/raid1/www/Hosts/bankrupt/TCR_Public/201227.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 27, 2020, Vol. 24, No. 361
Headlines
ABPCI DIRECT X: S&P Assigns Prelim BB-(sf) Rating to Class E Notes
AVID AUTOMOBILE 2019-1: S&P Raises Class D Notes Rating to BB (sf)
BLUEMOUNTAIN CLO XXX: S&P Rates Class E Notes 'BB- (sf)'
DT AUTO 2019-3: S&P Affirms BB Rating on Class E Notes
ELMWOOD CLO VII: S&P Rates $7.5MM Class F Notes 'B-(sf)'
GLS AUTO 2020-4: S&P Assigns BB- (sf) Rating to Class E Notes
GOLUB CAPITAL 52(B): S&P Rates Class E Notes 'BB-(sf)'
JP MORGAN 2020-9: S&P Assigns B Rating on Class B-5 Certs
LUCALI CLO: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
MADISON PARK XXI: S&P Puts BB- Rating on D-R Notes on Watch Neg.
MAGNETITE XXV: S&P Assigns Prelim BB- (sf) Rating to Class E Notes
MARATHON CLO 14: S&P Affirms BB- (sf) Rating on Class D Notes
MORGAN STANLEY 2011-C2: Moody's Cuts Class F Certs to C
NEW RESIDENTIAL 2020T1: S&P Assigns Prelim BB Rating to E-T1 Notes
OZLM FUNDING II: S&P Assigns B Rating on Class D-R2 Notes
REESE PARK: S&P Assigns BB- Rating on $15MM Class E Notes
STARWOOD MORTGAGE 2020-INV1: S&P Rates 11 Classes of Certs 'B(sf)'
VISIO 2020-1R: S&P Assigns B Rating on Class B-2 Notes
[*] S&P Discontinues 'D' Ratings on 13 Classes From 9 US CMBS Deals
[*] S&P Takes Various Actions on 54 Classes From 14 US RMBS Deals
*********
ABPCI DIRECT X: S&P Assigns Prelim BB-(sf) Rating to Class E Notes
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S&P Global Ratings assigned its preliminary ratings to ABPCI Direct
Lending Fund CLO X L.P.'s fixed- and floating-rate notes.
The note issuance is a CLO transaction backed by primarily middle
market 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 Dec. 14,
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 manager's 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
ABPCI Direct Lending Fund CLO X L.P.
$178.00 million class A1A: AAA (sf)
$13.00 million class A1B: AAA (sf)
$9.50 million class A2A: AAA (sf)
$7.50 million class A2B: AAA (sf)
$20.50 million class B1: AA (sf)
$6.00 million class B2: AA (sf)
$28.00 million class C: A (sf)
$17.50 million class D: BBB- (sf)
$12.00 million class E: BB- (sf)
$54.75 million partnership interests: not rated
AVID AUTOMOBILE 2019-1: S&P Raises Class D Notes Rating to BB (sf)
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S&P Global Ratings raised its ratings on three classes of notes
from Avid Automobile Receivables Trust (Avid) 2018-1 and 2019-1. At
the same time, S&P affirmed its ratings on four classes of notes
from the same transactions.
Avid 2018-1 and Avid 2019-1 are ABS transactions backed by subprime
auto loan receivables.
S&P said, "The rating actions reflect each transaction's collateral
performance to date and our views regarding future collateral
performance, including an upward adjustment in remaining cumulative
net losses (CNLs) to account for the COVID-19-induced recession.
The rating actions also reflect our view of each transaction's
structure, and the respective credit enhancement levels. Our
analysis also incorporated secondary credit factors, such as credit
stability, payment priorities under various scenarios, and sector-
and issuer-specific analyses. Considering all these factors, we
believe the creditworthiness of each series' notes remains
consistent with the raised and affirmed ratings. The maximum
potential rating on each series' notes is capped at 'A (sf)'."
"In our view, series 2018-1's expected CNL is trending lower than
our original expectations, mainly as a result of repurchases of
some defaulted and delinquent receivables that occurred during the
transaction's first year. This likely kept losses from breaching
their monthly CNL performance triggers. The transaction's current
losses are expected to remain below their monthly CNL triggers.
With 34 months of performance, series 2018-1 has a pool factor of
21.28% and has experienced a CNL of 9.19% after accounting for
repurchases. Our original expected CNL at issuance was
14.00%-15.00%. In August 2019, we lowered our expected lifetime CNL
range to 12.75%-13.75%. We are lowering further our expected
lifetime CNL range to 12.00%-13.00% because the transaction's
current CNL level is trending lower than our prior revised loss
expectations from August 2019."
"With 13 months of performance, series 2019-1 has a pool factor of
73.06% and has experienced a CNL of 3.79%. Our original expected
CNL at issuance was 13.75%-14.75%. Avid has not repurchased any of
the receivables in the series 2019-1 pool to date. We are raising
our expected lifetime CNL range to 15.50%-16.50% because the
transaction's current CNL level is trending higher than our
original loss expectation."
"Our loss expectation for both series 2018-1 and 2019-1 also
incorporates an adjustment for the elevated macroeconomic stress
associated with the COVID-19 pandemic that will likely continue
into 2021 in our view. Extensions peaked in May due to the COVID-19
pandemic but have since returned close to pre-COVID-19 levels."
Table 1
Collateral Performance (%)
As of the November 2020 distribution date
Pool Current 60+ day Extension
Series Mo. factor CNL delinq rate
2018-1 34 21.28 9.19 3.41 1.97
2019-1 13 73.06 3.79 2.41 4.24
Mo.--Month.
CNL--Cumulative net loss.
Delinq.--Delinquencies.
Table 2
CNL Expectations (%)
Original Prior Revised
lifetime lifetime lifetime
Series CNL exp. CNL exp.(i) CNL exp.
2018-1 14.00-15.00 12.75-13.75 12.00-13.00
2019-1 13.75-14.75 N/A 15.50-16.50
(i)As of August 2019.
CNL exp.-—Cumulative net loss expectations.
N/A—Not applicable.
The two transactions contain a sequential principal payment
structure in which the notes are paid principal by seniority. They
also have credit enhancement in the form of subordinated notes,
nonamortizing reserve accounts, overcollateralization, and excess
spread. The reserve accounts and overcollateralization amounts are
at their specified targets, and each class' credit support
continues to increase as a percentage of the amortizing collateral
balance.
The transactions have CNL triggers that are tested monthly and, if
breached, cause the transactions to direct all excess cash toward
paying down the notes. The series 2018-1 trigger is curable if CNL
remains below the monthly CNL trigger for five consecutive months
(10 months for the series 2019-1 trigger). For each series, after a
trigger is breached and then cured, any credit enhancement that is
built prior to the trigger being cured remains in the transaction
and would not be released.
Table 3
Hard Credit Support (%)
As of the November 2020 distribution date
Total hard Current total hard
credit support credit support
Series Class at issuance(i) (% of current)(i)
2018-1 A 24.65 101.76
2018-1 B 14.30 53.11
2018-1 C 6.00 14.10
2019-1 A 40.25 63.41
2019-1 B 22.25 38.77
2019-1 C 11.55 24.12
2019-1 D 5.75 16.19
(i)Calculated as a percentage of the total gross receivables pool
balance, consisting of a reserve account, overcollateralization,
and, if applicable, subordination.
S&P said, "We incorporated an analysis of the current hard credit
enhancement compared to the remaining expected CNL for those
classes in which hard credit enhancement alone--without credit to
the stressed excess spread--was sufficient, in our opinion, to
raise to or affirm the ratings. For the other classes, we
incorporated a cash flow analysis to assess the loss coverage
level, giving credit to excess spread. Our various cash flow
scenarios included forward-looking assumptions on recoveries,
timing of losses, and voluntary prepayment speeds that we believe
are appropriate given each transaction's performance to date. Aside
from our break-even cash flow analysis, we also conducted
sensitivity analyses for these series to determine the impact that
a moderate ('BBB') stress scenario would have on our ratings if
losses begin trending higher than our revised base-case loss
expectations."
"In our view, the results demonstrated that all of the classes have
adequate credit enhancement at the raised and affirmed rating
levels. We will continue to monitor the performance of these
transactions to ensure that the credit enhancement remains
sufficient, in our view, to cover our CNL expectations under our
stress scenarios for each of the rated classes."
S&P believes there remains a high degree of uncertainty about the
evolution of the coronavirus pandemic. While the early approval of
a number of vaccines is a positive development, countries' approval
of vaccines 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 mid-2021.
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 RAISED
Avid Automobile Receivables Trust
Rating
Series Class To From
2018-1 B A (sf) BBB+ (sf)
2019-1 C BBB+ (sf) BBB (sf)
2019-1 D BB (sf) BB- (sf)
RATINGS AFFIRMED
Avid Automobile Receivables Trust
Series Class Rating
2018-1 A A (sf)
2018-1 C BB- (sf)
2019-1 A A (sf)
2019-1 B A- (sf)
BLUEMOUNTAIN CLO XXX: S&P Rates Class E Notes 'BB- (sf)'
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S&P Global Ratings assigned its ratings to BlueMountain CLO XXX
Ltd./BlueMountain CLO XXX LLC's floating-rate notes.
The note issuance is a CLO transaction backed primarily by broadly
syndicated speculative-grade (rated 'BB+' and lower) senior secured
term loans that are governed by collateral quality tests.
The 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; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
BlueMountain CLO XXX Ltd./BlueMountain CLO XXX LLC
Class A, $240.00 million: AAA (sf)
Class B, $64.00 million: AA (sf)
Class C (deferrable), $23.00 million: A (sf)
Class D (deferrable), $23.00 million: BBB- (sf)
Class E (deferrable), $13.25 million: BB- (sf)
Subordinated notes, $39.19 million: Not rated
DT AUTO 2019-3: S&P Affirms BB Rating on Class E Notes
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S&P Global Ratings raised its ratings on 10 classes and affirmed
its ratings on six classes from five DT Auto Owner Trust
transactions. The issuances are ABS transactions backed by subprime
retail auto loans originated by DriveTime Car Sales Co. LLC.
S&P said, "performance to date, our views regarding future
collateral performance, and each transaction's structure, credit
enhancement levels, and remaining cumulative net loss (CNL)
expectations. In addition, we incorporated secondary credit factors
into our analysis, such as credit stability, payment priorities
under certain scenarios, and sector- and issuer-specific analyses.
Considering all these factors, we believe the creditworthiness of
the notes remains consistent with the raised and affirmed ratings.
"The series under review are generally performing in line or better
than our initial loss expectation at issuance (pre-COVID-19).
However, we factored in an upward adjustment to remaining losses
that could result from elevated unemployment levels associated with
the current COVID-19-induced recession. As such, our
forward-looking expectations for 2017-2, 2017-3, and 2019-3 are for
higher losses as reflected in our adjusted expected CNLs. We
lowered our loss expectations on 2018-2 and 2018-3, which are
performing better than our initial loss expectations at issuance
even with the upward adjustment we made to remaining losses for all
series. Extensions, due to the impact of COVID-19, peaked in April
but have since returned to pre-COVID-19 levels."
Table 1
Collateral Performance (%)(i)
Pool Current 60+ day
Series Mo. factor CNL delinq. Extensions
2017-2 42 15.77 27.03 13.97 1.13
2017-3 39 18.60 24.93 13.23 1.08
2018-2 29 33.29 18.38 13.13 1.24
2018-3 25 44.07 14.09 11.53 1.45
2019-3 16 60.56 9.42 9.98 1.40
(i)As of the November 2020 distribution date.
Mo.--Month.
CNL--Cumulative net loss.
Delinq.--Delinquencies.
Table 2
CNL Expectations (%)(i)
Initial Former Revised
lifetime lifetime lifetime
Series CNL exp. CNL. Exp(ii) CNL exp.
2017-2 29.50-30.50 28.50-29.00 29.00-29.50
2017-3 29.50-30.50 27.75-28.25 28.25-28.75
2018-2 29.00-30.00 28.75-29.75 27.00-28.00
2018-3 28.50-29.50 28.00-29.00 27.50-28.50
2019-3 27.00-28.00 N/A 28.25-29.25
(i)As of the November 2020 distribution date.
(ii)Series 2017-2, 2017-3, 2018-2, and 2018-3 were revised in
December 2019.
CNL exp.--Cumulative net loss expectations.
N/A--Not applicable.
Each transaction has a sequential principal payment structure that
will increase the credit enhancement for the senior notes as the
pool amortizes. Each transaction also has credit enhancement
consisting of overcollateralization, subordination, if applicable,
a non-amortizing reserve account, and excess spread. The hard
credit enhancement for each transaction is at the specified target.
Since closing, the credit support for each series has increased as
a percentage of the amortizing pool balance.
S&P said, "We analyzed the current hard credit enhancement versus
the remaining expected CNL for the classes where hard credit
enhancement alone--without credit to any excess spread--was
sufficient, in our view, to upgrade or affirm the ratings. For the
other classes, we incorporated a cash flow analysis to assess the
loss coverage levels, giving credit to stressed excess spread. Our
various cash flow scenarios included forward-looking assumptions on
recoveries, the timing of losses, and voluntary absolute prepayment
speeds that we believe are appropriate given each transaction's
performance to date. The credit support, as a percentage of the
current amortizing pool balance compared with our revised remaining
loss expectations, is commensurate with the raised and affirmed
ratings."
Table 3
Hard Credit Support(i)
Total hard Current total hard
credit support credit support
Series Class at issuance (%)(ii) (% of current)(ii)
2017-2 D 30.86 109.51
2017-2 E 20.77 34.26
2017-3 D 30.80 108.07
2017-3 E 21.00 32.32
2018-2 C 41.50 104.51
2018-2 D 28.50 90.59
2018-2 E 20.50 27.51
2018-3 B 51.80 98.11
2018-3 C 40.90 73.38
2018-3 D 28.00 44.11
2018-3 E 19.80 25.50
2019-3 A 59.45 93.19
2019-3 B 49.85 77.33
2019-3 C 34.65 52.24
2019-3 D 20.35 28.62
2019-3 E 15.75 21.03
(i)As of the November 2020 distribution date.
(ii)Calculated as a percentage of the total gross receivables
pool balance, consisting of a reserve account,
overcollateralization, and, if applicable, subordination. Excess
spread is excluded from the hard credit support but it can also
provide additional enhancement.
S&P said, "We also conducted sensitivity analyses to determine the
impact that a moderate ('BBB') stress level scenario would have on
our ratings if losses trended higher than our revised base-case
loss expectations. In our view, the results demonstrated that all
of the classes' ratings meet our credit stability limits at their
respective raised and affirmed rating levels.
"We will continue to monitor the performance of all the outstanding
transactions to ensure credit enhancement remains sufficient to
cover our CNL expectations under our stress scenarios for each of
the rated classes."
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."
RATINGS RAISED
DT Auto Owner Trust
Rating
Series Class To From
2017-2 E A+ (sf) A- (sf)
2017-3 D AAA (sf) AA+ (sf)
2017-3 E A- (sf) BBB+ (sf)
2018-2 C AAA (sf) AA+ (sf)
2018-2 D AAA (sf) A- (sf)
2018-2 E BBB (sf) BB+ (sf)
2018-3 C AAA (sf) AA- (sf)
2018-3 D A- (sf) BBB+ (sf)
2019-3 B AAA (sf) AA (sf)
2019-3 C A+ (sf) A (sf)
RATINGS AFFIRMED
DT Auto Owner Trust
Series Class Rating
2017-2 D AAA (sf)
2018-3 B AAA (sf)
2018-3 E BB (sf)
2019-3 A AAA (sf)
2019-3 D BBB (sf)
2019-3 E BB (sf)
ELMWOOD CLO VII: S&P Rates $7.5MM Class F Notes 'B-(sf)'
--------------------------------------------------------
S&P Global Ratings assigned its ratings to Elmwood CLO VII
Ltd./Elmwood CLO VII LLC's floating-rate notes.
The note issuance is a CLO securitization backed by primarily
broadly syndicated speculative-grade (rated 'BB+' or lower) senior
secured term loans that are governed by collateral quality tests.
The ratings reflect S&P's view of:
-- 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 manager's 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.
Ratings Assigned
Elmwood CLO VII Ltd./Elmwood CLO VII LLC
Class A, $300.00 million: AAA (sf)
Class B, $80.00 million: AA (sf)
Class C (deferrable), $30.00 million: A (sf)
Class D (deferrable), $28.75 million: BBB- (sf)
Class E (deferrable), $16.25 million: BB- (sf)
Class F (deferrable), $7.50 million: B- (sf)
Subordinated notes, $39.00 million: Not rated
GLS AUTO 2020-4: S&P Assigns BB- (sf) Rating to Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to GLS Auto Receivables
Issuer Trust 2020-4's automobile receivables-backed notes series
2020-4.
The note issuance is an ABS transaction backed by subprime auto
loan receivables.
The ratings reflect S&P's view of:
-- The availability of approximately 57.5%, 50.9%, 41.3%, 34.8%,
and 28.8% of credit support for the class A, B, C, D, and E notes,
respectively, based on stressed cash flow scenarios (including
excess spread). These credit support levels provide coverage of
approximately 2.60x, 2.25x, 1.80x, 1.47x, and 1.22x S&P's
21.25%-22.25% expected cumulative net loss for the class A, B, C,
D, and E notes, respectively. These break-even scenarios withstand
cumulative gross losses of approximately 92.0%, 81.5%, 68.8%,
58.0%, and 48.1%, respectively.
-- S&P's expectations that under a moderate ('BBB') stress
scenario (1.55x its expected loss level), all else being equal, its
'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB- (sf)', and 'BB- (sf)'
ratings on the class A, B, C, D, and E notes, respectively, will be
within the credit stability limits specified by section A.4 of the
Appendix contained in S&P Global Rating Definitions.
-- S&P's analysis of over six years of origination static pool
data and securitization performance data on Global Lending Services
LLC's (GLS) 10 Rule 144A securitizations.
-- The collateral characteristics of the subprime automobile loans
securitized in this transaction, including the representation in
the transaction documents that all contracts in the pool have made
a least one payment.
-- The notes' underlying credit enhancement in the form of
subordination, overcollateralization, a reserve account, and excess
spread for the class A, B, C, D, and E notes.
-- The timely interest and principal payments made to the notes
under our stressed cash flow modeling scenarios, which S&P believes
are appropriate for the assigned ratings.
S&P Global Ratings believes there remains a high degree of
uncertainty about the evolution of the coronavirus pandemic. While
the early approval of a number of vaccines is a positive
development, countries' approval of vaccines 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 mid-2021.
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."
Ratings Assigned
GLS Auto Receivables Issuer Trust 2020-4
Class A, $155.40 million: AAA (sf)
Class B, $42.17 million: AA (sf)
Class C, $51.63 million: A (sf)
Class D, $32.05 million: BBB- (sf)
Class E, $29.22 million: BB- (sf)
GOLUB CAPITAL 52(B): S&P Rates Class E Notes 'BB-(sf)'
------------------------------------------------------
S&P Global Ratings assigned its ratings to Golub Capital Partners
CLO 52(B) 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 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 manager's 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.
Ratings Assigned
Golub Capital Partners CLO 52(B) Ltd.
Class A-1, $240.00 million: AAA (sf)
Class A-2, $10.00 million: not rated
Class B, $54.00 million: AA (sf)
Class C, $24.00 million: A (sf)
Class D, $20.00 million: BBB- (sf)
Class E, $14.00 million: BB- (sf)
Subordinated notes: $44.75 million: Not rated
JP MORGAN 2020-9: S&P Assigns B Rating on Class B-5 Certs
---------------------------------------------------------
S&P Global Ratings assigned its ratings to J.P. Morgan Mortgage
Trust 2020-9's mortgage pass-through certificates.
The note issuance is an RMBS transaction backed by residential
mortgage loans.
The ratings reflect:
-- The high-quality collateral in the pool;
-- The available credit enhancement;
-- The transaction's associated structural mechanics;
-- The representation and warranty framework for this
transaction;
-- The geographic concentration;
-- The experienced aggregator;
-- The 100% due diligence results consistent with
represented loan characteristics; and
-- The impact that the economic stress brought on by the
COVID-19 pandemic is likely to have on the performance
of the mortgage borrowers in the pool and liquidity
available in the transaction.
RATINGS ASSIGNED
J.P. Morgan Mortgage Trust 2020-9
$295,376,000 class A-1: AAA (sf)
$295,376,000 class A-2: AAA (sf)
$295,376,000 class A-2-A: AAA (sf)
$295,376,000(i) class A-2-X: AAA (sf)
$279,830,000 class A-3: AAA (sf)
$279,830,000 class A-3-A: AAA (sf)
$279,830,000(i) class A-3-X: AAA (sf)
$209,873,000 class A-4: AAA (sf)
$209,873,000 class A-4-A: AAA (sf)
$209,873,000(i) class A-4-X: AAA (sf)
$69,957,000 class A-5: AAA (sf)
$69,957,000 class A-5-A: AAA (sf)
$69,957,000(i) class A-5-X: AAA (sf)
$166,484,000 class A-6: AAA (sf)
$166,484,000 class A-6-A: AAA (sf)
$166,484,000(i) class A-6-X: AAA (sf)
$113,346,000 class A-7: AAA (sf)
$113,346,000 class A-7-A: AAA (sf)
$113,346,000(i) class A-7-X: AAA (sf)
$43,389,000 class A-8: AAA (sf)
$43,389,000 class A-8-A: AAA (sf)
$43,389,000(i) class A-8-X: AAA (sf)
$34,979,000 class A-9: AAA (sf)
$34,979,000 class A-9-A: AAA (sf)
$34,979,000(i) class A-9-X: AAA (sf)
$34,978,000 class A-10: AAA (sf)
$34,978,000 class A-10-A: AAA (sf)
$34,978,000(i) class A-10-X: AAA (sf)
$15,546,000 class A-M: AAA (sf)
$15,546,000 class A-M-A: AAA (sf)
$15,546,000(i) class A-M-X: AAA (sf)
$295,376,000(i) class A-X-1: AAA (sf)
$6,218,000 class B-1: AA (sf)
$2,954,000 class B-2: A (sf)
$2,954,000 class B-3: BBB (sf)
$933,000 class B-4: BB (sf)
$1,399,000 class B-5: B (sf)
$1,088,480 class B-6: not rated
$0 class A-R: not rated
(i)Notional balance.
LUCALI CLO: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Lucali CLO
Ltd./Lucali CLO LLC's floating-rate notes.
The note issuance is a CLO securitization backed by primarily
broadly syndicated speculative-grade (rated 'BB+' or lower) senior
secured term loans that are governed by collateral quality tests.
The preliminary ratings are based on information as of Dec. 15,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The diversification of the collateral pool, which consists
primarily of broadly syndicated speculative-grade (rated 'BB+' or
lower) senior secured term loans that are governed by collateral
quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The experience of the collateral manager's 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
Lucali CLO Ltd./Lucali CLO LLC
Class X, $2.00 million: AAA (sf)
Class A, $256.00 million: AAA (sf)
Class B, $48.00 million: AA (sf)
Class C (deferrable), $24.00 million: A (sf)
Class D (deferrable), $24.00 million: BBB- (sf)
Class E (deferrable), $14.00 million: BB- (sf)
Subordinated notes, $40.00 million: Not rated
MADISON PARK XXI: S&P Puts BB- Rating on D-R Notes on Watch Neg.
----------------------------------------------------------------
S&P Global Ratings placed its ratings on Madison Park Funding XXI
Ltd.'s class C-1-R, C-2-R, C-2F-R, and D-R notes on CreditWatch
with negative implications.
S&P said, "The CreditWatch negative placements follow our
observations of one or more factors that typically have a more
negative impact on the junior and mezzanine notes in the
transaction. Our review considered the increased exposure to assets
that fall under the 'CCC' category, the increase in defaults, the
decline of coverage test results, the excess 'CCC' haircuts, and
the preliminary indicative cash flow results."
"We placed our ratings on CreditWatch with negative implications
because we believe the credit support available to these tranches
may no longer be commensurate with their current ratings. We
specifically focused on the junior and mezzanine tranches, as they
are the first of the rated notes that will be affected by any
credit deterioration, increase in defaults, or par loss arising
from credit risk trades."
S&P believes there remains a high degree of uncertainty about the
evolution of the coronavirus pandemic. While the early approval of
a number of vaccines is a positive development, countries' approval
of vaccines 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 mid-2021.
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."
"In light of the shifting credit dynamics within CLO portfolios due
to continuing rating actions (downgrades, CreditWatch placements,
and outlook revisions) on speculative-grade corporate loan issuers,
we may choose to make qualitative adjustments to our analysis when
rating CLO tranches to reflect the likelihood that changes to the
credit profile of the underlying assets may affect a portfolio's
credit quality in the near term. This is consistent with paragraph
15 of our criteria for analyzing CLOs."
"We typically resolve CreditWatch placements within 90 days after
we complete cash flow analysis and committee review for each of the
affected transactions. As we work to resolve these CreditWatch
placements, we will attempt to contact the managers of these
transactions to ensure we have the most current data--including any
credit risk sales or other trades that may have occurred but are
yet to be reflected in trustee reports--and aim to understand their
strategies for their portfolios moving forward."
"We will continue to monitor the transactions we rate and take
rating actions, including CreditWatch placements, as we deem
appropriate."
Ratings Placed On CreditWatch Negative
Madison Park Funding XXI Ltd.
Class C-1-R to BBB (sf)/Watch Neg from BBB
Class C-2-R to BBB- (sf)/Watch Neg from BBB-
Class C-2F-R to BBB- (sf)/Watch Neg from BBB-
Class D-R to BB- (sf)/Watch Neg from BB-
MAGNETITE XXV: S&P Assigns Prelim BB- (sf) Rating to Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Magnetite
XXV Ltd./Magnetite XXV LLC's floating-rate notes.
The note issuance is a CLO transaction backed by broadly syndicated
speculative-grade (rated 'BB+' and lower) senior secured term loans
that are governed by collateral quality tests. The notes are
managed by BlackRock Financial Management Inc.
The preliminary ratings are based on information as of Dec. 15,
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 manager's 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
Magnetite XXV Ltd./Magnetite XXV LLC
Class A, $283.50 million: AAA (sf)
Class B, $58.50 million: AA (sf)
Class C (deferrable), $27.00 million: A (sf)
Class D (deferrable), $27.00 million: BBB- (sf)
Class E (deferrable), $14.60 million: BB- (sf)
Subordinated notes, $45.90 million: Not rated
MARATHON CLO 14: S&P Affirms BB- (sf) Rating on Class D Notes
-------------------------------------------------------------
S&P Global Ratings lowered its ratings on the class C-1a, C-1b, and
C-2 notes from Marathon CLO 14 Ltd., a U.S. CLO managed by Marathon
Asset Management L.P. S&P also affirmed its ratings on the class
A-1A, A-2a, A-2b, B-a, B-b, and D notes from the same transaction.
The rating actions follow its review of the transaction's
performance, using data from the Nov. 10, 2020, trustee report.
The downgrades reflect deteriorated credit quality of the
underlying portfolio and the decrease in credit support available
to the class C-1a, C-1b, and C-2 notes. The increase in the
overcollateralization (O/C) ratio numerator haircuts (largely due
to excess 'CCC' rated collateral adjustments and defaulted assets)
and par losses contributed to the following declines in the O/C
ratios according to the Nov. 10, 2020, trustee report compared with
the April 2020 report:
-- The class A O/C ratio declined to 128.08% from 128.80%;
-- The class B O/C ratio declined to 119.43% from 120.11%;
-- The class C O/C ratio declined to 108.76% from 109.37%; and
-- The class D O/C ratio declined to 106.97% from 107.57%.
The reinvestment O/C test, which measures the O/C level at class E,
has also declined over the same period to 106.97% from 107.57%.
On a standalone basis, the results of the cash flow analysis
indicated the class C-1a, C-1b, and C-2 notes were not passing at
current rating levels. The collateral portfolio's credit quality
has deteriorated since S&P last rating actions in December 2019 and
the portfolio has lost par. Per the November 2020 trustee report,
collateral obligations with ratings in the 'CCC' category accounted
for 9.1% of the portfolio, above the maximum allowed limit of 5.0%
per indenture. Collateral obligations with ratings in the 'CCC'
category increased to $35.38 million from $10.42 million, as of the
November 2020 trustee report, since S&P's last rating actions in
December 2019. Over the same period, the par amount of defaulted
collateral increased to $5.01 million from $0.0 million. Given the
increases in lower-rated collateral and results of the cash flow
analysis, S&P lowered its ratings on the class C-1a, C-1b, and C-2
notes. At this time, the lowered rating on each class is limited to
one notch, but further increases in defaults or par losses could
lead to potential negative rating actions in the future.
S&P also notes the cash flow analysis indicated higher ratings for
the class A-2a, A-2b, B-a, and B-b notes. However, the transaction
is still in its reinvestment period, which is not scheduled to end
until January 2025, and future reinvestment activity could change
some of the portfolio's characteristics, and the portfolio's
deteriorating performance does not support the cash flow indicating
higher rating levels at this time.
The affirmed ratings reflect adequate credit support at the current
rating levels.
S&P said, "In line with our criteria, our cash flow scenarios
applied forward-looking assumptions on the expected timing and
pattern of defaults and recoveries upon default under various
interest rate and macroeconomic scenarios. In addition, our
analysis considered the transaction's ability to pay timely
interest and/or ultimate principal to each of the rated tranches.
The results of the cash flow analysis--and other qualitative
factors as applicable--demonstrated, in our view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with this rating
action."
S&P Global Ratings believes there remains a high degree of
uncertainty about the evolution of the coronavirus pandemic. While
the early approval of a number of vaccines is a positive
development, countries' approval of vaccines 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 mid-2021.
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."
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take rating actions as we
deems necessary."
Ratings Lowered
Marathon CLO 14 Ltd.
Class C-1a to 'BBB (sf)' from 'BBB+ (sf)'
Class C-1b to 'BBB (sf)' from 'BBB+ (sf)'
Class C-2 to 'BB+ (sf)' from 'BBB- (sf)'
Ratings Affirmed
Marathon CLO 14 Ltd.
Class A-1A: AAA (sf)
Class A-2a: AA (sf)
Class A-2b: AA (sf)
Class B-a: A (sf)
Class B-b: A (sf)
Class D: BB- (sf)
MORGAN STANLEY 2011-C2: Moody's Cuts Class F Certs to C
-------------------------------------------------------
Moody's Investors Service affirmed the ratings on two classes and
downgraded the ratings on six classes in Morgan Stanley Capital I
Trust 2011-C2, Commercial Mortgage Pass-Through Certificates,
Series 2011-C2 as follows:
Cl. A-4, Affirmed Aaa (sf); previously on Apr 14, 2020 Affirmed Aaa
(sf)
Cl. B, Downgraded to A1 (sf); previously on Apr 14, 2020 Affirmed
Aa2 (sf)
Cl. C, Downgraded to Baa2 (sf); previously on Apr 14, 2020 Affirmed
A2 (sf)
Cl. D, Downgraded to Ba2 (sf); previously on Apr 14, 2020
Downgraded to Baa3 (sf)
Cl. E, Downgraded to Caa1 (sf); previously on Apr 14, 2020
Downgraded to B1 (sf)
Cl. F, Downgraded to C (sf); previously on Apr 14, 2020 Downgraded
to Caa2 (sf)
Cl. X-A*, Affirmed Aaa (sf); previously on Apr 14, 2020 Affirmed
Aaa (sf)
Cl. X-B*, Downgraded to Caa2 (sf); previously on Apr 14, 2020
Affirmed Caa1 (sf)
* Reflects interest-only classes
RATINGS RATIONALE
The rating on one P&I class was affirmed because the class's
significant credit support and the transaction's key metrics,
including Moody's loan-to-value (LTV) ratio, Moody's stressed debt
service coverage ratio (DSCR) and the transaction's Herfindahl
Index (Herf), being within acceptable ranges.
The ratings on five P&I classes were downgraded due to higher
anticipated losses and increased refinance risk due to the
significant exposure to two regional mall loans (41% of the pool)
and one Houston office property (7% of the pool), which experienced
a significant decline in occupancy. All of the loans in the pool
have a maturity date on or prior to June 2021. The two largest
remaining loans in the pool, Deerbrook Mall ($129 million, 21% of
the pool) and Ingram Park Mall ($122 million, 20% of the pool), are
secured by regional mall properties and may exhibit higher cash
flow volatility and higher refinancing risk compared to other major
property types.
The rating on one IO class, Cl. X-A, was affirmed based on the
credit quality of the referenced classes.
The rating on one IO class, Cl. X-B, was downgraded due to a
decline in the credit quality of the referenced classes. Cl. X-B
references Cl. B through Cl. J, including Cl. G, Cl. H and Cl. J
which are not rated by Moody's.
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
commercial real estate 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. Stress on
commercial real estate properties will be most directly stemming
from declines in hotel occupancies (particularly related to
conference or other group attendance) and declines in foot traffic
and sales for non-essential items at retail properties.
Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.
Moody's rating action reflects a base expected loss of 12.8% of the
current pooled balance, compared to 5.1% at Moody's last review.
Moody's base expected loss plus realized losses is now 9.1% of the
original pooled balance, compared to 5.3% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in rating all classes except interest-only
classes were "Approach to Rating US and Canadian Conduit/Fusion
CMBS" published in September 2020, and "Moody's Approach to Rating
Large Loan and Single Asset/Single Borrower CMBS" published in
September 2020. The methodologies used in rating interest-only
classes were "Approach to Rating US and Canadian Conduit/Fusion
CMBS" published in September 2020, and "Moody's Approach to Rating
Large Loan and Single Asset/Single Borrower CMBS" published in
September 2020, and "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" published in February 2019.
DEAL PERFORMANCE
As of the November 15, 2020 distribution date, the transaction's
aggregate certificate balance has decreased by 49% to $615 million
from $1.21 billion at securitization. The certificates are
collateralized by 38 mortgage loans ranging in size from less than
1% to 21% of the pool, with the top ten loans (excluding
defeasance) constituting 68% of the pool. Eighteen loans,
constituting 23.7% of the pool, have defeased and are secured by US
government securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of six, compared to seven at Moody's last review.
As of the November 2020 remittance report, the entire portfolio was
current or within their grace period on their debt service
payments.
Four loans, constituting 10% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
One loan, the Town West Square loan, has been liquidated from the
pool, resulting in an aggregate realized loss of $32 million (for a
loss severity of 71%). Two loans, constituting 1.5% of the pool,
are currently in special servicing. One of the specially serviced
loans, representing 0.6% of the pool, transferred to special
servicing since March 2020.
The largest specially serviced loan is the 192nd Avenue Plaza loan
($5.5 million), which is secured by a 35,000 square foot (SF)
mixed-use property located in Camas, Washington, approximately 13
miles northeast of Portland, Oregon. The loan was transferred to
special servicing in June 2017 due to a non-monetary default. The
borrower entered into a lease with global co-working space company
Regus without the lender's consent that allowed for a
profit-sharing rent structure with minimal guaranteed rental
payment. The borrower has been unwilling to terminate the Regus
lease. As of February 2020, the property was 96% leased, up from
83% leased as of December 2017 and only 51% as of December 2016.
The loan remains current as of the November 2020 remittance date
and matures in January 2021. The special servicer continues to
monitor the loan performance.
The second specially serviced loan is the 157 Chambers Street loan
($3.4 million), which is secured by a 5,087 SF street-level retail
space located in the Tribeca neighborhood of New York City, built
in 1931 and most recently renovated in 2006. Occupancy decreased to
9.3% in June 2020 from 100% the prior year after the largest
tenant, Petco, vacated their space at their lease expiration in May
2020. The loan transferred to special servicing in November 2020
due to the decline in occupancy. The loan matures February 2021 and
due to the property's performance and broader trends in
non-essential street level retail, the loan in unlikely to pay off
at its maturity date.
Moody's has also assumed a high default probability for two loans,
Ingram Park Mall (20% of the pool) and Three Riverway Plaza (7.3%
of the pool), due to the declining performance and upcoming
refinance risk. The two loans are further described, and Moody's
estimates an aggregate $74 million loss for the specially serviced
and troubled loans (42% expected loss on average).
The credit risk of loans is determined primarily by two factors: 1)
Moody's assessment of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessment of the
severity of loss upon a default, which is largely driven by each
loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV.
As described in the CMBS methodology used to rate this transaction,
Moody's makes various adjustments to the MLTV. Moody's adjusts the
MLTV for each loan using a value that reflects capitalization (cap)
rates that are between its sustainable cap rates and market cap
rates. Moody's also uses an adjusted loan balance that reflects
each loan's amortization profile. The MLTV reported in this
publication reflects the MLTV before the adjustments described in
the methodology.
Moody's received full year 2019 operating results for 99% of the
pool, and partial year 2020 operating results for 96% of the pool
(excluding specially serviced and defeased loans). Moody's weighted
average conduit LTV is 90%, compared to 84% at Moody's last review.
Moody's conduit component excludes loans with structured credit
assessments, defeased and CTL loans, and specially serviced and
troubled loans. Moody's net cash flow (NCF) reflects a weighted
average haircut of 24.3% to the most recently available net
operating income (NOI). Moody's value reflects a weighted average
capitalization rate of 10.1%.
Moody's actual and stressed conduit DSCRs are 1.45X and 1.25X,
respectively, compared to 1.55X and 1.32X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three performing loans represent 48% of the pool balance.
The largest loan is the Deerbrook Mall Loan ($129.1 million --
21.0% of the pool), which is secured by a 554,500 SF portion of a
1.2 million SF regional mall located in Humble, Texas,
approximately 13 miles northwest of the Houston CBD. The property
is currently anchored by Dillard's, Macy's, JC Penney and AMC
Theatres. AMC Theatres is the only anchor space included in the
loan collateral. The property has one vacant non-collateral anchor,
a former Sears which closed in April 2020. Additional major
collateral tenants include Forever 21 (84,325 SF; lease expiration
January 2024) and Dick's Sporting Goods (82,081 SF; lease
expiration December 2027). As of June 2020, the collateral was 95%
occupied, compared to 90% in December 2019 and 96% in December
2018. As of June 2020, inline space was 90% leased, compared to 93%
in September 2018 and 97% in December 2017. While the property's
revenue has declined year over year in 2019, the property's 2019
net operating income (NOI) was 32% higher than underwritten levels
and the 2019 actual NOI DSCR was above 2.00X. The property was
temporarily closed as a result of the coronavirus pandemic but is
currently opened. The property's comparable in-line sales for the
trailing twelve-month (TTM) period ending June 2020 were $430
compared to $521 for the full year in 2019. The loan is amortizing
on a 30-year schedule and has amortized 16% since securitization.
The loan is sponsored by Brookfield Properties. Moody's LTV and
stressed DSCR are 101% and 1.15X, respectively, compared 83% and
1.27X at the last review. The loan remains current but faces
increased refinance risk at its April 2021 maturity date given the
current retail environment.
The second largest loan is the Ingram Park Mall Loan ($122.5
million -- 19.9% of the pool), which is secured by a 375,000 SF
portion of a 1.1 million SF regional mall located in San Antonio,
Texas. The property is currently anchored by Dillard's, Macy's, and
J.C. Penney, all of which own their own improvements. The property
currently has two vacant anchors, Sears and Dillard's Home Center,
which closed in 2018 and 2016, respectively. The inline occupancy
was 79% as of June 2020, compared to 91% as of September 2019 and
88% in September 2018. The loan is sponsored by Simon Property
Group. The property's revenues and net operating income (NOI) have
been declining annually since 2015, however, the property's 2019
NOI was 4% above underwritten levels. The property is not the
dominant mall in the market and competes with five other malls in
the trade area, including the dominant North Star Mall. The loan is
amortizing on a 30-year schedule and has amortized 15.5% since
securitization. The loan remains current; however, Moody's has
identified this as a troubled loan due to the upcoming maturity
risk in June 2021, the property's recent decline in performance and
the significant competition in its market.
The third largest loan is the Three Riverway Office Loan ($44.9
million -- 7.3% of the pool), which is secured by a 20-story, Class
A office building totaling approximately 398,000 SF. The property
is located in Houston, Texas and is part of a five-building office
park situated in the northern portion of the Galleria/Uptown
Houston submarket. The property is located within a larger 27-acre
master planned development featuring office, retail, and apartment
properties, as well as a 378-room full-service hotel. As of June
2020, the property was only 54% leased, compared to 57% in December
2019 and 87% at securitization and also faces additional rollover
risk with 18% of the NRA expiring in the next 12 months. As a
result of the declining occupancy, the property's performance has
declined significantly and the actual NOI DSCR has been below 1.00X
for the past three years. The loan has amortized 15% since
securitization and matures in May 2021. The loan remains current;
however, Moody's has identified this as a troubled loan due to the
low occupancy, upcoming balloon risk and elevated delinquencies and
vacancy in the Houston MSA.
NEW RESIDENTIAL 2020T1: S&P Assigns Prelim BB Rating to E-T1 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to New
Residential AP Advance Receivables Trust's (NRART AP 2020-T1)
advance receivables-backed notes series 2020-T1.
The term note issuance is an RMBS transaction backed servicer
advance reimbursements and accrued and unpaid servicing fees.
The preliminary ratings are based on information as of Dec. 14,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The strong likelihood of the servicer advance receivables being
reimbursed, given the priority of the reimbursement payments;
-- The transaction's revolving period, during which collections or
draws on the outstanding variable-funding note (VFN) may be used to
fund additional advance receivables, and the specified eligibility
requirements, collateral value exclusions, credit enhancement test
(the collateral test), and amortization triggers intended to
maintain pool quality and credit enhancement during this period;
-- The transaction's use of predetermined, rating
category-specific advance rates for each receivable type in the
pool that discount the receivables (which are non-interest bearing)
to satisfy the interest obligations on the notes and provide for
dynamic overcollateralization;
-- The projected timing of the servicer advance receivables
reimbursements, which, in the 'AAA', 'AA', and 'A' scenarios,
reflects S&P's assumption that the servicer would be replaced,
while in the 'BBB' and 'BB' scenarios, reflects the servicer's
historical reimbursement experience;
-- The credit enhancement in the form of overcollateralization,
subordination, and the series reserve accounts;
-- The timely interest and full principal payments made under
S&P's stressed cash flow modeling scenarios consistent with the
assigned preliminary ratings; and
-- The transaction's sequential turbo payment structure that
applies during any full amortization period.
The preliminary ratings do not address whether the cash flows
generated by the receivables pool will be sufficient to pay certain
supplemental fees, such as default supplemental fees and expected
repayment date (ERD) supplemental fees, which may become payable to
noteholders if certain events occur.
S&P Global Ratings believes there remains a high degree of
uncertainty about the evolution of the coronavirus pandemic. While
the early approval of a number of vaccines is a positive
development, countries' approval of vaccines 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 mid-2021.
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."
Preliminary Ratings Assigned
New Residential AP Advance Receivables Trust (Series 2020-T1)
Class A-T1, $263,981,000: AAA (sf)
Class B-T1, $7,253,000: AA (sf)
Class C-T1, $7,149,000: A (sf)
Class D-T1, $18,096,000: BBB (sf)
Class E-T1, $3,521,000: BB (sf)
OZLM FUNDING II: S&P Assigns B Rating on Class D-R2 Notes
---------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1a-FR and
A-2-RFR replacement notes from OZLM Funding II Ltd., a
collateralized loan obligation (CLO) originally issued in 2012 that
is managed by Och-Ziff Loan Management L.P. At the same time, S&P
withdrew its ratings on the original class A-1a-F and A-2-RF notes
following payment in full on the Dec. 3, 2020, refinancing date.
S&P also affirmed its ratings on the original class A-1A-R, A-2-R2,
B-R2, C-R2, and D-R2 notes.
On the Dec. 3, 2020, refinancing date, the proceeds from the class
A-1a-FR and A-2-RFR replacement note issuances were used to redeem
the original class A-1a-F and A-2-RF notes, as outlined in the
transaction document provisions. As a result, S&P withdrew its
ratings on the original notes in line with their full redemption
and assigned its ratings to the replacement notes.
The replacement notes are being issued via a supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, will extend the non-call period for the
replacement notes to June 2021.
S&P said, "Our review of this transaction included a cash flow
analysis. 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 or
ultimate principal, or both, to each of the rated tranches.
"The ratings reflect our view that the credit support available is
commensurate with the associated rating levels. We will continue to
monitor whether, in our view, the ratings assigned to the notes
remain consistent with the credit enhancement available to support
them and take rating actions as we deem necessary."
Ratings Affirmed
OZLM Funding II Ltd./ OZLM Funding II LLC
Class A-1A-R: AAA (sf)
Class A-2-R2: AA (sf)
Class B-R2: A (sf)
Class C-R2: BBB- (sf)
Class D-R2: B (sf)
REESE PARK: S&P Assigns BB- Rating on $15MM Class E Notes
---------------------------------------------------------
S&P Global Ratings assigned its ratings to Reese Park CLO Ltd.'s
fixed- and floating-rate notes.
The note issuance is a CLO transaction backed primarily by broadly
syndicated speculative-grade (rated 'BB+' and lower) senior secured
term loans that are governed by collateral quality tests.
On Nov. 20, 2020, the transaction underwent a pro rata upsizing of
25%. As part of the upsize, new classes were introduced:
-- Class A became class A-1, and class A-2 was added to account
for the upsize.
-- Class B-1 became class B-1a, and class B-1b was added to
account for the upsize.
-- Class C became class C-1, and class C-2 was added to account
for the upsize.
-- Classes D and E were upsized as well, but the upsizing did not
result in additional classes.
-- Class B-2 did not experience an upsize, as the upsize was
accounted for with the addition of class B-1b since classes B-1a,
B-1b, and B-2 are all pro rata classes.
The 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 manager's team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Reese Park CLO Ltd.
Class X, $5.00 million: AAA (sf)
Class A-1, $244.00 million: AAA (sf)
Class A-2, $61.00 million: AAA (sf)
Class B-1a, $55.18 million: AA (sf)
Class B-1b, $15.00 million: AA (sf)
Class B-2, $4.82 million: AA (sf)
Class C-1, $24.00 million: A (sf)
Class C-2, $6.00 million: A (sf)
Class D, $30.00 million: BBB- (sf)
Class E, $15.00 million: BB- (sf)
Subordinated notes, $50.00 million: Not rated
STARWOOD MORTGAGE 2020-INV1: S&P Rates 11 Classes of Certs 'B(sf)'
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Starwood Mortgage
Residential Trust 2020-INV1's mortgage pass-through certificates.
The certificate issuance is an RMBS transaction backed by an
aggregate pool comprised of 984 investor occupancy debt service
coverage ratio mortgage loans, which are fixed- and adjustable-rate
residential mortgage loans (some with interest-only features)
secured by first liens on single-family residences, planned unit
developments, condominiums, and two-four family residential
properties. All are exempted from the qualified
mortgage/ability-to-repay rules.
The ratings reflect:
-- The pool's collateral composition;
-- The credit enhancement provided for this transaction;
-- The transaction's associated structural mechanics;
-- The representation and warranty (R&W) framework for this
transaction;
-- The geographic concentration; and
-- The impact the COVID-19 pandemic will likely have on the
performance of the mortgage borrowers in the pool and liquidity
available in the transaction.
RATINGS ASSIGNED
Starwood Mortgage Residential Trust 2020-INV1
Class Rating(i) Amount ($)
A-1 AAA (sf) 225,343,000
A-2 AA (sf) 18,466,000
A-3 A (sf) 31,701,000
M-1 BBB (sf) 15,688,000
B-1 BB (sf) 14,707,000
B-2 B (sf) 10,131,000
B-2-A B (sf) 10,131,000(ii)
B-2-AX B (sf) 10,131,000(ii)(iii)
B-2-B B (sf) 10,131,000(ii)
B-2-BX B (sf) 10,131,000(ii)(iii)
B-2-C B (sf) 10,131,000(ii)
B-2-CX B (sf) 10,131,000(ii)(iii)
B-2-D B (sf) 10,131,000(ii)
B-2-DX B (sf) 10,131,000(ii)(iii)
B-2-E B (sf) 10,131,000(ii)
B-2-EX B (sf) 10,131,000(ii)(iii)
B-3-1 NR 7,011,000
B-3-1-A NR 7,011,000(iv)
B-3-1-AX NR 7,011,000(iii)(iv)
B-3-1-B NR 7,011,000(iv)
B-3-1-BX NR 7,011,000(iii)(iv)
B-3-1-C NR 7,011,000(iv)
B-3-1-CX NR 7,011,000(iii)(iv)
B-3-1-D NR 7,011,000(iv)
B-3-1-DX NR 7,011,000(iii)(iv)
B-3-1-E NR 7,011,000(iv)
B-3-1-EX NR 7,011,000(iii)(iv)
B-3-2 NR 3,774,945
B-3-2-A NR 3,774,945(v)
B-3-2-AX NR 3,774,945(iii)(v)
B-3-2-B NR 3,774,945(v)
B-3-2-BX NR 3,774,945(iii)(v)
B-3-2-C NR 3,774,945(v)
B-3-2-CX NR 3,774,945(iii)(v)
B-3-2-D NR 3,774,945(v)
B-3-2-DX NR 3,774,945(iii)(v)
B-3-2-E NR 3,774,945(v)
B-3-2-EX NR 3,774,945(iii)(v)
A-IO-S NR Notional(vi)
XS NR Notional(vi)
A-R NR N/A
(i) The ratings address the ultimate payment of interest and
principal.
(ii)Represents the maximum initial class principal balance or
maximum initial class notional amount, as applicable, for such
class of certificates exchangeable from class B-2.
(iii)Notional amount certificates that do not have class principal
balances.
(iv)Represents the maximum initial class principal balance or
maximum initial class notional amount, as applicable, for such
class of certificates exchangeable from class B-3-1.
(v)Represents the maximum initial class principal balance or
maximum initial class notional amount, as applicable, for such
class of certificates exchangeable from class B-3-2.
(vi)The notional amount will equal the aggregate stated principal
balance of the mortgage loans as of the first day of the related
due period.
NR--Not rated.
N/A--Not applicable.
VISIO 2020-1R: S&P Assigns B Rating on Class B-2 Notes
------------------------------------------------------
S&P Global Ratings assigned its ratings to Visio 2020-1R Trust's
mortgage-backed notes.
The note issuance is an RMBS transaction backed by first-lien,
fixed-rate, and adjustable-rate fully amortizing investment
property mortgage loans secured by single-family residential
properties, planned-unit developments, condominiums, manufactured
home, and two- to four-family residential properties to both prime
and nonprime borrowers. The pool has 1,530 business-purpose
investor loans and are exempt from the qualified
mortgage/ability-to-repay rules.
The ratings reflect:
-- The pool's collateral composition;
-- The credit enhancement provided for this transaction;
-- The transaction's associated structural mechanics;
-- The transaction's representation and warranty framework;
-- The transaction's geographic concentration;
-- The mortgage originators, Visio Financial Services Inc. and
Lima One Capital LLC; and
-- The impact the economic stress brought on by the COVID-19
pandemic will likely have on the performance of the mortgage
borrowers in the pool and liquidity available in the 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."
Ratings Assigned
Visio 2020-1R Trust(i)
Class A-1, $160,771,000: AAA (sf)
Class A-2, $13,499,000: AA (sf)
Class A-3, $20,248,000: A (sf)
Class M-1, $12,282,000: BBB (sf)
Class B-1, $5,643,000: BB (sf)
Class B-2, $4,979,000: B (sf)
Class B-3, $3,873,392: NR
Class XS, notional(ii): NR
[*] S&P Discontinues 'D' Ratings on 13 Classes From 9 US CMBS Deals
-------------------------------------------------------------------
S&P Global Ratings discontinued its 'D (sf)' ratings on 13 classes
of commercial mortgage pass-through certificates from nine U.S.
CMBS transactions.
S&P said, "We discontinued these ratings according to our
surveillance and withdrawal policies. We previously lowered the
ratings on these classes to 'D (sf)' because of principal losses
and/or accumulated interest shortfalls that we believed would
remain outstanding for an extended period of time. We view a
subsequent upgrade to a rating higher than 'D (sf)' to be unlikely
under the relevant criteria for the classes within this review."
Ratings List
Deal Name Class To From
Bear Stearns Commercial Mortgage Securities Trust 2006-Pwr11
B NR D (sf)
Wachovia Bank Commercial Mortgage Trust Series 2006-C29
D NR D (sf)
Credit Suisse Commercial Mortgage Trust Series 2007-C2
C NR D (sf)
LB Commercial Mortgage Trust 2007-C3
B NR D (sf)
COMM 2007-C9
K NR D (sf)
COMM 2007-C9
L NR D (sf)
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR18
C NR D (sf)
Merrill Lynch Mortgage Trust 2008-C1
G NR D (sf)
Merrill Lynch Mortgage Trust 2008-C1
H NR D (sf)
COMM 2012-CCRE4 Mortgage Trust
E NR D (sf)
CG-CCRE Commercial Mortgage Trust 2014-FL2
STC2 NR D (sf)
CG-CCRE Commercial Mortgage Trust 2014-FL2
STC3 NR D (sf)
CG-CCRE Commercial Mortgage Trust 2014-FL2
COL3 NR D (sf)
[*] S&P Takes Various Actions on 54 Classes From 14 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 54 ratings from 14 U.S.
RMBS transactions issued in 2002 through 2007. The review yielded
two upgrades, five downgrades, 25 affirmations, and 22
withdrawals.
Analytical Considerations
S&P Global Ratings believes there remains a high degree of
uncertainty about the evolution of the coronavirus pandemic. While
the early approval of a number of vaccines is a positive
development, countries' approval of vaccines 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 mid-2021.
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."
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 or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations may include:
-- Factors related to the COVID-19 pandemic,
-- Collateral performance or delinquency trends,
-- Historical interest shortfalls or missed interest payments,
-- Available subordination and/or overcollateralization,
-- Erosion of or increases in credit support,
-- Small loan count,
-- Expected short duration, and
-- Principal-only criteria.
Rating Actions
S&P said, "The rating changes reflect our views regarding the
associated transaction-specific collateral performance and
structural characteristics, and/or the application of specific
criteria applicable to these classes. See the ratings list below
for the specific rationales associated with each of the classes
with rating transitions."
"The affirmations reflect our view that our projected credit
support and collateral performance on these classes have remained
relatively consistent with our prior projections."
"We lowered our rating on class M-2 from ACE Securities Corp. Home
Equity Loan Trust's series 2005-SD1 due to ultimate interest
repayments being unlikely at the previous rating level, based on
our assessment of missed interest payments to the affected class
during recent remittance periods. The lowered rating was derived by
applying our "S&P Global Ratings Definitions," published Dec. 7,
2020, which impose a maximum rating threshold on classes that have
incurred interest shortfalls resulting from credit or liquidity
erosion. In applying our ratings definitions, we looked to see if
the applicable class received additional compensation beyond the
imputed interest due as direct economic compensation for the delay
in interest payment, which this class has. As such, we used our
projections in determining the likelihood that the missed interest
would be reimbursed under various scenarios and lowered the
rating."
"We withdrew our ratings on 22 classes from six transactions due to
the small number of loans remaining within the related structure.
Once a pool has declined to a de minimis amount, we believe there
is a high degree of credit instability that is incompatible with
any rating level."
A list of Affected Ratings can be viewed at:
https://bit.ly/3rkuMpp
*********
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