/raid1/www/Hosts/bankrupt/TCR_Public/210117.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, January 17, 2021, Vol. 25, No. 16
Headlines
AIMCO CLO 12: S&P Assigns BB- (sf) Rating on $13MM Class E Notes
ALLEGRO CLO XII: S&P Assigns 'BB- (sf)' Rating to Class E Notes
AMERICAN CREDIT 2021-1: S&P Assigns Prelim B(sf) Rating to F Notes
ANCHORAGE CREDIT 3: Moody's Gives (P)Ba3 Rating to E-R Notes
BABSON CLO 2014-I: Moody's Hikes $29MM Class D Notes to Ba3
CANYON CLO 2020-3: S&P Assigns BB- (sf) Rating to Class E Notes
CARLYLE GLOBAL 2015-4: Moody's Confirms Ba1 Rating on C-R Notes
CIM TRUST 2020-J2: DBRS Finalizes B Rating on Class B-5 Certs
COLT 2021-1R: Fitch Assigns B Rating on Class B-2 Certs
COMINAR REAL: DBRS Confirms BB (high) Issuer Rating, Trend Negative
COMM 2014-UBS6: Fitch Lowers Rating on 2 Tranches to 'CCC'
DT AUTO 2021-1: S&P Assigns Prelim BB-(sf) Rating to Class E Notes
GENERAL ELECTRIC 2003-1: Fitch Affirms D Rating on 2 Tranches
GS MORTGAGE 2010-C1: DBRS Cuts Ratings on 2 Classes of Certs to D
GS MORTGAGE 2020-PJ6: DBRS Finalizes B Rating on Class B-5 Certs
GS MORTGAGE 2021-PJ1: Fitch to Rate Class B5 Certs 'B'
HARBORVIEW MORTGAGE 2004-3: Moody's Cuts 2 Tranches to Ba3
HAYFIN US XII: S&P Assigns 'BB- (sf)' Rating to Class E Notes
JP MORGAN 2013-C16: Fitch Lowers Rating on Class F Debt to CCC
JP MORGAN 2021-2NU: Moody's Gives (P)Ba1 Rating to Class HRR Certs
MORGAN STANLEY 2006-IQ11: Fitch Affirms D Rating on 8 Classes
MORGAN STANLEY 2013-C11: Moody's Lowers Class D Certs to C
ORIGEN MANUFACTURED 2002-A: S&P Affirms CCC(sf) Rating on M2 Certs
SILVER HILL 2019-SBC1: DBRS Confirms B Rating on 2 Classes of Notes
SLM STUDENT 2008-9: Fitch Affirms B Rating on 2 Note Classes
SUTHERLAND COMMERCIAL 2019-SBC8: DBRS Confirms B Rating on G Certs
TCI-FLATIRON CLO 2016-1: S&P Rates Class E-R-2 Notes 'BB- (sf)'
VERUS 2021-R1: S&P Assigns Prelim B (sf) Rating to Class B-2 Notes
WELLS FARGO 2016-NXS5: Fitch Cuts Rating on Class G Certs to 'CCC'
[*] Fitch Takes Various Actions on Distressed Bonds in 4 CMBS Deals
*********
AIMCO CLO 12: S&P Assigns BB- (sf) Rating on $13MM Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to AIMCO CLO 12 Ltd./AIMCO
CLO 12 LLC's floating-rate notes.
The note issuance is a CLO securitization 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 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; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
AIMCO CLO 12 Ltd./AIMCO CLO 12 LLC
Class X, $4.00 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), $13.00 million: BB- (sf)
Subordinated notes, $33.50 million: Not rated
ALLEGRO CLO XII: S&P Assigns 'BB- (sf)' Rating to Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to Allegro CLO XII
Ltd./Allegro CLO XII 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 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
Allegro CLO XII Ltd./Allegro CLO XII LLC
Class X, $2.00 million: 'AAA (sf)'
Class A-1, $248.00 million: 'AAA (sf)'
Class A-2, $8.00 million: 'AAA (sf)'
Class B, $48.00 million: 'AA (sf)'
Class C (deferrable), $24.00 million: 'A (sf)'
Class D (deferrable), $21.00 million: 'BBB- (sf)'
Class E (deferrable), $17.00 million: 'BB- (sf)'
Subordinated notes, $38.25 million: Not rated
AMERICAN CREDIT 2021-1: S&P Assigns Prelim B(sf) Rating to F Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to American
Credit Acceptance Receivables Trust 2021-1's asset-backed notes.
The note issuance is an ABS securitization backed by subprime auto
loan receivables.
The preliminary ratings are based on information as of Jan. 14,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The availability of approximately 64.67%, 57.93%, 48.70%,
42.17%, 38.65%, and 37.48% credit support, including excess spread,
for the class A, B, C, D, E, and F notes, respectively, based on
stressed cash flow scenarios. These credit support levels provide
more than 2.08x, 1.85x, 1.50x, 1.30x, 1.17x, and 1.10x coverage of
S&P's expected net loss range of 30.50%-31.50% for the class A, B,
C, D, E, and F notes, respectively.
-- The hard credit enhancement in the form of subordination,
overcollateralization, and a reserve account in addition to excess
spread.
-- The expectation that under a moderate ('BBB') stress scenario
(1.3x S&P's expected loss level), all else being equal, S&P's
preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', 'BB-
(sf)', and 'B (sf)' ratings on the class A, B, C, D, E, and F
notes, respectively, will be within the credit stability limits
specified by section A.4 of the Appendix contained in "S&P Global
Ratings Definitions," published Jan. 5, 2021.
-- The timely payment of interest and principal by the designated
legal final maturity dates under S&P's stressed cash flow modeling
scenarios that it believes are appropriate for the assigned
preliminary ratings.
-- The collateral characteristics of the subprime automobile loans
securitized in this transaction.
-- The backup servicing arrangement with Wells Fargo Bank N.A.
-- The transaction's payment and legal structure.
As vaccine rollouts in several countries continue, S&P Global
Ratings believes there remains a high degree of uncertainty about
the evolution of the coronavirus pandemic and its economic effects.
Widespread immunization, which certain countries might achieve by
midyear, will help pave the way for a return to more normal levels
of social and economic activity.
S&P said, "We use this assumption about vaccine timing 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
American Credit Acceptance Receivables Trust 2021-1(i)
Class A, $184.00 mil.: AAA (sf)
Class B, $51.29 mil.: AA (sf)
Class C, $85.33 mil.: A (sf)
Class D, $51.52 mil.: BBB (sf)
Class E, $28.29 mil.: BB- (sf)
Class F, $10.35 mil.: B (sf)
(i)The actual size of these tranches will be determined on the
pricing date.
ANCHORAGE CREDIT 3: Moody's Gives (P)Ba3 Rating to E-R Notes
------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of CDO refinancing notes to be issued by Anchorage Credit
Funding 3, Ltd. (the "Issuer").
Moody's rating action is as follows:
US$226,250,000 Class A-1-R Senior Secured Fixed Rate Notes due 2039
(the "Class A-1-R Notes"), Assigned (P)Aaa (sf)
US$20,000,000 Class A-2-R Senior Secured Floating Rate Notes due
2039 (the "Class A-2-R Notes"), Assigned (P)Aaa (sf)
US$63,750,000 Class B-R Senior Secured Fixed Rate Notes due 2039
(the "Class B-R Notes"), Assigned (P)Aa3 (sf)
US$27,500,000 Class C-R Mezzanine Secured Deferrable Fixed Rate
Notes due 2039 (the "Class C-R Notes"), Assigned (P)A3 (sf)
US$23,750,000 Class D-R Mezzanine Secured Deferrable Fixed Rate
Notes due 2039 (the "Class D-R Notes"), Assigned (P)Baa3 (sf)
US$38,750,000 Class E-R Junior Secured Deferrable Fixed Rate Notes
due 2039 (the "Class E-R Notes"), Assigned (P)Ba3 (sf)
RATINGS RATIONALE
The rationale for the ratings is based on our methodology and
considers all relevant risks particularly those associated with the
CDO's portfolio and structure.
The Issuer is a managed cash flow CDO. The issued notes will be
collateralized primarily by corporate bonds and loans. At least
30.0% of the portfolio must consist of first lien senior secured
loans, senior secured notes, and eligible investments, at least 4%
of the portfolio must consist of floating rate obligations, up to
15.0% of the portfolio may consist of second lien loans and up to
5.0% of the portfolio may consist of letters of credit.
Anchorage Capital Group, L.L.C. (the "Manager") will continue to
direct the selection, acquisition and disposition of the assets on
behalf of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's extended five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest up to 50% of principal proceeds that are
unscheduled principal payments and proceeds from sales of credit
risk assets.
The Issuer will issue the Refinancing Notes on January 28, 2021
(the "Refinancing Date") in connection with the refinancing of all
classes of the secured notes (the "Refinanced Original Notes")
originally issued on August 29, 2016 (the "Original Closing Date").
On the Refinancing Date, the Issuer will use proceeds from the
issuance of the Refinancing Notes to redeem in full the Refinanced
Original Notes. On the Original Closing Date, the issuer also
issued one class of subordinated notes that remains outstanding.
In addition to the issuance of the Refinancing Notes and additional
subordinated notes, a variety of other changes to transaction
features will occur in connection with the refinancing. These
include: extension of the reinvestment period; extensions of the
stated maturity and non-call period; changes to certain collateral
quality tests; and changes to the overcollateralization test
levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2020.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Portfolio par: $500,000,000
Diversity Score: 55
Weighted Average Rating Factor (WARF): 3399
Weighted Average Coupon (WAC): 5.90%
Weighted Average Recovery Rate (WARR): 34.0%
Weighted Average Life (WAL): 11 years
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.
Moody's analysis has considered the effect on the performance of
corporate assets from the current weak U.S. 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 our 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.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2020.
Factors That Would Lead to an Upgrade or a Downgrade of the
Ratings:
The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.
BABSON CLO 2014-I: Moody's Hikes $29MM Class D Notes to Ba3
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Babson CLO Ltd. 2014-I (the "CLO" or "Issuer"):
US$33,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2025 (the "Class C Notes"), Upgraded to Aa2 (sf); previously on
December 8, 2020 A2 (sf) Placed Under Review for Possible Upgrade
US$29,125,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2025 (the "Class D Notes"), Upgraded to Ba3 (sf); previously on
July 1, 2020 Downgraded to B1 (sf)
The Class C Notes and the Class D Notes are referred to herein,
collectively, as the "Upgraded Notes."
These actions conclude the review for upgrade initiated on December
8, 2020 on the Class C Notes issued by the CLO. The CLO, originally
issued in June 2014 and partially refinanced in March 2017, is a
managed cashflow CLO. The notes are collateralized primarily by a
portfolio of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in July 2018.
RATINGS RATIONALE
The upgrade actions taken on the Upgraded Notes are primarily a
result of applying Moody's revised CLO assumptions described in
"Moody's Global Approach to Rating Collateralized Loan Obligations"
published in December 2020. The primary changes to the modeling
assumptions include the analytical treatment of corporate obligors
whose ratings are on review downgrade or assigned a negative
outlook. Specifically, Moody's adjust the obligor's Moody's Default
Probability Rating down by one notch if the obligor's rating is on
review for possible downgrade and we make no adjustments if the
obligor's rating has a negative outlook. Based on these updates,
Moody's calculated WARF on the portfolio is now 3135 compared to
the WARF of 3498 as reported on trustee's December 2020 report.
The upgrade actions are also a result of deleveraging of the senior
notes and an increase in the transaction's over-collateralization
ratios since June 2020. The Class A-1-R notes have been paid down
by approximately 85.6% or $25.6 million since June 2020. Based on
the trustee's December 2020 report, the OC ratios for the Class A,
Class B, Class C, Class D and Class E notes are reported at
246.23%, 179.45%, 132.77%, 107.97% and 104.28%, respectively,
versus trustee reported June 2020 levels of 203.07%, 159.81%,
125.22%, 105.13% and 102.03%, respectively.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
For modeling purposes, Moody's used the following base-case
assumptions:
Performing par and principal proceeds balance: $169,644,100
Defaulted Securities: $854,984
Diversity Score: 40
Weighted Average Rating Factor (WARF): 3135
Weighted Average Life (WAL): 3.46 years
Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.31%
Weighted Average Recovery Rate (WARR): 48.58%
Par haircut in OC tests and interest diversion test: 0.79%
In consideration of the current high uncertainties around the
global economy, and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; sensitivity analysis on
deteriorating credit quality due to a large exposure to loans with
negative outlook, and a lower recovery rate assumption on defaulted
assets to reflect declining loan recovery rate expectations.
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.
Moody's analysis has considered the effect on the performance of
corporate assets 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 Moody's 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.
Factors that would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2020.
CANYON CLO 2020-3: S&P Assigns BB- (sf) Rating to Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to Canyon CLO 2020-3
Ltd./Canyon CLO 2020-3 LLC's floating-rate notes.
The note issuance is a CLO securitization 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 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; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Canyon CLO 2020-3 Ltd./Canyon CLO 2020-3 LLC
Class A-1, $310.00 million: AAA (sf)
Class A-2, $10.00 million: Not rated
Class B, $60.00 million: AA (sf)
Class C (deferrable), $30.00 million: A (sf)
Class D (deferrable), $25.00 million: BBB- (sf)
Class E (deferrable), $18.75 million: BB- (sf)
Subordinated notes, $52.00 million: Not rated
CARLYLE GLOBAL 2015-4: Moody's Confirms Ba1 Rating on C-R Notes
---------------------------------------------------------------
Moody's Investors Service has confirmed the rating on the following
notes issued by Carlyle Global Market Strategies CLO 2015-4, Ltd.
(the "CLO" or "Issuer"):
US$30,500,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2032 (the "Class C-R Notes"), Confirmed at Ba1 (sf);
previously on December 8, 2020 Ba1 (sf) Placed Under Review for
Possible Upgrade
The Class C-R Notes are referred to herein as the "Confirmed
Notes".
This action concludes the review for upgrade initiated on December
8, 2020 on the Class C-R Notes issued by the CLO. The CLO,
originally issued in November 2015 and refinanced in June 2019, is
a managed cashflow CLO. The notes are collateralized primarily by a
portfolio of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period will end in July 2024.
RATINGS RATIONALE
Moody's confirmed the rating on the Confirmed Notes due to its
determination that their expected loss continues to be consistent
with the notes' current rating after taking into account the CLO's
latest portfolio, over-collateralization levels, relevant
structural features and covenants as well as applying Moody's
revised CLO assumptions.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
For modeling purposes, Moody's used the following base-case
assumptions:
Performing par and principal proceeds balance: $484,688,731
Defaulted Securities: $3,124,732
Diversity Score: 88
Weighted Average Rating Factor (WARF): 3081
Weighted Average Life (WAL): 7.62 years
Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.48%
Weighted Average Recovery Rate (WARR): 47.67%
In consideration of the current high uncertainties around the
global economy, and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from Moody's base case. Some of the
additional scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; an additional cashflow
analysis assuming a lower WAS to test the sensitivity to LIBOR
floors; sensitivity analysis on deteriorating credit quality due to
a large exposure to loans with negative outlook, and a lower
recovery rate assumption on defaulted assets to reflect declining
loan recovery rate expectations.
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.
Moody's analysis has considered the effect on the performance of
corporate assets 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 Moody's 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.
Factors that would Lead to an Upgrade or Downgrade of the Rating:
The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2020.
CIM TRUST 2020-J2: DBRS Finalizes B Rating on Class B-5 Certs
-------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Mortgage Pass-Through Certificates, Series 2020-J2 issued by CIM
Trust 2020-J2:
-- $278.3 million Class A-1 at AAA (sf)
-- $278.3 million Class A-2 at AAA (sf)
-- $278.3 million Class A-3 at AAA (sf)
-- $208.7 million Class A-4 at AAA (sf)
-- $208.7 million Class A-5 at AAA (sf)
-- $208.7 million Class A-6 at AAA (sf)
-- $69.6 million Class A-7 at AAA (sf)
-- $69.6 million Class A-8 at AAA (sf)
-- $69.6 million Class A-9 at AAA (sf)
-- $222.6 million Class A-10 at AAA (sf)
-- $222.6 million Class A-11 at AAA (sf)
-- $222.6 million Class A-12 at AAA (sf)
-- $55.7 million Class A-13 at AAA (sf)
-- $55.7 million Class A-14 at AAA (sf)
-- $55.7 million Class A-15 at AAA (sf)
-- $13.9 million Class A-16 at AAA (sf)
-- $13.9 million Class A-17 at AAA (sf)
-- $13.9 million Class A-18 at AAA (sf)
-- $34.4 million Class A-19 at AAA (sf)
-- $34.4 million Class A-20 at AAA (sf)
-- $34.4 million Class A-21 at AAA (sf)
-- $312.6 million Class A-22 at AAA (sf)
-- $312.6 million Class A-23 at AAA (sf)
-- $312.6 million Class A-24 at AAA (sf)
-- $312.6 million Class A-IO1 at AAA (sf)
-- $278.3 million Class A-IO2 at AAA (sf)
-- $278.3 million Class A-IO3 at AAA (sf)
-- $278.3 million Class A-IO4 at AAA (sf)
-- $208.7 million Class A-IO5 at AAA (sf)
-- $208.7 million Class A-IO6 at AAA (sf)
-- $208.7 million Class A-IO7 at AAA (sf)
-- $69.6 million Class A-IO8 at AAA (sf)
-- $69.6 million Class A-IO9 at AAA (sf)
-- $69.6 million Class A-IO10 at AAA (sf)
-- $222.6 million Class A-IO11 at AAA (sf)
-- $222.6 million Class A-IO12 at AAA (sf)
-- $222.6 million Class A-IO13 at AAA (sf)
-- $55.7 million Class A-IO14 at AAA (sf)
-- $55.7 million Class A-IO15 at AAA (sf)
-- $55.7 million Class A-IO16 at AAA (sf)
-- $13.9 million Class A-IO17 at AAA (sf)
-- $13.9 million Class A-IO18 at AAA (sf)
-- $13.9 million Class A-IO19 at AAA (sf)
-- $34.4 million Class A-IO20 at AAA (sf)
-- $34.4 million Class A-IO21 at AAA (sf)
-- $34.4 million Class A-IO22 at AAA (sf)
-- $312.6 million Class A-IO23 at AAA (sf)
-- $312.6 million Class A-IO24 at AAA (sf)
-- $312.6 million Class A-IO25 at AAA (sf)
-- $5.6 million Class B-1A at AA (sf)
-- $5.6 million Class B-IO1 at AA (sf)
-- $5.6 million Class B-1 at AA (sf)
-- $3.9 million Class B-2A at A (sf)
-- $3.9 million Class B-IO2 at A (sf)
-- $3.9 million Class B-2 at A (sf)
-- $2.6 million Class B-3 at BBB (sf)
-- $982.0 thousand Class B-4 at BB (sf)
-- $328.0 thousand Class B-5 at B (sf)
Classes A-IO1, A-IO2, A-IO3, A-IO4, A-IO5, A-IO6, A-IO7, A-IO8,
A-IO9, A-IO10, A-IO11, A-IO12, A-IO13, A-IO14, A-IO15, A-IO16,
A-IO17, A-IO18, A-IO19, A-IO20, A-IO21, A-IO22, A-IO23, A-IO24,
A-IO25, B-IO1, and B-IO2 are interest-only certificates. The class
balance represents notional amounts.
Classes A-1, A-2, A-3, A-4, A-5, A-7, A-8, A-9, A-10, A-11, A-12,
A-13, A-14, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-IO2, A-IO3,
A-IO4, A-IO5, A-IO8, A-IO9, A-IO10, A-IO11, A-IO12, A-IO13, A-IO14,
A-IO17, A-IO20, A-IO23, A-IO24, A-IO25, B-1, and B-2 are
exchangeable certificates. These classes can be exchanged for
combinations of initial exchangeable certificates as specified in
the offering documents.
Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11,
A-12, A-13, A-14, A-15, A-16, A-17, and A-18 are super-senior
certificates. These classes benefit from additional protection from
senior support certificates (Classes A-19, A-20, and A-21) with
respect to loss allocation.
The AAA (sf) ratings on the Certificates reflect 4.50% of credit
enhancement provided by subordinated certificates. The AA (sf), A
(sf), BBB (sf), BB (sf), and B (sf) ratings reflect 2.80%, 1.60%,
0.80%, 0.50%, and 0.40% of credit enhancement, respectively.
Other than the specified classes above, DBRS Morningstar does not
rate any other classes in this transaction.
This securitization is a portfolio of first-lien, fixed-rate, prime
residential mortgages funded by the issuance of the Certificates.
The Certificates are backed by 359 loans with a total principal
balance of $327,361,523 as of the Cut-Off Date (December 1, 2020).
The originators for the aggregate mortgage pool are Guaranteed
Rate, Inc. (31.3%) and Guaranteed Rate Affinity, LLC (4.0%)
(collectively known as Guaranteed Rate Companies); Fairway
Independent Mortgage Corporation (20.4%); PrimeLending (15.3%); and
various other originators, each comprising no more than 15.0% of
the pool by principal balance. On the Closing Date, the Seller,
Fifth Avenue Trust, will acquire the mortgage loans from Bank of
America, N.A. (BANA; rated AA (low) with a Stable trend by DBRS
Morningstar).
Through bulk purchases, BANA generally acquired the mortgage loans
underwritten to
-- Its jumbo whole loan acquisition guidelines (96.0%),
-- Fannie Mae's or Freddie Mac's Automated Underwriting System
(AUS; 2.3%), or
-- The related originator's guidelines (1.7%).
DBRS Morningstar conducted an operational risk assessment on BANA's
aggregator platform, as well as certain originators, and deemed
them acceptable.
NewRez LLC doing business as Shellpoint Mortgage Servicing will
service 100% of the mortgage loans, directly or through
subservicers. Wells Fargo Bank, N.A. (rated AA with a Negative
trend by DBRS Morningstar) will act as Master Servicer, Securities
Administrator, and Custodian. Wilmington Savings Fund Society, FSB
will serve as Trustee. Chimera Funding TRS LLC will serve as the
Representations and Warranties (R&W) Provider.
The holder of a majority of the most subordinate class of
subordinate certificates (other than any interest-only
certificates) then outstanding (the Controlling Holder) has the
option to engage, at its own expense, an asset manager to review
the Servicer's actions regarding the mortgage loans, which includes
determining whether the Servicer is making modifications or
servicing the loans in accordance with the pooling and servicing
agreement.
For this transaction, as permitted by the Coronavirus Aid, Relief,
and Economic Security (CARES) Act, signed into law on March 27,
2020, 13 loans (2.5% of the pool) had been granted forbearance
plans because the borrowers reported financial hardship related to
the Coronavirus Disease (COVID-19) pandemic. Additionally, two
loans (0.4% of the pool) requested a forbearance plan but later
withdrew the request. These forbearance plans allow temporary
payment holidays, followed by repayment once the forbearance period
ends. As of December 4, 2020, all 13 loans satisfied their
forbearance plans and are current. Furthermore, none of the loans
in the pool are on active coronavirus-related forbearance plans.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that is enhanced from a precrisis structure.
Coronavirus Pandemic Impact
The coronavirus pandemic and the resulting isolation measures have
caused an economic contraction, leading to sharp increases in
unemployment rates and income reductions for many consumers. DBRS
Morningstar anticipates that delinquencies may continue to raise in
the coming months for many residential mortgage-backed securities
(RMBS) asset classes, some meaningfully.
The prime mortgage sector is a traditional RMBS asset class that
consists of securitizations backed by pools of residential home
loans originated to borrowers with prime credit. Generally, these
borrowers have decent FICO scores, reasonable equity, and robust
income and liquid reserves.
As a result of the coronavirus, DBRS Morningstar expects increased
delinquencies, loans on forbearance plans, and a potential
near-term decline in the values of the mortgaged properties. Such
deteriorations may adversely affect borrowers' ability to make
monthly payments, refinance their loans, or sell properties in an
amount sufficient to repay the outstanding balance of their loans.
In connection with the economic stress assumed under its moderate
scenario, for the prime asset class, DBRS Morningstar applies more
severe market value decline (MVD) assumptions across all rating
categories than it previously used. DBRS Morningstar derives such
MVD assumptions through a fundamental home price approach based on
the forecast unemployment rates and GDP growth outlined in the
moderate scenario. In addition, for pools with loans on forbearance
plans, DBRS Morningstar may assume higher loss expectations above
and beyond the coronavirus assumptions. Such assumptions translate
to higher expected losses on the collateral pool and
correspondingly higher credit enhancement.
In the prime asset class, while the full effect of the coronavirus
may not occur until a few performance cycles later, DBRS
Morningstar generally believes that this sector should have low
intrinsic credit risk. Within the prime asset class, loans
originated to (1) self-employed borrowers or (2) higher
loan-to-value (LTV) ratio borrowers may be more sensitive to
economic hardships resulting from higher unemployment rates and
lower incomes. Self-employed borrowers are potentially exposed to
more volatile income sources, which could lead to reduced cash
flows generated from their businesses. Higher LTV borrowers, with
lower equity in their properties, generally have fewer refinance
opportunities and therefore slower prepayments. In addition,
certain pools with elevated geographic concentrations in densely
populated urban metropolitan statistical areas may experience
additional stress from extended lockdown periods and the slowdown
of the economy.
Notes: All figures are in U.S. dollars unless otherwise noted.
COLT 2021-1R: Fitch Assigns B Rating on Class B-2 Certs
-------------------------------------------------------
Fitch Ratings has assigned ratings to the residential
mortgage-backed certificates issued by COLT 2021-1R Mortgage Loan
Trust (COLT 2021-1R).
DEBT RATING PRIOR
---- ------ -----
COLT 2021-1R Mortgage Loan Trust
A-1 LT AAAsf New Rating AAA(EXP)sf
A-2 LT AAsf New Rating AA(EXP)sf
A-3 LT Asf New Rating A(EXP)sf
A-IO-S LT NRsf New Rating NR(EXP)sf
B-1 LT BBsf New Rating BB(EXP)sf
B-2 LT Bsf New Rating B(EXP)sf
B-3 LT NRsf New Rating NR(EXP)sf
M-1 LT BBBsf New Rating BBB(EXP)sf
R LT NRsf New Rating NR(EXP)sf
X LT NRsf New Rating NR(EXP)sf
TRANSACTION SUMMARY
The certificates are supported by 268 loans with a total balance of
about $153.65 million as of the cutoff date.
Loans in the pool were originated by Caliber Home Loans, Inc.
(Caliber), and 100% of the pool comprises collateral from a
previously issued COLT transaction. Approximately 61% of the pool
is designated as nonqualified mortgage (non-QM), 12% consists of
higher-priced qualified mortgage (HPQM) and 26% are safe harbor QM
(SHQM). For the remainder, the ability to repay (ATR) rule does not
apply.
KEY RATING DRIVERS
Non-QM Credit Quality (Mixed): The pool has a weighted average (WA)
model credit score of 728, a WA combined loan to value ratio (CLTV)
of 74.7% and a sustainable loan to value ratio (sLTV) of 79.9%. Of
the pool, 45% had a debt to income (DTI) ratio of over 43%.
The pool has WA seasoning of just over two years. The loans have
benefited from a positive home price environment and a generally
strong pay history. Updated exterior broker price opinions (BPOs)
were provided on nearly 100% of the loans.
Fitch only treated less than 2% of the pool as having less than
full documentation, which included asset depletion loans and loans
originated to nonpermanent resident aliens. The pool did not
include any bank statement loans. A majority of loans were
underwritten to full documentation standards and met Appendix Q.
Payment Forbearance (Mixed): A total of 64 borrowers in the pool
have requested
coronavirus payment relief plans. Of those, only 13 still remain on
a plan, and are delinquent. The remaining borrowers have either
re-instated and are current (46) or have exited forbearance and are
delinquent (5). The pool's other forbearance plans are granted by
the servicer, and borrowers will be counted as delinquent; however,
the servicer will not advance delinquent P&I during the forbearance
period.
Modified Sequential Payment Structure (Mixed): The structure
distributes principal pro rata among the senior certificates while
shutting out the subordinate bonds from principal until all senior
classes are reduced to zero. If a cumulative loss trigger event,
delinquency trigger event or credit enhancement (CE) trigger event
occurs in a given period, principal will be distributed
sequentially to class A-1, A-2 and A-3 certificates until they are
reduced to zero.
Compared with typical COLT transactions that are backed primarily
by new originations, this transaction features a weaker delinquency
trigger. There is no delinquency trigger for the first six months
of the transaction. Additionally, between months 7 and 36, the
delinquency trigger is 5% higher. The delinquency trigger is also
now 30% for months 37-60, up from 25%, and after month 60, the
trigger is increased 5% to 35%. The weaker delinquency trigger
causes more leakage to the A-2 and A-3 classes, which exposes more
risk to the A-1 (AAAsf) class.
Advances of delinquent P&I will be made on the mortgage loans for
the first 180 days of delinquency, to the extent such advances are
deemed recoverable. If the P&I advancing party fails to make a
required advance, the master servicer (Wells Fargo) will be
obligated to make such advance. The servicer or master servicer
will not advance delinquent P&I during the forbearance period.
Excess Cash Flow (Positive): The transaction benefits from a
material amount of excess cash flow that provides benefit to the
rated certificates before being paid out to class X certificates.
The excess is available to pay timely interest and protect against
realized losses, resulting in a CE amount that is less than Fitch's
loss expectations for all classes except for the A1. To the extent
the collateral weighted average coupon (WAC) and corresponding
excess is reduced through a rate modification, Fitch would view the
impact as credit neutral, as the modification would reduce the
borrower's probability of default, resulting in a lower loss
expectation.
Third-Party Due Diligence Review (Positive): Third-party due
diligence was performed on 100% of loans in the transaction by
SitusAMC. As part of its rating process, Fitch reviews due
diligence platforms of active TPR firms to confirm the vendor has
sufficient systems and staff in place to effectively review
mortgage loans. SitusAMC is assessed by Fitch as 'Acceptable - Tier
1'.
100% of loans were graded 'A' or 'B', which indicates strong
origination processes with no presence of material exceptions.
Exceptions on loans with 'B' grades were immaterial and either
identified strong compensating factors or were mostly accounted for
in Fitch's loan loss model. The model credit for the high
percentage of loan-level due diligence reduced the 'AAAsf' loss
expectation by 30 bps.
Low Operational Risk (Neutral): Operational risk is well controlled
for this transaction. Fitch reviewed the Hudson Americas L.P.
(Hudson) mortgage acquisition platform and found it to have
sufficient risk controls while relying on third parties to review
loans prior to purchase. All loans in the transaction pool were
originated by Caliber, which has an extensive operating history and
is one of the more established originators of NQM loans. Hudson's
oversight of Caliber's origination of NQM loans also helps to
reduce the risk of manufacturing defects. Primary servicing
responsibilities will be performed by Caliber, rated 'RPS2-' by
Fitch. The sponsor's retention of an eligible horizontal residual
interest of at least 5% helps ensure an alignment of interest
between the issuer and investors.
RATING SENSITIVITIES
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. The implied rating sensitivities are only
an indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to, or
that may be considered in the surveillance of the transaction.
Sensitivity analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool, and lower
MVDs illustrated by a gain in home prices.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
Factors that could, individually or collectively, lead to a
positive rating action/upgrade:
-- This defined positive rating sensitivity analysis demonstrates
how the ratings would react to negative MVDs at the national
level, or positive home price growth with no assumed
overvaluation.
-- The analysis assumes positive home price growth of 10%.
Excluding the senior class, which is already 'AAAsf', the
analysis indicates there is potential positive rating
migration for all of the rated classes.
-- Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated class excluding those assigned
'AAAsf' ratings.
Factors that could, individually or collectively, lead to a
negative rating action/downgrade:
-- This defined negative rating sensitivity analysis demonstrates
how the ratings would react to steeper MVDs at the national
level.
-- The analysis assumes MVDs of 10%, 20% and 30% in addition to
the model-projected 6.2%.
-- The analysis indicates that there is some potential rating
migration with higher MVDs for all rated classes, compared
with the model projection.
-- Specifically, a 10% additional decline in home prices would
lower all rated classes by one full category.
Fitch has added a coronavirus sensitivity analysis that includes a
prolonged health crisis resulting in depressed consumer demand and
a protracted period of below-trend economic activity that delays
any meaningful recovery to beyond 2021. Under this severe scenario,
Fitch expects the ratings to be affected by changes in its
sustainable home price model due to updates to the model's
underlying economic data inputs. Any long-term effects arising from
coronavirus-related disruptions on these economic inputs will
likely affect both investment and speculative-grade ratings.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
CRITERIA VARIATION
There was one criteria variation to Fitch's "U.S. RMBS Rating
Criteria." Fitch expects an updated tax and title search to be
conducted for transactions in which more than 10% of the deal
comprises seasoned loans (i.e. more than two years' seasoned).
Fitch was comfortable with the lack of an updated search given that
the loans were held with the same servicer since origination and
were previously securitized, while the servicer would have been
required to advance on these amounts to maintain the trust's
priority.
Also, upon the cleanup call being exercised, they would have repaid
themselves from the proceeds. Furthermore, the seasoning is only a
few months outside of the window in which Fitch would expect an
updated search to be conducted. As a result, Fitch did not make any
adjustments to its loss expectations.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC. The third-party due diligence described in
Form 15E focused on a compliance, credit and property valuation
review. Fitch considered this information in its analysis and, as a
result, Fitch made the following adjustment(s) to its analysis:
-- 5% probability of default reduction was applied on a loan
level.
This adjustment resulted in an approximately 30bps reduction to the
expected loss at 'AAAsf'.
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review
performed on 100% of the loans. The third-party due diligence was
consistent with Fitch's "U.S. RMBS Rating Criteria" (May 2020).
LSRMF engaged AMC to perform the review. Loans reviewed under this
engagement were given compliance, credit and valuation grades, and
assigned initial grades for each subcategory.
An exception and waiver report was provided to Fitch, indicating
the pool of reviewed loans has a number of exceptions and waivers.
Fitch determined that the exceptions and waivers do not materially
affect the overall credit risk of the loans due to the presence of
compensating factors, such as having residual/disposable income
greater than the U.S. Department of Veterans Affairs' (VA)
standard, substantial liquid reserves, a low LTV and a higher FICO
score. Therefore, no adjustments were needed to compensate for
these occurrences.
Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. The loan-level
information Fitch received was provided in the American
Securitization Forum's (ASF) data layout format. The ASF data tape
layout was established with input from various industry
participants, including rating agencies, issuers, originators,
investors and others, to produce an industry standard for the
pool-level data in support of the U.S. RMBS securitization market.
The data contained in the data tape layout were populated by the
due diligence company, and no material discrepancies were noted.
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.
COMINAR REAL: DBRS Confirms BB (high) Issuer Rating, Trend Negative
-------------------------------------------------------------------
DBRS Limited changed the trends on Cominar Real Estate Investment
Trust's Issuer Rating and Senior Unsecured Debentures rating to
Negative from Stable and confirmed the ratings at BB (high). The
recovery rating on the Senior Unsecured Debentures is RR4. The
Negative trends reflect Cominar's deteriorating financial risk
profile (i.e., debt/EBITDA leverage and EBITDA interest coverage)
relative to DBRS Morningstar's expectations as outlined in its
press release dated November 29, 2019. The rating confirmations
consider the Trust's (1) strong portfolio diversification by asset
type, tenant, and property, despite some exposure to suburban
office properties; (2) leading market position in the Province of
Quebec (rated AA (low) with a Stable trend by DBRS Morningstar; (3)
notable assets in its property portfolio; and (4) good lease
maturity profile and tenant quality. The rating confirmations
incorporate the Trust's high leverage and geographic concentration
in the Greater Montreal Area and Quebec City. DBRS Morningstar
acknowledges that Cominar is evaluating strategic initiatives,
which includes a focus on liquidity and debt reduction; when
details are forthcoming, DBRS Morningstar will assess the
implications on the Trust's credit risk profile.
The Negative trends reflect DBRS Morningstar's assessment that
Cominar's financial risk metrics have deteriorated relative to
expectations over the last year. DBRS Morningstar now forecasts a
debt-to-EBITDA ratio of 11.5 times (x) and 11.0x for 2021 and 2022,
respectively, versus about 10.0x or below in 2021 and 2022 at the
time of DBRS Morningstar's last press release on November 19, 2019.
Additionally, DBRS Morningstar now expects EBITDA-to-interest to be
in the 2.10x to 2.20x range for the next two years compared with
previous expectations of 2.40x to 2.50x range. For the last 12
months ended September 30, 2020 (LTM 2020), the Trust's leverage
increased to 11.4x from 10.6x in 2019 and 10.3x in 2018 while
EBITDA interest coverage (including capitalized interest) declined
to 2.01x from 2.20x in 2019 and 2.23x in 2018. The deterioration in
these metrics primarily results from the Coronavirus Disease
(COVID-19) pandemic, especially in Cominar's retail portfolio, as
well as its disposition program.
DBRS Morningstar notes that Cominar maintains a strong market
presence in Montreal and Quebec City; however, its earnings profile
has weakened in recent years as a result of noncore asset
dispositions, which have lowered total gross leasable area to 35.8
million square feet and reduced revenues, net operating income,
EBITDA, and related debt. Provisions related to rent abatements and
bad debts associated with the coronavirus pandemic have affected
Cominar's earnings profile; as a result, in 2021, DBRS Morningstar
anticipates that these items will exceed $15 million before
declining to pre-pandemic levels. For the LTM 2020, Cominar had
EBITDA of $322.0 million, down from $350.6 million in F2019 and
trending downward since 2016. Although EBITDA has declined,
in-place occupancy remained stable at 91.3% as at September 30,
2020. On a committed basis, portfolio occupancy remains about 3%
higher than in-place occupancy with committed occupancy of 93.8% as
at September 30, 2020. The EBITDA margin was 47% for the LTM 2020,
further compressed from the 48% range in F2018 and F2019.
Despite the reduction in EBITDA, Cominar's strong ability to
attract a broad range of tenants for its office, retail, and
industrial segments continues to support its earnings profile. The
Trust demonstrates its bargaining power in Montreal, where it has
negotiated committed occupancy in the 88% to 95% range for office,
retail, and industrial tenants and in Québec City, where it has
negotiated committed occupancy in the 85% to 97% range for office,
retail, and industrial tenants.
DBRS Morningstar will likely consider a rating downgrade within the
next 12 months if (1) Cominar's total debt-to-EBITDA ratio remains
above 10.0x or its EBITDA interest coverage ratio remains below
2.25x, on a sustained basis, all else equal; (2) DBRS Morningstar
foresees elevated liquidity or refinancing risks; or (3) the result
of the strategic review negatively affects the Trust's credit
quality. DBRS Morningstar may change the trend on the ratings to
Stable if Cominar successfully generates sufficient liquidity to
maintain balance sheet flexibility and retire near-term
obligations, in particular the $264 million in debt maturities
coming due in 2021, and consistently maintains a debt-to-EBITDA
ratio below 9.5x.
Notes: All figures are in Canadian dollars unless otherwise noted.
COMM 2014-UBS6: Fitch Lowers Rating on 2 Tranches to 'CCC'
----------------------------------------------------------
Fitch Ratings has downgraded five classes and affirmed 11 classes
of COMM 2014-UBS6 Mortgage Trust pass-through certificates, which
were issued by Deutsche Bank Securities, Inc.
DEBT RATING PRIOR
---- ------ -----
COMM 2014-UBS6
A-2 12592PBB8 LT AAAsf Affirmed AAAsf
A-3 12592PBC6 LT AAAsf Affirmed AAAsf
A-4 12592PBE2 LT AAAsf Affirmed AAAsf
A-5 12592PBF9 LT AAAsf Affirmed AAAsf
A-M 12592PBH5 LT AAAsf Affirmed AAAsf
A-SB 12592PBD4 LT AAAsf Affirmed AAAsf
B 12592PBJ1 LT AA-sf Affirmed AA-sf
C 12592PBL6 LT A-sf Affirmed A-sf
D 12592PAJ2 LT BBsf Downgrade BBB-sf
E 12592PAL7 LT Bsf Downgrade BB+sf
F 12592PAN3 LT CCCsf Downgrade B-sf
PEZ 12592PBK8 LT A-sf Affirmed A-sf
X-A 12592PBG7 LT AAAsf Affirmed AAAsf
X-B 12592PAA1 LT AA-sf Affirmed AA-sf
X-C 12592PAC7 LT BBsf Downgrade BBB-sf
X-D 12592PAE3 LT CCCsf Downgrade B-sf
KEY RATING DRIVERS
Increased Loss Expectations: The downgrades to classes D through F
and the interest-only classes X-C and X-D, reflect an increase in
loss expectations on a greater number of Fitch Loans of Concern
(FLOCs) some of which have been affected by the slowdown in
economic activity related to the coronavirus pandemic. Fourteen
loans (24% of pool) have been identified as FLOCs, which includes
seven specially serviced loans (9.9%).
Fitch's current ratings incorporate a base case loss of 7.0% and
additional stresses applied due to the coronavirus pandemic
resulted in a similar loss.
The largest increase in loss since the prior rating action is
attributed to the University Village loan (3.6%), which transferred
to special servicing in July 2019 for imminent default. The loan is
secured by a 1,164-bed student housing complex located in
Tuscaloosa, AL, approximately two miles from the University of
Alabama campus. Occupancy declined to 57% for the 2015-16 school
year from 94% at issuance. Occupancy improved to 99% as of
September 2018, but dropped again to 36% as of November 2020.
According to local media reports, a number of crime incidents have
been reported at the property since December 2018 that have
negatively affected leasing demand. The servicer reports that a
receiver is in place to stabilize the property and improve the
negative image through a rebranding effort. Given the decline in
occupancy and the negative image within the market, Fitch expects
significant losses for the loan. Loss expectations are based on
applying a haircut to the March 2020 appraisal.
The largest FLOC is the W Scottsdale (5.1%) loan, which is secured
by 224 rooms of the 230-room, 8-story, full-service hotel in
Scottsdale, AZ. The property was developed in 2008 and includes
amenities such as a 21,000sf outdoor pool, recreation deck, two
lounges, a 3,500sf ballroom, a spa and sushi restaurant. The
borrower is currently delinquent for the October, November and
December 2020 payments and has requested relief from the servicer.
Despite the temporary disruption form the coronavirus pandemic,
Fitch expects the property to ultimately recover. According to the
October 2020 STR report, the trailing twelve-month occupancy, ADR
and RevPar were reported to be 45%, $302.90 and $136.06,
respectively, compared with 70.4%, $247.85 and $174.45,
respectively, reported at issuance.
The second largest contributor to losses is the University Edge
loan (3.3%), which is secured by a 578-bed off-campus student
housing project located in Akron, OH, across the street from the
University of Akron. The property opened in 2014 with units ranging
in size from two to four bedrooms, each with two to four bathrooms.
Community amenities include a fitness center, tanning salon,
computer lab, business center, grilling areas, fire pit, sculpture
park and a parking garage with 48 covered spaces designated to
serve retail traffic.
The servicer has implemented cash management due to the low debt
service coverage ratio, which was reported to be 1.03x as of June
2020. Occupancy as of December 2020 was reported to be 84% and the
borrower reports that vacancies are being actively marketed. In
addition, a master lease with the university is also being
discussed to help facilitate social distancing for students on
campus.
Additional Stresses Applied due to Coronavirus Exposure: Loans
secured by retail, hotel and multifamily properties represent 14.5%
of the pool (nine loans), 31.5% (22 loans) and 14.9% (ten loans),
respectively. The multifamily exposure includes the two
aforementioned student housing loans (University Village and
University Edge).
The retail loans have a weighted average (WA) NOI DSCR of 2.37x and
can withstand an average 58% decline to NOI before DSCR falls below
1.00x. The hotel loans have a WA NOI DSCR of 2.27x and can
withstand an average 56% decline to NOI before DSCR falls below
1.00x. The multifamily loans have a WA NOI DSCR of 1.09x and can
withstand an average 8% decline to NOI before DSCR falls below
1.00x.
Fitch's analysis applied additional coronavirus-related stresses on
five retail loans (5.4%), six hotel loans (12.4%) and one
multifamily loan (University Edge; 3.3%) to account for potential
cash flow disruptions due to the coronavirus pandemic; these
additional stresses contributed to the downgrade of classes D
through F and interest-only classes X-C and X-D as well as the
Negative Rating Outlooks on classes D, E and X-C.
Increased Credit Enhancement: As of the December 2020 distribution
date, the pool's aggregate principal balance has paid down by 14.2%
to $1.10 billion from $1.30 billion at issuance. Fourteen loans
(10.3%) have been defeased. The majority of the pool (84.9% of
pool) is currently amortizing. Four loans (15.1%) are full-term
interest only. There has been $18.1 million in realized losses to
date, which were the result of the disposition of the Black Gold
Suites Hotel Portfolio in January 2019 and Cray Plaza in January
2020.
RATING SENSITIVITIES
The Negative Rating Outlooks on classes D, E and X-C reflect the
potential for downgrade due to concerns surrounding the ultimate
impact of the coronavirus pandemic and the performance concerns
associated with the FLOCs. The Stable Rating Outlooks on classes
A-2 through C reflect the relatively stable performance of the
majority of the pool and expected continued amortization.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Sensitivity factors that could lead to upgrades would include:
-- Stable to improved asset performance, particularly on the
FLOCs, coupled with additional paydown and/or defeasance.
-- Upgrades to classes B and C would only occur with significant
improvement in credit enhancement and/or defeasance and with
the stabilization of performance on the FLOCs and/or the
properties affected by the coronavirus pandemic.
Furthermore, upgrades to classes B and C are not likely until the
later years in the transaction and only if the performance of the
remaining pool is stable and/or properties vulnerable to the
coronavirus return to pre-pandemic levels, and there is sufficient
credit enhancement to the classes. Classes D and E are unlikely to
be upgraded absent significant performance improvement on the FLOCs
and substantially higher recoveries than expected on the specially
serviced loans/assets. Classes would not be upgraded above 'Asf' if
there is a likelihood of interest shortfalls.
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Sensitivity factors that lead to downgrades include:
-- An increase in pool-level losses from underperforming or
specially serviced loans/assets.
-- Downgrades to classes A-2 through A-SB are not likely due to
the position in the capital structure, but may occur should
interest shortfalls affect these classes.
-- A downgrade of one category to classes A-M is possible should
expected losses for the pool increase significantly and/or
should all of the loans susceptible to the coronavirus
pandemic suffer losses and/or if interest shortfalls occur.
Downgrades to classes B and C are possible should expected losses
for the pool increase significantly, performance of the FLOCs
continue to decline, additional loans transfer to special servicing
and/or should loans susceptible to the coronavirus pandemic not
stabilize. Further downgrades to classes D and E would occur should
loss expectations increase due to a continued decline in the
performance of the FLOCs, an increase in specially serviced loans
or the disposition of a specially serviced loan at a high loss.
The Negative Rating Outlooks on classes B, C, D, PST and X-B may be
revised back to Stable if performance of the FLOCs improves and/or
properties vulnerable to the coronavirus pandemic eventually
stabilize. Further downgrades to class F would occur as losses are
realized and/or become more certain.
In addition to its baseline scenario, Fitch also envisions a
downside scenario where the health crisis is prolonged beyond 2021;
should this scenario play out, classes with Negative Rating
Outlooks will be downgraded one or more categories.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG CONSIDERATIONS
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.
DT AUTO 2021-1: S&P Assigns Prelim BB-(sf) Rating to Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to DT Auto
Owner Trust 2021-1's asset-backed notes series 2021-1.
The note issuance is an ABS transaction backed by subprime auto
loan receivables.
The preliminary ratings are based on information as of Jan. 14,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The availability of approximately 62.8%, 58.4%, 49.3%, 42.7%,
and 39.7% credit support for the class A, B, C, D, and E notes,
respectively, based on stressed break-even cash flow scenarios
(including excess spread). These credit support levels provide
approximately 1.92x, 1.75x, 1.44x, 1.27x, and 1.17x coverage of
S&P's expected net loss range of 31.50%-32.50% for the class A, B,
C, D, and E notes, respectively. Credit enhancement also covers
cumulative gross losses of approximately 89.7%, 83.4%, 70.4%,
60.9%, and 56.8% respectively, assuming a 30% recovery rate.
-- The timely interest and principal payments by the legal final
maturity dates made under stressed cash flow modeling scenarios
that it deems appropriate for the assigned preliminary ratings.
The expectation that under a moderate ('BBB') stress scenario
(1.30x S&P's expected loss level), all else being equal, S&P's
ratings will be within the credit stability limits specified by
section A.4 of the Appendix contained in S&P Global Rating
Definitions.
-- The collateral characteristics of the subprime pool being
securitized, including a high percentage (approximately 77%) of
obligors with higher payment frequencies (more than once a month),
which S&P expects will result in a somewhat faster paydown on the
pool.
-- The transaction's sequential-pay structure, which builds credit
enhancement (on a percentage-of-receivables basis) as the pool
amortizes.
Preliminary Ratings Assigned
DT Auto Owner Trust 2021-1
Class A, $186 million(i): 'AAA (sf)'
Class B, $38 million(i): 'AA (sf)'
Class C, $60 million(i): 'A (sf)'
Class D, $42 million(i): 'BBB- (sf)'
Class E, $20 million(i): 'BB- (sf)'
(i)The actual size of these tranches will be determined on the
pricing date.
GENERAL ELECTRIC 2003-1: Fitch Affirms D Rating on 2 Tranches
-------------------------------------------------------------
Fitch Ratings has affirmed six classes of General Electric Capital
Assurance Company, GFCM 2003-1.
DEBT RATING PRIOR
---- ------ -----
General Electric Capital Assurance Company, GFCM 2003-1
D 36161RAY5 LT AAAsf Affirmed AAAsf
E 36161RAZ2 LT AAsf Affirmed AAsf
F 36161RBA6 LT BBsf Affirmed BBsf
G 36161RBB4 LT B-sf Affirmed B-sf
H 36161RBC2 LT Dsf Affirmed Dsf
J 36161RBD0 LT Dsf Affirmed Dsf
KEY RATING DRIVERS
Stable Performance and Loss Expectations: Loss expectations
remained relatively stable since the last rating action and all
loans remain current. Nine (20.9%) of the remaining 28 loans were
flagged as Fitch Loans of Concern (FLOCs) due to underperformance,
tenant rollover concerns and/or a lack of information related to
the performance of several loans. Fitch's base case loss included
additional stresses to cap rates, which were typically 100 bps
higher than Fitch's default stressed cap rates by property type,
and a 15% haircut to the loans' reported NOI. Fitch's current
ratings incorporate a base case loss of 5%. Fitch's analysis also
incorporated sensitivities which reflect that losses could reach
15.2%. These additional sensitivities include outsized losses on
numerous loans due to uncertainty with tenant rollover. Fitch
recognizes these losses are unlikely due to the low leverage and
full amortization.
The FLOCs were typically flagged due to tenant rollover concerns.
Additionally, minimal updated information was available regarding
the status of expiring leases. Spencer Avenue Industrial (4.4%) is
the largest FLOC in the pool. The loan is secured by a 99,000 sf
industrial property located in Fountain Valley, CA. According to
the most recent rent roll, the property was 100% occupied by two
tenants, one of which had a lease expiration in January 2020 and
the other in December 2020. Fitch requested a leasing status update
and is awaiting a response. While no losses are modeled in the base
case, Fitch applied a loss of 50% as a sensitivity.
Valley Business Park Portfolio (4.0%) is secured by four single
tenant industrial buildings totaling 88,987 sf located in Fountain
Valley, CA. Approximately 35% of NRA was scheduled to expire in
2019 and 27.4% is scheduled to expire in 2021. An update was
requested on 2019 expired leases and upcoming rollover risk in 2021
but remains outstanding. While no losses are modeled in the base
case, Fitch applied a loss of 50% in a sensitivity scenario.
California Avenue I & II Industrial (3.0%) is secured by two
industrial buildings with a total of 74,666 sf located in Salt Lake
City, UT. The loan was on the watchlist due to upcoming rollover
concerns at one of properties. However, the tenants have since
renewed per the most recent rent roll: Cort Furniture (33% total
NRA) extended its lease to November 2026 from November 2019 and
Sean Gores Construction (13% total NRA) extended its lease to
August 2022 from January 2020. An updated rent roll was not
received for the second property; per the latest available rent
roll, dated July 2017, leases totaling approximately 25% of
collateral NRA were either vacant or had leases that have already
expired. Additionally, the largest tenant at the property (19%
collateral NRA) has a lease expiration upcoming in October 2021.
While no losses are modeled in the base case, Fitch applied a loss
of 30% in a sensitivity scenario.
Arbor Lakes Retail Center (2.5%) is secured by a 43,000 sf retail
center located in Maple Grove, MN. The property had significant
upcoming rollover with leases totaling 24% of the NRA scheduled to
roll in 2020, 14% in 2021, and 25% in 2022. A leasing status update
was requested on the upcoming tenant rollover schedule, but remains
outstanding. The largest tenant, Claddagh Pub (16% NRA and 17% base
rent; lease expired July 31, 2020) ceased operations in March 2020
due to the coronavirus pandemic and has since vacated at lease
expiration in July 2020. While occupancy was a reported 83% at YE
2019, it's projected to decline to 67%, given the loss of the
largest tenant and pending leasing status update. Historically NOI
DSCR has remained high at 4.25x at YE 2019, 3.94x at YE 2018 and
4.39x at YE 2017. While no losses are modeled in the base case,
Fitch applied a loss of 30% in a sensitivity scenario.
Exeter Village Shopping Center (2.2%) is secured by an 88,525 sf
retail center located in Germantown, TN. The top three tenants are:
Dollar Tree (23.7% NRA; lease expires May 2023), Piccadilly Cafe
(12.6% NRA; lease expires May 2021), and Firestone (7.6% NRA; lease
expires June 2023). Per the December 2019 rent roll, 22% NRA
expires in 2021, 12% in 2022 and 39% in 2023. A leasing status
update was requested on the upcoming tenant rollover schedule, but
remains outstanding. While no losses are modeled in the base case,
Fitch applied a loss of 30% in a sensitivity scenario.
The remaining four FLOCs (4.7%) are all outside of the top 15 and
were flagged mostly due to tenant rollover issues and/or
performance declines. Biscayne Boulevard Retail (1.9%) is secured
by a single tenant retail property located in Aventura, FL. The
property is 100% leased to Dick's Sporting Goods through October
2022, one month prior to loan maturity. DSCR declined to below 1.0x
at YE 2017, but has since rebounded to 1.43x at YE 2018 and 1.42x
at YE 2019. Pecan Ridge Shopping Center (1.3%) is secured by a
retail center located in Charlotte, NC. The loan was flagged for
low DSCR, at a reported 1.12x at YE 2019, down from 1.20x in 2018.
Tabby Plaza (1%) is secured by a retail center located in St.
Simons Island, GA. One of the properties major tenants, Sapelo Crow
Restaurant (24%), vacated at its August 2019 lease expiration. As a
result, occupancy declined to 67% at YE 2019 from 91% at YE 2018.
According to the servicer, the borrower continues to market the
vacant space. Airline Highway Retail (0.4%) is secured by a single
tenant retail property located in La Place, LA. The property is
100% leased to Walgreens through March 2021, six months prior to
loan maturity in September 2021. Per the master servicer, the
borrower expects the loan will be paid in full at maturity;
however, no confirmation of Walgreens extending its lease was
provided.
Increasing Credit Enhancement (CE): CE has increased since Fitch's
last rating action due to continued amortization as all of
remaining 28 loans are fully amortizing. Since the last rating
action, two loans totaling $1.1 million were repaid in full as
expected. Proceeds were used to help pay class C in full. As of the
December 2020 remittance report, the pool's aggregate principal
balance has been reduced by 95.4% to $37.6 million from $822.6
million at issuance. Loan maturities vary between 2021 and 2033.
The deal has experienced losses of $2.9 million, or 0.4% of the
original pool balance; losses have affected classes H and J.
Alternative Loss Considerations: In addition to modeling a base
case loss, Fitch applied the following loss severities in a
sensitivity scenario: (i) 25% on Biscayne Boulevard Retail due to
historical performance fluctuations and a single tenant with a
lease expiration one month prior to loan maturity; (ii) 30% on
Windhaven Plaza Retail, California Avenue I & II Industrial, Arbor
Lakes Retail Center and Exeter Village Shopping Center due to
rollover concerns, limited performance updates and the potential
for future performance declines; (iii) 50% on Valley Business Park
Portfolio and Spencer Avenue Industrial due to significant rollover
concerns with several large tenants. Despite the added stresses
applied in this scenario, the ratings could withstand the modeled
losses, and if performance remains stable, upgrades are likely.
Additionally, Fitch expects realized losses to be limited and the
scenario to be conservative due to the fully amortizing loans and
low pool wide leverage.
Coronavirus Exposure: Cash flow disruptions stemming from the
economic effects of the coronavirus pandemic may lead to the
underperformance and/or transfer to special servicing of several
loans. Although, given the low leverage and fully amortizing loans,
Fitch believes borrowers would be willing and able to support their
properties through any performance hardships. Overall, Fitch
expects the pandemic to have a limited effect on pool performance.
Pool and Property Concentrations: The deal remains concentrated
with only 28 of the original 171 loans remaining. The top five
loans account for 56.7% of the remaining pool balance.
Additionally, multifamily and retail property types comprise 39.6%
and 30.9%, respectively.
RATING SENSITIVITIES
The affirmations reflect generally stable pool performance for a
majority of the pool and increasing CE from amortization. The
Positive Rating Outlooks on classes E and F reflect the potential
for an upgrade should CE continue to increase as loans paydown and
mature and increased clarity on the rollover concerns among the
FLOCs, specifically within the top 15.
Factors that could, individually or collectively, lead to a
positive rating action/upgrade:
Sensitivity factors that lead to upgrades would include:
-- Stable to improved asset performance coupled with paydown
and/or defeasance.
-- An upgrade to classes E and F would likely occur with
continued improvement in CE and/or positive clarification
regarding tenant rollover in regards to the FLOCs.
-- However, given the pool's concentration, adverse selection or
the underperformance of a particular loan(s) may limit the
potential for future upgrades.
-- An upgrade to class G is considered unlikely in the near term
and would be limited based on the sensitivity to
concentrations or the potential for future concentrations.
-- Classes would not be upgraded above 'Asf' if there were a
likelihood for interest shortfalls.
Factors that could, individually or collectively, lead to a
negative rating action/downgrade:
Sensitivity factors that lead to downgrades include:
-- An increase in pool level losses from underperforming or
specially serviced loans.
-- Downgrades to classes E and F are not expected given the
overall stable performance of the pool and expected increase
in CE from amortization, but may occur if several loans suffer
significant performance hits or transfer to special servicing.
-- A downgrade of class G would occur if loans begin to transfer
to special servicing and losses become likely.
In addition to its baseline scenario, Fitch also envisions a
downside scenario where the health crisis is prolonged beyond 2021;
should this scenario play out, Fitch expects an increase in
Negative rating actions including Downgrades or Negative Rating
Outlooks.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG CONSIDERATIONS
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.
GS MORTGAGE 2010-C1: DBRS Cuts Ratings on 2 Classes of Certs to D
-----------------------------------------------------------------
DBRS, Inc. downgraded two classes of the Commercial Mortgage
Pass-Through Certificates Series 2010-C1 issued by GS Mortgage
Securities Trust, 2010-C1 as follows:
-- Class E to D (sf) from C (sf)
-- Class F to D (sf) from C (sf)
In addition, DBRS Morningstar placed Classes A-2, B, and C Under
Review with Negative Implications as the remaining loans in the
pool did not pay off at their respective maturity dates and the
underlying collateral continues to recover from their respective
negative credit events.
The downgrades and assignment of Under Review with Negative
Implications reflect the negative credit events experienced by the
transaction as the deal begins to wind down. The Burnsville Center
loan was liquidated from the trust with a realized loss of $45.1
million, which was reflected in the December 2020 remittance
report. This liquidation resulted in the elimination of Classes F
and G and a near-total writedown of Class E. In addition, none of
the three remaining loans in the deal were able to pay off as
scheduled at their respective maturities in 2020.
The three remaining loans are all secured by retail properties. Two
of the three remaining loans, representing 51.5% of the trust
balance, were in special servicing as of the December 2020
remittance. The probabilities of default were increased for each
specially serviced loans to reflect the increased default risk
since issuance. Recent actions for the three remaining loans
indicate the sponsors are committed to the respective collateral
for the long term.
The 660 Madison Avenue Retail loan (Prospectus ID#1 – 48.5% of
the trust balance) is secured by an anchored retail condominium
unit in the Upper East Side of Manhattan, New York. The property
was the flagship store for Barney's and is located on the corner of
Madison Avenue and 61st Street, one block east of Central Park. The
loan was added to the servicer's watchlist in October 2019 after
Barney's filed for Chapter 11 bankruptcy, which ultimately resulted
in the closure of the subject location in February 2020. The loan
later transferred to the special servicer in June 2020 for imminent
monetary default as it was unable to refinance the loan in advance
of its maturity date of July 2020. The borrower subsequently
executed a loan extension and modification agreement in August 2020
that extended the loan's maturity date to January 2022. The
borrower contributed $5.9 million of equity to support operating
shortfalls and cover special servicer fees and expenses. The
special servicer reported the property was 48.9% occupied as of
August 2020, but both tenants are expected to vacate in February
2021. Upon the ultimate refinancing of the existing debt, the
borrower plans to commence a $16.9 million redevelopment of the
property to covert floors three through nine to office space from
its current retail use. The property conversion is speculative in
nature as no tenants were identified as of August 2020.
Post-transfer, the property was reappraised as prospective office
space at a value of $320.0 million, a significant increase to the
issuance appraised value of $222.0 million. The appraiser projected
the office redevelopment to reach stabilization in August 2026 and
projected the redevelopment cost to total $55.1 million. The
probability of default for the loan was considerably increased
given the uncertain future of the property.
Mall at Johnson City (Prospectus ID#6 – 27.1% of the trust
balance) is secured by a regional mall in Johnson City, Tennessee,
operated by Washington Prime Group. The mall was initially anchored
by JCPenney, Sears, Belk Home Store, Belk for Her, and Dick's
Sporting Goods. Sears vacated its space in January 2020; however,
the borrower announced that HomeGoods executed a lease for part of
the Sears space with the tenant to take occupancy in fall 2021.
According to a September 2019 appraisal report, the value of the
property has declined to an as-is value of $52.0 million, down
41.2% from $88.5 million at issuance. As of December 2020, the
trust balance is $42.1 million for an implied loan-to-value ratio
of 80.9%. The loan transferred to special servicing in November
2019 because of its imminent maturity default. A loan modification
was executed in December 2019 that consisted of an initial loan
term extension to December 2020 with an extension option to May
2023, a $5.0 million principal curtailment due May 2020 (which was
paid), and principal and interest payments that amortize based on a
new 30-year schedule. The mall temporarily closed in March 2020
because of the Coronavirus Disease (COVID-19) pandemic but later
reopened in May 2020. Per the servicer, a Standstill Agreement was
executed in June 2020, which allowed deferrals of three monthly
debt service payments and escrow deposits between May 2020 and
August 2020 that were to be repaid over the subsequent 12 months.
The borrower is permitted to use tenant improvement and leasing
commission (TI/LC) and capital expenditure (capex) reserves to
cover operating shortfalls. Per the December 2020 remittance
report, debt service payments after August 2020 remain current and
the loan is expected to be transferred back to the master servicer
as a corrected loan.
Grand Central Mall (Prospectus ID#7 – 24.2% of the trust balance)
is secured by a regional mall in Vienna, West Virginia, also
operated by Washington Prime Group. The property began experiencing
issues when Toys "R" Us closed its store at the subject in 2018
followed by Sears vacating in January 2019. The Sears space was
demolished in March 2019 and the sponsor began construction on new
spaces for T.J.Maxx, Ross Dress for Less, Home Goods, and PetSmart
in September 2019 with a planned delivery date in November 2020. An
article in "The Parkersburg News and Sentinel" dated July 2020
reported the opening of the four new stores has been pushed back to
spring 2021. The loan transferred to special servicing in April
2020 because of its imminent monetary default. A Standstill
Agreement and loan modification were executed in July 2020. Terms
of the agreement include an extension of the loan maturity date to
July 2021 from July 2020, deferral of debt service payments between
June 2020 and September 2020, and permitted use of TI/LC and capex
reserves for operating shortfalls. The collateral was subsequently
appraised in March 2020 for a value of $45.0 million, representing
a 46.1% decline from the appraised value at issuance of $83.5
million. The loan is expected to be transferred back to the master
servicer in the near term as a corrected loan.
Notes: All figures are in U.S. dollars unless otherwise noted.
GS MORTGAGE 2020-PJ6: DBRS Finalizes B Rating on Class B-5 Certs
----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the Mortgage
Pass-Through Certificates, Series 2020-PJ6 to be issued by GS
Mortgage-Backed Securities Trust 2020-PJ6 (GSMBS 2020-PJ6):
-- $432.2 million Class A-1 at AAA (sf)
-- $432.2 million Class A-2 at AAA (sf)
-- $53.7 million Class A-3 at AAA (sf)
-- $53.7 million Class A-4 at AAA (sf)
-- $324.2 million Class A-5 at AAA (sf)
-- $324.2 million Class A-6 at AAA (sf)
-- $108.1 million Class A-7 at AAA (sf)
-- $108.1 million Class A-8 at AAA (sf)
-- $28.8 million Class A-9 at AAA (sf)
-- $28.8 million Class A-9-X at AAA (sf)
-- $28.8 million Class A-10 at AAA (sf)
-- $28.8 million Class A-11 at AAA (sf)
-- $28.8 million Class A-11-X at AAA (sf)
-- $53.7 million Class A-12 at AAA (sf)
-- $514.7 million Class A-X-1 at AAA (sf)
-- $432.2 million Class A-X-2 at AAA (sf)
-- $53.7 million Class A-X-3 at AAA (sf)
-- $53.7 million Class A-X-4 at AAA (sf)
-- $324.2 million Class A-X-5 at AAA (sf)
-- $108.1 million Class A-X-7 at AAA (sf)
-- $21.4 million Class B at BBB (sf)
-- $8.1 million Class B-1 at AA (sf)
-- $8.1 million Class B-1-A at AA (sf)
-- $8.1 million Class B-1-X at AA (sf)
-- $7.3 million Class B-2 at A (sf)
-- $7.3 million Class B-2-A at A (sf)
-- $7.3 million Class B-2-X at A (sf)
-- $6.0 million Class B-3 at BBB (sf)
-- $6.0 million Class B-3-A at BBB (sf)
-- $6.0 million Class B-3-X at BBB (sf)
-- $1.9 million Class B-4 at BB (sf)
-- $1.6 million Class B-5 at B (sf)
Classes A-9-X, A-11-X, A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-7,
B-1-X, B-2-X, B-3-X, and B-X are interest-only certificates. The
class balances represent notional amounts.
Classes A-1, A-2, A-4, A-6, A-8, A-10, A-11, A-11-X, A-12, A-X-2,
B, B-1, B-2, B-3, and B-X are exchangeable certificates. These
classes can be exchanged for combinations of exchange certificates
as specified in the offering documents.
Classes A-1, A-2, A-5, A-6, A-7, A-8, A-9, A-10, and A-11 are
super-senior certificates. These classes benefit from additional
protection from the senior support certificates (Classes A-3, A-4,
and A-12) with respect to loss allocation.
The AAA (sf) ratings on the Certificates reflect 5.10% of credit
enhancement provided by subordinated certificates. The AA (sf), A
(sf), BBB (sf), BB (sf), and B (sf) ratings reflect 3.60%, 2.25%,
1.15%, 0.8%, and 0.50% of credit enhancement, respectively.
Other than the specified classes above, DBRS Morningstar does not
rate any other classes in this transaction.
This securitization is a portfolio of first-lien fixed-rate prime
residential mortgages funded by the issuance of the Certificates.
The Certificates are backed by 562 loans with a total principal
balance of $542,397,085 as of the Cut-Off Date (December 1, 2020).
The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of primarily 30 years and a
weighted-average loan age of two months. Approximately 1.9% of the
pool are conforming, high-balance mortgage loans that were
underwritten using an automated underwriting system designated by
Fannie Mae or Freddie Mac and were eligible for purchase by such
agencies. The remaining 98.1% of the pool are traditional,
nonagency, prime jumbo mortgage loans. Details on the underwriting
of conforming loans can be found in the Key Probability of Default
Drivers section of the related rating report.
The originators for the mortgage pool are CrossCountry Mortgage LLC
(47.1%), Movement Mortgage, LLC (19.0%), and various other
originators, each comprising less than 15.0% of the mortgage loans.
Goldman Sachs Mortgage Company is the Sponsor and the Mortgage Loan
Seller of the transaction. For certain originators, the related
loans were sold to MAXEX Clearing LLC (6.4%) and were subsequently
acquired by the Mortgage Loan Seller.
NewRez LLC, doing business as Shellpoint Mortgage Servicing, will
service the mortgage loans in the pool. Wells Fargo Bank, N.A.
(rated AA with a Negative trend by DBRS Morningstar) will act as
the Master Servicer, Securities Administrator, and Custodian. U.S.
Bank Trust National Association will serve as Delaware Trustee.
Pentalpha Surveillance LLC will serve as the representations and
warranties (R&W) File Reviewer.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that is enhanced from a precrisis structure.
GSMBS 2020-PJ6 is the first prime residential mortgage-backed
security (RMBS) transaction issued from the GSMBS shelf PJ series
where the coupon rates for certain floating-rate and inverse
floating-rate certificates are based on the Secured Overnight
Financing Rate. Prior to this deal, GSMBS PJ certificate coupons
were either fixed-capped, Libor-based floating-rate, or net WAC.
CORONAVIRUS PANDEMIC IMPACT
The coronavirus pandemic and the resulting isolation measures have
caused an economic contraction, leading to sharp increases in
unemployment rates and income reductions for many consumers. DBRS
Morningstar anticipates that delinquencies may arise in the coming
months for many RMBS asset classes, some meaningfully.
The prime mortgage sector is a traditional RMBS asset class that
consists of securitizations backed by pools of residential home
loans originated to borrowers with prime credit. Generally, these
borrowers have decent FICO scores, reasonable equity, and robust
income and liquid reserves.
As a result of the coronavirus pandemic, DBRS Morningstar expects
increased delinquencies and loans on forbearance plans, slower
voluntary prepayment rates, and a potential near-term decline in
the values of the mortgaged properties. Such deteriorations may
adversely affect borrowers' ability to make monthly payments,
refinance their loans, or sell properties in an amount sufficient
to repay the outstanding balance of their loans.
In connection with the economic stress assumed under its moderate
scenario, for the prime asset class, DBRS Morningstar assumes a
combination of higher unemployment rates and more conservative home
price assumptions than what DBRS Morningstar previously used. Such
assumptions translate to higher expected losses on the collateral
pool and correspondingly higher credit enhancement.
In the prime asset class, while the full effect of the coronavirus
pandemic may not occur until a few performance cycles later, DBRS
Morningstar generally believes that this sector should have low
intrinsic credit risk. Within the prime asset class, loans
originated to (1) self-employed borrowers or (2) higher
loan-to-value ratio (LTV) borrowers may be more sensitive to
economic hardships resulting from higher unemployment rates and
lower incomes. Self-employed borrowers are potentially exposed to
more-volatile income sources, which could lead to reduced cash flow
generated from their businesses. Higher LTV borrowers, with lower
equity in their properties, generally have fewer refinance
opportunities and therefore slower prepayments. In addition,
certain pools with elevated geographic concentrations in densely
populated urban metropolitan statistical areas may experience
additional stress from extended lockdown periods and the slowdown
of the economy.
The ratings reflect transactional strengths that include
high-quality credit attributes, well-qualified borrowers,
satisfactory third-party due-diligence review, structural
enhancements, and 100% current loans.
The ratings reflect transactional weaknesses that include their R&W
framework, borrowers on forbearance plans, entities lacking
financial strength or securitization history, and servicer's
financial capabilities.
Notes: All figures are in U.S. dollars unless otherwise noted.
GS MORTGAGE 2021-PJ1: Fitch to Rate Class B5 Certs 'B'
------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates issued by GS Mortgage-Backed Securities Trust 2021-PJ1
(GSMBS 2021-PJ1) as indicated below. The transaction is expected to
close on Jan. 29, 2020. The certificates are supported by 423
conforming and non-conforming loans with a total balance of
approximately $415.7 million as of the cutoff date.
DEBT RATING
---- ------
GSMBS 2021-PJ1
A1 LT AAA(EXP)sf Expected Rating
A2 LT AAA(EXP)sf Expected Rating
A3 LT AA+(EXP)sf Expected Rating
A4 LT AA+(EXP)sf Expected Rating
A5 LT AAA(EXP)sf Expected Rating
A6 LT AAA(EXP)sf Expected Rating
A7 LT AAA(EXP)sf Expected Rating
A8 LT AAA(EXP)sf Expected Rating
A9 LT AA+(EXP)sf Expected Rating
A10 LT AA+(EXP)sf Expected Rating
AX1 LT AA+(EXP)sf Expected Rating
AX2 LT AAA(EXP)sf Expected Rating
AX3 LT AA+(EXP)sf Expected Rating
AX5 LT AAA(EXP)sf Expected Rating
AX7 LT AAA(EXP)sf Expected Rating
B1 LT AA(EXP)sf Expected Rating
B1A LT AA(EXP)sf Expected Rating
B1X LT AA(EXP)sf Expected Rating
B2 LT A(EXP)sf Expected Rating
B2A LT A(EXP)sf Expected Rating
B2X LT A(EXP)sf Expected Rating
B3 LT BBB(EXP)sf Expected Rating
B3A LT BBB(EXP)sf Expected Rating
B3X LT BBB(EXP)sf Expected Rating
B LT BBB(EXP)sf Expected Rating
B4 LT BB(EXP)sf Expected Rating
B5 LT B(EXP)sf Expected Rating
B6 LT NR(EXP)sf Expected Rating
AIOS LT NR(EXP)sf Expected Rating
BX LT NR(EXP)sf Expected Rating
AR LT NR(EXP)sf Expected Rating
KEY RATING DRIVERS
High-Quality Mortgage Pool (Positive): The collateral consists of
all 30-year fixed-rate mortgage (FRM) fully amortizing loans
seasoned approximately four months in aggregate. The borrowers in
this pool have strong credit profiles (770 model FICO) and
relatively low leverage (a 76.8% sustainable loan to value ratio
[sLTV]). The 100% full documentation collateral comprises mostly
nonconforming prime-jumbo loans (99%), with a small mix of
conforming agency-eligible loans (1%), while almost 100% of the
loans are safe harbor qualified mortgages (SHQM). Of the pool, 98%
are of loans for which the borrower maintains a primary residence,
while 2% are for second homes. Additionally, over 92% of the loans
were originated through a retail channel.
Shifting-Interest Deal Structure (Mixed): The mortgage cash flow
and loss allocation are based on a senior-subordinate,
shifting-interest structure whereby the subordinate classes receive
only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. While there is
only minimal leakage to the subordinate bonds early in the life of
the transaction, the structure is more vulnerable to defaults
occurring at a later stage compared to a sequential or modified
sequential structure.
To help mitigate tail risk, which arises as the pool seasons and
fewer loans are outstanding, a subordination floor of 1.35% of the
original balance will be maintained for the senior certificates,
and a subordination floor of 1.0% of the original balance will be
maintained for the subordinate certificates.
Shellpoint Servicing will provide full advancing for the life of
the transaction. While this helps the liquidity of the structure,
it also increases the expected loss due to unpaid servicer
advances.
RATING SENSITIVITIES
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. The implied rating sensitivities are only
an indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to, or
that may be considered in the surveillance of the transaction.
Sensitivity analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool, and lower
MVDs illustrated by a gain in home prices.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modelling process uses the modification
of these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- This defined positive rating sensitivity analysis demonstrates
how the ratings would react to negative MVDs at the national
level, or positive home price growth with no assumed
overvaluation.
-- The analysis assumes positive home price growth of 10%
Excluding the senior class, which is already 'AAAsf', the
analysis indicates there is potential positive rating
migration for all of the rated classes. Specifically, a 10%
gain in home prices would result in a full category upgrade
for the rated class excluding those assigned 'AAAsf' ratings.
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- This defined negative rating sensitivity analysis demonstrates
how the ratings would react to steeper MVDs at the national
level. The analysis assumes MVDs of 10%, 20% and 30% in
addition to the model-projected 5.8%.
-- The analysis indicates that there is some potential rating
migration with higher MVDs for all rated classes, compared
with the model projection. Specifically, a 10% additional
decline in home prices would lower all rated classes by one
full category.
Fitch has added a coronavirus sensitivity analysis that includes a
prolonged health crisis resulting in depressed consumer demand and
a protracted period of below-trend economic activity that delays
any meaningful recovery to beyond 2021. Under this severe scenario,
Fitch expects the ratings to be affected by changes in its
sustainable home price model due to updates to the model's
underlying economic data inputs. Any long-term effects arising from
coronavirus-related disruptions on these economic inputs will
likely affect both investment and speculative-grade ratings.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E).
Third-party due diligence was performed on 100% of the loans in the
transaction. Due diligence was performed by AMC, Opus, Digital Risk
and Consolidated Analytics, which Fitch assesses as Acceptable -
Tier 1, Acceptable - Tier 2, Acceptable - Tier 2 and Acceptable -
Tier 3, respectively. The review scope is consistent with Fitch
criteria, and the results are generally similar to prior prime RMBS
transactions. Credit exceptions were supported by strong mitigating
factors, and compliance exceptions were primarily cured with
subsequent documentation.
DATA ADEQUACY
Fitch relied in its analysis on an independent third-party due
diligence review performed on 100% of the pool. The third-party due
diligence was consistent with Fitch's "U.S. RMBS Rating Criteria."
SitusAMC, Opus, Digital Risk and Consolidate Analytics were engaged
to perform the review. Loans reviewed under this engagement were
given compliance, credit and valuation grades and assigned initial
grades for each subcategory. Minimal exceptions and waivers were
noted in the due diligence reports. Refer to the Third-Party Due
Diligence section of this report for further details.
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.
HARBORVIEW MORTGAGE 2004-3: Moody's Cuts 2 Tranches to Ba3
----------------------------------------------------------
Moody's Investors Service has downgraded the ratings of four bonds
from two US residential mortgage backed transactions, backed by
Alt-A mortgages. The ratings of the affected tranches are sensitive
to deterioration in loan performance driven by the pandemic.
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2002-10
II-A-1, Downgraded to B3 (sf); previously on Apr 18, 2016
Downgraded to B1 (sf)
II-X*, Downgraded to B3 (sf); previously on Nov 29, 2017 Upgraded
to B2 (sf)
Issuer: HarborView Mortgage Loan Trust 2004-3
Cl. 1-A, Downgraded to Ba3 (sf); previously on Mar 22, 2011
Downgraded to Ba1 (sf)
Cl. 2-A, Downgraded to Ba3 (sf); previously on Mar 22, 2011
Downgraded to Ba1 (sf)
*Reflects Interest Only Classes
RATINGS RATIONALE
The rating actions reflect the recent performance as well as
Moody's updated loss expectations on the underlying pools. In light
of the current macroeconomic environment, Moody's revised its loss
expectations based on the extent of performance deterioration of
the underlying mortgage loans, resulting from a slowdown in
economic activity and increased unemployment due to the coronavirus
outbreak. Specifically, Moody's have observed an increase in
delinquencies, payment forbearance, and payment deferrals since the
start of pandemic, which could result in higher realized losses.
Moody's analysis considers the current proportion of loans granted
payment relief in each individual transaction. Moody's identified
these loans based on a review of loan level cashflows over the last
few months. Based on Moody's analysis, the proportion of borrowers
that are currently enrolled in payment relief plans varied greatly,
ranging between approximately 2% and 19% among RMBS transactions
issued before 2009. In Moody's analysis, it assumes these loans to
experience lifetime default rates that are 50% higher than default
rates on the performing loans.
In addition, for borrowers unable to make up missed payments
through a short-term repayment plan, servicers will generally defer
the forborne amount as a non-interest-bearing balance, due at
maturity of the loan as a balloon payment. Moody's analysis
considered the impact of six months of scheduled principal payments
on the loans enrolled in payment relief programs being passed to
the trust as a loss. The magnitude of this loss will depend on the
proportion of the borrowers in the pool subject to principal
deferral and the number of months of such deferral. The treatment
of deferred principal as a loss is credit negative, which could
incur write-downs on bonds when missed payments are deferred.
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.
Moody's 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 our 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 rating all deals except
interest-only classes was US RMBS Surveillance Methodology
published in July 2020.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds.
HAYFIN US XII: S&P Assigns 'BB- (sf)' Rating to Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to Hayfin US XII
Ltd./Hayfin US XII LLC's floating-rate notes.
The note issuance is a CLO securitization 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 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; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Hayfin US XII Ltd./Hayfin US XII LLC
Class A-L loans, $200.000 million: AAA (sf)
Class A, $17.000 million: AAA (sf)
Class B-1, $44.000 million: AA (sf)
Class B-F, $5.000 million: AA (sf)
Class C (deferrable), $21.000 million: A (sf)
Class D (deferrable), $19.250 million: BBB- (sf)
Class E (deferrable), $12.250 million: BB- (sf)
Subordinated notes, $34.125 million: Not rated
JP MORGAN 2013-C16: Fitch Lowers Rating on Class F Debt to CCC
--------------------------------------------------------------
Fitch Ratings has downgraded two classes, revised the Rating
Outlook on one class and affirmed 10 classes of J.P. Morgan Chase
Commercial Mortgage Securities Trust (JPMCC) commercial mortgage
pass-through certificates series 2013-C16.
DEBT RATING PRIOR
---- ------ -----
JPMCC 2013-C16
A-3 46641BAC7 LT AAAsf Affirmed AAAsf
A-4 46641BAD5 LT AAAsf Affirmed AAAsf
A-S 46641BAH6 LT AAAsf Affirmed AAAsf
A-SB 46641BAE3 LT AAAsf Affirmed AAAsf
B 46641BAJ2 LT AA-sf Affirmed AA-sf
C 46641BAK9 LT A-sf Affirmed A-sf
D 46641BAP8 LT BBB-sf Affirmed BBB-sf
E 46641BAR4 LT Bsf Downgrade BBsf
EC 46641BAL7 LT A-sf Affirmed A-sf
F 46641BAT0 LT CCCsf Downgrade Bsf
X-A 46641BAF0 LT AAAsf Affirmed AAAsf
X-B 46641BAG8 LT AA-sf Affirmed AA-sf
Class A-S, class B and class C certificates may be exchanged for a
related amount of class EC certificates, and class EC certificates
may be exchanged for class A-S, class B and class C certificates.
Classes A-1 and A-2 have paid in full. Fitch does not rate the
class NR certificates or the interest only class X-C.
KEY RATING DRIVERS
Increasing Loss Expectations/Specially Serviced - Fitch Loans of
Concern (FLOCs): The downgrades and Negative Outlooks reflect an
increase in Fitch's loss expectations since the last rating action,
largely attributable to increased loss expectations on the
specially serviced loans and the larger FLOCs. Fifteen loans (48.9%
of the pool) were considered FLOCs, including seven loans (40%)
within the top 15, due to declining performance as a result of the
coronavirus pandemic and/or occupancy declines and upcoming lease
rollover concerns.
Fitch's ratings are based on base case loss expectations of 10.00%;
the Negative Rating Outlooks indicate losses may increase further,
reflecting additional stresses on loans expected to be negatively
impacted by the coronavirus pandemic.
The largest specially serviced loan and one of the largest
contributors to loss, Hilton Richmond Hotel & Spa (4.9% of the
pool), transferred to special servicing effective in April 2020 for
imminent monetary default due to coronavirus pandemic. The loan is
secured by a 254 key full-service hotel built in 2009 and located
in Richmond, VA. The property operates as a Hilton under license
agreement with the Hilton Hotels Corporation, which expires in
August 2027. Initially a loan modification was in discussions;
however, the borrower and special servicer could not agree on
terms.
The special servicer is pursuing foreclosure and while the current
strategy is to stabilize the property before disposition, the
special servicer will revisit whether the property should be
stabilized or sold soon after title is obtained. The year-end (YE)
2019 occupancy was 69% with a 1.68x DSCR. The most recent servicer
reported trailing twelve-month (TTM) August 2020 occupancy, average
daily rate (ADR), and revenue per available room (RevPAR) were
45.3%, $137.60, $62.28; respectively. Fitch's loss expectation of
44% assumes a recovery of approximately $95,000 per room.
The second specially serviced loan and a large contributor to loss,
Northpointe Centre (1.6% of the pool), transferred to special
servicing in June 2020 due to the impact of the coronavirus
pandemic. Per the special servicer the appointment of a receiver is
anticipated imminently while foreclosure has not yet been
scheduled. The loan is secured by a 190,196 square foot (sf)
community retail center. The property's occupancy declined to 79%
in 2018 from 91.5% largely due to the vacancy of junior anchor
sized spaces MC Sports and TJ Maxx.
Major tenants are Hobby Lobby (29%), lease expiration September
2021; Petsmart (11%), lease expiration January 2022; and Shoe
Sensation (5%), lease expiration September 2028. Per the July 2020
rent roll, the property was 79% occupied. However, if the temporary
tenants Spirit Halloween and Check N Go that vacated prior to lease
expiration are excluded, the property is 65.7% occupied. The
largest tenant, Hobby Lobby has also given notice that they will
not renew at lease expiration in September 2021. Absent Hobby
Lobby, occupancy will decline to 37%. Additionally, the second
largest tenant, Petsmart, is also paying 50% rent due to a
co-tenancy clause. Fitch's loss expectations of 64% are based on a
discount to the updated valuation provided by the special
servicer.
The third specially serviced loan, Holiday Inn Energy Corridor
(1.2% of the pool), transferred to the special servicer in July
2018 due to imminent default. In March 2019, the special servicer
and borrower agreed to a forbearance agreement which expired in
July 2019 and the borrower was unable to secure financing.
Subsequently the special servicer and the borrower had agreed to a
loan modification which included interest only payments through
December 2020 and a property improvement plan (PIP). Per the
special servicer they are monitoring the two-phased PIP until it is
completed which was expected by Dec. 31, 2020 but may now be
delayed to second quarter (Q2) 2021. Fitch's loss expectation of
43% is based on a discount to the updated valuation provided by the
special servicer.
Outside of the specially serviced loans, 12 loans (41.2% of the
pool) are considered FLOCs due to declining performance as a result
of the coronavirus pandemic and/or occupancy declines and upcoming
lease rollover concerns.
The largest non-specially serviced contributor to loss includes
College Grove Student Apartments (1.8% of the pool), which is
secured by an 864-bed student housing complex located in
Murfreesboro, TN. The property is located 1.0 mile from the Middle
Tennessee State University (MTSU) campus. Occupancy as of September
2020 was 81.2% and 9% pre-leased for the 2020-2021 academic year.
Occupancy was up slightly from September 2019 and YE 2018, but
lower than 96% at YE 2016. The declining performance was primarily
related to the declining market, the age of the asset, lower
enrollment trends at MTSU and increased operating expenses. The
property also suffered from a fire in January 2020.
University Estates (1.6% of the pool), is secured by a 552-bed
student housing apartment complex, located in Muncie, IN, which
caters primarily to Ball State University. Ball State's overall
enrollment is down due to coronavirus pandemic. Per media reports,
Ball State has $400 million of recently completed, underway, or
planned construction projects on campus. The most recent servicer
reported NOI DSCR as of Q3 2020 is 0.15x at 89% occupancy as
compared to 0.54x YE 2019 at 66.23% occupancy. Fitch's analysis for
both student housing properties includes a 15% stress to the YE
2019 NOI to reflect the expected declines in performance due to the
coronavirus pandemic.
Bridgemarket (3.6% of the pool) is secured by 97,835 sf of retail
space located underneath the Queensboro Bridge at First Avenue and
59th Street in Manhattan. The property has two tenants, TJMaxx
(36.5% of NRA; March 2021) and Bridgemarket Restaurant (27.4% of
NRA; February 2027), which operates as Gustavino's, an event space.
TJ Maxx extended their lease for one five-year extension from Feb.
1, 2021 to Jan. 31, 2026. Gustavino's requested coronavirus relief.
As of May 2020, the property's occupancy declined to 64% from 100%
since issuance.
The property's former major tenant, Food Emporium (formerly 36% of
the NRA), failed to pay their full rent in November and December
2017 and then subsequently vacated their space with no termination
fee required. The space remains vacant and the tenant and borrower
remain in litigation to re-coup past due rent. Per the master
servicer, Trader Joe's agreed to a lease that was signed as of May
11, 2020. They are currently negotiating with their legal
department. The most recent servicer provided NOI DSCR as of
December 2019 declined to 0.82x from 1.22x at YE 2018, 1.66x at YE
2017 and 1.43x at YE 2016. Fitch's analysis includes an additional
10% stress to the YE 2019 NOI to reflect the expected declines in
performance due to the coronavirus pandemic; however, performance
is expected to stabilize once Trader Joe's takes occupancy.
The Aire (15.4% of the pool), is secured by a 310-unit multifamily
property located in the Upper West Side of Manhattan. Despite the
property's strong occupancy since issuance, the loan has suffered
declining performance with NOI DSCR declining to 0.82x as of
September 2020, 0.78x YE 2019, 0.90x at YE 2018, 0.88x at YE 2017
and 1.05x at YE 2016. The declines in performance are primarily
related to higher operating expenses, primarily real estate taxes
which have increased by $2.3 million since issuance levels of $1.1
million and are expected to further increase to $6.6 million by
2023, when 10-year tax abatement expires. Additionally, gross
revenues and renewal rates have declined.
Per servicer commentary, the decline in cash flow is due to the
significant concessions being offered at the property to offset
soft market conditions. Additionally, retail occupancy has declined
to 71.4% (June 2020) from 85.7% (March 2020). Per the master
servicer, the borrower stated tenant Flywheel filed for Chapter 7
bankruptcy and the lease has been rejected. They are awaiting
judge's order signed December 31, 2020 so they can engage a broker
to start marketing the space. Fitch's analysis assumes a 12% loss
and is based on the YE 2019 NOI. It also includes positive
considerations due to property quality and location which
recognizes that ultimate losses may be lower than currently
expected.
Madison Plaza (1.5% of the pool) is secured by a 67,751 sf retail
property located in El Cajon, CA. The largest tenant is Petco with
a lease expiration in March 2023. The property is 94.7% occupied as
of September 2020 with upcoming rollover of 7.7% in 2022. Fitch's
analysis includes a 20% stress to the YE 2019 NOI to reflect the
expected declines in performance due to the coronavirus pandemic.
Improved Credit Enhancement: The pool has benefited from increased
credit enhancement due to loan payoffs, scheduled amortization and
defeasance. As of December 2020, the pool's aggregate principal
balance has been reduced by 29.3% to $802.9 million from $1,136
billion at issuance. To date, no losses have been incurred by the
pool. Fifteen loans (21.9%) are defeased including six (7.6%) which
have defeased since Fitch's last rating action. One loan, 1615 L
Street (4.2% of the pool), is interest only. Approximately 54.3% of
the pool has partial interest only payments, all of which are now
amortizing.
Coronavirus Exposure: The rating actions can be largely attributed
to the significant economic impacts to certain hotels, retail and
multifamily properties from the pandemic due to the related
reductions in travel and tourism, temporary property closures and
lack of clarity at this time on the potential duration of the
impacts. Seven loans are collateralized by multifamily properties
(24.3% of the pool), 14 retail (15.7%) and three by hotel
properties (7.5%). Fitch's base case analysis applied additional
stresses to one hotel loan, three retail loans and two multifamily
loans due to its vulnerability to the coronavirus pandemic; this
analysis contributed to the downgrades of classes E, F and the
Negative Outlook revision on class D.
Additional Considerations:
High Multifamily Concentration: Multifamily properties represent
24.3%. The largest loan, the Aire (15.4% of the pool), is a
multifamily property located in Manhattan's Upper West Side. The
loan is currently on the master servicer's watchlist and was
considered a FLOC due to declining performance. Office properties
represent 32.1%, retail 15.7%, and hotels 7.5%.
Maturity Concentration: All loans mature in 2023.
RATING SENSITIVITIES
The Negative Outlooks on classes D and E reflect the potential for
downgrades should the performance of the FLOCs decline further and
additional loans default and transfer to special servicing and/or
loss expectations on the specially serviced loans increase. The
Stable Outlook on classes A-3 thru C, X-A and X-B reflects
continued amortization, prepayments and defeasance.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Factors that lead to upgrades would include:
-- Improved performance of the overall pool coupled with
significant paydown and/or increased defeasance.
-- Upgrades of classes B and C are not currently expected given
the hotel, multifamily and retail FLOCs and the ongoing
challenges these properties will face given the coronavirus
pandemic but would occur with significant improvement in CE
and/or defeasance and/or stabilization of the properties
impacted from the coronavirus pandemic.
-- Further, classes would not be upgraded above 'Asf' given the
likelihood of interest shortfalls from the specially serviced
loans and should additional loans transfer to special
servicing.
-- Upgrades to classes D, E, F are not likely absent significant
improvement on the FLOCs and substantially higher recoveries
than expected on the specially serviced loans.
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Factors that may lead to further downgrades include:
-- An increase in pool-level losses from underperforming or
specially serviced loans and/or additional loans default and
transfer to the special servicer; or if updated valuations on
the specially serviced loans are received that indicate higher
losses than currently expected.
-- Additionally, if workouts are prolonged on the specially
serviced loans, fees and expenses could continue to increase
loan exposures and loss expectations will continue to
increase.
-- Downgrades to classes A-3 thru C, X-A and X-B are not likely
due to the high CE and amortization but could occur if there
are interest shortfalls or if a high proportion of the pool
defaults and expected losses increase significantly.
-- Downgrades to Classes D and E with Negative Outlooks would
occur should loss expectations increase due to an increase in
specially serviced loans, the disposition of a specially
serviced loan/asset at a high loss, or a decline in the FLOCs'
performance.
-- The Outlooks on these classes may be revised back to Stable if
performance of the FLOCs improves and/or properties vulnerable
to the coronavirus stabilize once the pandemic is over.
-- Classes E and F could be further downgraded should losses
become more certain or be realized.
In addition to its baseline scenario, Fitch also envisions a
downside scenario where the health crisis is prolonged beyond 2021;
should this scenario play out, Fitch expects that a greater
percentage of classes may be assigned a Negative Outlook or those
with Negative Outlooks will be downgraded one or more categories.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG CONSIDERATIONS
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.
JP MORGAN 2021-2NU: Moody's Gives (P)Ba1 Rating to Class HRR Certs
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of CMBS securities, issued by J.P. Morgan Chase Commercial
Mortgage Securities Trust 2021-2NU, Commercial Mortgage
Pass-Through Certificates, Series 2021-2NU:
Cl. A, Assigned (P)Aaa (sf)
Cl. B, Assigned (P)Aa3 (sf)
Cl. C, Assigned (P)A3 (sf)
Cl. D, Assigned (P)Baa2 (sf)
Cl. HRR, Assigned (P)Ba1 (sf)
Cl. X-A*, Assigned (P)Aa1 (sf)
* Reflects interest-only class
RATINGS RATIONALE
The certificates are collateralized by a single, fixed-rate loan
secured by the borrower's leasehold interest in 2 + U (the
"property"), a 38-story urban office development with street-level
retail space located at 1201 Second Avenue in the central business
district of Seattle, WA. Moody's ratings are based on the credit
quality of the loan and the strength of the securitization
structure.
Moody's approach to rating this transaction involved the
application of both our Large Loan and Single Asset/Single Borrower
CMBS methodology and our IO Rating methodology . The rating
approach for securities backed by a single loan compares the credit
risk inherent in the underlying collateral with the credit
protection offered by the structure. The structure's credit
enhancement is quantified by the maximum deterioration in property
value that the securities are able to withstand under various
stress scenarios without causing an increase in the expected loss
for various rating levels. In assigning single borrower ratings,
Moody's also consider a range of qualitative issues as well as the
transaction's structural and legal aspects.
The property is well located in downtown Seattle, within the
Financial District of Seattle's CBD submarket. The submarket has
historically enjoyed an influx of office employees to the immediate
area given its strong tech influence and increasing demand. The
building has good access to major traffic routes, located just
three blocks south of Interstate 5, one block south of the Third
Avenue transit corridor which provides access to the Link Light
Rail and over 200 bus lines. The property also sits at the center
of Seattle's arts, cultural, and entertainment attractions such as
Benaroya Hall, Seattle Art Museum, Pike Place Market and numerous
art galleries.
The property is a newly constructed (2019), 38-story, Class A urban
office development with street-level retail space located in the
heart of the Seattle CBD. The building was designed by Pickard
Chilton and developed by Skanska to a very high level of
specification. LEED Platinum certification is being pursued by the
loan sponsor and is in process. As of November 30, 2020, the
property was approximately 98.9% leased to nine tenants. The tenant
roster is predominately represented by the technology sector and
features creditworthy companies, including Qualtrics (39.2% of NRA;
SAP SE - A2, senior unsecured), Indeed (28.4% of NRA; Recruit
Holdings Co., Ltd - A3, senior unsecured) and Dropbox (17.2% of
NRA; NR).
The securitization consists of a $297,600,000 portion of a
seven-year, interest-only, first lien mortgage loan with an
outstanding principal balance of $457,600,000.
The credit risk of loans is determined primarily by two factors: 1)
Moody's assessment of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessment of the
severity of loss upon a default, which is largely driven by each
loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV.
As described in the CMBS methodology used to rate this transaction,
Moody's make various adjustments to the MLTV. Moody's adjusts the
MLTV for each loan using a value that reflects capitalization rates
that are between our sustainable cap rates and market cap rates.
Moody's also use an adjusted loan balance that reflects each loan's
amortization profile. The MLTV reported in this publication
reflects the MLTV before the adjustments described in the
methodology.
The Moody's first-mortgage DSCR is 2.23x and Moody's first-mortgage
stressed DSCR (at a 9.25% constant) is 1.08x. Moody's DSCR is based
on our assessment of the property's stabilized NCF.
The $297,600,000 senior portion of a $457,600,000 whole loan
represents a Moody's LTV of 82.6%. Taking into consideration the
additional subordinate note with a principal balance of
$160,000,000, the total debt Moody's LTV would increase to 127.0%.
Moody's also grades properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The property's
weighted average property quality grade is 0.75.
Notable strengths of the transaction include: strong location,
asset quality, solid tenant roster, and limited rollover.
Notable concerns of the transaction include: the effects of the
coronavirus, the lack of asset diversification, new supply,
subleasing activity, limited operating history and certain credit
negative loan structure and legal features.
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in September
2020.
Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from Moody's
loan level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.
Factors that would lead to an upgrade or downgrade of the ratings:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
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.
Moody's 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 Moody's forecasts is unusually high.
MORGAN STANLEY 2006-IQ11: Fitch Affirms D Rating on 8 Classes
-------------------------------------------------------------
Fitch Ratings has upgraded two classes and affirmed eight classes
of Morgan Stanley Capital I Trust, commercial mortgage pass-through
certificates, series 2006-IQ11 (MSCI 2006-IQ11).
DEBT RATING PRIOR
---- ------ -----
Morgan Stanley Capital I Trust 2006-IQ11
B 617453AW5 LT AAAsf Upgrade AAsf
C 617453AX3 LT Asf Upgrade BBsf
D 617453AY1 LT Dsf Affirmed Dsf
E 617453AC9 LT Dsf Affirmed Dsf
F 617453AD7 LT Dsf Affirmed Dsf
G 617453AE5 LT Dsf Affirmed Dsf
H 617453AF2 LT Dsf Affirmed Dsf
J 617453AG0 LT Dsf Affirmed Dsf
K 617453AH8 LT Dsf Affirmed Dsf
L 617453AJ4 LT Dsf Affirmed Dsf
KEY RATING DRIVERS
Increased Credit Enhancement: There has been significant
improvement in credit support over the last year. Since the last
rating action, six loans repaid from the pool, contributing $5.9
million in paydown to the bonds. Additionally, two assets that were
in special servicing liquidated from the pool since the last rating
action, with recoveries from those dispositions contributing an
additional $10.9 million in paydown to the bonds. The transaction
has paid down 98.0% since issuance. There are four loans (28.9% of
the pool) that are covered by fully defeased collateral. Of the
remaining non-specially serviced loans, four loans (43.3%) are
scheduled to mature or fully amortize in 2021. Given the schedule
of upcoming maturities, Fitch expects that the class B certificates
will be repaid in full within the next six months.
Changes in Loss Expectations: Given the disposition of two assets
which were previously the largest and third largest Fitch Loans of
Concern (FLOCs), Fitch's projected losses have declined since the
last rating action. The pool is concentrated with only 13 of the
original 234 loans remaining. There are four FLOCs totaling 24.4%
of the pool including one specially serviced loan (17.1% of the
pool).
Fitch Loans of Concern: There is one loan in special servicing, and
it is the largest FLOC and the third largest loan in the pool.
Waverly Woods (17.1% of the pool), is an REO asset that transferred
to Special Servicing in September 2016 due to imminent maturity
default. The subject is a suburban office property in
Mariottsville, MD. The loan was originally scheduled to mature in
May 2016, but the borrower was not able to repay. The asset became
REO in April 2017. Occupancy at the property has fluctuated over
the last several years while performance metrics have continued to
decline. According to the servicer, two new leases were signed as
of December 2020 bringing occupancy to 94.9% compared with 85% at
June 2020; however, NOI DSCR has remained below 1.00x since 2014.
As of June 2020, NOI DSCR was 0.53x compared with 0.36x as of YE
2019. The asset has been listed for sale and is scheduled to be
included in an upcoming auction.
There are three additional FLOCs including Cascade Professional
Plaza (4.57% of the pool), a 29,794 SF medical office building
located in Orem, UT with significant upcoming scheduled tenant
rollover in 2021; Arlington Heights Retail (1.66% of the pool), a
21,000 SF retail property located in Arlington Heights, IL with
occupancy concerns and declining NOI DSCR; and, Hinson Centre
(1.11% of the pool), a 12,354 SF office property located in Little
Rock, AK with occupancy concerns and declining NOI DSCR. Fitch
performed a sensitivity analysis, which grouped the remaining loans
based on loan structural features, collateral quality and
performance and ranked them by their perceived likelihood of
repayment and/or loss. Fitch's Sensitivity Analysis reflects losses
of 10.4%; the Stable Outlook for class C factors in an additional
sensitivity reflecting losses could reach 20.8% in a stressed
scenario which includes potential outsized losses of 50% on the
FLOCs and 100% on the specially serviced asset.
Coronavirus Exposure: Loans secured by retail properties comprise
1.7% of the pool. The pool's retail component has a weighted
average DSCR of 1.20x.
RATING SENSITIVITIES
Factor that could, individually or collectively, lead to a positive
rating action/upgrade:
-- An upgrade to class C is not likely due to the potential for
future interest shortfalls, pool concentration, and remaining
collateral quality.
Factor that could, individually or collectively, lead to negative
rating action/downgrade:
-- Downgrades to Classes B & C could be triggered by an increase
in pool-level losses from underperforming or specially
serviced loans. Downgrades are not considered likely due to
their priority of payment and high credit support.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG CONSIDERATIONS
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.
MORGAN STANLEY 2013-C11: Moody's Lowers Class D Certs to C
----------------------------------------------------------
Moody's Investors Service has affirmed the ratings on seven classes
and downgraded the ratings on five classes in Morgan Stanley Bank
of America Merrill Lynch Trust 2013-C11 ("MSBAM 2013-C11"),
Commercial Mortgage Pass-Through Certificates as follows:
Cl. A-AB, Affirmed Aaa (sf); previously on September 29, 2020
Affirmed Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on September 29, 2020
Affirmed Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on September 29, 2020
Affirmed Aaa (sf)
Cl. A-S, Downgraded to Baa1 (sf); previously on September 29, 2020
Downgraded to Aa2 (sf)
Cl. B, Downgraded to B3 (sf); previously on September 29, 2020
Downgraded to Ba1 (sf)
Cl. C, Downgraded to Caa3 (sf); previously on September 29, 2020
Downgraded to Caa1 (sf)
Cl. D, Downgraded to C (sf); previously on September 29, 2020
Downgraded to Caa3 (sf)
Cl. E, Affirmed C (sf); previously on September 29, 2020 Downgraded
to C (sf)
Cl. F, Affirmed C (sf); previously on September 29, 2020 Affirmed C
(sf)
Cl. G, Affirmed C (sf); previously on September 29, 2020 Affirmed C
(sf)
Cl. X-A*, Affirmed Aaa (sf); previously on September 29, 2020
Affirmed Aaa (sf)
Cl. PST**, Downgraded to B3 (sf); previously on September 29, 2020
Downgraded to B1 (sf)
* Reflects interest-only class
** Reflects exchangeable class
RATINGS RATIONALE
The ratings on three P&I classes were affirmed due the significant
credit support and because the transaction's key metrics, including
Moody's loan-to-value ratio, Moody's stressed debt service coverage
ratio and the transaction's Herfindahl Index, are within acceptable
ranges. The ratings on Classes E, F and G were affirmed because the
ratings are consistent with Moody's expected loss plus realized
losses. Class G has already experienced a 50% loss from a
previously liquidated loan.
The ratings on four P&I classes, Class A-S, Class B, Class C and
Class D were downgraded due to higher anticipated losses and
increased interest shortfall risks driven by the significant
exposure to specially serviced loans, which are primarily secured
by regional mall and hotel loans. Specially serviced loans
represent nearly 40% of the pool, of which three largest,
representing 39%, are secured by two regional malls and one hotel
property in which the loan is either more than 90 days delinquent
or the borrower has already indicated plans to transfer the loan to
the trust. The largest three specially serviced loans include
Westfield Countryside (17% of pool), The Mall at Tuttle Crossing
(15%) and Marriott Chicago River North Hotel (8%), all of which
were already experiencing declining performance prior to 2020.
Appraisal reductions have not yet been recognized on the three
largest specially serviced loans; therefore Moody's anticipates
interest shortfalls may increase materially. In aggregate, three
loans (for a combined 40% of the pooled balance) are secured by
regional malls, including Southdale Center (9% of the pool), which
has also experienced declines in NOI prior to 2020. Furthermore,
the credit support of these four classes have previously
deteriorated due to the significant losses from the previously
liquidated Matrix Corporate Center loan.
The rating on the IO class was affirmed based on the credit quality
of the referenced classes.
The rating on Class PST was downgraded due to a decline in credit
quality of the referenced exchangeable classes.
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.
Moody's 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 Moody's 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 19.2% of the
current pooled balance, compared to 9.3% at Moody's last review.
Moody's base expected loss plus realized losses is now 19.8% of the
original pooled balance, compared to 14.1% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
https://bit.ly/3shqZJJ.
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 exchangeable
classes and interest-only classes were "Moody's Approach to Rating
Large Loan and Single Asset/Single Borrower CMBS" published in
September 2020.
DEAL PERFORMANCE
As of the December 17, 2020 distribution date, the transaction's
aggregate certificate balance has decreased by 33% to $577.8
million from $856.3 million at securitization. The certificates are
collateralized by 30 mortgage loans ranging in size from less than
1% to 17% of the pool, with the top ten loans (excluding
defeasance) constituting 72% of the pool. Five loans, constituting
12% 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 10, the same as at Moody's last review.
As of the December 2020 remittance report, loans representing 60%
were current or within their grace period on their debt service
payments and 40% were more than 90 days delinquent.
Ten loans, constituting 27% of the pool, are on the master
servicer's watchlist, of which two loans, representing 4% of the
pool, indicate the borrower has requested relief in relation to
coronavirus impact on the property. 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 Matrix Corporate Center loan, has been liquidated
from the pool, resulting in a significant realized loss of $45.5
million (for a loss severity of 78%). The loss has caused a decline
in credit support for several of the P&I classes as compared to
securitization.
Four loans, constituting 40% of the pool, have transferred to
special servicing since June 2020. The largest specially serviced
loan is the Westfield Countryside Loan ($96.0 million -- 16.5% of
the pool), which represents a pari-passu portion of a $148.1
million mortgage loan. The loan is secured by a 465,000 square foot
component of an approximately 1.26 million square foot
super-regional mall located in Clearwater, Florida approximately 20
miles west of Tampa. The mall is anchored by Dillard's, Macy's and
JC Penney, all of which are non-collateral. Sears (non-collateral)
initially downsized its location in 2014 and closed the remainder
of its space in 2018. The former Sears space was partially
backfilled by a Whole Food's and Nordstrom Rack. The largest
collateral tenant includes a 12-screen Cobb Theaters (lease
expiration in December 2026), which re-opened in October 2020 after
being closed due to the coronavirus pandemic. Cobb Theaters' parent
company CMX Cinemas field for chapter 11 bankruptcy in April 2020.
The loan transferred to special servicing in June 2020 due to
imminent default and the loan is past due for debt service payments
since May 2020. As of the September 2020 rent roll, inline
occupancy was 88%, the same as in March 2020. The property's 2019
NOI improved slightly year over year however, it was 12% below
securitization levels due to lower rental reviews. The loan sponsor
is Westfield and O'Connor Capital Partners. The loan has amortized
4.4% since securitization, however, the special servicer indicated,
Westfield does not plan to support the asset going forward and is
cooperating in a friendly foreclosure process. Furthermore, the
special servicer commentary indicates the likely disposition
strategy is to market for sale in early 2021. As of the December
2020 remittance statement an appraisal reduction has not yet been
realized, however, a recent appraisal valued the property at $91
million, which is 66% lower than the appraised value at
securitization and 38% below the outstanding total mortgage loan.
Due to the declining performance and the current retail
environment, Moody's anticipates a significant loss on this loan.
The second largest loan is the Mall at Tuttle Crossing Loan ($86.4
million -- 15.0% of the pool), which represents a pari-passu
portion of a $113.7 million loan. The loan is secured by a 385,000
square foot (SF) component of an approximately 1.13 million square
foot (SF) super-regional mall located in Dublin, Ohio approximately
17 miles northwest of Columbus. The mall is currently anchored by
JC Penney, Scene 75 and Macy's (all three of which are
non-collateral). Scene 75, an indoor entertainment center,
backfilled the former Macy's Home Store (20% of total mall NRA)
that closed in 2017. The mall currently has one non-collateral
vacant anchor space, a former Sears (149,000 SF), that vacated in
early 2019. The collateral portion was 65% leased as of August
2020, compared to 76% leased as of June 2019 and 88% in December
2015. The mall has suffered from declining in-line occupancy which
dropped to 60% in August 2020, compared to 71% in June 2019 and 82%
in December 2017. Due to declining revenues, the property's annual
NOI had declined significantly in both 2019 and 2018. The 2019 NOI
was nearly 26% lower than underwritten levels. The loan sponsor,
Simon Property Group, has classified this mall under their "Other
Properties" and the loan transferred to special servicing in July
2020 for imminent monetary payment default. Special servicer
commentary indicated legal counsel has been engaged and enforcement
options are being evaluated. The loan is paid through its July 2020
payment date, has amortized almost 9% since securitization and
matures in May 2023. As of the December 2020 remittance statement
an appraisal reduction has not yet been realized, however, a recent
appraisal valued the property at $80 million, which is 67% lower
than the appraised value at securitization and nearly 30% below the
outstanding total mortgage loan. Due to the declining performance
and current market environment, Moody's anticipates a significant
loss on this loan.
The third largest specially serviced loan is the Marriott Chicago
River North Hotel ($45.8 million -- 7.9% of the pool) which is
secured by a full-service hotel property in downtown Chicago, IL.
The Hotel is dual flagged under Marriott's Residence Inn and
Springhill Suites brands and operates subject to Franchise
agreements that are scheduled to expire in 2033. The property's
2019 NOI declined nearly 20% year over year as a result of lower
room revenue and an increase operating expenses, particularly
advertising & marketing. The loan transferred to special servicing
in July 2020 due to payment default and is past due for debt
service payments since May 2020. As of September 2020, trailing
12-month occupancy, ADR and RevPAR were 42.2%, $155.43 and $65.53,
respectively, compared to 79.7%, $187.34 and $149.31 a year prior.
The loan has amortized 16.8% since securitization, however, the
loan was experiencing declining performance for year-end 2019 and
the coronavirus pandemic has caused significant stress on its
operations. The borrower has proposed an initial modification and
the special servicer indicated they are dual tracking ongoing
negotiations with foreclosure proceedings. As of the December 2020
remittance statement an appraisal reduction has not yet been
realized for this transaction.
The remaining specially serviced loan is a lodging facility,
located in Katy, Texas and representing less than 0.5% of the pool.
Moody's estimates and aggregate $111.0 million loss for the
specially serviced loans (48% expected loss on average).
As of the December 2020 remittance statement cumulative interest
shortfalls were $605,078 million and only impacted the up to Cl. H.
However, Moody's anticipates interest shortfalls will increase due
to updated appraisal values and/or the execution of loan
modifications on the specially serviced loans. Interest shortfalls
are caused by special servicing fees, including workout and
liquidation fees, appraisal entitlement reductions (ASERs), loan
modifications and extraordinary trust expenses.
The credit risk of loans is determined primarily by two factors: 1)
Moody's assessment of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessment of the
severity of loss upon a default, which is largely driven by each
loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV.
As described in the CMBS methodology used to rate this transaction,
Moody's make various adjustments to the MLTV. Moody's adjusts the
MLTV for each loan using a value that reflects capitalization rates
that are between its sustainable cap rates and market cap rates.
Moody's also use an adjusted loan balance that reflects each loan's
amortization profile. The MLTV reported in this publication
reflects the MLTV before the adjustments described in the
methodology.
Moody's received full year 2019 operating results for 96% of the
pool, and full or partial year 2020 operating results for 70% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 101%, compared to 111% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow
reflects a weighted average haircut of 27% to the most recently
available net operating income. Moody's value reflects a weighted
average capitalization rate of 10.1%.
Moody's actual and stressed conduit DSCRs are 1.45X and 1.13X,
respectively, compared to 1.40X and 1.04X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 20% of the pool balance. The
largest loan is the Southdale Center Loan ($49.0 million -- 8.5% of
the pool), which represents a pari-passu interest in a $138.1
million mortgage loan. The loan is secured by a 635,000 SF
component of a 1.23 million SF super-regional mall located in
Edina, MN., approximately 9 miles south of Minneapolis. While the
property is located only six miles away from the Mall of America,
the property serves local consumers, while the Mall of America is
considered to be a tourist shopping destination. The mall is
currently anchored by a Macy's (non-collateral) and a 12-screen
American Multi-Cinema movie theater. The property has experienced
multiple big box closures including Herberger's (143,608 SF) in
August 2018, and JC Penney (non-collateral) and Gordmans (44,087
SF) in 2017. The total mall was 54% leased as of June 2020 and the
in-line occupancy was 73%. The property is owned and managed by
Simon Property Group. The former JC Penney space was backfilled by
a 200,000 SF Lifetime Fitness & Lifetime Work, which opened in
December 2019 along with two new restaurants. The property's
historical NOI improved significantly through 2017, however, due to
declining revenues, the property's NOI declined annually in both
2018 and 2019. As of March 2020, the borrower stated they are still
exploring options regarding the former Herberger's and Gordmans'
spaces. The loan has amortized 11% since securitization and remains
current on debt service. Moody's LTV and stressed DSCR are 131% and
0.85X, respectively, compared to 122% and 0.86X at Moody's last
review.
The second largest loan is the Bridgewater Campus Loan ($39.5
million -- 6.8% of the pool), which is secured by eight Class B
mixed-use buildings, located in Bridgewater, New Jersey,
approximately 41 miles southwest of New York City. The campus
layout consists of 446,649 square feet on site of 82.8 acres of
land. The buildings are leased to three tenants, all of which have
been at the property since securitization and 79% of the NRA has
lease expiration in 2023 or later. As of September 2020, the
property was 87% leased, compared to 100% in December 2019. As a
result of the lower occupancy, the June 2020 NOI DSCR declined to
1.96X from 2.06X at year-end 2019. The loan has amortized 9.2%
since securitization. Moody's LTV and stressed DSCR are 99% and
1.01X, respectively, compared to 90% and 1.12X at the last review.
The third largest loan is the Beverly Garland Hotel Loan ($26.4
million -- 4.6% of the pool), which is secured by a 255-room, full
hospitality boutique hotel, located in North Hollywood, California.
The property was built in 1971 and renovated in 2012. The hotel
includes two guestroom buildings, meeting and event space and a
single-story grand ballroom building. Through year-end 2019 the
property's performance improved significantly since securitization
as a result of increases in both room and F&B revenue. While the
property's performance has been impacted by the coronavirus
pandemic, the loan amortized 11.8% since securitization and remains
current as of the December 2020 remittance statement. Moody's LTV
and stressed DSCR are 96% and 1.24X, respectively.
ORIGEN MANUFACTURED 2002-A: S&P Affirms CCC(sf) Rating on M2 Certs
------------------------------------------------------------------
S&P Global Ratings affirmed its ratings on four classes from Origen
Manufactured Housing Contract Sr/Sub Asset-Backed Certs Series
2002-A, Origen Manufactured Housing Contract Trust 2006-A, Origen
Manufactured Housing Contract Trust Collateralized Notes 2007-A,
and Origen Manufactured Housing Contract Trust Collateralized Notes
2007-B.
The transactions are backed by collateral pools of manufactured
housing loans that are currently serviced by Shellpoint Mortgage
Servicing.
S&P said, "The affirmed 'CCC (sf)' and 'CC (sf)' ratings reflect
our view that credit support will remain insufficient to cover our
expected losses for these classes. As defined in our criteria, the
'CCC (sf)' level ratings reflect our view that the related classes
are still vulnerable to nonpayment and are dependent upon favorable
business, financial, and economic conditions in order to be paid
interest and/or principal according to the terms of each
transaction. Additionally, the 'CC (sf)' ratings reflect our view
that the related classes remain virtually certain to default."
"Series 2006-A, 2007-A, and 2007-B continue to be well
under-collateralized and we do not expect them to receive full and
timely principal by their legal final maturity date, even under the
most optimistic collateral performance scenario. Our expected
cumulative net loss remains not applicable since the outstanding
classes are rated 'CC (sf)'."
"Series 2002-A continues to perform in-line with our prior revised
expectations of 32.00%-33.00% from 2018. As of the December 2020
distribution date, series 2002-A has experienced cumulative net
losses of 28.30% after 225 months of performance, with a pool
factor of 9.58%. The series' overcollateralization amount has been
fully depleted, and losses continue to reduce the subordination in
the form of the class B-1 notes."
Table 1
Collateral Performance (%)(i)
Prior Current
expected expected
Pool Current 90+ day lifetime lifetime
Mo. Factor CNL delinq. CNL(ii) CNL
2002-A 225 9.58 28.30 4.78 32.00-33.00 32.00-33.00
(i)As of the December 2020 distribution date.
(ii)As of January 2018.
Delinq.--Delinquent.
Mo.--Months.
CNL--Cumulative net loss.
Table 2
Hard Credit Support(i)
Prior total hard Current total hard
credit support credit support
Class (% of current)(ii) (% of current)(iii)
2002-A M-2 24.76 19.69
(ii)As of January 2018.
(iii)As of December 2020 distribution date.
As vaccine rollouts in several countries continue, S&P Global
Ratings believes there remains a high degree of uncertainty about
the evolution of the coronavirus pandemic and its economic effects.
Widespread immunization, which certain countries might achieve by
midyear, will help pave the way for a return to more normal levels
of social and economic activity.
S&P said, "We use this assumption about vaccine timing in assessing
the economic and credit implications associated with the pandemic.
As the situation evolves, we will update our assumptions and
estimates accordingly."
RATINGS AFFIRMED
Origen Manufactured Housing Contract Sr/Sub Asset-Backed Certs
Series Class Rating
200-2-A M2 CCC (sf)
Origen Manufactured Housing Contract Trust
Series Class Rating
2006-A A-2 CC (sf)
Origen Manufactured Housing Contract Trust Collateralized Notes
Series Class Rating
2007-A A-2 CC (sf)
2007-B A CC (sf)
SILVER HILL 2019-SBC1: DBRS Confirms B Rating on 2 Classes of Notes
-------------------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of
secured floating-rate notes issued by Silver Hill Trust 2019-SBC1
(the Issuer):
-- Class A1 at AAA (sf)
-- Class A1-IO at AAA (sf)
-- Class A2 at AAA (sf)
-- Class A2-IO at AAA (sf)
-- Class M1 at AA (sf)
-- Class M1-IO at AA (sf)
-- Class M2 at A (sf)
-- Class M2-IO at A (sf)
-- Class M3 at BBB (sf)
-- Class M3-IO at BBB (sf)
-- Class B1 at BB (sf)
-- Class B1-IO at BB (sf)
-- Class B2 at B (sf)
-- Class B2-IO at B (sf)
All trends are Stable.
The rating confirmation and Stable trends reflect the overall
stable performance of the transaction since issuance. The
transaction is composed of individual fixed- and floating-rate
small balance loans secured by commercial, multifamily, and
single-family rental properties with an average loan balance of
approximately $443,000. As of the November 2020 remittance, 895 of
the original 978 loans remain in the pool, with an aggregate
principal balance of $396.8 million, representing a collateral
reduction of 10.2% since issuance. There are currently 67 loans,
representing 10.2% of the current pool balance, that are 30+ days
delinquent. DBRS Morningstar elevated the probability of default
levels for these loans to recognize the increased credit risk to
the trust.
The pool has a high concentration of properties located across the
states of Florida (16.5% of the current pool balance), California
(13.0% of the current pool balance), New York (8.6% of the current
pool balance), and Texas (7.8% of the current pool balance); the
pool is otherwise geographically diverse, with an average DBRS
Morningstar Market Rank of 3.6. By property type, the pool had
concentrations of loans secured by commercial use (40.0% of the
current pool), multifamily (18.4% of the current pool balance), and
mixed-use (11.1% of the current pool balance). Based on the current
loan balances and the appraisals at origination, the pool has a
weighted average loan-to-value of 63.8%. Seven hundred and
thirty-three of the remaining 895 loans representing 80.7% of the
current pool balance have maturities between 2048 and 2049.
DBRS Morningstar received limited borrower and property-level
information at issuance, and considered the property quality to be
Average-/Below Average based on those properties sampled; this
sample comprised 8.4% of the pool balance.
The transaction is configured with a sequential pay pass-through
structure.
Notes: All figures are in U.S. dollars unless otherwise noted.
SLM STUDENT 2008-9: Fitch Affirms B Rating on 2 Note Classes
------------------------------------------------------------
Fitch Ratings has affirmed the outstanding notes of SLM Student
Loan Trust 2008-5, 2008-8 and 2008-9.
DEBT RATING PRIOR
---- ------ -----
SLM Student Loan Trust 2008-9
A 78445JAA5 LT Bsf Affirmed Bsf
B 78445JAB3 LT Bsf Affirmed Bsf
SLM Student Loan Trust 2008-8
A-4 78445GAD5 LT Bsf Affirmed Bsf
B 78445GAE3 LT Bsf Affirmed Bsf
SLM Student Loan Trust 2008-5
A-4 78444YAD7 LT Bsf Affirmed Bsf
B 78444YAE5 LT Bsf Affirmed Bsf
TRANSACTION SUMMARY
The affirmations reflect Fitch's coronavirus baseline scenario,
under which there were no changes to the sustainable constant
default rate (sCDR) and sustainable constant prepayment rate (sCPR)
assumptions for each transaction as discussed below.
For all three trusts, the senior notes miss their legal final
maturity date under Fitch's base case maturity stresses; however,
these classes are eventually paid in full under Fitch's stressed
cashflow analysis. The event of default from not meeting the legal
final maturity dates would result in interest payments being
diverted away from the class B notes, causing them to default as
well.
In affirming at 'Bsf' rather than downgrading to 'CCCsf' or below,
Fitch has considered qualitative factors such as Navient's ability
to call the notes upon reaching 10% pool factor, the revolving
credit agreement in place for the benefit of the noteholders and
the eventual full payment of principal in modelling.
The Rating Outlooks for the three trusts remain Stable, reflecting
the maturity dates being more than two years away for the
outstanding senior class of the transactions.
Each trust has entered into a revolving credit agreement with
Navient, by which it may borrow funds at maturity in order to pay
off the notes. Because Navient has the option but not the
obligation to lend to the trusts, Fitch cannot give full
quantitative credit to this agreement. However, the agreement does
provide qualitative comfort that Navient is committed to limiting
investors' exposure to maturity risk.
KEY RATING DRIVERS
U.S. Sovereign Risk: The trusts' collateral is composed of 100%
Federal Family Education Loan Program (FFELP) loans, with
guaranties provided by eligible guarantors and reinsurance provided
by the U.S. Department of Education (ED) for at least 97% of
principal and accrued interest. The U.S. sovereign rating is
currently 'AAA'/Outlook Negative.
Collateral Performance
SLM 2008-5: Based on transaction-specific performance to date,
Fitch assumes a cumulative default rate of 21.5% under the base
case scenario and a 64.5% default rate under the 'AAA' credit
stress scenario. Fitch maintained its sCDR of 4.0% and its sCPR at
11.5% in cash flow modelling. Fitch applies the standard default
timing curve in its credit stress cash flow analysis. The claim
reject rate is assumed to be 0.25% in the base case and 2.0% in the
'AAA' case based on historical servicer data.
The trailing twelve-month (TTM) levels of deferment, forbearance
and income-based repayment (IBR; prior to adjustment) are 7.9%,
23.3% and 17.4%, respectively, and are used as the starting point
in cash flow modelling. Subsequent declines or increases are
modelled as per criteria. The borrower benefit is assumed to be
approximately 0.03%, based on information provided by the sponsor.
SLM 2008-8: Based on transaction-specific performance to date,
Fitch assumes a cumulative default rate of 22.3% under the base
case scenario and a 66.8% default rate under the 'AAA' credit
stress. Fitch maintained its sCDR at 4.0% its sCPR at 11.0% in cash
flow modelling. Fitch applies the standard default timing curve in
its credit stress cash flow analysis. The claim reject rate is
assumed to be 0.25% in the base case and 2.0% in the 'AAA' case
based on historical servicer data.
The TTM levels of deferment, forbearance and IBR (prior to
adjustment) are 8.1%, 23.2% and 18.7%, respectively, and are used
as the starting point in cash flow modelling. Subsequent declines
or increases are modelled as per criteria. The borrower benefit is
assumed to be approximately 0.02%, based on information provided by
the sponsor.
SLM 2008-9: Based on transaction-specific performance to date,
Fitch assumes a cumulative default rate of 23.3% under the base
case scenario and a 69.8% default rate under the 'AAA' credit
stress. Fitch maintained its sCDR at 4.3% its sCPR at 11.5% in cash
flow modelling. Fitch applies the standard default timing curve in
its credit stress cash flow analysis. The claim reject rate is
assumed to be 0.25% in the base case and 2.0% in the 'AAA' case
based on historical servicer data.
The TTM levels of deferment, forbearance, and IBR (prior to
adjustment) are 8.0%, 23.6% and 16.9%, respectively, and are used
as the starting point in cash flow modelling. Subsequent declines
or increases are modelled as per criteria. The borrower benefit is
assumed to be approximately 0.03%, based on information provided by
the sponsor.
Basis and Interest Rate Risk: Basis risk for the transactions
arises from any rate and reset frequency mismatch between interest
rate indices for Special Allowance Payments (SAP) and the
securities. As of September 2020, approximately 1.4%, 3.5% and 3.1%
of the trust student loans are indexed to T-bill for SLM 2008-5,
2008-8 and 2008-9, respectively, with the remainder indexed to
one-month LIBOR. All notes are indexed to three-month LIBOR. Fitch
applies its standard basis and interest rate stresses to this
transaction as per criteria.
Payment Structure
SLM 2008-5: Credit enhancement (CE) is provided by excess spread,
overcollateralization and, for the Class A notes, subordination. As
of the October 2020 distribution date, total and senior parity
ratio (including the reserve) are 104.10% (3.94% CE) and 135.17%
(26.02% CE), respectively. Liquidity support is provided by a
reserve account sized at its floor of $4,124,895. The transaction
will release excess cash as long as 103.79% total parity (excluding
the reserve) is maintained.
SLM 2008-8: CE is provided by excess spread, overcollateralization
and, for the Class A notes, subordination. As of the October 2020
distribution date, total and senior effective parity ratio
(including the reserve) are 103.50% (3.38% CE) and 133.70% (25.21%
CE), respectively. Liquidity support is provided by a reserve
account sized at its floor of $1,000,088. The transaction will
release excess cash as long as 103.09% total parity (excluding the
reserve) is maintained.
SLM 2008-9: CE is provided by excess spread, overcollateralization
and for the Class A notes, subordination. As of the October 2020
distribution date, total and senior effective parity ratio
(including the reserve) are 104.51% (4.32% CE) and 134.40% (25.59%
CE), respectively. Liquidity support is provided by a reserve
account sized at its floor of $4,175,980. The transaction will
release excess cash as long as 104.17% total parity (excluding the
reserve) is maintained.
Operational Capabilities: Day-to-day servicing is provided by
Navient Solutions, LLC. Fitch believes Navient to be an acceptable
servicer, due to its extensive track record as the largest servicer
of FFELP loans.
Coronavirus Impact: Fitch's baseline (rating) scenario assumes an
initial activity bounce in 3Q20 followed by a slower recovery
trajectory from 4Q20 onward amid high unemployment and further
pullback in private-sector investment. To assess the sustainable
assumptions, Fitch assumed a decline in payment rates and an
increase in defaults to previous recessionary levels for two years
and then a return to recent performance for the remainder of the
life of the transactions. Fitch maintained the sCDR and sCPR
assumptions, reflecting healthy cushions from current performance,
for all three transactions in cash flow modelling.
The risk of negative rating actions will increase under Fitch's
coronavirus downside (sensitivity) scenario, which contemplates a
more severe and prolonged period of stress with a halting recovery
beginning in 2Q21. The results of this sensitivity analysis are
provided in Rating Sensitivities below.
RATING SENSITIVITIES
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. Fitch conducts credit and maturity stress
sensitivity analysis by increasing or decreasing key assumptions by
25% and 50% over the base case. The credit stress sensitivity is
viewed by stressing both the base case default rate and the basis
spread. The maturity stress sensitivity is viewed by stressing
remaining term, IBR usage and prepayments. The results below should
only be considered as one potential outcome, as the transactions
are exposed to multiple dynamic risk factors and should not be used
as an indicator of possible future performance.
For the downside coronavirus sensitivity scenario, Fitch assumed a
50% increase in defaults, IBR and remaining term for the credit and
maturity stresses, respectively. Under this scenario, the
model-implied ratings remain unchanged under Fitch's credit and
maturity stresses.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
SLM 2008-5
Current Ratings: class A 'Bsf'; class B 'Bsf'
Credit Stress Sensitivity
-- Default decrease 25%: class A 'Bsf'; class B 'Bsf;
-- Basis spread decrease 0.25%: class A 'Bsf'; class B 'Bsf'.
Maturity Stress Sensitivity
-- CPR increase 25%: class 'Bsf'; class B 'Bsf';
-- IBR usage decrease 25%: class A 'Bsf'; class B 'Bsf';
-- Remaining term decrease 25%: class A 'Bsf'; class B 'Bsf'.
SLM 2008-8
Current Ratings: class A 'Bsf'; class B 'Bsf'
Credit Stress Sensitivity
-- Default decrease 25%: class A 'Bsf'; class B 'Bsf;
-- Basis spread decrease 0.25%: class A 'Bsf'; class B 'Bsf'.
Maturity Stress Sensitivity
-- CPR increase 25%: class 'Bsf'; class B 'Bsf';
-- IBR usage decrease 25%: class A 'Bsf'; class B 'Bsf';
-- Remaining term decrease 25%: class A 'Bsf'; class B 'Bsf'.
SLM 2008-9
Current Ratings: class A 'Bsf'; class B 'Bsf'
Credit Stress Sensitivity
-- Default decrease 25%: class A 'Bsf'; class B 'Bsf;
-- Basis spread decrease 0.25%: class A 'Bsf'; class B 'Bsf'.
Maturity Stress Sensitivity
-- CPR increase 25%: class 'Bsf'; class B 'Bsf';
-- IBR usage decrease 25%: class A 'Bsf'; class B 'Bsf';
-- Remaining term decrease 25%: class A 'Bsf'; class B 'Bsf'.
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
SLM 2008-5
Credit Stress Sensitivity
-- Default increase 25%: class A 'CCCsf'; class B 'CCCsf';
-- Default increase 50%: class A 'CCCsf'; class B 'CCCsf';
-- Basis spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf';
-- Basis spread increase 0.50%: class A 'CCCsf'; class B 'CCCsf.
Maturity Stress Sensitivity
-- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf';
-- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf';
-- IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf';
-- IBR usage increase 50%: class A 'CCCsf'; class B 'CCCsf';
-- Remaining term increase 25%: class A 'CCCsf'; class B 'CCCsf';
-- Remaining term increase 50%: class A 'CCCsf'; class B 'CCCsf.
SLM 2008-8
Credit Stress Sensitivity
-- Default increase 25%: class A 'CCCsf'; class B 'CCCsf';
-- Default increase 50%: class A 'CCCsf'; class B 'CCCsf';
-- Basis spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf';
-- Basis spread increase 0.50%: class A 'CCCsf'; class B 'CCCsf.
Maturity Stress Sensitivity
-- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf';
-- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf';
-- IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf';
-- IBR usage increase 50%: class A 'CCCsf'; class B 'CCCsf';
-- Remaining term increase 25%: class A 'CCCsf'; class B 'CCCsf';
-- Remaining term increase 50%: class A 'CCCsf'; class B 'CCCsf'.
SLM 2008-9
Credit Stress Sensitivity
-- Default increase 25%: class A 'CCCsf'; class B 'CCCsf';
-- Default increase 50%: class A 'CCCsf'; class B 'CCCsf';
-- Basis spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf';
-- Basis spread increase 0.50%: class A 'CCCsf'; class B 'CCCsf.
Maturity Stress Sensitivity
-- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf';
-- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf';
-- IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf';
-- IBR usage increase 50%: class A 'CCCsf'; class B 'CCCsf';
-- Remaining term increase 25%: class A 'CCCsf'; class B 'CCCsf';
-- Remaining term increase 50%: class A 'CCCsf'; class B 'CCCsf'.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG CONSIDERATIONS
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.
SUTHERLAND COMMERCIAL 2019-SBC8: DBRS Confirms B Rating on G Certs
------------------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2019-SBC8 issued by Sutherland
Commercial Mortgage Trust 2019-SBC8 as follows:
-- Class A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (high) (sf)
-- Class F at BB (sf)
-- Class G at B (sf)
All trends are Stable. DBRS Morningstar also removed the classes
from Under Review with Negative Implications, where they were
placed on June 19, 2020. At that time, there was rising cumulative
delinquency that spiked to 26.0% in May 2020 following the outbreak
of the Coronavirus Disease (COVID-19) pandemic. The Under Review
with Negative Implications status reflected the uncertainty
regarding the coronavirus' potential impact on loan performance and
the resultant effect on future credit support. As of the November
2020 remittance, the delinquency rate had decreased markedly,
leading DBRS Morningstar to remove the Under Review with Negative
Implications status on all classes.
The transaction is composed of individual fixed- and floating-rate
small-balance loans secured by commercial and multifamily
properties with an average loan balance of approximately $234,000.
As of the November 2020 remittance, 988 of the original 1,223 loans
remain in the pool with an aggregate principal balance of $230.9
million, representing a collateral reduction of 24.1% since
issuance. There are currently 104 loans, representing 8.9% of the
current pool balance, that are 30+ days delinquent. DBRS
Morningstar elevated the probability of default levels for these
loans to recognize the increased credit risk to the trust.
The pool had a high concentration of properties in the states of
New York (42.8% of the current pool balance), California (19.1% of
the current pool balance), and Massachusetts (8.4% of the current
pool balance); however, the pool is otherwise geographically
diverse with an average DBRS Morningstar Market Rank of 4.9. By
property type, the pool has concentrations of loans secured by
mixed use (40.6% of the current pool balance), multifamily (29.9%
of the current pool balance), and unanchored retail (16.8% of the
current pool balance) properties. The pool benefits from a high
percentage of well-located properties as well as loans that
initially had low leverage and were fully amortizing; however, DBRS
Morningstar received limited borrower and property-level
information at issuance and considered the property qualities to be
Average (-)/Below Average based on the sampled properties, which
comprised 35.0% of the current pool balance.
The transaction is configured with a modified pro rata pay
pass-through structure.
Notes: All figures are in U.S. dollars unless otherwise noted.
TCI-FLATIRON CLO 2016-1: S&P Rates Class E-R-2 Notes 'BB- (sf)'
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to TCI-Flatiron CLO 2016-1
Ltd./TCI-Flatiron CLO 2016-1 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 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
TCI-Flatiron CLO 2016-1 Ltd./TCI-Flatiron CLO 2016-1 LLC
Class X, $1.00 million: 'AAA (sf)'
Class A-R-2, $256.00 million: 'AAA (sf)'
Class B-R-2, $46.00 million: 'AA (sf)'
Class C-R-2 (deferrable), $22.00 million: 'A (sf)'
Class D-R-2 (deferrable), $24.00 million: 'BBB- (sf)'
Class E-R-2 (deferrable), $16.00 million: 'BB- (sf)'
Subordinated notes, $48.50 million: Not rated
VERUS 2021-R1: S&P Assigns Prelim B (sf) Rating to Class B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Verus
Securitization Trust 2021-R1's mortgage pass-through notes.
The note issuance is an RMBS securitization backed by primarily by
single-family residential properties, planned-unit developments,
condominiums, townhouses, and two- to four-family residential
properties to both prime and nonprime borrowers. The pool has 1,664
loans backed by 1,836 properties, which are primarily non-qualified
mortgage (non-QM/ATR compliant) and ATR-exempt loans.
The preliminary ratings are based on information as of Jan. 12,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The pool's collateral composition;
-- The transaction's credit enhancement;
-- The transaction's associated structural mechanics;
-- The transaction's representation and warranty framework;
-- The mortgage aggregator, Invictus Capital Partners; 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.
As vaccine rollouts in several countries continue, S&P Global
Ratings believes there remains a high degree of uncertainty about
the evolution of the coronavirus pandemic and its economic effects.
Widespread immunization, which certain countries might achieve by
midyear, will help pave the way for a return to more normal levels
of social and economic activity.
S&P said, "We use this assumption about vaccine timing 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(i)
Verus Securitization Trust 2021-R1
Class A-1, $465,606,000: AAA (sf)
Class A-2, $38,456,000: AA (sf)
Class A-3, $58,479,000: A (sf)
Class M-1, $31,464,000: BBB (sf)
Class B-1, $18,752,000: BB (sf)
Class B-2, $13,348,000: B (sf)
Class B-3, $9,535,008: NR
Class A-IO-S, Notional(ii): NR
Class XS, Notional(ii): NR
Class P, $100: NR
Class R, N/A: NR
Class DA, N/A: NR
(i)The collateral and structural information reflect the term sheet
dated Jan. 7, 2021, and the preliminary ratings address the
ultimate payment of interest and principal.
(ii)The notional amount equals the loans' stated principal balance.
N/A--Not applicable.
NR--Not rated.
WELLS FARGO 2016-NXS5: Fitch Cuts Rating on Class G Certs to 'CCC'
------------------------------------------------------------------
Fitch Ratings has downgraded four classes, revised the Ratings
Outlook to Negative from Stable on one class and affirmed 15
classes of Wells Fargo Commercial Mortgage Trust Pass-Through
Certificates, series 2016-NXS5 (WFCM 2016-NXS5).
DEBT RATING PRIOR
---- ------ -----
WFCM 2016-NXS5
A-2 95000CAX1 LT AAAsf Affirmed AAAsf
A-3 95000CAY9 LT AAAsf Affirmed AAAsf
A-4 95000CAZ6 LT AAAsf Affirmed AAAsf
A-5 95000CBA0 LT AAAsf Affirmed AAAsf
A-6 95000CBB8 LT AAAsf Affirmed AAAsf
A-6FL 95000CBK8 LT AAAsf Affirmed AAAsf
A-6FX 95000CBM4 LT AAAsf Affirmed AAAsf
A-S 95000CBD4 LT AAAsf Affirmed AAAsf
A-SB 95000CBC6 LT AAAsf Affirmed AAAsf
B 95000CBG7 LT AA-sf Affirmed AA-sf
C 95000CBH5 LT A-sf Affirmed A-sf
D 95000CBJ1 LT BBBsf Affirmed BBBsf
E 95000CAJ2 LT BBB-sf Affirmed BBB-sf
F 95000CAL7 LT B-sf Downgrade BB-sf
G 95000CAN3 LT CCCsf Downgrade B-sf
X-A 95000CBE2 LT AAAsf Affirmed AAAsf
X-B 95000CBF9 LT AA-sf Affirmed AA-sf
X-F 95000CAC7 LT B-sf Downgrade BB-sf
X-G 95000CAE3 LT CCCsf Downgrade B-sf
KEY RATING DRIVERS
Increased Loss Expectations/Specially Serviced Loans - FLOCs: Loss
expectations have increased primarily due to the increasing number
of Fitch Loans of Concern, including specially serviced loans, and
increased loss expectations associated with the specially serviced
loans. Seven loans (9.5% of the pool) are in special servicing. In
total eleven loans (19%) are considered FLOCs, of which two loans,
4400 Jenifer Street (3.7% the pool) and Chase Corporate Center
(3.2% of the pool), are within the top 15.
Fitch's ratings are based on base case loss expectations of 8.20%.
The Negative Outlooks reflect additional stresses on loans expected
to be negatively impacted by the coronavirus pandemic, which
assumes that losses could reach 9.00%.
As of the December 2020 remittance, seven loans (9.5% of the pool)
are specially serviced, the majority of which are now foreclosed or
real estate owned (REO). The largest specially serviced loan, The
Shoppes at Zion (3.0% of the pool), is secured by a 118,956 square
foot (sf) retail center located in St. George, UT. The loan
transferred to the special servicer in May 2020 at the borrower's
request due to hardships caused by the ongoing coronavirus
pandemic. Since transferring to special servicing, the loan has
fallen between 60 and 90 days delinquent.
While the reported occupancy remains at 100% per the rent roll
dated December 2019, the rent roll includes Dress Barn as the top
tenant, which announced in May 2019 they would close all locations.
Recent media reports indicate that this location is permanently
closed. Excluding Dress Barn, occupancy would decline to 92%. Per
the special servicer, the borrower remains in communication and the
special servicer is continuing to monitor the appropriate next
steps. Fitch's analysis includes a 30% stress to the YE 2019 net
operating income (NOI) to reflect the expected declines in
performance due to the coronavirus pandemic and upcoming rollover.
The second largest specially serviced loan, 1006 Madison Avenue
(2.3% of the pool), is secured by a 3,917 sf retail property
located within Manhattan's Upper East Side on Madison Avenue
between 77th and 78th Streets. The loan transferred to special
servicing in October 2018 due to imminent default after the
property's single tenant, Roland Mouret, a French boutique
designer, vacated ahead of lease expiration. Per the special
servicer, the tenant was not required to pay a lease termination
fee.
Loss expectations for the loan have significantly increased from
prior reviews after an updated appraisal indicated a 68% value
decline from the issuance appraisal and 43% decline from the prior
value dated in 2019. A foreclosure action was filed in May 2019 and
a UCC sale was scheduled, but has been rescheduled for 2021 due to
the ongoing foreclosure restrictions in New York. Fitch's loss
expectations of 65% are based on an updated valuation provided by
the special servicer.
The third largest specially serviced loan, Shilo Inn Ocean Shores &
Nampa (1.2% of the pool), which is secured by a portfolio of two
cross-collateralized and cross-defaulted hotel properties: a
113-room hotel located in Ocean Shores, WA and an 84-room hotel
located in Nampa, ID. The loan transferred to special servicing in
December 2018 for payment default. Per the special servicer, the
borrower requested a six month forbearance relief period, which was
executed in February 2020 and expired in July 2020; the loan
remains in payment default.
Updated appraisals dated October 2020 for the combined properties
indicated a 13% decline since the issuance appraisal. The special
servicer is tracking the foreclosure process; however, the borrower
has subsequently filed for bankruptcy just prior to the foreclosure
proceedings. Fitch's loss expectations of 43% are based on discount
to an updated valuation provided by the special servicer given the
borrower's failure to pay the loan since January 2020.
The remaining specially serviced loans each represent less than 1%
of the pool and are secured by three limited service hotels located
in Allen, TX, York, PA and Warrentown, OR, and a mixed-used
portfolio secured by two multifamily properties and one retail
property located in Jackson, MS.
The largest non-specially serviced FLOC, 4400 Jenifer Street (3.5%
of the pool), is secured by an 83,777 sf office property located in
Washington, D.C. Occupancy as of September 2020 has declined to
78.5% from 86.0% at year-end (YE) 2019 and YE 2018. The declines in
occupancy are primarily related to the departure of Sundance
Getaways (previously 8.8% of the NRA), which vacated upon lease
expiration in June 2018 as well as the downsizing of the second
largest tenant, Long & Foster, which gave back approximately 7.6%
of the NRA in 2019. Additionally, approximately 20% of the net
rentable are (NRA) has lease expirations between 2020 and 2021,
which includes the second largest tenant, Long & Foster (13.6% of
the NRA; 9/2021). Fitch has requested a leasing update from the
master servicer but has not received an update.
The most recent servicer reported NOI debt service coverage ratio
(DSCR) as of June 2020 declined to 1.18x from 1.63x at YE 2019 and
1.65x at YE 2018. The declines in performance are primarily related
to the declines in income, namely expense reimbursement and parking
income. Fitch requested an update from the master servicer but has
not received a response. Fitch analysis includes a 20% stress to
the YE 2019 NOI to reflect significant upcoming lease rollover and
declining performance.
The second largest non-specially serviced FLOC, Chase Corporate
Center (3.2% of the pool), is secured by a 211,257 sf office
building located in Birmingham, AL. While the property continues to
exhibit stable performance, approximately 50% of the NRA has lease
expirations between 2020 and 2021, including the top tenant Cigna
(33.8% of the NRA; 9/2021). Per the master servicer, Cigna has
renewed the lease through 2026; however, the property has exposure
to co-working tenant, Regus (10.9% of the NRA), as the second
largest tenant.
While Cigna has renewed its lease, Fitch remains concerned about
co-working tenants. Fitch applied a 30% stress to YE 2019 NOI to
reflect the exposure to co-working tenants and rents above the
submarket.
The remaining non-specially serviced FLOCs are all on the master
servicer's watchlist for declining performance. Fitch will continue
to monitor the loans for further updates.
Increased Credit Enhancement: Since Fitch's last rating action,
three loans (previously 4.8% of the pool) paid off in full reducing
the class A-1 certificates to zero and the class A-2 certificates
by $28.6 million. Two loans (2.2% of the pool) are defeased. As of
the December 2020 remittance, the pool's aggregate balance has been
reduced by 17.0% to $726.6 million from $875.1 million at issuance.
Based on the scheduled balance at maturity, the initial pool
balance would have paid down by 11.2% prior to maturity.
Five loans (20% of the pool) have interest-only payments for the
full loan term. Seventeen loans (37.7% of the pool) have partial
interest only payments, of which eleven loans (20.8% of the pool)
are now amortizing. The remaining partial interest only loans are
expected to commence amortizing in 2021.
Coronavirus Exposure: Significant economic impact to certain
hotels, retail and multifamily properties is expected from the
coronavirus pandemic, due to the recent and sudden reductions in
travel and tourism, temporary property closures and lack of clarity
on the potential length of the impact. The pandemic has prompted
the closure of several hotel properties in gateway cities as well
as malls, entertainment venues and individual stores.
Fifteen loans (16.9% of the pool) are secured by hotel loans.
Twelve loans (29.8% of the pool) are secured by retail properties.
Fitch applied additional stresses to eleven hotel and six retail
loans to account for potential cash flow disruptions due to the
coronavirus pandemic. This sensitivity analysis contributed to the
downgrades of classes F, G, X-F and X-G and the Negative Outlooks
on classes E, F and X-F.
Additional Loss Considerations: In addition to modeling a base case
loss, Fitch applied an additional sensitivity analysis, which
included the paydown of defeased collateral; this sensitivity
analysis contributed to the Negative Outlooks on classes E, F and
X-F.
RATING SENSITIVITIES
The downgrades of classes F, G, X-F and X-G and negative outlooks
on classes E, F and X-F reflect increased loss expectations on the
specially serviced loans and FLOCs, which are primarily secured by
hotel and retail properties, given the decline in travel and
commerce as a result of the coronavirus pandemic.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Factors that could lead to upgrades would include:
-- Stable to improved asset performance, coupled with additional
paydown and/or defeasance.
-- Upgrades to the 'A-sf' and 'AA-sf' rated classes are not
expected but would likely occur with significant improvement
in CE and/or defeasance in addition to the stabilization of
properties impacted from the coronavirus pandemic.
-- An upgrade to the 'Bs-f' and below rated classes is not likely
unless the performance of the remaining pool stabilizes and
the senior classes pay off.
-- The Negative Outlooks on classes E, F and X-F may be revised
back to Stable should the performance of the specially
serviced loans and/or FLOCs improve, property valuations
improve and recoveries are better than expected, or workout
plans of the specially serviced loans and/or properties
impacted by the coronavirus stabilize once the pandemic is
over.
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- Downgrades to the senior classes, rated 'AAAsf' through 'A
sf', are not likely given the high credit enhancement and
continued amortization but are possible if a significant
proportion of the pool defaults.
-- Downgrades to the classes rated 'B-sf' and below would occur
if the performance of the FLOCs and/or specially serviced
loans continues to decline or fails to stabilize.
-- Additionally, further Outlook revisions and downgrades to
classes E, F and X-F could occur.
In addition to its baseline scenario, Fitch also envisions a
downside scenario where the health crisis is prolonged beyond 2021.
Should this scenario play out, downgrades to the senior classes
could occur and classes with Negative Outlooks could be downgraded
one or more categories.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
No third-party due diligence was provided or reviewed by Fitch in
relation to this rating.
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.
[*] Fitch Takes Various Actions on Distressed Bonds in 4 CMBS Deals
-------------------------------------------------------------------
Fitch Ratings, on Jan. 8, 2021, took various actions on already
distressed bonds in four U.S. CMBS transactions.
DEBT RATING PRIOR
---- ------ -----
Morgan Stanley Capital I Trust 2005-TOP19
L 61745M5W9 LT Dsf Affirmed Dsf
L 61745M5W9 LT WDsf Withdrawn Dsf
M 61745M5X7 LT Dsf Affirmed Dsf
M 61745M5X7 LT WDsf Withdrawn Dsf
N 61745M5Y5 LT Dsf Affirmed Dsf
N 61745M5Y5 LT WDsf Withdrawn Dsf
O 61745M5Z2 LT Dsf Affirmed Dsf
O 61745M5Z2 LT WDsf Withdrawn Dsf
J. P. Morgan Chase Commercial Mortgage Securities Corp. 2004-C3
J 46625YFL2 LT Dsf Affirmed Dsf
J 46625YFL2 LT WDsf Withdrawn Dsf
K 46625YFM0 LT Dsf Affirmed Dsf
K 46625YFM0 LT WDsf Withdrawn Dsf
L 46625YFN8 LT Dsf Affirmed Dsf
L 46625YFN8 LT WDsf Withdrawn Dsf
M 46625YFP3 LT Dsf Affirmed Dsf
M 46625YFP3 LT WDsf Withdrawn Dsf
N 46625YFQ1 LT Dsf Affirmed Dsf
N 46625YFQ1 LT WDsf Withdrawn Dsf
P 46625YFR9 LT Dsf Affirmed Dsf
P 46625YFR9 LT WDsf Withdrawn Dsf
Q 46625YFS7 LT Dsf Affirmed Dsf
Q 46625YFS7 LT WDsf Withdrawn Dsf
Cobalt CMBS Commercial Mortgage Trust 2007-C2
D 19075CAL7 LT Dsf Affirmed Dsf
D 19075CAL7 LT WDsf Withdrawn Dsf
E 19075CAM5 LT Dsf Affirmed Dsf
E 19075CAM5 LT WDsf Withdrawn Dsf
F 19075CAN3 LT Dsf Affirmed Dsf
F 19075CAN3 LT WDsf Withdrawn Dsf
G 19075CAS2 LT Dsf Affirmed Dsf
G 19075CAS2 LT WDsf Withdrawn Dsf
H 19075CAT0 LT Dsf Affirmed Dsf
H 19075CAT0 LT WDsf Withdrawn Dsf
J 19075CAU7 LT Dsf Affirmed Dsf
J 19075CAU7 LT WDsf Withdrawn Dsf
K 19075CAV5 LT Dsf Affirmed Dsf
K 19075CAV5 LT WDsf Withdrawn Dsf
L 19075CAW3 LT Dsf Affirmed Dsf
L 19075CAW3 LT WDsf Withdrawn Dsf
M 19075CAX1 LT Dsf Affirmed Dsf
M 19075CAX1 LT WDsf Withdrawn Dsf
N 19075CAY9 LT Dsf Affirmed Dsf
N 19075CAY9 LT WDsf Withdrawn Dsf
O 19075CAZ6 LT Dsf Affirmed Dsf
O 19075CAZ6 LT WDsf Withdrawn Dsf
P 19075CBA0 LT Dsf Affirmed Dsf
P 19075CBA0 LT WDsf Withdrawn Dsf
Q 19075CBB8 LT Dsf Affirmed Dsf
Q 19075CBB8 LT WDsf Withdrawn Dsf
Morgan Stanley Capital I Trust 2006-HQ9
F 61750CAN7 LT Dsf Affirmed Dsf
F 61750CAN7 LT WDsf Withdrawn Dsf
G 61750CAS6 LT Dsf Affirmed Dsf
G 61750CAS6 LT WDsf Withdrawn Dsf
H 61750CAT4 LT Dsf Affirmed Dsf
H 61750CAT4 LT WDsf Withdrawn Dsf
J 61750CAU1 LT Dsf Affirmed Dsf
J 61750CAU1 LT WDsf Withdrawn Dsf
K 61750CAV9 LT Dsf Affirmed Dsf
K 61750CAV9 LT WDsf Withdrawn Dsf
L 61750CAW7 LT Dsf Affirmed Dsf
L 61750CAW7 LT WDsf Withdrawn Dsf
M 61750CAX5 LT Dsf Affirmed Dsf
M 61750CAX5 LT WDsf Withdrawn Dsf
N 61750CAY3 LT Dsf Affirmed Dsf
N 61750CAY3 LT WDsf Withdrawn Dsf
O 61750CAZ0 LT Dsf Affirmed Dsf
O 61750CAZ0 LT WDsf Withdrawn Dsf
P 61750CBA4 LT Dsf Affirmed Dsf
P 61750CBA4 LT WDsf Withdrawn Dsf
Q 61750CBB2 LT Dsf Affirmed Dsf
Q 61750CBB2 LT WDsf Withdrawn Dsf
Seven bonds of J.P. Morgan Chase Commercial Mortgage Securities
Corp. 2004-C3 and four bonds of Morgan Stanley Capital I Trust
2005-TOP19 are being affirmed at 'Dsf' as a result of previously
incurred losses. Fitch has subsequently withdrawn the ratings on
all 11 bonds in both transactions. There is no remaining collateral
in the deals. The respective trust balances have been reduced to
zero.
Additionally, 13 bonds of Cobalt CMBS Commercial Mortgage Trust
2007-C2 and 11 bonds of Morgan Stanley Capital I Trust 2006-HQ9 are
affirmed at 'Dsf' as a result of previously incurred losses. Fitch
has subsequently withdrawn the ratings on these bonds as well. Both
transactions have only 'Dsf' rated bonds remaining. As a result,
the transactions are no longer considered relevant to Fitch's
coverage.
KEY RATING DRIVERS
The above affirmations and withdrawals are the only rating actions
addressed in this review.
RATING SENSITIVITIES
Today's actions are limited to the bonds that have incurred losses.
Any remaining bonds in the transactions have not been analyzed as
part of this review. No further rating changes are expected as
these bonds have incurred principal realized losses. While the
bonds that have defaulted are not expected to recover any material
amount of lost principal in the future, there is a limited
possibility this may happen. In this unlikely scenario, Fitch would
further review the affected classes.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG CONSIDERATIONS
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.
*********
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