratings on the following classes of notes issued by AmeriCredit Automobile Receivables Trust 2020-3 (the Issuer): -- $144,000,000 of Class A-1 at R-1 (high) (sf) -- $435,000,000 of Class A-2-A at AAA (sf) -- $238,800,000 of Class A-3 at AAA (sf) -- $87,000,000 of Class B at AA (high) (sf) -- $108,000,000 of Class C at A (high) (sf) -- $82,250,000 of Class D at BBB (high) (sf) -- $34,150,000 of Class E at BB (high) (sf) The ratings are based on a review by DBRS Morningstar of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and principal by the legal final maturity date. -- AmeriCredit's capabilities with regard to originations, underwriting and servicing and ownership by General Motors Company. -- The credit quality of the collateral and performance of AmeriCredit's auto loan portfolio. -- DBRS Morningstar's projected losses include the assessment of the impact of the Coronavirus Disease (COVID-19). While considerable uncertainty remains with respect to the intensity and duration of the shock, DBRS Morningstar-projected CNL includes an assessment of the expected impact on consumer behavior. The DBRS Morningstar CNL assumption is 9.35% based on the cut-off date pool composition. -- The transaction assumptions consider DBRS Morningstar's set of macroeconomic scenarios for select economies related to the coronavirus, available in its commentary "Global Macroeconomic Scenarios: September Update," published on September 10, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, that have been regularly updated. The scenarios were last updated on September 10, 2020, and are reflected in DBRS Morningstar's rating analysis. The assumptions also take into consideration observed performance during the 2008–09 financial crisis and the possible impact of stimulus. The assumptions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario remains predicated on a more rapid return of confidence and a steady recovery heading into 2021. -- The legal structure and presence of legal opinions that will address the true sale of the assets to the Issuer, the non-consolidation of the special-purpose vehicle with AmeriCredit, and that the Trust has a valid first-priority security interest in the assets and the consistency with DBRS's "Legal Criteria for U.S. Structured Finance" methodology. The receivables securitized in AMCAR 2020-3 will be subprime auto loan contracts secured by new and used automobiles, light-duty trucks and vans. This transaction is being structured as a public transaction offering four classes of notes (collectively, the Notes): Class A (in three sequential tranches — Classes A-1, A-2 and A-3), Class B, Class C and Class D. The AMCAR 2020-3 Class E Notes will not be publicly offered and will initially be retained by the Depositor or an affiliate thereof. Initial Class A credit enhancement of 34.35% includes a reserve account (2.50% of the initial pool balance, funded at inception and non-declining), overcollateralization (OC) of 5.90% and subordination of 25.95% of the initial pool balance. Initial Class B enhancement of 27.10% includes a 2.50% reserve account, OC of 5.90% and subordination of 18.70%. Initial Class C enhancement of 18.10% includes OC of 5.90%, subordination of 9.70% and a reserve account of 2.50%. Initial Class D enhancement of 11.24% includes OC of 5.90%, subordination of 2.85% and a reserve account of 2.50%. Initial Class E enhancement of 8.40% includes OC of 5.90% and a reserve account of 2.50%. Notes: All figures are in U.S. dollars unless otherwise noted. BANK 2020-BNK29: Fitch to Rate 2 Certificate Classes 'B-sf' ----------------------------------------------------------- Fitch Ratings has issued a presale report on BANK 2020-BNK29, commercial mortgage pass-through certificates, Series 2020-BNK29. RATING ACTIONS Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $26,400,000 class A-1 'AAAsf'; Outlook Stable -- $29,800,000 class A-SB 'AAAsf'; Outlook Stable -- $225,000,000ab class A-3 'AAAsf'; Outlook Stable -- $0b class A-3-1 'AAAsf'; Outlook Stable -- $0b class A-3-2 'AAAsf'; Outlook Stable -- $0bc class A-3-X1 'AAAsf'; Outlook Stable -- $0bc class A-3-X2 'AAAsf'; Outlook Stable -- $298,123,000ab class A-4 'AAAsf'; Outlook Stable -- $0b class A-4-1 'AAAsf'; Outlook Stable -- $0b class A-4-2 'AAAsf'; Outlook Stable -- $0bc class A-4-X1 'AAAsf'; Outlook Stable -- $0bc class A-4-X2 'AAAsf'; Outlook Stable -- $579,323,000c class X-A 'AAAsf'; Outlook Stable -- $132,417,000c class X-B 'A-sf'; Outlook Stable -- $47,587,000b class A-S 'AAAsf'; Outlook Stable -- $0b class A-S-1 'AAAsf'; Outlook Stable -- $0b class A-S-2 'AAAsf'; Outlook Stable -- $0bc class A-S-X1 'AAAsf'; Outlook Stable -- $0bc class A-S-X2 'AAAsf'; Outlook Stable -- $41,380,000 class B 'AA-sf'; Outlook Stable -- $43,450,000 class C 'A-sf'; Outlook Stable -- $47,587,000cd class X-D 'BBB-sf'; Outlook Stable -- $13,448,000cd class X-F 'BB+sf'; Outlook Stable -- $11,380,000cd class X-G 'BB-sf'; Outlook Stable -- $10,345,000cd class X-H 'B-sf'; Outlook Stable -- $25,862,000d class D 'BBBsf'; Outlook Stable -- $21,725,000d class E 'BBB-sf'; Outlook Stable -- $13,448,000d class F 'BB+sf'; Outlook Stable -- $11,380,000d class G 'BB-sf'; Outlook Stable -- $10,345,000d class H 'B-sf'; Outlook Stable The following classes are not expected to be rated by Fitch: -- $8,276,000cd class X-J; -- $10,345,000cd class X-K; -- $14,483,773cd class X-L; -- $8,276,000d class J; -- $10,345,000d class K; -- $14,483,773d class L; -- $43,558,146de RR Interest. (a) The initial certificate balances of class A-3 and A-4 are unknown and expected to be $523,123,000 in the aggregate, subject to a 5.0% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-3 balance range is $200,000,000 to $250,000,000, and the expected class A-4 balance range is $273,123,000 to $323,123,000. Fitch's certificate balances for classes A-3 and A-4 are assumed at the midpoint for each class. (b) Exchangeable Certificates. The class A-3, class A-4 and class A-S are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates, and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates. The class A-3 may be surrendered (or received) for the received (or surrendered) classes A-3-1, A-3-2, A-3-X1 and A-3-X2. The class A-4 may be surrendered (or received) for the received (or surrendered) class A-4-1, A-4-2, A-4-X1 and A-4-X2. The class A-S may be surrendered (or received) for the received (or surrendered) class A-S-1, A-S-2, A-S-X1 and A-S-X2. The ratings of the exchangeable classes would reference the ratings on the associated referenced or original classes. (c) Notional amount and interest only. (d) Privately-placed and pursuant to Rule 144a. (e) Non-offered vertical credit risk retention interest The expected ratings are based on information provided by the issuer as of Nov. 16, 2020. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 41 loans secured by 89 commercial properties having an aggregate principal balance of $871,162,919 as of the cut-off date. The loans were contributed to the trust by Morgan Stanley Mortgage Capital Holdings LLC, Bank of America, National Association and Wells Fargo Bank, National Association. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 44.9% of the properties by balance, cash flow analyses of 94.7% of the pool, and asset summary reviews on 100% of the pool. Coronavirus Impact: The ongoing containment effort related to the coronavirus (which causes the COVID-19 disease) pandemic may have an adverse impact on near-term revenue (i.e. bad debt expense, rent relief) and operating expenses (i.e. sanitation costs) for some properties in the pool. Delinquencies may occur in the coming months as forbearance programs are put in place, although the ultimate impact on credit losses will depend heavily on the severity and duration of the negative economic impact of the coronavirus pandemic, and to what degree fiscal interventions by the U.S. federal government can mitigate the impact on consumers. Per the offering documents, all of the loans are current and are not subject to any forbearance requests. The 10th largest loan in the pool, 1890 Ranch (3.4% of the cutoff) was granted three months of forbearance during the months of June, July and August 2020 as a result of the coronavirus pandemic. The borrower as since resumed payments and is current on the loan, with all deferred payments made up. Additionally, all deferred interest has been repaid, reserve accounts were replenished and a three-month debt service reserve established. KEY RATING DRIVERS Highly Concentrated Pool: The pool's 10 largest loans represent 65.1% of the pool's cutoff balance, which is greater than the YTD 2020 and 2019 averages of 55.9% and 51.0%, respectively. The pool's LCI of 544 is considerably greater than the YTD 2020 and 2019 averages of 428 and 379, respectively. For this transaction, the losses estimated by Fitch's deterministic test at 'AAAsf' exceeded the base model loss estimate. Average Fitch Leverage: Overall, the pool's Fitch DSCR of 1.34x is slightly higher than average when compared to the YTD 2020 and 2019 averages of 1.31x and 1.26x, respectively. The pool's Fitch LTV of 103.6% is above the YTD 2020 average of 99.3%, and generally in-line with the 2019 average of 103.0%. Credit Opinion Loans: Three loans representing 17.2% of the pool by balance have credit characteristics consistent with investment-grade obligations on a stand-alone basis. Grace Building (8.6% of the pool) received a stand-alone credit opinion of 'A-sf', McDonald's Global HQ received a stand-alone credit opinion of 'Asf', and Turner Towers (2.9% of the pool) received a stand-alone credit opinion of 'AAAsf'. Below-Average Mortgage Coupons: The pool's weighted average (WA) mortgage rate is 3.21%, which is well below historical levels. The WA mortgage rate is below the YTD 2020 average mortgage rate of 3.67% and well below the 2019 average of 4.27%. Fitch accounted for increased refinance risk in a higher interest rate environment by incorporating an interest rate sensitivity that assumes an interest rate floor of 5% for the term risk of most property types, 4.5% for multifamily properties and 6.0% for hotel properties, in conjunction with Fitch's stressed refinance constants, which were 9.59% on a WA basis. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade: Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: Original Rating: AAAsf / AA-sf / A-sf / BBBsf / BBB-sf / BB+sf / BB-sf / B-sf 10% NCF Decline: A+sf / A-sf / BBB-sf / BB+sf / BB-sf / B-sf / CCCsf / CCCsf 20% NCF Decline: A-sf / BBBsf / BB+sf / Bsf / CCCsf / CCCsf / CCCsf / CCCsf 30% NCF Decline: BBBsf / BB+sf / B-sf / CCCsf / CCCsf / CCCsf / CCCsf / CCCsf Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade: Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: Original Rating: AAAsf / AA-sf / A-sf / BBBsf / BBB-sf/ BB+sf / BB-sf / B-sf 20% NCF Increase: AAAsf / AAAsf / AA+sf / AA-sf / A-sf / BBB+sf/ BBB-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 focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by clicking the link to the Appendix. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled 'Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions'. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. BENCHMARK 2020-B21: Fitch to Rate 2 Certificate Classes 'Bsf' ------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Benchmark 2020-B21 Mortgage Trust commercial mortgage pass-through certificates series 2020-B21 as follows: RATING ACTIONS -- $11,511,000 class A-1 'AAAsf'; Outlook Stable; -- $46,719,000 class A-2 'AAAsf'; Outlook Stable; -- $125,000,000a class A-4 'AAAsf'; Outlook Stable; -- $515,491,000a class A-5 'AAAsf'; Outlook Stable; -- $21,966,000 class A-AB 'AAAsf'; Outlook Stable; -- $819,782,000b class X-A 'AAAsf'; Outlook Stable; -- $99,094,000b class X-B 'A-sf'; Outlook Stable; -- $99,095,000 class A-S 'AAAsf'; Outlook Stable; -- $56,625,000 class B 'AA-sf'; Outlook Stable; -- $42,469,000 class C 'A-sf'; Outlook Stable; -- $46,330,000bc class X-D 'BBB-sf'; Outlook Stable; -- $18,017,000bc class X-F 'BBsf'; Outlook Stable; -- $10,296,000bc class X-G 'Bsf'; Outlook Stable; -- $25,739,000c class D 'BBBsf'; Outlook Stable; -- $20,591,000c class E 'BBB-sf'; Outlook Stable; -- $18,017,000c class F 'BBsf'; Outlook Stable; -- $10,296,000c class G 'Bsf'; Outlook Stable. The following classes are not expected to be rated by Fitch: -- $36,034,836bc class X-H; -- $36,034,836c class H; -- $29,379,045cd RR Interest; -- $24,808,000cd RR Certificates; (a) The initial certificate balances of class A-4 and A-5 are unknown and expected to be $640,491,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-4 balance range is $0 to $250,000,000, and the expected class A-5 balance range is $390,491,000 to $640,491,000. Fitch's certificate balances for classes A-4 and A-5 are assumed at the midpoint of the range for each class. (b) Notional amount and interest only (IO). (c) Privately placed and pursuant to Rule 144A. (d) Vertical credit risk retention interest. The expected ratings are based on information provided by the issuer as of Nov. 17, 2020. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 39 fixed-rate loans secured by 74 commercial properties having an aggregate principal balance of $1,083,740,881 as of the cut-off date. The loans were contributed to the trust by Citi Real Estate Funding Inc., Goldman Sachs Mortgage Company, JPMorgan Chase Bank, National Association and German American Capital Corporation. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 61.8% of the properties by balance, cash flow analysis of 93.6% and asset summary reviews on 100% of the pool. The ongoing containment efforts related to the coronavirus pandemic may have an adverse impact on near-term revenue (i.e. bad debt expense and rent relief) and operating expenses (i.e. sanitation costs) for some properties in the pool. Delinquencies may occur in the coming months as forbearance programs are put in place, although the ultimate impact on credit losses will depend heavily on the severity and duration of the negative economic impact of the pandemic and to what degree fiscal interventions by the U.S. government can mitigate the impact on consumers. Per the offering documents, all loans are current and none are subject to any forbearance requests; however, the sponsors for two loans, JW Marriott Nashville (1.8% of the pool) and Willoughby Commons (1.8% of the pool), have negotiated loan amendments/modifications. Please see the Additional Coronavirus Forbearance Provisions section on page 14 of Fitch's presale for more details. KEY RATING DRIVERS Lower Fitch Leverage than Recent Transactions: The pool has below average leverage relative to other multiborrower transactions recently rated by Fitch. The pool's Fitch loan-to-value (LTV) ratio of 96.5% is lower than the YTD 2020 average of 99.3% and the 2019 average of 103.0%. The pool's Fitch debt service coverage ratio (DSCR) of 1.31x is consistent with the YTD 2020 average of 1.31x and improved from the 2019 average of 1.26x. Excluding credit opinion loans, the pool's weighted average (WA) Fitch DSCR and LTV are 1.24x and 111.8%, respectively. Credit Opinion Loans: The pool includes six loans, representing 33.7% of the deal, that received investment-grade credit opinions. This is above the YTD 2020 and 2019 averages of 25.9% and 14.2%, respectively. The Grace Building (9.2% of the pool) received a stand-alone credit opinion of 'A-sf*'; Amazon West LA (6.9% of the pool) received a stand-alone credit opinion of 'BBB-sf*'; MGM Grand & Mandalay Bay (6.9% of the pool) received a stand-alone credit opinion of 'BBB+sf*'; 416-420 Kent Avenue (5.5% of the pool) received a stand-alone credit opinion of 'BBB-sf*'; Kings Plaza (2.8% of the pool) received a stand-alone credit opinion of 'BBB-sf*'; and Cambridge Crossing (2.3% of the pool) received a stand-alone credit opinion of 'BBB-sf*'. Property Type Representation: Loans secured by office properties account for 46.5% of the pool, which is higher than the YTD 2020 and 2019 averages of 40.3% and 34.2%, respectively. While the pool is highly exposed to the office sector, several of these properties are generally better-quality assets located in core markets. The pool's retail property concentration of 17.2% is greater than the YTD 2020 average of 15.2% but lower than the 2019 average of 23.6%. Hotel and casino properties account for 10.7% of the pool by balance, which is slightly above the YTD average of 9.1% and below the 2019 average of 12.0%. RATING SENSITIVITIES This section provides insight into the sensitivity of ratings when one assumption is modified, while holding others equal. For U.S. CMBS, the sensitivity reflects the impact of changes to property net cash flow (NCF) in up- and down-environments. The result below 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. Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: Factors that could, individually or collectively, lead to positive rating action/upgrade: Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' /'BBsf' / 'Bsf'. 20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'A+sf' / 'A-sf' / 'BBBsf' / 'BBB-sf'. Factors that could, individually or collectively, lead to negative rating action/downgrade: Similarly, declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' /'BBsf' / 'Bsf'. 10% NCF Decline: 'AA-sf' / 'BBB+sf' / 'BBB-sf' / 'BB+sf' / 'BB-sf' /'CCCsf' / 'CCCsf'. 20% NCF Decline: 'A-sf' / 'BBB-sf' / 'BBsf' / 'Bsf' / 'CCCsf ' / 'CCCsf' / 'CCCsf'. 30% NCF Decline: 'BBB+sf' / 'BB+sf' / 'B-sf' / 'CCCsf'/ 'CCCsf' / 'CCCsf' / 'CCCsf'. COMM 2014-FL5: S&P Lowers Class KH1 Certs Rating to B- (sf) ----------------------------------------------------------- S&P Global Ratings lowered its ratings on the class KH1 and KH2 nonpooled commercial mortgage pass-through certificates from COMM 2014-FL5 Mortgage Trust, a U.S. CMBS transaction. At the same time, S&P affirmed its ratings on four pooled classes from the same transaction. S&P Global Ratings believes there remains a high degree of uncertainty about the evolution of the coronavirus pandemic. Reports that at least one experimental vaccine is highly effective and might gain initial approval by the end of the year are promising, but this is merely the first step toward a return to social and economic normality; equally critical is the widespread availability of effective immunization, which could come by the middle of next year. S&P said, "We use this assumption in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Rating Actions S&P said, "The current ratings reflect our reevaluation of the K Hospitality Portfolio whole loan, which is secured by a portfolio of 20 limited-service, extended-stay, select-service, and full-service lodging properties totaling 1,922 guestrooms in the U.S. This is the only remaining loan within this large-loan transaction. The class KH1 and KH2 nonpooled certificates' payments are derived solely from the subordinate component of the K Hospitality Portfolio whole loan. In particular, the class KH2 downgrade reflects our view that, based on an S&P Global Ratings' loan-to-value (LTV) ratio exceeding 100%, the class is more susceptible to reduced liquidity support and that the risk of default and loss have increased due to uncertain market conditions. Our expected-case value declined by 9.1% since the last review to $135.0 million, or $70,248 per guestroom, and yielded an 80.7% LTV ratio on the pool trust balance and 118.8% LTV on the trust balance. The lower S&P Global Ratings value reflects our application of a higher weighted average capitalization rate of 11.00%, which we believe better captures the increased susceptibility to net cash flow (NCF) and liquidity disruption stemming from the pandemic." "In addition, we considered that the loan was previously transferred to the special servicer on Aug. 8, 2017, due to maturity default. The loan was initially modified on Dec. 29, 2017, and returned to the master servicer on March 29, 2018. The modification terms included, among other items, trapping cash, contributing $8.5 million in capital, curtailing $1.75 million in principal, paying down the principal loan balance quarterly, and providing three additional one-year extension options through Aug. 9, 2021. It is our understanding from the master servicer, Wells Fargo Bank N.A., that the loan was further modified effective Aug. 7, 2020. The latest modification terms included, among other items, additional annual extension options through 2024, subject to quarterly principal paydowns based on debt-yield tests, and fixed cumulative principal repayment amounts of $25.0 million, $50.0 million, and $100.0 million for the sixth, seventh, and eighth extension options, respectively. These fixed cumulative principal payments can also be achieved via property releases during the loan term. Wells Fargo stated that the borrower is current on its debt service payments and has not requested COVID-19-related relief." "While the transaction has benefited from a reduction to one remaining loan currently from five pooled loans at issuance, and the model-indicated ratings were higher for classes B and C, we affirmed the ratings on these classes. This is because we considered the portfolio's decline in performance during the COVID-19 pandemic, the related uncertainty about the duration of the demand disruption, and the time until the portfolio performance may rebound. We also considered the borrower's inability to refinance the whole loan prior to COVID-19." "We affirmed our rating on class D even though the model-indicated rating was lower than the class' current rating level. This is based on qualitative considerations, such as the significant market-value decline that would be required before this class experienced losses, liquidity support provided in the form of servicer advancing, and relative position of the class in the waterfall." "Our analysis also considered that the master and special servicers are currently reviewing a loan assumption or payoff statement request submitted by the borrower on Oct. 15, 2020. The sponsor, Colony Capital Inc., plans to divest a majority of its lodging portfolios and sell about 197 hotels to Highgate, a real estate investment and hospitality management company. However, if there are any reported negative changes in the portfolio or transaction's performance beyond what we have already considered, we may revisit our analysis and adjust our ratings as necessary." "The affirmation on the class X-EXT interest-only (IO) certificates is based on our criteria for rating IO securities, under which the rating on the IO security would not be higher than that of the lowest-rated reference class. The notional balance of class X-EXT references classes A, B, C, and D." Transaction Summary This is a large-loan transaction currently backed by one floating-rate IO mortgage loan. As of the Nov. 17, 2020, trustee remittance report, the trust consisted of the K Hospitality Portfolio floating-rate IO loan, with a $108.9 million pool balance and a $160.4 million trust balance, down from five pooled loans and one nonpooled loan totaling $377.9 million and $557.1 million, respectively, at issuance. At issuance, the K Hospitality Portfolio loan had a $167.6 million whole loan balance that was split into a $113.8 million senior pooled component and two subordinate nonpooled components totaling $53.8 million that support the class KH1 and KH2 certificates. The whole loan pays a floating interest rate of LIBOR plus 2.237%, and it initially matured on Aug. 9, 2016, with three one-year extension options. The loan's fully extended maturity date was initially Aug. 9, 2019. As aforementioned, the loan was modified with the borrower making quarterly principal paydowns and the current maturity date is Aug. 9, 2021. In addition, there are two mezzanine loans totaling $44.1 million. To date, the trust has not incurred any principal losses. The whole loan is secured by the borrower's fee simple interests in the K Hospitality portfolio, comprising 20 limited-service, extended-stay, select-service, and full-service lodging properties totaling 1,922 rooms in Texas (57.6% of the initial allocated loan balance [ALA]), California (24.2%), Louisiana (14.7%), and Oklahoma (3.5%). The 20 hotels operate under the Marriott International (53.1% of the ALA), InterContinental Hotels Group (19.8%), and Hilton Worldwide (27.1%) brands. At issuance, the loan was structured with an upfront reserve of $25.1 million for property improvement plan (PIP) work (approximately $13,059 per guestroom). According to Wells Fargo, the PIP renovations have been completed for all properties except one, which was extended until February 2021 by the franchisor. The various reserve accounts have an aggregate balance of $4.2 million currently. Property Analysis Prior to the pandemic, the portfolio's servicer-reported revenue per available room (RevPAR) and NCF were trending upward at $68.63 and $11.0 million, respectively, in 2016, $76.49 and $13.2 million in 2017, $78.96 and $15.2 million in 2018, and $82.22 and $17.0 million in 2019, before declining 17.9% and 30.9% to $67.49 and $11.8 million, respectively, as of the trailing-12-months (TTM) ended June 30, 2020, which includes four months of the pandemic. The servicer-reported RevPAR and NCF were $52.24 and $2.8 million for the six months ended June 30, 2020, compared with $81.88 and $8.3 million for the same period in 2019. In S&P's last review, it utilized a $14.8 million NCF in its analysis. The June 2020 Smith Travel Research reports indicate that the portfolio had a weighted average RevPAR penetration--which measures the RevPAR of the portfolio relative to its peers, with 100% indicating parity with competitors--of 120.3% (weighted by ALAs) as of the TTM ending June 2020, 115.9% (weighted by ALAs) as of the TTM ending June 2019, and 116.5% (weighted by ALAs) as of the TTM ending June 2018. Based on the June 2020 STR reports, the portfolio's occupancy was approximately 67.9% (weighted by ALAs) as of the TTM ending June 2020, down from approximately 74.4% (weighted by ALAs) in the TTM period ended June 2019. In S&P's analysis, it considered not only the portfolio's historical performance, but also the impact of the COVID-19 pandemic and the geographic concentration in Texas and California (which were significantly affected by the COVID-19 "first wave"), where 17 of the 20 hotels are located. The portfolio properties primarily rely on the transient, commercial, and leisure segments to derive bookings. The pandemic has brought about unprecedented social distancing and curtailment measures, which are resulting in a significant decline in corporate, leisure, and group travel. Since the outbreak, there has been a dramatic decline in airline passenger miles stemming from governmental restrictions on international travel and a major drop in domestic travel. In an effort to curtail the spread of the virus, most group meetings (both corporate and social) have been canceled, corporate transient travel has been restricted, and leisure travel has slowed due to fear of travel and the closure of demand generators, such as amusement parks and casinos, and the cancellation of concerts and sporting events. While leisure travel has slowly increased since April, leisure travelers have thus far favored hotels in smaller markets and more remote locations in an effort to socially distance. S&P said, "In our current analysis, instead of adjusting our sustainable NCF assumption, we increased our capitalization rate by 100 basis points to 11.00%, from 10.00% at issuance and our last review, to account for the adverse impact of the COVID-19 pandemic and the responses to it. We expect travel will remain tempered for several quarters. There is significant uncertainty regarding not only the duration of the pandemic, but also the time needed for lodging demand to return to normalized levels after lifting travel restrictions." Environmental, social, and governance (ESG) factors relevant to the rating action: -- Health and safety. Ratings Lowered COMM 2014-FL5 Mortgage Trust Commercial mortgage pass-through certificates Class KH1, To: B- (sf); From: B (sf) Class KH2, To: CCC (sf); From: B- (sf) Ratings Affirmed COMM 2014-FL5 Mortgage Trust Commercial mortgage pass-through certificates Class B: AA- (sf) Class C: A (sf) Class D: BBB- (sf) Class X-EXT: BBB- (sf) FREDDIE MAC 2020-HQA5: S&P Rates 16 Classes of Notes 'BB- (sf)' --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Freddie Mac STACR REMIC Trust 2020-HQA5's notes. The note issuance is an RMBS transaction backed by fully amortizing, high loan-to-value, first-lien, fixed-rate residential mortgage loans secured by one- to four-family residences, planned-unit developments, condominiums, cooperatives, and manufactured housing to mostly prime borrowers. The ratings reflect: -- The credit enhancement provided by the subordinated reference tranches, as well as the associated structural deal mechanics; -- The credit quality of the collateral included in the reference pool--a majority of this collateral is covered by mortgage insurance backstopped by Freddie Mac; -- A REMIC structure that reduces the counterparty exposure to Freddie Mac for periodic principal and interest payments but, at the same time, pledges the support of Freddie Mac (a highly rated counterparty) to cover shortfalls, if any, on interest payments and to make up for any investment losses; -- The issuer's aggregation experience and the alignment of interests between the issuer and noteholders in the deal's performance, which, in S&P's view, enhances the notes' strength; -- The enhanced credit risk management and quality control processes Freddie Mac uses in conjunction with the underlying representations and warranties framework; and -- The impact that COVID-19 is likely to have on the U.S. economy and the U.S. housing market and the additional structural provisions included to address corresponding forbearance and subsequent defaults. RATINGS ASSIGNED Freddie Mac STACR REMIC Trust 2020-HQA5 A-H(i), $40,672,747,478: NR M-1, $300,000,000: BBB (sf) M-1H(i), $122,574,000: NR M-2, $375,000,000: BB- (sf) M-2A, $187,500,000: BB+ (sf) M-2AH(i), $76,608,749: NR M-2B, $187,500,000: BB- (sf) M-2BH(i), $76,608,749: NR M-2R, $375,000,000: BB- (sf) M-2S, $375,000,000: BB- (sf) M-2U, $375,000,000: BB- (sf) M-2I, $375,000,000: BB- (sf) M-2T, $375,000,000: BB- (sf) M-2AR, $187,500,000: BB+ (sf) M-2AS, $187,500,000: BB+ (sf) M-2AT, $187,500,000: BB+ (sf) M-2AU, $187,500,000: BB+ (sf) M-2AI, $187,500,000: BB+ (sf) M-2BR, $187,500,000: BB- (sf) M-2BS, $187,500,000: BB- (sf) M-2BT, $187,500,000: BB- (sf) M-2BU, $187,500,000: BB- (sf) M-2BI, $187,500,000: BB- (sf) M-2RB, $187,500,000: BB- (sf) M-2SB, $187,500,000: BB- (sf) M-2TB, $187,500,000: BB- (sf) M-2UB, $187,500,000: BB- (sf) B-1, $225,000,000: B- (sf) B-1A, $112,500,000: B+ (sf) B-1AR, $112,500,000: B+ (sf) B-1AI, $112,500,000: B+ (sf) B-1AH(i), $45,965,250: NR B-1B, $112,500,000: B- (sf) B-1BH(i), $45,965,250: NR B-2, $180,000,000: NR B-2A, $90,000,000: NR B-2AR, $90,000,000: NR B-2AI, $90,000,000: NR B-2AH(i), $15,643,500: NR B-2B, $90,000,000: NR B-2BH(i), $15,643,500: NR B-3H(i), $105,643,501: NR (i)Reference tranche only and will not have corresponding notes. Freddie Mac retains the risk of each of these tranches. NR--Not rated. GREEN TREE 1996-03: Moody's Lowers Rating on Class M-1 Debt to C ---------------------------------------------------------------- Moody's Investors Service downgraded the rating of Cl. M-1 from Green Tree Financial Corporation MH 1996-03. The collateral backing this deal consists of manufactured housing loans. Complete rating actions are as follows: Issuer: Green Tree Financial Corporation MH 1996-03 M-1, Downgraded to C (sf); previously on Mar 30, 2009 Downgraded to Caa3 (sf) RATINGS RATIONALE The rating downgrade is primarily due to the weak performance of the underlying collateral and an increase in the bond's under-collateralization level. The rating action also reflects the recent performance as well as Moody's updated loss expectations on the underlying pool. In light of the current macroeconomic environment, Moody's reviewed loss expectations based on the extent, if any, of performance deterioration of the underlying loans, resulting from a slowdown in economic activity and increased unemployment due to the coronavirus outbreak. In Manufactured Housing (MH) transactions, servicers typically provide payment deferrals to delinquent borrowers and will generally defer the forborne amount as a non-interest-bearing balance, due at maturity of the loan as a balloon payment. Its analysis of such collateral thus incorporates assumptions around the current and historical proportion of borrowers granted payment deferral. As per its MH loan surveillance methodology, Moody's assumes that approximately 40%-50% of borrowers in its rated-universe of MH pools have received one or more such deferrals, and this assumption remains unchanged in the current environment. The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Its analysis has considered the effect on the performance of residential mortgage loans from the current weak US economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous, and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Principal Methodologies The principal methodology used in this rating was "US RMBS Surveillance Methodology" published in July 2020. In addition, Moody's publishes a weekly summary of structured finance credit ratings and methodologies. Factors that would lead to an upgrade or downgrade of the rating: 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. GS MORTGAGE 2005-ROCK: S&P Affirms BB+(sf) Rating on Class J Certs ------------------------------------------------------------------ S&P Global Ratings affirmed its ratings on 12 classes of trust pass-through certificates from GS Mortgage Securities Corp. II's series 2005-ROCK, a U.S. CMBS transaction. S&P Global Ratings believes there remains a high degree of uncertainty about the evolution of the coronavirus pandemic. Reports that at least one experimental vaccine is highly effective and might gain initial approval by the end of the year are promising, but this is merely the first step toward a return to social and economic normality; equally critical is the widespread availability of effective immunization, which could come by the middle of next year. S&P said, "We use this assumption in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Rating Actions S&P said, "The affirmations on classes A, A-FL, B, C-1, C-2, D, E, F, G, H, and J reflect our view that the current rating levels are generally in line with the model-indicated ratings." "Although the model-indicated ratings were lower for class D and higher for classes G and H than these classes' respective rating levels, our analysis also considered the classes' positions in the waterfall, and that while the borrower has successfully re-tenanted approximately 71.0% of the net rentable area (NRA) at the 507,358-sq.-ft. 50 Rockefeller Plaza building that was recently vacated by Bank of America, the servicer-reported net cash flow (NCF) for the six months ended June 30, 2020, has declined, primarily from a decline in other income, which reflects decreased tourism to portions of the collateral that cater to tourists. We will continue to monitor the performance of the properties, and if there are any meaningful changes to our performance expectations or assumptions, we may update our analysis and take rating actions as we deem necessary." "We also took into account that the mortgage is recorded at $1.21 billion, and the maximum amount recoverable in a mortgage foreclosure action may not be sufficient to repay the loan. Any amount over $1.21 billion would be considered unsecured debt of the borrower. In addition, if the equity pledge forecloses before a foreclosure on the mortgage, the trust may have to pay significant real property transfer tax because the resulting transfer would be treated as a property transfer under New York law." "In addition, we considered that, according to the master servicer, the borrower has not requested COVID-19 forbearance relief and has been current on its debt service payments." "We affirmed our rating on the class X-1 interest-only (IO) certificates based on our criteria for rating IO securities." Transaction Summary This is a stand-alone (single-borrower) transaction backed by a $1.685 billion, 20-year, fixed-rate IO loan secured by a first-priority mortgage (up to a maximum principal amount of $1.21 billion; discussed above) on the borrower's fee and leasehold interests in Rockefeller Center, which consists of 12 individual office/retail properties (including the 548,250-sq.-ft. Radio City Music Hall and 183,487-sq.-ft. Christie's Auction House) and a plaza totaling 6.8 million sq. ft. in midtown Manhattan, as well as the a first-priority pledge of all the equity interests in the borrower. Five of the individual properties--600 Fifth Avenue, 10 Rockefeller Plaza, 1230 Avenue of the Americas, 610 Fifth Avenue and 620 Fifth Avenue--are subject to ground leases. The ground lessor for these properties, other than 600 Fifth Avenue, is an affiliate of the sponsor, Tishman Speyer. In addition, the transaction documents note that the borrower is not required to incur aggregate "all risk" and terrorism coverage premiums greater than $7.95 million in any policy year, subject to annual Consumer Price Index adjustments. S&P increased its minimum credit enhancement levels at each rating category to account for this provision. As of the Nov. 3, 2020, trustee remittance report, the IO loan has a trust and whole loan balance of $1.685 billion, the same as at issuance and the last review. The loan pays interest at an annual fixed rate of 5.6435% and matures on May 1, 2025. In addition, there is a $320.0 million mezzanine loan. To date, the transaction has not incurred any principal losses. Credit Considerations S&P's property-level analysis included a re-evaluation of Rockefeller Center that secures the loan in the trust, and considered the declining servicer-reported NCF and stable-to-declining occupancy in the past four-plus years: $285.3 million and 91.5%, respectively, in 2016; $269.1 million and 90.7%, respectively, in 2017; $267.8 million and 93.1%, respectively, in 2018; $257.3 million and 91.7%, respectively, in 2019; and $114.1 million and 89.0%, respectively, for the six months ended June 30, 2020. According to the June 2020 rent roll, the buildings were approximately 85.8% occupied, which slightly underperforms the Plaza District office submarket (occupancy rate of 88.1% and retail submarket occupancy rate of 95.2%, based on CoStar's third-quarter 2020 market data), where the property is located. According to the June 2020 rent roll, the five largest tenants comprised 29.3% of NRA: Radio City Music Hall (8.2% of NRA; February 2023 lease expiration), Deloitte LLP (7.6%; September 2028 lease expiration), Lazard Group LLC (6.1%; October 2033 lease expiration), Simon & Schuster Inc. (4.5%; November 2034 lease expiration), and Christie's Inc. (2.9%; 2022 and 2028 lease expirations). The property benefits from relatively long-term leases, which S&P considered in its analysis, with tenants comprising about 50.0% of NRA expiring after the loan maturity date in May 2025. However, S&P noted that leases comprising 30.7% of NRA are scheduled to expire in 2020-2024: 1.7% in 2020, 7.2% in 2021, 3.5% in 2022, 13.4% in 2023, and 4.9% in 2024. S&P said, "We derived an S&P Global Ratings' NCF of $219.1 million, which is 9.2% lower than our last review and 14.8% lower than the year-end 2019 servicer-reported NCF. We divided our NCF by an S&P Global Ratings' capitalization rate of 6.75% to determine our expected-case value of $3.247 billion, which is 8.7% lower than our last review." This yielded an S&P Global Ratings' loan-to-value ratio of 51.9% and an S&P Global Ratings' debt service coverage (DSC) ratio of 2.27x on the trust balance. This compares to the servicer-reported DSC of 2.37x and 2.67x for the six months ended June 30, 2020, and year-end 2019, respectively." Ratings Affirmed GS Mortgage Securities Corp. II (Series 2005-ROCK) Class A: AAA (sf) Class A-FL: AAA (sf) Class B: AAA (sf) Class C-1: AAA (sf) Class C-2: AAA (sf) Class D: AAA (sf) Class E: AA+ (sf) Class F: AA (sf) Class G: A+ (sf) Class H: A (sf) Class J: BB+ (sf) Class X-1: AAA (sf) JP MORGAN 2012-WLDN: S&P Lowers Class A Certs Rating to 'BB-(sf)' ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-WLDN, a U.S. stand-alone single-borrower CMBS transaction. The transaction is backed by a partial interest-only (IO) amortizing loan secured by the borrower's fee interest in a portion of the Walden Galleria, a 1.57 million-sq.-ft. super-regional mall in Cheektowaga, N.Y. S&P Global Ratings believes there remains a high degree of uncertainty about the evolution of the coronavirus pandemic. Reports that at least one experimental vaccine is highly effective and might gain initial approval by the end of the year are promising, but this is merely the first step toward a return to social and economic normality; equally critical is the widespread availability of effective immunization, which could come by the middle of next year. S&P said, "We use this assumption in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Rating Actions The downgrades on the class A, B, and C certificates reflect S&P's reevaluation of the regional mall, based on its review of the updated Aug. 11, 2020, appraisal value released in November 2020 and the performance data for the trailing 12-months (TTM) ended June 30, 2020, that were provided by the special servicer after S&P's April 2020 review. S&P said, "We lowered our expected-case value by 39.5% to $203.5 million, based on the updated appraisal and performance information. This resulted in a lower estimated recovery on the mall than what we had derived in our April 2020 review. At that time, we had tempered our downgrade on class A, even though the model-indicated rating was lower, due to the class' senior position in the waterfall, the property's prominence in its trade area, and the potential for the property's operating performance to improve. Based on our last review valuation of $336.5 million (a 43.9% decline from the $600.0 million appraisal value at issuance and a 19.1% decline from our valuation at issuance), we expected class A, with an outstanding balance at that time of $195.0 million, to fully recover." The downgrades on classes A, B, and C reflect the increased susceptibility to liquidity interruption and losses due to S&P's revised lower expected case value and the lower as-is appraisal value of $216.0 million. In addition, it considered that the steep decline in the reported 2020 performance is partly due to a decrease in Canadian cross-border traffic, from which the mall also draws foot traffic, and the low servicer-reported debt service coverage (DSC) for the TTM ended June 30, 2020, which was 1.11x on the trust balance and 0.86x on the total debt, down from 1.68x and 1.30x, respectively, as of year-end 2019. In particular, the class C downgrade reflects S&P's view that, based on the significantly reduced appraisal value and an S&P Global Ratings loan-to-value (LTV) ratio of over 100%, the risk of default and loss on the class has increased due to uncertain market conditions. S&P said, "However, while the model-indicated rating on class A was lower than the class' revised rating level, we had tempered our downgrade because we qualitatively considered the class' senior position in the waterfall and the potential that, given the property's dominance in its trade area prior to the COVID-19 pandemic, its operating performance could improve above our expectations and the future market valuation could move closer to the appraiser's "prospective market value upon stabilization" of $260.0 million. However, if there are any reported negative changes in the property or the transaction's performance beyond what we have already considered, we may revisit our analysis and adjust our ratings as necessary." "The downgrades on the class X-A and X-B interest-only (IO) certificates are based on our criteria for rating IO securities, which states that the ratings on the IO securities would not be higher than that of the lowest-rated reference classes. Class X-A's notional amount references class A, and class X-B's notional amount references classes B and C. S&P said, "The lower S&P Global Ratings expected-case valuation reflects a lower S&P Global Ratings net cash flow (NCF) and our application of a higher S&P Global Ratings capitalization rate, which we believe better reflects the challenges the regional mall and the overall sector face, the transaction's increased susceptibility to NCF and liquidity disruptions due to the pandemic, and the perceived increase in market risk premium for the property based on the updated appraisal value." "In our analysis, we considered the lower-than-expected appraisal value as of Aug. 11, 2020, which was $216.0 million (a 64.0% decline from the appraisal value at issuance) and the higher appraiser's capitalization rate of 12.50%. We arrived at an S&P Global Ratings expected-case value of $203.5 million (which is 5.8% lower than the 2020 appraisal value) by using the S&P Global Ratings sustainable NCF of $19.3 million (which is 25.9% and 29.9% lower than at the last review and the 2019 servicer-reported NCF, respectively; and relatively flat from the servicer-reported NCF as of the TTM ended June 30, 2020) and applying an S&P Global Ratings capitalization rate of 9.50% (up from 7.75% in the last review). The S&P Global Ratings LTV ratio was 120.1%, versus 73.5% in the last review." S&P also took into account the loan transferred to special servicing on April 1, 2020, due to imminent default. The borrower had requested COVID-19-related relief due to the pandemic's impact on the collateral property's performance. The special servicer, KeyBank Real Estate Capital, indicated that the loan was modified and the modification terms included, among other items, deferring the monthly debt service payments from June 1, 2020, through the December 2020 payment date; increasing the monthly rollover reserve amount; the borrower paying the legal, special servicing, and modification fees; and the borrower repaying the deferred amounts at maturity. According to the Nov. 5, 2020, trustee remittance report, the master servicer, also KeyBank, made $6.8 million in principal and interest advances to date. Transaction Summary This is a stand-alone (single-borrower) transaction backed by a fixed-rate partial IO amortizing mortgage loan secured by the borrower's fee interest in a portion (1.18 million sq. ft.) of the Walden Galleria, a 1.57 million-sq.-ft. super-regional shopping mall in Cheektowaga, N.Y., a suburb of Buffalo, N.Y. The mall, which closed in mid-April 2020 and reopened in July 2020 because of the COVID-19 pandemic, is currently open and includes J.C. Penney (180,432 sq. ft.; April 2024 expiration; not rated; anchor), Macy's (175,000 sq. ft.; B+/Negative/B; noncollateral anchor), Lord & Taylor (100,000 sq. ft.; not rated; noncollateral anchor), Dick's Sporting Goods (78,481 sq. ft.; January 2024 expiration; not rated; junior anchor), Regal Galleria 16 (75,000 sq. ft., May 2026 expiration; not rated; junior anchor), and a 113,194-sq.-ft. vacant anchor space previously occupied by Sears. According to the mall's directory, the anchor and junior anchor tenants are still in place and the former Sears space is still vacant. In addition, Lord & Taylor announced that it plans to close its store at this location. According to the Nov. 5, 2020, trustee remittance report, the loan has a trust balance of $244.5 million (down from $270.0 million at issuance), pays an annual fixed interest rate of 4.478%, and has a May 1, 2022, maturity date. The loan was IO for the first 36 months and now pays a monthly principal and interest amount of $1.36 million. In addition, there are two mezzanine loans secured by pledges of direct or indirect equity interests in the borrower totaling $80.0 million. The loan's sponsor is The Pyramid Cos. Property Analysis S&P said, "Our property-level analysis considered the year-over-year declines in the mall's servicer-reported occupancy and NCF of 91.8% and $34.5 million, respectively, in 2016; 84.9% and $31.2 million in 2017; 84.2% and $30.2 million in 2018; 81.6% and $27.6 million in 2019; and 82.5% and $18.2 million for the TTM ended June 30, 2020. We attributed the steep decline in performance for the TTM ended June 30, 2020, to lower base rent, expense reimbursement income, and other income. We also considered the increased tenant bankruptcies and store closures, as well as the low billed rent collection rates of 10.0% in April 2020, 13.0% in May 2020, and 19.0% in June 2020 due to the pandemic. According to the June 30, 2020, rent roll, the collateral mall was 86.9% occupied and faces moderate tenant rollover during the next few years. The net rentable area includes leases that expire in 2020 (3.9%), 2021 (13.0%), 2022 (13.5%), and 2023 (9.7%). To account for these risks, we excluded income from tenants that are no longer listed on the mall directory website or those that have filed for bankruptcy and/or announced store closures." "We also increased our capitalization rate by 175 basis points from our last review to account for cash flow volatility due to declining and weakening trends within the retail mall sector, the overall perceived increase in the market risk premium for this property type, a vacant anchor, the relatively weak anchors, numerous competitors in the mall's trade area, and in-line sales of $482 per sq. ft. (excluding Apple) using the year-end Dec. 31, 2019, tenant sales report and 15.0% occupancy cost, as calculated by S&P Global Ratings." Environmental, social, and governance (ESG) factors for this credit rating change: -- Health and safety. Ratings Lowered J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-WLDN Commercial mortgage pass-through certificates Class A rating to 'BB- (sf)' from 'AA (sf') Class B rating to 'B- (sf)' from 'BBB- (sf)' Class C rating to 'CCC (sf)' from 'BB+ (sf)' Class X-A rating to 'BB- (sf)' from 'AA (sf)' Class X-B rating to 'CCC (sf)' from 'BB+ (sf)' PALMER SQUARE 2020-3: S&P Assigns Prelim B- (sf) Rating to E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Palmer Square CLO 2020-3 Ltd.'s floating-rate notes. The note issuance is a CLO transaction backed by primarily broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Nov. 20, 2020. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversification of the collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral management team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Palmer Square CLO 2020-3 Ltd. $248.00 mil. class A-1a: AAA (sf) $8.00 mil. class A-1b: AAA (sf) $48.00 mil. class A-2: AA (sf) $24.00 mil. class B: A (sf) $20.00 mil. class C: BBB- (sf) $16.00 mil. class D: BB- (sf) $6.00 mil. class E: B- (sf) $31.10 mil. subordinated notes: not rated ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog, Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2020. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***