/raid1/www/Hosts/bankrupt/TCR_Public/210905.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, September 5, 2021, Vol. 25, No. 247
Headlines
AIMCO CLO 15: S&P Assigns BB- (sf) Rating on $16MM Class E Notes
ANCHORAGE CREDIT 5: Moody's Ups Rating on $20MM Cl. E Notes to Ba1
ANGEL OAK 2021-5: Fitch Assigns B(EXP) Rating on Class B-2 Debt
BANK 2019-BNK21: Fitch Affirms B- Rating on 2 Tranches
BRAVO RESIDENTIAL 2021-NQM2: DBRS Finalizes B Rating on B-2 Notes
CEDAR FUNDING VIII: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
CIFC FUNDING 2019-III: Moody's Assigns Ba3 Rating to Cl. D-R Notes
CITIGROUP COMMERCIAL 2019-PRM: DBRS Confirms B Rating on F Certs
CSAIL TRUST 2017-CX10: Fitch Affirms B- Rating on Class F Certs
CSMC 2021-INV1: S&P Assigns B (sf) Rating on Class B-5 Notes
DRYDEN 95 CLO: Moody's Assigns (P)Ba3 Rating to Class E Notes
FLAGSHIP CREDIT 2021-3: DBRS Finalizes BB Rating on Class E Notes
GCAT 2021-NQM4: S&P Assigns B (sf) Rating on Class B-2 Certs
GOLUB CAPITAL 55(B): S&P Assigns Prelim BB- (sf) Rating on E Notes
GS MORTGAGE 2012-GCJ9: Fitch Lowers Class F Debt to 'B-'
GS MORTGAGE 2018-LUAU: DBRS Confirms B(low) Rating on F Certs
GS MORTGAGE 2021-RPL2: DBRS Assigns B Rating on Class B-2 Notes
HILDENE TRUPS 2020-3: Moody's Assigns Ba2 Rating to Cl. C-R Notes
IMPERIAL FUND 2021-NQM2: DBRS Gives Prov. B Rating on B-2 Certs
JAMESTOWN CLO IX: S&P Assigns BB- (sf) Rating on Class D-RR Notes
JP MORGAN 2021-11: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs
JP MORGAN 2021-INV4: S&P Assigns B- (sf) Rating on Class B-5 Certs
JP MORGAN 2021-INV4: S&P Assigns Prelim 'B-' Rating on B-5 Certs
KREF 2021-FL2: DBRS Finalizes B(low) Rating on 3 Classes
M360 2019-CRE2: DBRS Confirms B(low) Rating on Class G Notes
MADISON PARK XLVI: S&P Withdraws 'BB-' (sf) Rating on Class E Notes
MFA 2021-NQM2: DBRS Finalizes B Rating on Class B-2 Certs
MORGAN STANLEY 2013-C13: Fitch Affirms B- Rating on Class G Certs
MORGAN STANLEY 2021-5: Fitch Assigns Final B Rating on B-5 Tranche
NEW MOUNTAIN 3: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
OCP CLO 2020-19: S&P Assigns BB- (sf) Rating on Class E-R Notes
PARK AVENUE 2021-2: Moody's Assigns Ba3 Rating to $22MM E Notes
READY CAPITAL 2021-FL6: DBRS Finalizes B(low) Rating on G Notes
REGATTA XX FUNDING: Moody's Assigns (P)Ba3 Rating to $24MM E Notes
RR 18: S&P Assigns Prelim BB- (sf) Rating on $30MM Class D Notes
SIGNAL PEAK 9: Moody's Assigns Ba3 Rating to $24.5MM Class E Notes
SOUND POINT XXXI: Moody's Gives (P)Ba3 Rating to $24.75MM E Notes
TOWD POINT 2021-SL1: DBRS Finalizes B Rating on Class F Notes
VELOCITY COMMERCIAL 2021-2: DBRS Finalizes B Rating on 3 Classes
VIBRANT CLO XIV: Moody's Assigns (P)Ba3 Rating to $18MM D Notes
VIBRANT CLO XIV: Moody's Assigns Ba3 Rating to $18MM Class D Notes
VOYA CLO 2012-4: S&P Assigns 'BB+ (sf)' Rating on C-2-R-R Notes
WELLFLEET CLO 2020-2: S&P Assigns BB- (sf) Rating on Cl. E-R Notes
WELLS FARGO 2017-C41: Fitch Lowers G-RR Certs to 'CCC'
WFRBS TRUST 2014-C19: Fitch Lowers Class F Certs to 'CC'
WHITEBOX CLO I: S&P Assigns BB- (sf) Rating on Class D-R Notes
[*] DBRS Confirms 16 Ratings from 4 Lendmark Funding Transactions
[*] S&P Takes Various Actions on 44 Classes from Seven US RMBS Deal
[*] S&P Takes Various Actions on 98 Classes from 27 US RMBS Deals
*********
AIMCO CLO 15: S&P Assigns BB- (sf) Rating on $16MM Class E Notes
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S&P Global Ratings assigned its ratings to AIMCO CLO 15 Ltd./AIMCO
CLO 15 LLC's floating-rate notes.
The note issuance is a CLO securitization governed by investment
criteria and primarily backed by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Allstate Investment Management Co.
The ratings reflect:
-- The diversification of the collateral pool;
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;
-- The experience of the collateral management team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
AIMCO CLO 15 Ltd./AIMCO CLO 15 LLC
Class A, $248.00 million: AAA (sf)
Class B, $56.00 million: AA (sf)
Class C (deferrable), $24.00 million: A (sf)
Class D (deferrable), $24.00 million: BBB- (sf)
Class E (deferrable), $16.00 million: BB- (sf)
Subordinated notes, $42.00 million: Not rated
ANCHORAGE CREDIT 5: Moody's Ups Rating on $20MM Cl. E Notes to Ba1
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Moody's Investors Service has assigned ratings to three classes of
CLO refinancing notes issued by Anchorage Credit Funding 5, Ltd.
(the "Issuer").
Moody's rating action is as follows:
US$63,000,000 Class B-R2 Senior Secured Fixed Rate Notes due 2036
(the "Class B-R2 Notes"), Assigned Aa1 (sf)
US$27,500,000 Class C-R2 Mezzanine Secured Deferrable Fixed Rate
Notes due 2036 (the "Class C-R2 Notes"), Assigned A1 (sf)
US$25,000,000 Class D-R2 Mezzanine Secured Deferrable Fixed Rate
Notes due 2036 (the "Class D-R2 Notes"), Assigned Baa1 (sf)
Additionally, Moody's has taken rating action on the following
outstanding notes originally issued by the Issuer on March 6, 2018
(the "Original Closing Date"):
US$20,000,000 Class E Junior Secured Deferrable Fixed Rate Notes
due 2036 (the "Class E Notes"), Upgraded to Ba1 (sf); previously on
March 6, 2018 Assigned Ba3 (sf)
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks particularly those associated with the
CLO's portfolio and structure.
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.
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 remaining
reinvestment period.
The Issuer previously issued two other classes of secured notes and
one class of subordinated notes, which will remain outstanding.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the non-call period
and updating the definition of restricted trading period.
Moody's rating actions on the Class E Notes is primarily a result
of the refinancing, which increases excess spread available as
credit enhancement to the rated notes. Additionally, the notes
benefited from a shortening of the weighted average life (WAL).
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in 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:
Performing par and principal proceeds balance: $496,451,939
Defaulted par: $9,286,606
Diversity Score: 62
Weighted Average Rating Factor (WARF): 3312
Weighted Average Coupon (WAC): 5.54%
Weighted Average Recovery Rate (WARR): 37.25%
Weighted Average Life (WAL): 7.75 years
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge from Moody's
base case.
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 Downgrade of the Ratings:
The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.
ANGEL OAK 2021-5: Fitch Assigns B(EXP) Rating on Class B-2 Debt
---------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Angel Oak Mortgage
Trust 2021-5 (AOMT 2021-5).
DEBT RATING
---- ------
AOMT 2021-5
A-1 LT AAA(EXP)sf Expected Rating
A-2 LT AA(EXP)sf Expected Rating
A-3 LT A(EXP)sf Expected Rating
M-1 LT BBB-(EXP)sf Expected Rating
B-1 LT BB(EXP)sf Expected Rating
B-2 LT B(EXP)sf Expected Rating
B-3 LT NR(EXP)sf Expected Rating
A-IO-S LT NR(EXP)sf Expected Rating
XS LT NR(EXP)sf Expected Rating
TRANSACTION SUMMARY
Fitch Ratings expects to rate the residential mortgage-backed
certificates to be issued by Angel Oak Mortgage Trust 2021-5,
Mortgage-Backed Certificates, Series 2021-5 (AOMT 2021-5) as
indicated above. The certificates are supported by 982 loans with a
balance of $389.62 million as of the cutoff date. This will be the
17th Fitch-rated AOMT transaction.
The certificates are secure by mortgage loans that were originated
by Angel Oak Home Loans LLC, Angel Oak Mortgage Solutions LLC,
Angel Oak Prime Bridge LLC (referred to as Angel Oak originators),
78.9% are designated as nonqualified mortgage (Non-QM), and 21.1%
are investment properties not subject to the Ability to Repay (ATR)
Rule. No loans are designated as QM in the pool.
There is LIBOR exposure in this transaction. Of the pool, 274 loans
(27.9% by loan count) comprises adjustable-rate mortgage (ARMs)
loans that reference one-year LIBOR. The offered certificates are
fixed rate and capped at the net weighted average coupon (WAC).
KEY RATING DRIVERS
Non-QM Credit Quality (Mixed): The collateral consists of 982
loans, totaling $390 million, and seasoned approximately 13 months
in aggregate. The borrowers have a strong credit profile (729 FICO
and 36% DTI as determined by Fitch) and relatively high leverage
with an original CLTV of 73.5% that translates to a Fitch
calculated sLTV of 89.5%. Of the pool, 72.5% consists of loans
where the borrower maintains a primary residence, while 27.5%
comprises an investor property or second home based on Fitch's
analysis; 11.7% of the loans were originated through a retail
channel. Additionally, 78.9% are designated as Non-QM, while the
remaining 21.1% are exempt from QM since they are investor loans.
The pool contains 70 loans over $1 million, with the largest $3.1
million.
21.1% comprises loans on investor properties (7.2% underwritten to
the borrowers' credit profile and 13.9% comprising investor cash
flow loans). Of the borrowers, 0.1% have subordinate financing in
Fitch's analysis since Fitch included the deferred amounts as a
junior lien amount; there are three second lien loans, and Fitch
views 3.6% of borrowers as having a prior credit event in the past
seven years.
Two of the loans in the pool had a deferred balance that totaled
$13,259. These deferred balances were treated as a junior lien
amount in Fitch's analysis which resulted in an increased CLTV.
There are 14 foreign nationals/non-permanent residents in the pool.
Fitch treated these borrowers as investor occupied, coded as ASF1
(no documentation) for employment and income documentation, and
removed the liquid reserves.
The largest concentration of loans is in Florida (31.4%), followed
by California and Georgia. The largest MSA is Miami MSA (14.6%)
followed by Los Angeles MSA (10%) and Atlanta MSA (7.6%). The top
three MSAs account for 32.2% of the pool. As a result, there was no
adjustment for geographic concentration.
Although the credit quality of the borrowers is higher than prior
AOMT transactions, the pool characteristics resemble non-prime
collateral, and therefore, the pool was analyzed using Fitch's
non-prime model.
Loan Documentation (Negative): Fitch determined that 79.4% of the
pool was underwritten to borrowers with less than full
documentation. Of this amount, 64.1% was underwritten to a 12- or
24-month bank statement program for verifying income, which is not
consistent with Appendix Q standards and Fitch's view of a full
documentation program. To reflect the additional risk, Fitch
increases the PD by 1.5x on the bank statement loans. Besides loans
underwritten to a bank statement program, 0.8% is an asset
depletion product, and 13.9% is a DSCR product. The pool does not
have any loans underwritten to a CPA or PnL product, which Fitch
viewed as a positive.
Two loans to foreign nationals/non-permanent residents were
underwritten to a bank statement program and twelve loans to
foreign nationals/non-permanent residents were underwritten to full
documentation, however in Fitch's analysis these loans were treated
as no documentation loans.
Limited Advancing (Mixed): The deal is structured to six months of
servicer advances for delinquent principal and interest. The
limited advancing reduces loss severities as a lower amount is
repaid to the servicer when a loan liquidates and liquidation
proceeds are prioritized to cover principal repayment over accrued
but unpaid interest. The downside is the additional stress on the
structure as there is limited liquidity in the event of large and
extended delinquencies.
Modified Sequential Payment Structure (Neutral): The structure
distributes collected principal pro rata among the class A notes
while excluding the subordinate bonds from principal until all
three classes are reduced to zero. To the extent that either a
cumulative loss trigger event or delinquency trigger event occurs
in a given period, principal will be distributed sequentially to
the class A-1, A-2 and A-3 bonds until they are reduced to zero.
Macro or Sector Risks (Positive): Consistent with the Additional
Scenario Analysis section of Fitch's "U.S. RMBS Coronavirus-Related
Analytical Assumptions" criteria, Fitch will consider applying
additional scenario analysis based on stressed assumptions as
described in the section to remain consistent with significant
revisions to Fitch's macroeconomic baseline scenario or if actual
performance data indicate the current assumptions require
reconsideration.
In response to revisions made to Fitch's macroeconomic baseline
scenario, observed actual performance data, and the unexpected
development in the health crisis arising from the advancement and
availability of coronavirus vaccines, Fitch reconsidered the
application of the coronavirus-related ERF floors of 2.0 and used
ERF floors of 1.5 and 1.0 for the 'BBsf' and 'Bsf' rating stresses,
respectively. Fitch's "Global Economic Outlook - June 2021" and
related base-line economic scenario forecasts have been revised to
6.8% U.S. GDP growth for 2021 and 3.9% for 2022 following a 3.5%
GDP decline in 2020.
Additionally, Fitch's U.S. unemployment forecasts for 2021 and 2022
are 5.6% and 4.5%, respectively, which is down from 8.1% in 2020.
These revised forecasts support Fitch reverting to the 1.5 and 1.0
ERF floors described in Fitch's "U.S. RMBS Loan Loss Model
Criteria."
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- Fitch incorporates a sensitivity analysis to demonstrate how
the ratings would react to steeper market value declines
(MVDs) than assumed at the MSA level. Sensitivity analyses was
conducted at the state and national levels to assess the
effect of higher MVDs for the subject pool as well as lower
MVDs, illustrated by a gain in home prices.
-- This defined negative rating sensitivity analysis demonstrates
how the ratings would react to steeper MVDs at the national
level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
addition to the model-projected 43.4% at 'AAA'. The analysis
indicates that there is some potential rating migration with
higher MVDs for all rated classes compared with the model
projection. Specifically, a 10% additional decline in home
prices would lower all rated classes by one full category.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Fitch incorporates a sensitivity analysis to demonstrate how
the ratings would react to steeper market value declines
(MVDs) than assumed at the MSA level. Sensitivity analyses was
conducted at the state and national levels to assess the
effect of higher MVDs for the subject pool as well as lower
MVDs, illustrated by a gain in home prices.
-- This defined positive rating sensitivity analysis demonstrates
how the ratings would react to positive home price growth of
10% with no assumed overvaluation. Excluding the senior class,
which is already rated 'AAAsf', the analysis indicates there
is potential positive rating migration for all of the rated
classes. Specifically, a 10% gain in home prices would result
in a full category upgrade for the rated class excluding those
being assigned ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up- and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
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) as
prepared by AMC, Clayton, Infinity and Consolidated Analytics. The
third-party due diligence described in Form 15E focused on three
areas: compliance review, credit review, and valuation review.
Fitch considered this information in its analysis and, as a result,
Fitch did not make any adjustment(s) to its analysis due to the due
diligence findings. Based on the results of the 100% due diligence
performed on the pool, the overall expected loss was reduced by
0.48%.
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." The sponsor,
Angel Oak Mortgage Fund EU, LLC, engaged American Mortgage
Consultants, Inc., Clayton Services, Consolidated Analytics, Inc.
and Infinity IPS to perform the review. Loans reviewed under these
engagements 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 liquid reserves or FICO above
guideline requirements or LTV or DTI lower than guideline
requirement. 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
AOMT 2021-5 has an ESG Relevance Score of '4+' for Transaction
Parties & Operational Risk due to strong transaction due diligence
and a 'RPS1-' Fitch-rated servicer, which resulted in a reduction
in expected losses, and is relevant to the rating in conjunction
with other factors.
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.
BANK 2019-BNK21: Fitch Affirms B- Rating on 2 Tranches
------------------------------------------------------
Fitch Ratings has affirmed 18 classes of BANK 2019-BNK21 commercial
mortgage pass-through certificates, series 2019-BNK21.
DEBT RATING PRIOR
---- ------ -----
BANK 2019-BNK21
A-1 06540BAY5 LT AAAsf Affirmed AAAsf
A-2 06540BAZ2 LT AAAsf Affirmed AAAsf
A-3 06540BBB4 LT AAAsf Affirmed AAAsf
A-4 06540BBC2 LT AAAsf Affirmed AAAsf
A-5 06540BBD0 LT AAAsf Affirmed AAAsf
A-S 06540BBG3 LT AAAsf Affirmed AAAsf
A-SB 06540BBA6 LT AAAsf Affirmed AAAsf
B 06540BBH1 LT AA-sf Affirmed AA-sf
C 06540BBJ7 LT A-sf Affirmed A-sf
D 06540BAJ8 LT BBBsf Affirmed BBBsf
E 06540BAL3 LT BBB-sf Affirmed BBB-sf
F 06540BAN9 LT BB-sf Affirmed BB-sf
G 06540BAQ2 LT B-sf Affirmed B-sf
X-A 06540BBE8 LT AAAsf Affirmed AAAsf
X-B 06540BBF5 LT A-sf Affirmed A-sf
X-D 06540BAA7 LT BBB-sf Affirmed BBB-sf
X-F 06540BAC3 LT BB-sf Affirmed BB-sf
X-G 06540BAE9 LT B-sf Affirmed B-sf
KEY RATING DRIVERS
Generally Stable Performance and Loss Expectations: While losses
have increased slightly since issuance, the overall majority of the
pool continues to perform as expected. Thirteen loans (19.7% of the
pool) are considered Fitch Loans of Concern (FLOCs), including one
specially serviced loan (0.7%). Four (10%) out of the top-15 loans
have been identified as FLOCs.
Fitch's current ratings incorporate a base case loss of 4.0%.
Additional stresses were applied on loans expected to be affected
by the coronavirus, which resulted in a deal expected loss of 4.1%.
However, the additional stresses did not affect the ratings or
Outlooks.
The Stable Rating Outlooks on all classes reflect overall stable
pool performance and sufficient credit enhancement and expected
continued amortization.
Fitch Loans of Concern: The largest FLOC is the Embassy Suites
Hotel (3.4% of the pool), which is secured by a 186-key
full-service hotel located in Wilmington, NC. Performance has been
severely impacted as a result of the pandemic. The YE 2020 NOI
reflects an approximately 80% decline from the issuers underwriting
driven by declining revenue. NOI DSCR fell to 0.75x as of YE 2020
from 2.39x at issuance.
Occupancy reported at 50% as of TTM March 2021, 52% as of YE
December 2020, compared to 80.5% at issuance. Despite lagging
RevPAR and occupancy, the subject is outperforming its competitive
set with a RevPAR penetration rate of 131.7% as of TTM March 2021.
The loan has remained current since issuance, and the borrower has
not requested relief to date.
The second largest FLOC is the NKX Multifamily Portfolio (2.6%),
which is secured by five multifamily portfolios in the Houston, TX
MSA. The loan was identified as a FLOC due to deferred maintenance
issues in addition to performance declines. The loan appeared on
servicer's watchlist in April 2020 due to 23 down units at two of
the properties: Buena Vista (4) and Sedona Pointe (19), from fires
that occurred prior to securitization.
Per servicer updates, the majority of the repairs were scheduled to
be completed by YE 2020. Fitch has requested and is awaiting
confirmation from the servicer that all fire damaged units have
been repaired.
The YE 2020 NOI declined 25% below the issuers NOI, driven by a 10%
decline in total revenues. As of YE 2020, portfolio occupancy was
79.4% and NOI DSCR was 1.69x, compared to 86.6% and 2.36x at
issuance. Fitch has requested and is awaiting from the servicer
details on the NOI and occupancy declines. The loan has remained
current since issuance.
The third-largest FLOC is El Paseo Simi (2.0%), which is secured by
a 97,000 sf retail property in Simi Valley, CA. Cost Plus
(previously 20.6% of NRA and 13% of revenues) had vacated prior to
its lease expiration of January 2023. Per the March 2021 rent roll,
the space remains vacant; the servicer has reached out to the
borrower for leasing updates but has not yet received a response.
As a result, occupancy declined to 78% as of March 2021 from 94% at
issuance. The property is anchored by Von's Market (40.5% NRA; 26%
of monthly base rents) through October 2028. Four leases for
approximately 11.4% of the NRA are scheduled to roll between 2021
and 2023. The loan has remained current since issuance, and the
borrower has not requested relief to date. However, the loan is on
the servicer watch list due to outstanding servicer advances for
taxes paid in May 2020 totaling $20,313 for which the borrower has
been unresponsive.
The fourth-largest FLOC is 2621 Van Buren (2.0%), which is secured
by a 249,405 sf mixed-use property in Norristown, PA. The property
has experienced major tenant vacancy's and faces additional
near-term rollover risks. The second largest tenant at issuance,
Megger (23.1% of NRA), opted to exercise their termination clause
and will be vacating by March 2022. Paychex North America (7.6% of
NRA), did not renew their lease and vacated the property upon its
lease expiration in June 2021. In addition, the largest tenant,
Comcast Corporation (26.9% of NRA), current lease expires in
September 2021. Per servicer updates, Comcast will be renewing with
a lease extension pending approvals.
Occupancy declines to approximately 62% when accounting for the
Paychex vacancy and Megger pending departure, compared to 93% per
the March 2021 rent roll. The Megger termination option triggered a
cash flow sweep in addition to a $175,000 termination fee. Per
servicer updates, both spaces are currently being marketed for
lease. The servicer reported NOI DSCR was 1.70x as of YTD March
2021. The loan has remained current since issuance.
Minimal Change in Credit Enhancement (CE): As of the August 2021
distribution date, the pool's aggregate balance was reduced by .45%
to $1.176 billion from $1.180 billion at issuance. No loans have
paid off or defeased. At issuance, based on the scheduled balance
at maturity, the pool was expected to pay down by 4.7% prior to
maturity, which is lower than the average for transactions of a
similar vintage There are 25 loans that are full interest-only (72%
of the pool), 12 loans that are partial interest-only (16%), and 12
loans (12%) that are amortizing balloon loans.
Coronavirus Exposure: There are 11 hotel loans (13.9% of the pool)
and 19 retail loans (22.8% of the pool). Fitch applied additional
coronavirus stress to four hotel loans (7.2% of the pool).
Investment-Grade Credit Opinion Loans: Two loans, representing
13.1% of the pool, were assigned investment-grade credit opinions
at issuance. Both Park Tower at Transbay (9.7% of the pool) and
Grand Canal Shoppes (3.4% of the pool), each received standalone
credit opinions of 'BBB-sf'.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- An increase in pool-level losses from underperforming or
specially serviced loans.
-- Downgrades to the senior classes (A-1 through A-S) are less
likely due to high CE but may occur if losses increase
substantially or if there is a likelihood for interest
shortfalls.
-- A downgrade to classes B, C, D, and E would likely occur with
if multiple large loans transfer to special servicing and
expected losses increase significantly.
-- Downgrade to classes F and G and would occur with continued
transfer of loans to special servicing, or if performance of
the FLOCs continue to deteriorate.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Stable to improved asset performance coupled with paydown
and/or defeasance. Classes would not be upgraded above 'Asf'
if there is a likelihood of interest shortfalls.
-- Upgrades to classes B and C would occur with large
improvements in CE and/or defeasance and with the
stabilization of performance of the FLOCs/Specially Serviced
Assets.
-- Upgrades to classes D and E would also consider these factors
but would be limited based on sensitivity to concentrations or
the potential for future concentrations.
-- Upgrades to classes F and G are not likely until the later
years of the transaction and only if the performance of the
remaining pool is stable and there is sufficient CE.
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.
BRAVO RESIDENTIAL 2021-NQM2: DBRS Finalizes B Rating on B-2 Notes
-----------------------------------------------------------------
DBRS, Inc. finalized provisional ratings on the following
Mortgage-Backed Notes, Series 2021-NQM2 issued by BRAVO Residential
Funding Trust 2021-NQM2:
-- $183.9 million Class A-1 at AAA (sf)
-- $16.6 million Class A-2 at AA (sf)
-- $27.7 million Class A-3 at A (sf)
-- $17.5 million Class M-1 at BBB (sf)
-- $16.3 million Class B-1 at BB (sf)
-- $12.8 million Class B-2 at B (sf)
Other than the specified classes above, DBRS Morningstar does not
rate any other classes in this transaction.
The AAA (sf) rating on the Class A-1 Notes reflects 37.30% of
credit enhancement provided by subordinate certificates. The AA
(sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 31.65%,
22.20%, 16.25%, 10.70%, and 6.35% of credit enhancement,
respectively.
This transaction is a securitization of a portfolio of fixed- and
adjustable-rate prime and nonprime first-lien residential mortgages
funded by the issuance of the Notes. The Notes are backed by 657
loans with a total principal balance of $293,273,102 as of the
Cut-Off Date (June 30, 2021).
The top originator for the mortgage pool is Sprout Mortgage
Corporation (49.2%). The remaining originators each comprise less
than 15.0% of the mortgage loans. The Servicers of the loans are
Rushmore Loan Management Services LLC (94.8%) and Select Portfolio
Servicing, Inc. (5.2%).
Nationstar Mortgage LLC will act as a Master Servicer. Citibank,
N.A. (rated AA (low) with a Stable trend by DBRS Morningstar), an
affiliate of Citigroup Inc. (rated A (high) with a Stable trend by
DBRS Morningstar), will act as Indenture Trustee, Paying Agent,
Note Registrar, and Owner Trustee. Wells Fargo Bank, N.A. (rated AA
with a Negative trend by DBRS Morningstar) will act as Custodian.
The proposed pool is about 27 months seasoned on a weighted-average
basis, although seasoning may span from 15 to 58 months. Except for
20 loans (3.2% of the pool) that were 30 to 59 days delinquent as
of the Cut-Off Date, the loans have been performing since
origination.
In accordance with the Consumer Financial Protection Bureau
Qualified Mortgage (QM) rules, 52.8% of the loans by balance are
designated as non-QM. Ability to repay (ATR) exempt loans consist
of loans made to investors for business purposes (46.9%). One loan
(0.3% of the pool) is designated as Safe Harbor.
There will be no advancing of delinquent principal or interest on
any mortgage loan by the Servicers or any other party to the
transaction; however, the Servicers are obligated to make advances
in respect of taxes and insurance, the cost of preservation,
restoration and protection of mortgaged properties, and any
enforcement or judicial proceedings, including foreclosures and
reasonable costs and expenses incurred in the course of servicing
and disposing of properties.
The Sponsor or a majority-owned affiliate of the Sponsor will
acquire and intends to retain an eligible horizontal residual
interest in the Issuer in the amount of not less than 5.0% of the
aggregate fair value of the Notes (other than the Class SA, Class
FB, and Class R Notes) to satisfy the credit risk-retention
requirements under Section 15G of the Securities Exchange Act of
1934 and the regulations promulgated thereunder.
The holder of the Trust Certificates may, at its option, on or
after the earlier of (1) the payment date in July 2024 or (2) the
date on which the total loans' and real estate owned (REO)
properties' balance falls to or below 30% of the loan balance as of
the Cut-Off Date (Optional Termination Date), purchase all of the
loans and REO properties at the optional termination price
described in the transaction documents.
The Depositor, at its option, may purchase any mortgage loan that
is 90 days or more delinquent under the Mortgage Banker Association
(MBA) method (or in the case of any loan that has been subject to a
Coronavirus Disease (COVID-19) pandemic-related forbearance plan,
on any date from and after the date on which such loan becomes 90
days MBA delinquent following the end of the forbearance period) at
the repurchase price (Optional Purchase) described in the
transaction documents. The total balance of such loans purchased by
the Depositor will not exceed 10% of the Cut-Off Date balance.
The transaction's cash flow structure is similar to that of other
non-QM securitizations. The transaction employs a sequential-pay
cash flow structure with a pro rata principal distribution among
the senior tranches subject to certain performance triggers related
to cumulative losses or delinquencies exceeding a specified
threshold (Credit Event). Principal proceeds can be used to cover
interest shortfalls on the Class A-1 and Class A-2 Notes (IIPP)
before being applied sequentially to amortize the balances of the
senior and subordinated notes. For the Class A-3 Notes (only after
a Credit Event) and for the mezzanine and subordinate classes of
notes (both before and after a Credit Event), principal proceeds
will be available to cover interest shortfalls only after the more
senior notes have been paid off in full. Also, the excess spread
can be used to cover realized losses first before being allocated
to unpaid Cap Carryover Amounts due to Class A-1 down to Class
B-2.
Coronavirus Impact
The coronavirus pandemic and the resulting isolation measures have
caused an immediate economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
consumers. DBRS Morningstar saw increases in delinquencies for many
residential mortgage-backed securities (RMBS) asset classes,
shortly after the onset of the coronavirus.
Such mortgage delinquencies were mostly in the form of forbearance,
which are generally short-term payment reliefs that may perform
very differently from traditional delinquencies. At the onset of
the coronavirus, because the option to forbear mortgage payments
was so widely available, it drove forbearance to a very high level.
When the dust settled, coronavirus-induced forbearance in 2020
performed better than expected, thanks to government aid, low
loan-to-value ratio, and good underwriting in the mortgage market
in general. Across nearly all RMBS asset classes, delinquencies
have been gradually trending down in recent months as the
forbearance period comes to an end for many borrowers.
In connection with the economic stress assumed under its moderate
scenario, DBRS Morningstar may assume higher loss expectations for
pools with loans on forbearance plans.
Notes: All figures are in U.S. dollars unless otherwise noted.
CEDAR FUNDING VIII: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class A
loans and class A-1-R, A-2-R, B-R, C-R, D-R, and E-R notes from
Cedar Funding VIII CLO Ltd./Cedar Funding VIII CLO LLC, a CLO
originally issued in September 2017 that is managed by Aegon USA
Investment Management LLC.
The preliminary ratings are based on information as of Aug. 30,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Sept. 2, 2021 refinancing date, the proceeds from the
replacement notes will be used to redeem the original notes. S&P
said, "At that time, we expect to withdraw our ratings on the
original notes and assign ratings to the replacement notes.
However, if the refinancing doesn't occur, we may affirm our
ratings on the original notes and withdraw our preliminary ratings
on the replacement notes."
The replacement notes will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement notes.
According to the proposed supplemental indenture:
-- The replacement class A loans and class A-1-R, A-2-R, B-R, C-R,
D-R, and E-R notes will be issued at a lower spread over
three-month LIBOR than the original notes.
-- The stated maturity and reinvestment period/non-call period
will be extended four years.
-- There will be a two-year non-call period, ending Sept. 2,
2023.
-- The benchmark replacement language has been updated, ESG
considerations added, and language introduced that allow for the
acquisition of a limited amount of workout-related assets along
with senior secured and high yield bonds.
-- Of the identified underlying collateral obligations, 100% have
credit ratings assigned by S&P Global Ratings.
-- Of the identified underlying collateral obligations, 98.58%
have recovery ratings assigned by S&P Global Ratings.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
Cedar Funding VIII CLO Ltd./Cedar Funding VIII CLO LLC
Class A loans, $62.31 million: AAA (sf)
Class A-1-R, $237.69 million: AAA (sf)
Class A-2-R, $20.00 million: AAA (sf)
Class B-R, $60.00 million: AA (sf)
Class C-R (deferrable), $30.00 million: A (sf)
Class D-R (deferrable), $26.25 million: BBB- (sf)
Class E-R (deferrable), $21.75 million: BB- (sf)
Subordinated notes, $66.85 million: Not rated
CIFC FUNDING 2019-III: Moody's Assigns Ba3 Rating to Cl. D-R Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
CLO refinancing notes issued by CIFC Funding 2019-III, Ltd. (the
"Issuer").
Moody's rating action is as follows:
US$2,085,000 Class X Senior Secured Floating Rate Notes Due 2034,
Assigned Aaa (sf)
US$384,000,000 Class A-1-R Senior Secured Floating Rate Notes Due
2034, Assigned Aaa (sf)
US$70,500,000 Class A-2-R Senior Secured Floating Rate Notes Due
2034, Assigned Aa2 (sf)
US$28,500,000 Class B-R Mezzanine Secured Deferrable Floating Rate
Notes Due 2034, Assigned A2 (sf)
US$37,500,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes Due 2034, Assigned Baa3 (sf)
US$31,500,000 Class D-R Junior Secured Deferrable Floating Rate
Notes Due 2034, Assigned Ba3 (sf)
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks particularly those associated with the
CLO's portfolio and structure.
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least
90.0% of the portfolio must consist of senior secured loans,
eligible investments, and up to 10.0% of the portfolio may consist
of not senior secured loans or eligible investments.
CIFC Asset Management LLC (the "Manager") will continue to direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's extended five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.
In addition to the issuance of the Refinancing Notes, 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; the inclusion of Libor
replacement provisions; additions to the CLO's ability to hold
workout and restructured assets; changes to the definition of
"Adjusted Weighted Average Rating Factor" and changes to the base
matrix and modifiers.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in 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: $600,000,000
Diversity Score: 80
Weighted Average Rating Factor (WARF): 2900
Weighted Average Spread (WAS): 3.30%
Weighted Average Recovery Rate (WARR): 46.5%
Weighted Average Life (WAL): 9 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2020.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.
CITIGROUP COMMERCIAL 2019-PRM: DBRS Confirms B Rating on F Certs
----------------------------------------------------------------
DBRS Limited upgraded the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2019-PRM
issued by Citigroup Commercial Mortgage Trust 2019-PRM:
-- Class B to AAA (sf) from AA (high) (sf)
-- Class C to AA (sf) from AA (low) (sf)
In addition, DBRS Morningstar confirmed the ratings on the
following classes:
-- Class A at AAA (sf)
-- Class X at A (low) (sf)
-- Class D at BBB (high) (sf)
-- Class E at BB (low) (sf)
-- Class F at B (sf)
All trends are Stable.
The rating upgrades are primarily driven by the defeasance of
Portfolio I (Prospectus ID#1, 21.9% of the pool), which was
reflected in the August 2021 remittance. As of the August 2021
remittance, the remaining nondefeased Portfolio II loan (Prospectus
ID#2, 78.1% of the pool) continues to perform in line with issuance
expectations, reporting a YE2020 debt service coverage ratio (DSCR)
of 1.86 times (x) and an occupancy rate of 85.0%. The trailing 12
months ended Q1 2021 DSCR and occupancy rate were reported at 2.01x
and 88.0%, respectively.
The collateral for the mortgage trust consists of two five-year,
interest-only (IO), first-lien mortgage loans originally secured by
self-storage facilities, 11 properties in Portfolio I and 38
properties in Portfolio II, in urban and suburban locations in 18
states in the Eastern United States. With the defeasance of the
Portfolio I loan, the state distribution has been reduced to the 14
states containing the Portfolio II properties. The two loans are
not cross-collateralized or cross-defaulted.
Portfolio I has a trust mortgage loan of $61.0 million and
Portfolio II has a trust mortgage loan of $217.0 million for a
total loan balance of $278.0 million in the trust. Each portfolio
includes additional mezzanine financing secured by the borrowing
entities' ownership interests. The Portfolio I mezzanine debt has a
total commitment of $12.0 million (per the offering documents, full
repayment of the mezzanine loan was a condition of defeasance) and
the Portfolio II mezzanine debt has a total commitment of $40.0
million. The Portfolio II ownership entities are obligated to repay
the total advanced mezzanine debt up to $40.0 million. The
mezzanine loans are subordinate to and held outside the trust. The
mortgage loans and mezzanine loans are co-terminus.
Each of the Portfolio I and Portfolio II borrowers is indirectly
wholly owned by Prime Storage Fund I, LLC, one of the related
guarantors, which is indirectly controlled by the borrower sponsor,
Robert Moser. Prime Group is one of the largest private
owner-operators of self-storage facilities in the United States.
The company operates the properties as Prime Storage Group and, at
issuance, managed more than 10.0 million square feet of
self-storage properties in 23 states, primarily in the Eastern
United States.
Notes: All figures are in U.S. dollars unless otherwise noted.
CSAIL TRUST 2017-CX10: Fitch Affirms B- Rating on Class F Certs
---------------------------------------------------------------
Fitch Ratings has affirmed 19 classes of CSAIL 2017-CX10 Commercial
Mortgage Trust commercial mortgage pass-through certificates,
series 2017-CX10.
DEBT RATING PRIOR
---- ------ -----
CSAIL 2017-CX10
A-1 12595JAA2 LT AAAsf Affirmed AAAsf
A-2 12595JAC8 LT AAAsf Affirmed AAAsf
A-3 12595JAE4 LT AAAsf Affirmed AAAsf
A-4 12595JAG9 LT AAAsf Affirmed AAAsf
A-5 12595JAJ3 LT AAAsf Affirmed AAAsf
A-S 12595JAS3 LT AAAsf Affirmed AAAsf
A-SB 12595JAL8 LT AAAsf Affirmed AAAsf
B 12595JAU8 LT AA-sf Affirmed AA-sf
C 12595JAW4 LT A-sf Affirmed A-sf
D 12595JBA1 LT BBB-sf Affirmed BBB-sf
E 12595JBC7 LT BB-sf Affirmed BB-sf
F 12595JBE3 LT B-sf Affirmed B-sf
V1-A 12595JBL7 LT AAAsf Affirmed AAAsf
V1-B 12595JBN3 LT A-sf Affirmed A-sf
V1-D 12595JBQ6 LT BBB-sf Affirmed BBB-sf
V1-E 12595JBS2 LT BB-sf Affirmed BB-sf
X-A 12595JAN4 LT AAAsf Affirmed AAAsf
X-B 12595JAQ7 LT AA-sf Affirmed AA-sf
X-E 12595JAY0 LT BB-sf Affirmed BB-sf
KEY RATING DRIVERS
Stable Loss Expectations: The Outlook revisions on classes E, V1-E,
and X-E to Stable from Negative reflect the stable performance for
the majority of the pool and a lower than expected negative impact
from the coronavirus pandemic. Two loans (11.2%) are in special
servicing, and six loans (22.5%), including the specially serviced
loans, are FLOCs. Fitch's current ratings incorporate a base case
loss of 3.40%. The Negative Outlook reflects losses that could
reach 3.90% when factoring in additional stresses on Lehigh Valley
Mall.
Largest Drivers to Loss: Lehigh Valley Mall (5.5%) is a regional
mall located in Whitehall, PA (approximately two miles north of
downtown Allentown). The loan is sponsored by Simon Property Group
and Pennsylvania Real Estate Investment Trust. Anchors include
Macy's (ground lessee), Boscov's (non-collateral) and JC Penney
(non-collateral); all three anchors have been at the property since
1957. As of TTM September 2020, inline sales for tenants under
10,000 sf (excluding Apple) were $435 psf, compared with $461 psf
at YE19 and $451 psf at issuance. In Fitch's base case scenario, a
cap rate of 12% and a 10% haircut to the YE 2020 NOI were applied
to address the recent occupancy declines and near-term lease
rollover concerns. This resulted in a modeled loss of 10.5%. Fitch
also applied an additional stress, based on a 15% cap rate and 20%
haircut to the YE 2020 NOI, which resulted in a modeled loss of
22%.
379 West Broadway (5.0%) is a mixed use (office/retail) property in
Soho in New York City. WeWork (87.6% NRA) leases the office space
through March 2024 while Ralph Lauren (6.2% NRA) and Celine (6.2%
NRA) occupy the ground floor retail space with leases running until
January 2027 and June 2024, respectively. As of YE 2020, the
property was 100% occupied and performing at a 1.69x NOI DSCR.
Fitch applied a 15% haircut to the YE 2020 NOI, resulting in a
modeled loss of approximately 8%, due to concerns about WeWork's
commitment to the space.
Other drivers to loss include a New York City multifamily property
where cash flow declined significantly during the pandemic when
tenants were unable to pay rent and a mixed-use
(office/retail/warehouse) property north of New York City with
significant upcoming tenant rollover.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- An increase in pool level losses from underperforming or
specially serviced loans. Downgrades to the senior classes, A-
1, A-2, A-3, A-4, A-5, A-SB, A-S, X-A, V1-A, B, and X-B are
not likely due to the high credit enhancement but may occur
should interest shortfalls occur.
-- Downgrades to classes C, V-1B, D and V-1D could occur if
overall pool losses increase or if one or more large loans,
such as Lehigh Valley Mall, have an outsized loss which would
erode credit enhancement. Downgrades to classes E, X-E, F and
V1-E would occur if loss expectations increased due to an
increase in specially serviced loans (specifically if Lehigh
Valley Mall transfers to special servicing) or if there was an
increase in the certainty of losses on any FLOCs. The Negative
Outlook may be revised back to Stable if performance of the
FLOCs improves.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Stable to improved asset performance coupled with paydown
and/or defeasance. Upgrades of class B, X-B, C and V1-B could
occur with significant improvement in credit enhancement
and/or defeasance; however, adverse selection, increased
concentrations and further underperformance of the FLOCs
and/or loans considered to be negatively impacted by the
pandemic could cause this trend to reverse.
-- An upgrade to class D and V-1D are unlikely without
significant paydown or defeasance and would be limited based
on sensitivity to concentrations or the potential for future
concentration. Classes would not be upgraded above 'Asf' if
there were likelihood for interest shortfalls. An upgrade to
E, X-E, F, and V1-E is not likely until the later years in a
transaction and only if the performance of the remaining pool
is stable and if there is sufficient credit enhancement to the
classes. While concerns surrounding Lehigh Valley Mall
persist, upgrades are unlikely.
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.
CSMC 2021-INV1: S&P Assigns B (sf) Rating on Class B-5 Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to CSMC 2021-INV1 Trust's
mortgage-backed notes.
The issuance is an RMBS transaction backed by first-lien,
fixed-rate, fully amortizing residential mortgage loans secured by
one- to four-family residential properties, planned-unit
developments, and condominiums to prime borrowers. The pool
consists of 715 investor mortgage loans and 130 secondary-occupancy
mortgage loans.
The ratings reflect S&P's view of:
-- The high-quality collateral in the pool;
-- The transaction's credit enhancement;
-- The transaction's associated structural mechanics;
-- The transaction's representation and warranty framework;
-- The three originators contributing collateral to this
transaction;
-- The geographic concentration;
-- The due diligence results consistent with the represented loan
characteristics; and
-- The impact the COVID-19 pandemic will likely have on the
performance of the mortgage borrowers in the pool and liquidity
available in the transaction.
Ratings Assigned(i)
CSMC 2021-INV1 Trust
Class A-1, $255,759,000: AAA (sf)
Class A-2, $236,675,000: AAA (sf)
Class A-3, $198,807,000: AAA (sf)
Class A-3A, $198,807,000: AAA (sf)
Class A-3X, $198,807,000(ii): AAA (sf)
Class A-4, $149,105,000: AAA (sf)
Class A-4A, $149,105,000: AAA (sf)
Class A-4X, $149,105,000(ii): AAA (sf)
Class A-5, $49,702,000: AAA (sf)
Class A-5A, $49,702,000: AAA (sf)
Class A-5X, $49,702,000(ii): AAA (sf)
Class A-6, $119,284,000: AAA (sf)
Class A-6A, $119,284,000: AAA (sf)
Class A-6X, $119,284,000(ii): AAA (sf)
Class A-7, $79,523,000: AAA (sf)
Class A-7A, $79,523,000: AAA (sf)
Class A-7X, $79,523,000(ii): AAA (sf)
Class A-8, $29,821,000: AAA (sf)
Class A-8A, $29,821,000: AAA (sf)
Class A-8X, $29,821,000(ii): AAA (sf)
Class A-9, $12,216,000: AAA (sf)
Class A-9A, $12,216,000: AAA (sf)
Class A-9X, $12,216,000(ii): AAA (sf)
Class A-10, $37,486,000: AAA (sf)
Class A-10A, $37,486,000: AAA (sf)
Class A-10X, $37,486,000(ii): AAA (sf)
Class A-11, $37,868,000: AAA (sf)
Class A-11X, $37,868,000(ii): AAA (sf)
Class A-12, $37,868,000: AAA (sf)
Class A-13, $37,868,000: AAA (sf)
Class A-14, $19,084,000: AAA (sf)
Class A-15, $19,084,000: AAA (sf)
Class A-X1, $255,759,000(ii): AAA (sf)
Class A-X2, $255,759,000(ii): AAA (sf)
Class A-X3, $37,868,000(ii): AAA (sf)
Class A-X4, $19,084,000(ii): AAA (sf)
Class B-1, $6,266,000: AA (sf)
Class B-2, $5,847,000: A (sf)
Class B-3, $4,734,000: BBB (sf)
Class B-4, $2,645,000: BB (sf)
Class B-5, $1,810,000: B (sf)
Class B-6, $1,392,929: Not rated
Class A-IO-S, $278,453,929(ii): Not rated
Class PT, $278,453,929(ii): Not rated
Class R, not applicable: Not rated
(i)The collateral and structural information in this report reflect
the private placement memorandum dated August 25, 2021.
(ii)Notional balance.
DRYDEN 95 CLO: Moody's Assigns (P)Ba3 Rating to Class E Notes
-------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of notes to be issued by Dryden 95 CLO, Ltd. (the "Issuer"
or "Dryden 95").
Moody's rating action is as follows:
US$384,000,000 Class A Senior Secured Floating Rate Notes due 2034,
Assigned (P)Aaa (sf)
US$72,000,000 Class B Senior Secured Floating Rate Notes due 2034,
Assigned (P)Aa2 (sf)
US$34,200,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)A2 (sf)
US$35,400,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)Baa3 (sf)
US$26,400,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2034, Assigned (P)Ba3 (sf)
The notes listed are referred to herein, collectively, as the
"Rated Notes."
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.
Dryden 95 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90.0% of the portfolio must consist of
senior secured loans, and up to 10.0% of the portfolio may consist
of bonds, second lien loans or unsecured loans, provided no more
than 5% of the portfolio may consist of bonds. Moody's expect the
portfolio to be approximately 80% ramped as of the closing date.
PGIM, Inc. (the "Manager") will direct the selection, acquisition
and disposition of the assets on behalf of the Issuer and may
engage in trading activity, including discretionary trading, during
the transaction's five year reinvestment period. Thereafter,
subject to certain restrictions, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets.
In addition to the Rated Notes, the Issuer will issue subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2020.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $600,000,000
Diversity Score: 85
Weighted Average Rating Factor (WARF): 2825
Weighted Average Spread (WAS): 3.21%
Weighted Average Coupon (WAC): 5.0%
Weighted Average Recovery Rate (WARR): 46.81%
Weighted Average Life (WAL): 9.0 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2020.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
FLAGSHIP CREDIT 2021-3: DBRS Finalizes BB Rating on Class E Notes
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by Flagship Credit Auto Trust 2021-3:
-- $268,200,000 Class A Notes at AAA (sf)
-- $29,240,000 Class B Notes at AA (sf)
-- $39,130,000 Class C Notes at A (sf)
-- $25,830,000 Class D Notes at BBB (sf)
-- $15,580,000 Class E Notes at BB (sf)
The ratings are based on DBRS Morningstar's review of the following
analytical considerations:
(1) Transaction capital structure, proposed ratings, and form and
sufficiency of available credit enhancement.
-- Credit enhancement is in the form of OC, subordination, amounts
held in the reserve account, and excess spread. Credit enhancement
levels are sufficient to support the DBRS Morningstar-projected
cumulative net loss (CNL) assumption under various stress
scenarios.
(2) The DBRS Morningstar CNL assumption is 10.25% based on the
expected Cut-Off Date pool composition.
(3) The transaction assumptions consider DBRS Morningstar's set of
macroeconomic scenarios for select economies related to the
coronavirus, available in its commentary Global Macroeconomic
Scenarios: June 2021 Update, published on June 18, 2021. DBRS
Morningstar initially published macroeconomic scenarios on April
16, 2020, that have been regularly updated. The scenarios were last
updated on June 18, 2021, and are reflected in DBRS Morningstar's
rating analysis. The assumptions consider the moderate
macroeconomic scenario outlined in the commentary, with the
moderate scenario serving as the primary anchor for current
ratings. The moderate scenario factors in continued success in
containment during the second half of 2021, enabling the continued
relaxation of restrictions.
(4) The consistent operational history of Flagship and the strength
of the overall Company and its management team.
-- The Flagship senior management team has considerable experience
and a successful track record within the auto finance industry.
(5) The capabilities of Flagship with regard to originations,
underwriting, and servicing.
-- DBRS Morningstar performed an operational review of Flagship
and considers the entity an acceptable originator and servicer of
subprime automobile loan contracts with an acceptable backup
servicer.
(6) DBRS Morningstar exclusively used the static pool approach
because Flagship has enough data to generate a sufficient amount of
static pool projected losses.
-- DBRS Morningstar was conservative in the loss forecast analysis
performed on the static pool data.
(7) The Company indicated that it may be subject to various
consumer claims and litigation seeking damages and statutory
penalties. Some litigation against Flagship could take the form of
class-action complaints by consumers; however, the Company
indicated that there is no material pending or threatened
litigation.
(8) The legal structure and presence of legal opinions that address
the true sale of the assets to the Issuer, the nonconsolidation of
the special-purpose vehicle with Flagship, that the trust has a
valid first-priority security interest in the assets, and the
consistency with DBRS Morningstar's Legal Criteria for U.S.
Structured Finance.
Flagship is an independent, full-service automotive financing and
servicing company that provides (1) financing to borrowers who do
not typically have access to prime credit-lending terms to purchase
late-model vehicles and (2) refinancing of existing automotive
financing.
The rating on the Class A Notes reflects 30.40% of initial hard
credit enhancement provided by subordinated notes in the pool
(28.90%), the reserve account (1.00%), and OC (0.50%). The ratings
on the Class B, C, D, and E Notes reflect 22.70%, 12.40%, 5.60%,
and 1.50% of initial hard credit enhancement, respectively.
Additional credit support may be provided from excess spread
available in the structure.
Notes: All figures are in U.S. dollars unless otherwise noted.
GCAT 2021-NQM4: S&P Assigns B (sf) Rating on Class B-2 Certs
------------------------------------------------------------
S&P Global Ratings assigned its ratings to GCAT 2021-NQM4 Trust's
mortgage pass-through certificates.
The certificate issuance is an RMBS securitization backed by
first-lien, fixed- and adjustable-rate, fully amortizing, and
interest-only residential mortgage loans primarily secured by
single-family residential properties, planned-unit developments,
condominiums, condotels , townhomes, two- to four-family
residential properties, and manufactured housing properties to both
prime and nonprime borrowers. The pool has 463 loans, which are
nonqualified or ability-to-repay (ATR)-exempt mortgage loans.
The ratings reflect S&P's view of:
-- The asset pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, geographic concentration, and representation and
warranty framework;
-- The mortgage aggregator, Blue River Mortgage III LLC; and
-- The impact that the economic stress brought on by the COVID-19
pandemic will likely have on the performance of the mortgage
borrowers in the pool and the liquidity available in the
transaction.
Ratings Assigned(i)
GCAT 2021-NQM4
Class A-1, $198,749,000: AAA (sf)
Class A-1X, $198,749,000: AAA (sf)
Class A-2, $15,133,000: AA (sf)
Class A-3, $28,393,000: A (sf)
Class M-1, $11,250,000: BBB (sf)
Class B-1, $6,563,000; BB (sf)
Class B-2, $4,553,000: B (sf)
Class B-3, $3,214,876: Not rated
Class A-IO-S, Notional(ii): Not rated
Class X, Notional(ii): Not rated
Class R, N/A: Not rated
(i)The information in this report reflects the private placement
memorandum dated Aug. 24, 2021. The ratings address the ultimate
payment of interest and principal.
(ii)The notional amount will equal the aggregate principal balance
of the mortgage loans as of the first day of the related due
period, which initially is $267,855,876.
GOLUB CAPITAL 55(B): S&P Assigns Prelim BB- (sf) Rating on E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Golub
Capital Partners CLO 55(B) Ltd./Golub Capital Partners CLO 55(B)
LLC's floating-rate notes.
The note issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade senior secured term loans that are governed by
collateral quality tests The transaction is managed by OPAL BSL
LLC, a subsidiary of Golub Capital LLC.
The preliminary ratings are based on information as of August 30,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The diversification of the collateral pool;
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Golub Capital Partners CLO 55(B) Ltd./
Golub Capital Partners CLO 55(B) LLC
Class A, $338.25 million: AAA (sf)
Class B, $79.75 million: AA (sf)
Class C (deferrable), $30.50 million: A (sf)
Class D (deferrable), $32.30 million: BBB- (sf)
Class E (deferrable), $19.70 million: BB- (sf)
Subordinated notes, $58.60 million: Not rated
GS MORTGAGE 2012-GCJ9: Fitch Lowers Class F Debt to 'B-'
--------------------------------------------------------
Fitch Ratings has downgraded one and affirmed eight classes of GS
Mortgage Securities Trust 2012-GCJ9. The Rating Outlooks on classes
E and F remain Negative.
DEBT RATING PRIOR
---- ------ -----
GS Mortgage Securities Trust 2012-GCJ9
A-3 36192PAJ5 LT AAAsf Affirmed AAAsf
A-AB 36192PAM8 LT AAAsf Affirmed AAAsf
A-S 36192PAT3 LT AAAsf Affirmed AAAsf
B 36192PAD8 LT AAsf Affirmed AAsf
C 36192PAG1 LT A-sf Affirmed A-sf
D 36192PAK2 LT BBB-sf Affirmed BBB-sf
E 36192PAN6 LT BBsf Affirmed BBsf
F 36192PAR7 LT B-sf Downgrade Bsf
X-A 36192PAQ9 LT AAAsf Affirmed AAAsf
KEY RATING DRIVERS
Increased Loss Expectations: Fitch's base case loss has increased
compared to prior rating action, due to an increase in the number
of Fitch Loans of Concern (FLOCs). Fitch's base case loss is 4.8%.
The downgrade of class F and the Negative Outlooks on classes E and
F reflect concerns with the ultimate outcome of the specially
serviced Gansevoort Park Avenue (6.7%). In addition, 12 loans have
been designated as FLOCs (30.9%), including two other loans (7.4%)
in special servicing; nine loans (26.8%) have been flagged for low
DSCR, high vacancy, upcoming lease expirations and/or
pandemic-related underperformance.
The largest contributor to modelled losses is Gansevoort Park
Avenue. This loan is collateralized by a boutique luxury hotel
located in Manhattan. The loan has been flagged as a FLOC for
persistent underperformance since issuance due to a sharp decline
in F&B revenue. In late 2017, the property was sold for nearly $200
million, or $800,000 per key, to a partnership between GreenOak
Real Estate and Highgate. After the purchase, the property was
renamed to Royalton Park Avenue. This loan transferred to special
servicing in June 2021 for imminent payment default, due to
pandemic-related economic hardship. According to the hotel's
website, the property had been closed during the pandemic and did
not reopen until July 2021.
Subject YE 2020 NOI DSCR was -0.95x compared to underwritten NOI
DSCR of 1.94x. In June 2021, a modification was executed whereby
excess cash flow reserve funds may be used to make interest
payments for six months. The borrower would contribute $7.5 million
of equity to cover operating expenses and the loan's maturity would
be extend to June 2024 from June 2022. The modification did not
bring the loan current, as the loan was classified as 30-days
delinquent as of the July 2021 payment period. Fitch's base case
loss for this loan of approximately 22% reflects a 6.0% cap rate on
YE 2019 NOI.
The second largest contributor to modelled losses is Parkview West
(1.5%). This loan is collateralized by two senior independent
living apartment communities located in Knoxville, TN. Subject
occupancy has been volatile since issuance falling to a low of 80%
in March 2021 compared to underwritten occupancy of 95%. In order
to improve occupancy, the borrower has increased advertising,
started a referral program, taken steps to decrease staff turnover
and has implemented a new training program for members of the sales
staff. Subject NOI DSCR has been below 1.05x since YE 2017, falling
to a low of 0.62x as of YE 2020. Subject YE 2020 total operating
expenses have increased to $3.2 million compared to underwritten
total operating expenses of $2.0 million. Fitch's base case loss of
approximately 42% for this loan reflects a 8.25% cap rate on YE
2020 NOI. This loan matures in October 2022.
The third largest contributor to modelled losses is Jamaica Center
(6.7%). Jamaica Center is secured by a leasehold interest in a
retail and office mixed-use building in Queens, NY. This loan
transferred to special servicing in August 2020 for payment default
due to pandemic-related economic hardship. As of the August 2021
distribution period, the loan was classified as 90+-days
delinquent. According to the special servicer, discussions with
borrower are ongoing, and the special servicing is dual tracking
the negotiations with legal and a potential modification. This loan
is scheduled to mature in November 2022.
Subject occupancy has fallen to 80% at YE 2020 from 100% at YE
2016. The initial decline in occupancy during 2017 was the result
of Bally Total Fitness (12% of NRA) vacating the property at its
2017 lease expiration, and K&G Men's Company (7% of NRA) vacated
the subject property ahead of its lease expiration in April 2022.
Two tenants, a movie theatre tenant, National Amusements (NRA
38.5%) and Old Navy (NRA 13.9%) leases are schedule to expire in
May 2022. Subject YE 2020 NOI DSCR was 0.90x. Fitch loss estimate
of approximately 7% reflects an implied cap rate of 9.9% on YE 2020
NOI.
Upcoming Maturities; Alternative Loss Consideration: There are 53
loans remaining in the pool, all of which mature between June and
November 2022. Due to the increasing concentration of the pool,
Fitch performed a look-through analysis in its base case scenario,
which grouped the remaining loans based on the likelihood of
repayment. The Negative Outlooks on classes E and F reflect this
analysis, and a scenario in which the Gansevoort Park Avenue is the
only remaining loan in the pool. In this scenario, approximately
$21.0 million would need to be recovered from this loan to pay
class E in full.
Defeasance/Improved Credit Enhancement Since Issuance: Credit
enhancement has improved since issuance from paydown and
defeasance. Twenty-eight loans (30.9%) are fully defeased. As of
the August 2021 distribution date, the pool's aggregate balance has
been reduced by 27.1% to $1.0 billion from $1.4 billion at
issuance. Realized losses and interest shortfalls are currently
affecting non-rated class G. Two loans (20.8%) are full-term
interest-only and the remaining loans are amortizing.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- The Negative Rating Outlooks reflect downgrade potential due
to performance concerns on the FLOCs, particularly the
Gansevoort Park Avenue loan.
-- An increase in pool-level losses from underperforming or
specially serviced loans/assets. Downgrades to classes A-3
through A-S 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 class B is
possible should more loans transfer to special servicing, and
the Gansevoort Park Avenue loan experience outsized losses, or
if interest shortfalls occur.
-- Downgrades to classes C and D would occur should loss
expectations increase from continued performance decline of
the FLOCs, loans susceptible to the pandemic not stabilizing,
additional loans default or transfer to special servicing,
higher losses incurred on the specially serviced loans than
expected and/or the Gansevoort Park Avenue experience outsized
losses.
-- Downgrades to classes E and F would occur as losses are
realized and/or become more certain.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- The Stable Outlooks on classes reflect the overall stable
performance of the majority of the pool and expected continued
amortization.
-- Stable to improved asset performance, particularly on the
Gansevoort Park Avenue loan and other FLOCs, coupled with
additional paydown and/or defeasance. Upgrades to class B
would likely occur with significant improvement in CE and/or
defeasance and/or the stabilization of the Gansevoort Park
Avenue loan, in addition to other properties affected by the
coronavirus pandemic, 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
likelihood of interest shortfalls. Upgrades to classes C and D
class may occur as the number of FLOCs are reduced, properties
vulnerable to the pandemic return to pre-pandemic levels
and/or with a workout of the Gansevoort Park Avenue loan that
results in scenarios better than currently expected, and there
is sufficient CE to the classes.
-- Classes E and F are unlikely to be upgraded absent significant
performance improvement on the FLOCs and higher recoveries
than expected on the Gansevoort Park Avenue loan.
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 2018-LUAU: DBRS Confirms B(low) Rating on F Certs
-------------------------------------------------------------
DBRS Morningstar, Inc. confirmed all ratings of the Commercial
Mortgage Pass-Through Certificates, Series 2018-LUAU issued by GS
Mortgage Securities Corporation Trust 2018-LUAU as follows:
-- Class A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class F at B (low) (sf)
-- Class X-CP at BBB (sf)
-- Class X-NCP at BBB (sf)
All trends remain Negative because the underlying collateral
continues to face performance challenges as it begins to rebound
after the relaxation of travel restrictions related to the
Coronavirus Disease (COVID-19) global pandemic.
The collateral for the Certificates is a $215.0 million mortgage
loan on the 466-key Ritz-Carlton Kapalua resort hotel on the island
of Maui, Hawaii. The hotel reported a healthy pre-pandemic cash
flow in 2019 of $18.7 million, or 22.4% above the issuance level,
with a reported occupancy rate of 86%. The impact of the pandemic
resulted in a negative cash flow in 2020 and an occupancy level of
40%. The loan is currently in a cash trap period due to a failed
debt yield test. The property was closed in early 2020 due to the
global health crisis and reopened in mid-November, although full
unrestricted travel to the state was not allowed until July 2021.
While reports state that Hawaii is set to surpass tourism levels
from 2019, new restrictions resulting from the Delta variant will
set caps on both indoor and outdoor gatherings and could slow
recovery in the hospitality industry. However, the hotel was
already showing some signs towards a positive recovery as an April
2021 STR reported year-to-date penetration rates of 92.3% for
occupancy, while far outpacing its competitive set with penetration
rates of 136.3% for ADR, and 125.9% for RevPAR.
The hotel was constructed in 1976 and opened as a Ritz-Carlton in
1992 on the 49-acre site that features a three-tiered swimming
pool, multiple whirlpools, a fitness facility and
17,500-square-foot (sf) spa, six food and beverage (F&B) outlets,
retail space, tennis courts, and 229,000 sf of multipurpose space,
including indoor meeting space and an outdoor ballroom. The hotel
has access to two championship golf courses that are not part of
the collateral. The hotel features 300 hotel keys and 107
residential condominium suites that total 166 keys. Of the 466
keys, 68 are owned by third parties that rent their units on the
Ritz-Carlton hotel website. The unit owners pay all expenses and
share revenue in a 50/50 split with the hotel. In addition, the
hotel owns the remaining 98 condominium units, whose income is
included to support the loan. Total collateral includes the 398
keys and the revenue sharing from other units.
The loan is a floating-rate, interest-only loan which exercised its
first extension option in 2020, moving the maturity date to
November 2021. The loan has four, one-year extension options
remaining and the fully extended maturity is in November 2025.
Interest is set at Libor plus 275 basis points (bps), and the
spread is subject to an increase of 25 bps upon the fourth
extension. The borrower purchased a Libor interest rate cap with a
strike price of 3.5%. The Ritz-Carlton, Kapalua site is owned fee
simple, which is highly unusual for any site on the islands.
The sponsor is Blackstone Group Inc., one of the largest private
equity real estate investment managers in the world. The guarantor
of the recourse carveouts is Blackstone Real Estate Partners
VIII-NQ L.P. The guarantor's liability is capped at 15% of the
loan's outstanding principal balance. Ritz-Carlton Hotel Company,
LLC manages the hotel under a management agreement in which the
fully extended term expires in 2071.
Notes: All figures are in U.S. dollars unless otherwise noted.
GS MORTGAGE 2021-RPL2: DBRS Assigns B Rating on Class B-2 Notes
---------------------------------------------------------------
DBRS, Inc. assigned ratings to the following Mortgaged-Backed
Securities, Series 2021-RPL2 (the Notes) issued by GS
Mortgage-Backed Securities Trust 2021-RPL2 (GSMBS 2021-RPL2 or the
Trust):
-- $331.5 million Class A-1 at AAA (sf)
-- $24.9 million Class A-2 at AA (sf)
-- $356.5 million Class A-3 at AA (sf)
-- $380.7 million Class A-4 at A (sf)
-- $400.4 million Class A-5 at BBB (sf)
-- $24.3 million Class M-1 at A (sf)
-- $19.7 million Class M-2 at BBB (sf)
-- $15.8 million Class B-1 at BB (sf)
-- $12.1 million Class B-2 at B (sf)
The Class A-3, A-4, and A-5 Notes are exchangeable. These classes
can be exchanged for combinations of initial exchangeable notes as
specified in the offering documents.
The AAA (sf) ratings on the Notes reflect 27.55% of credit
enhancement provided by subordinated notes. The AA (sf), A (sf),
BBB (sf), BB (sf), and B (sf) ratings reflect 22.10%, 16.80%,
12.50%, 9.05%, and 6.40% of credit enhancement, respectively.
Other than the specified classes above, DBRS Morningstar does not
rate any other classes in this transaction.
This transaction is a securitization of a portfolio of seasoned
performing and reperforming, primarily first-lien residential
mortgages funded by the issuance of mortgage-backed notes. The
Notes are backed by 3,210 loans with a total principal balance of
$481,671,489 as of the Cut-Off Date (July 31, 2021).
The portfolio is approximately 174 months seasoned and contains
79.4% modified loans. The modifications happened more than two
years ago for 87.5% of the modified loans. Within the pool, 872
mortgages have non-interest-bearing deferred amounts, which equate
to approximately 7.0% of the total principal balance. There are no
HAMP and proprietary principal forgiveness amounts included in the
deferred amounts.
As of the Cut-Off Date, 97.3% of the loans in the pool are current.
Approximately 1.6% is 30 days delinquent under the Mortgage Bankers
Association (MBA) delinquency method, 0.2% is 60 days delinquent,
and 0.9% is in bankruptcy (all bankruptcy loans are performing or
30 days delinquent). Approximately 59.0% of the mortgage loans have
been zero times 30 days delinquent (0 x 30) for at least the past
24 months under the MBA delinquency method.
The majority of the pool (98.2%) is exempt from the Consumer
Financial Protection Bureau Ability-to-Repay (ATR)/Qualified
Mortgage (QM) rules because the loans were originated prior to
January 10, 2014, the date on which the rules became applicable.
The loans subject to the ATR rules are designated as QM Safe Harbor
(0.3%), QM Rebuttable Presumption (< 0.1%), and Non-QM (1.5%).
The Mortgage Loan Sellers, Goldman Sachs Mortgage Company (GSMC;
94.8%) and MTGLQ Investors, L.P (5.2%), acquired the mortgage loans
in various transactions prior to the Closing Date from various
mortgage loan sellers or from an affiliate, GS Mortgage Securities
Corp., which will contribute the loans to the Trust. These loans
were originated and previously serviced by various entities through
purchases in the secondary market.
As the Retaining Sponsor, GSMC, or a majority-owned affiliate, will
retain an eligible vertical interest in the transaction consisting
of an uncertificated interest (the Retained Interest) in the Trust
representing the right to receive at least 5.0% of the amounts
collected on the mortgage loans, net of the Trust's fees,
expenses, and reimbursements and paid on the Notes (other than the
Class R Notes) and the Retained Interest to satisfy the credit risk
retention requirements under Section 15G of the Securities Exchange
Act of 1934 and the regulations promulgated thereunder.
The loans will be serviced by NewRez LLC dba Shellpoint Mortgage
Servicing (100.0%). The initial aggregate servicing fee for the
GSMBS 2021-RPL2 portfolio will be 0.25% per annum.
There will not be any advancing of delinquent principal or interest
on any mortgages by the Servicer or any other party to the
transaction; however, the Servicer is obligated to make advances in
respect to the preservation, inspection, restoration, protection,
and repair of a mortgaged property, which includes delinquent tax
and insurance payments, the enforcement or judicial proceedings
associated with a mortgage loan, and the management and liquidation
of properties (to the extent that the Servicer deems such advances
recoverable).
When the aggregate pool balance of the mortgage loans is reduced to
less than 25% of the Cut-Off Date balance, the Controlling
Noteholder will have the option to purchase all remaining loans and
other property of the Issuer at a specified minimum price. The
Controlling Noteholder will be the beneficial owner of more than
50% the Class B-5 Notes (if no longer outstanding the next most
subordinate Class of Notes, other than Class X).
As a loss mitigation alternative, the Controlling Noteholder may
direct the Servicer to sell mortgage loans that are 90 days or more
delinquent under the MBA delinquency method to unaffiliated
third-party investors in the secondary whole loan market on
arms-length terms and at fair market value to maximize proceeds on
such loans on a net present value basis.
The transaction employs a sequential-pay cash flow structure.
Principal proceeds and excess interest can be used to cover
interest shortfalls on the Notes, but such shortfalls on the Class
M-1 Notes and more subordinate bonds will not be paid from
principal proceeds until the more senior classes are retired.
Excess interest can be used to amortize principal of the notes
after paying transaction parties' fees, Net Weighted-Average
Coupon shortfalls, and making deposits on to the breach reserve
account.
CORONAVIRUS IMPACT
The Coronavirus Disease (COVID-19) pandemic and the resulting
isolation measures have caused an immediate economic contraction,
leading to sharp increases in unemployment rates and income
reductions for many consumers. Shortly after the onset of the
coronavirus, DBRS Morningstar saw an increase in the delinquencies
for many residential mortgage-backed securities (RMBS) asset
classes.
Such mortgage delinquencies were mostly in the form of
forbearances, which are generally short-term periods of payment
relief that may perform very differently from traditional
delinquencies. At the onset of coronavirus, the option to forebear
mortgage payments was widely available, driving forbearances to an
elevated level. When the dust settled, loans with
coronavirus-induced forbearance in 2020 performed better than
expected, thanks to government aid, low loan-to-value ratios, and
acceptable underwriting in the mortgage market in general. Across
nearly all RMBS asset classes in recent months delinquencies have
been gradually trending downward, as forbearance periods come to an
end for many borrowers.
The DBRS Morningstar ratings of AAA (sf) and AA (sf) address the
timely payment of interest and full payment of principal by the
legal final maturity date in accordance with the terms and
conditions of the related Notes. The DBRS Morningstar ratings of A
(sf), BBB (sf), BB (sf), and B (sf) address the ultimate payment of
interest and full payment of principal by the legal final maturity
date in accordance with the terms and conditions of the related
Notes.
Notes: All figures are in U.S. dollars unless otherwise noted.
HILDENE TRUPS 2020-3: Moody's Assigns Ba2 Rating to Cl. C-R Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Hildene TruPS Securitization 2020-3, Ltd. (the
"Issuer" or "Hildene 2020-3").
Moody's rating action is as follows:
US$215,875,000 Class A1-R Senior Secured Floating Rate Notes due
2039, Definitive Rating Assigned Aa1 (sf)
US$36,000,000 Class A2-R Senior Secured Floating Rate Notes due
2039, Definitive Rating Assigned Aa2 (sf)
US$12,000,000 Class B1-R Mezzanine Secured Deferrable Floating Rate
Notes due 2039, Definitive Rating Assigned A2 (sf)
US$24,000,000 Class B2-R Mezzanine Secured Deferrable Floating Rate
Notes due 2039, Definitive Rating Assigned Baa2 (sf)
US$23,375,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2039, Definitive Rating Assigned Ba2 (sf)
The notes listed are referred to herein, collectively, as the
"Rated Notes."
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks, particularly those associated with
the CDO's portfolio and structure.
Hildene 2020-3 is a static cash flow CLO. The issued notes are
collateralized primarily by (1) trust preferred securities
("TruPS") issued by US community banks and their holding companies
and (2) TruPS, subordinated notes and surplus notes issued by
insurance companies and their holding companies.
Hildene Structured Advisors, LLC (the "Manager") will direct the
selection and disposition of the assets on behalf of the Issuer.
The Manager will direct the disposition of any defaulted
securities, deferring securities or credit risk securities. The
transaction prohibits any asset purchases or substitutions at any
time.
In addition to the Rated Notes, the Issuer issued one class of
subordinated notes.
The portfolio of this CDO consists of (1) TruPS issued by 59 US
community banks and (2) TruPS, subordinated notes and surplus notes
issued by 5 insurance companies, the majority of which Moody's does
not rate. Moody's assesses the default probability of bank obligors
that do not have public ratings through credit scores derived using
RiskCalc™, an econometric model developed by Moody's Analytics.
Moody's evaluation of the credit risk of the bank obligors in the
pool relies on FDIC Q1-2021 financial data. Moody's assesses the
default probability of insurance company obligors that do not have
public ratings through credit assessments provided by its insurance
ratings team based on the credit analysis of the underlying
insurance companies' annual statutory financial reports. Moody's
assumes a fixed recovery rate of 10% for both the bank and
insurance obligations.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $359,911,000
Weighted Average Rating Factor (WARF): 665
Weighted Average Spread (WAS): 2.59%
Weighted Average Coupon (WAC): 6.72%
Weighted Average Recovery Rate (WARR): 10.0%
Weighted Average Life (WAL): 13.06 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS CDOs" published in July 2021.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The portfolio consists primarily
of unrated assets whose default probability Moody's assesses
through credit scores derived using RiskCalc(TM) or credit
assessments. Because these are not public ratings, they are subject
to additional estimation uncertainty.
IMPERIAL FUND 2021-NQM2: DBRS Gives Prov. B Rating on B-2 Certs
---------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following Mortgage
Pass-Through Certificates, Series 2021-NQM2 to be issued by
Imperial Fund Mortgage Trust 2021-NQM2:
-- $161.9 million Class A-1 at AAA (sf)
-- $17.8 million Class A-2 at AA (sf)
-- $27.5 million Class A-3 at A (sf)
-- $10.3 million Class M-1 at BBB (sf)
-- $8.1 million Class B-1 at BB (sf)
-- $6.9 million Class B-2 at B (sf)
The AAA (sf) rating on the Class A-1 Certificates reflects 31.80%
of credit enhancement provided by subordinated Certificates. The AA
(sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 24.30%,
12.70%, 8.35%, 4.95%, and 2.05% of credit enhancement,
respectively.
Other than the specified classes above, DBRS Morningstar does not
rate any other classes in this transaction.
This a securitization of a portfolio of fixed- and adjustable-rate
prime and non-prime first-lien residential mortgages funded by the
issuance of the Certificates. The Certificates are backed by 523
loans with a total principal balance of $237,425,844 as of the
Cut-Off Date (July 1, 2021).
The originators for the mortgage pool are A&D Mortgage LLC (ADM;
98.6%) and others (1.4%). ADM originated the mortgages primarily
under the following six programs:
-- Super Prime
-- Prime
-- DSCR
-- Foreign National – Full Doc
-- Foreign National – DSCR
-- Premier
ADM is the Servicer for all loans. Specialized Loan Servicing LLC
(SLS) will subservice the mortgage loans beginning on or about the
Closing Date. Imperial Fund will act as the Sponsor and Servicing
Administrator and Nationstar Mortgage LLC (Nationstar) will act as
the Master Servicer. Citibank, N.A. (rated AA (low) with a Stable
trend by DBRS Morningstar) will act as the Securities Administrator
and Certificate Registrar. Wilmington Trust, National Association
(rated AA (low) with a Negative trend by DBRS Morningstar) will
serve as the Custodian and Wilmington Savings Fund Society, FSB
will act as the Trustee.
In accordance with U.S. credit risk retention requirements,
Imperial Fund as the Sponsor, either directly or through a
majority-owned affiliate, will retain an eligible horizontal
residual interest consisting of the Class X Certificates and the
requisite amount of the Class B-3 Certificates (together, the Risk
Retained Certificates), representing not less than 5% economic
interest in the transaction, to satisfy the requirements under
Section 15G of the Securities and Exchange Act of 1934 and the
regulations promulgated thereunder. Such retention aligns Sponsor
and investor interest in the capital structure.
Although the applicable mortgage loans were originated to satisfy
the Consumer Financial Protection Bureau (CFPB) ability-to-repay
(ATR) rules, they were made to borrowers who generally do not
qualify for agency, government, or private-label nonagency prime
products for various reasons described above. In accordance with
the CFPB Qualified Mortgage (QM)/ATR rules, 66.0% are designated as
non-QM. Approximately 34.0% of the loans are made to investors for
business purposes and are thus not subject to the QM/ATR rules.
The Servicer will generally fund advances of delinquent principal
and interest (P&I) on any mortgage until such loan becomes 90 days
delinquent, contingent upon recoverability determination. The
Servicer is also obligated to make advances in respect of taxes,
insurance premiums, and reasonable costs incurred in the course of
servicing and disposing of properties.
The Seller will have the option, but not the obligation, to
repurchase any nonliquidated mortgage loan that is 90 or more days
delinquent under the Mortgage Bankers Association (MBA) method (or,
in the case of any Coronavirus Disease (COVID-19) forbearance loan,
if such mortgage loan becomes 90 or more days MBA Delinquent after
the related forbearance period ends) at the Repurchase Price,
provided that such repurchases in aggregate do not exceed 7.5% of
the total principal balance as of the Cut-Off Date.
On or after August 2024, Imperial Fund II Mortgage Depositor LLC
(the Depositor) has the option to purchase all outstanding
certificates (Optional Redemption) at a price equal to the
outstanding class balance plus accrued and unpaid interest,
including any cap carryover amounts. After such a purchase, the
Depositor then has the option to complete a qualified liquidation,
which requires a complete liquidation of assets within the Trust
and the distribution of proceeds to the appropriate holders of
regular or residual interests.
On any date following the date on which the collateral pool balance
is less than or equal to 10% of the Cut-Off Date balance, the
Servicing Administrator and the Servicer will have the option to
terminate the transaction by purchasing all of the mortgage loans
and any real estate owned (REO) property at a price equal to the
sum of the aggregate stated principal balance of the mortgage loans
(other than any REO property) plus applicable accrued interest
thereon, the lesser of the fair market value of any REO property
and the stated principal balance of the related loan, and any
outstanding and unreimbursed advances, accrued and unpaid fees, and
expenses that are payable or reimbursable to the transaction
parties (Optional Termination). An Optional Termination is
conducted as a qualified liquidation.
The transaction employs a sequential-pay cash flow structure with a
pro rata principal distribution among the senior tranches. Interest
payments and shortfalls on the Class A-1, A-2, and A-3 Certificates
can be paid sequentially from the principal remittance waterfall
when the trigger event is not in effect. Principal proceeds can
also be used to cover interest shortfalls on the Class A-1 and A-2
Certificates sequentially (IIPP) after a delinquency or cumulative
loss trigger event has occurred. For more subordinate Certificates,
principal proceeds can be used to cover interest shortfalls as the
more senior Certificates are paid in full. Furthermore, excess
spread can be used to cover realized losses and prior period bond
writedown amounts first before being allocated to unpaid cap
carryover amounts to Class A-1 down to Class B-1.
Coronavirus Pandemic Impact
The coronavirus pandemic and the resulting isolation measures
caused an immediate economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
consumers. DBRS Morningstar saw increases in delinquencies for many
residential mortgage-backed securities (RMBS) asset classes shortly
after the onset of the pandemic.
Such mortgage delinquencies were mostly in the form of
forbearances, which are generally short-term payment reliefs that
may perform very differently from traditional delinquencies.
Because the option to forebear mortgage payments was so widely
available at the onset of the pandemic, it drove forbearances to a
very high level. When the dust settled, coronavirus-induced
forbearances in 2020 performed better than expected, thanks to
government aid, low loan-to-value ratios, and good underwriting in
the mortgage market in general. Across nearly all RMBS asset
classes, delinquencies have been gradually trending down in recent
months as the forbearance period comes to an end for many
borrowers.
Notes: All figures are in U.S. dollars unless otherwise noted.
JAMESTOWN CLO IX: S&P Assigns BB- (sf) Rating on Class D-RR Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Jamestown CLO IX Ltd.'s
floating-rate notes. This is a reset of the transaction that
initially closed in September 2016. S&P Global Ratings did not rate
the initial transaction.
The note issuance is a CLO securitization backed by primarily
broadly syndicated speculative-grade (rated 'BB+' and lower) senior
secured term loans. The transaction is managed by Investcorp Credit
Management US LLC, a subsidiary of Investcorp Group.
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 management team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Jamestown CLO IX Ltd.
Class X, $4.00 million: AAA (sf)
Class A-1-RR, $247.50 million: AAA (sf)
Class A-2-RR, $47.70 million: AA (sf)
Class B-RR, $29.70 million: A (sf)
Class C-RR, $23.10 million: BBB- (sf)
Class D-RR, $15.30 million: BB- (sf)
Subordinated notes, $61.825 million: Not rated
JP MORGAN 2021-11: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs
----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 55
classes of residential mortgage-backed securities (RMBS) issued by
J.P. Morgan Mortgage Trust (JPMMT) 2021-11. The ratings range from
(P)Aaa (sf) to (P)B3 (sf).
JPMMT 2021-11 is the eleventh prime jumbo transaction in 2021
issued by J.P. Morgan Mortgage Acquisition Corporation (JPMMAC).
The credit characteristic of the mortgage loans backing this
transaction is similar to both recent JPMMT transactions and other
prime jumbo issuers that Moody's have rated. Moody's consider the
overall servicing framework for this pool to be adequate given the
servicing arrangement of the servicers, as well as the presence of
an experienced master servicer to oversee the servicers.
JPMMT 2021-11 has a shifting interest structure with a five-year
lockout period that benefits from a senior subordination floor and
a subordinate floor. Moody's coded the cash flow to each of the
certificate classes using Moody's proprietary cash flow tool. In
coding the cash flow, Moody's took into account the step-up
incentive servicing fee structure.
In this transaction, the Class A-11, A-11-A and A-11-B notes'
coupon is indexed to SOFR. However, based on the transaction's
structure, the particular choice of benchmark has no credit impact.
First, interest payments to the notes, including the floating rate
notes, are subject to the net WAC cap, which prevents the floating
rate notes from incurring interest shortfalls as a result of
increases in the benchmark index above the fixed rates at which the
assets bear interest. Second, the shifting-interest structure pays
all interest generated on the assets to the bonds and does not
provide for any excess spread.
Moody's base its ratings on the certificates on the credit quality
of the mortgage loans, the structural features of the transaction,
Moody's assessments of the origination quality and servicing
arrangement, the strength of the third-party review (TPR) and the
representations and warranties (R&W) framework of the transaction.
The complete rating actions are as follows:
Issuer: J.P. Morgan Mortgage Trust 2021-11
Cl. A-1, Assigned (P)Aaa (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. A-3-A, Assigned (P)Aaa (sf)
Cl. A-3-X*, Assigned (P)Aaa (sf)
Cl. A-4, Assigned (P)Aaa (sf)
Cl. A-4-A, Assigned (P)Aaa (sf)
Cl. A-4-X*, Assigned (P)Aaa (sf)
Cl. A-5, Assigned (P)Aaa (sf)
Cl. A-5-A, Assigned (P)Aaa (sf)
Cl. A-5-B, Assigned (P)Aaa (sf)
Cl. A-5-X*, Assigned (P)Aaa (sf)
Cl. A-6, Assigned (P)Aaa (sf)
Cl. A-6-A, Assigned (P)Aaa (sf)
Cl. A-6-X*, Assigned (P)Aaa (sf)
Cl. A-7, Assigned (P)Aaa (sf)
Cl. A-7-A, Assigned (P)Aaa (sf)
Cl. A-7-B, Assigned (P)Aaa (sf)
Cl. A-7-X*, Assigned (P)Aaa (sf)
Cl. A-8, Assigned (P)Aaa (sf)
Cl. A-8-A, Assigned (P)Aaa (sf)
Cl. A-8-X*, Assigned (P)Aaa (sf)
Cl. A-9, Assigned (P)Aaa (sf)
Cl. A-9-A, Assigned (P)Aaa (sf)
Cl. A-9-X*, Assigned (P)Aaa (sf)
Cl. A-10, Assigned (P)Aaa (sf)
Cl. A-10-A, Assigned (P)Aaa (sf)
Cl. A-10-X*, Assigned (P)Aaa (sf)
Cl. A-11, Assigned (P)Aaa (sf)
Cl. A-11-X*, Assigned (P)Aaa (sf)
Cl. A-11-A, Assigned (P)Aaa (sf)
Cl. A-11-AI*, Assigned (P)Aaa (sf)
Cl. A-11-B, Assigned (P)Aaa (sf)
Cl. A-11-BI*, Assigned (P)Aaa (sf)
Cl. A-12, Assigned (P)Aaa (sf)
Cl. A-13, Assigned (P)Aaa (sf)
Cl. A-14, Assigned (P)Aa1 (sf)
Cl. A-15, Assigned (P)Aa1 (sf)
Cl. A-15-A, Assigned (P)Aa1 (sf)
Cl. A-15-X*, Assigned (P)Aa1 (sf)
Cl. A-16, Assigned (P)Aaa (sf)
Cl. A-17, Assigned (P)Aaa (sf)
Cl. A-X-1*, Assigned (P)Aaa (sf)
Cl. A-X-2*, Assigned (P)Aaa (sf)
Cl. A-X-3*, Assigned (P)Aaa (sf)
Cl. A-X-4*, Assigned (P)Aa1 (sf)
Cl. B-1, Assigned (P)Aa3 (sf)
Cl. B-1-A, Assigned (P)Aa3 (sf)
Cl. B-1-X*, Assigned (P)Aa3 (sf)
Cl. B-2, Assigned (P)A3 (sf)
Cl. B-2-A, Assigned (P)A3 (sf)
Cl. B-2-X*, Assigned (P)A3 (sf)
Cl. B-3, Assigned (P)Baa3 (sf)
Cl. B-4, Assigned (P)Ba3 (sf)
Cl. B-5, Assigned (P)B3 (sf)
*Reflects Interest-Only Classes
RATINGS RATIONALE
Moody's expected loss for this pool in a baseline scenario-mean is
0.49%, in a baseline scenario-median is 0.31%, and reaches 4.01% at
a stress level consistent with Moody's Aaa ratings.
The action reflects the coronavirus pandemic's residual impact on
the ongoing performance of US RMBS as the US economy continues on
the path toward normalization. Economic activity will continue to
strengthen in 2021 because of several factors, including the
rollout of vaccines, growing household consumption and an
accommodative central bank policy. However, specific sectors and
individual businesses will remain weakened by extended pandemic
related restrictions.
Moody's regard the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.
Moody's increased its model-derived median expected losses by
10.00% and Moody's Aaa loss by 2.50% to reflect the likely
performance deterioration resulting from the slowdown in US
economic activity due to the coronavirus outbreak.
These adjustments are lower than the 15% median expected loss and
5% Aaa loss adjustments made on pools from deals issued after the
onset of the pandemic until February 2021. Moody's reduced
adjustments reflect the fact that the loan pool in this deal does
not contain any loans to borrowers who are not currently making
payments. For newly originated loans, post-COVID underwriting takes
into account the impact of the pandemic on a borrower's ability to
repay the mortgage. For seasoned loans, as time passes, the
likelihood that borrowers who have continued to make payments
throughout the pandemic will now become non-cash flowing due to
COVID-19 continues to decline.
Collateral Description
Moody's assessed the collateral pool as of August 1, 2021, the
cut-off date. The deal will be backed by 1,722 fully amortizing
fixed-rate mortgage loans with an aggregate unpaid principal
balance (UPB) of $1,612,922,608 and an original term to maturity of
up to 30 years. The pool consists of prime jumbo non-conforming
(92.8% by UPB) and GSE-eligible conforming (7.2% by UPB) mortgage
loans. The GSE-eligible loans were underwritten pursuant to GSE
guidelines and were approved by DU/LP.
All the loans with the exception of 501 loans were underwritten
pursuant to the new general QM rule. The other loans in the pool
either meet Appendix Q to the QM rules or the QM GSE patch.
There are 1,221 loans originated pursuant to the new general QM
rule in this pool. The third party review verified that the loans'
APRs met the QM rule's thresholds (APOR + 1.5%). Furthermore, these
loans were underwritten and documented pursuant to the QM rule's
verification safe harbor via a mix of the Fannie Mae Single Family
Selling Guide, the Freddie Mac Single-Family Seller/Servicer Guide,
and the applicable program overlays. As part of the origination
quality review and based on the documentation information Moody's
received in the ASF tape, Moody's concluded that these loans were
fully documented and therefore, Moody's ran these loans as "full
documentation" loans in Moody's MILAN model.
Overall, the pool is of strong credit quality and includes
borrowers with high FICO scores (weighted average primary borrower
FICO of 776), low loan-to-value ratios (WA CLTV 69.4%), high
borrower monthly incomes (about $28,529) and substantial liquid
cash reserves (about $238,257.6), on a weighted-average basis,
respectively, which have been verified as part of the underwriting
process and reviewed by the TPR firms. Approximately 49.9% of the
mortgage loans (by balance) were originated in California which
includes metropolitan statistical areas (MSAs) San Francisco (10.9%
by UPB) and Los Angeles (18.5% by UPB). The high geographic
concentration in high-cost MSAs is reflected in the high average
balance of the pool ($936,657). Approximately 22.86% of the
mortgage loans are designated as safe harbor Qualified Mortgages
(QM) and meet Appendix Q to the QM rules, 71.47% of the mortgage
loans are designated as Safe Harbor APOR loans, for which mortgage
loans are not underwritten to meet Appendix Q but satisfy AUS with
additional overlays of originators.
As of the cut-off date, none of the borrowers of the mortgage loans
have inquired about or requested forbearance plans with the related
servicer or have previously entered into a COVID-19 related
forbearance plan with the related servicer. Certain borrowers may
become subject to forbearance plans or other payment relief plans
following the cutoff date. In the event a borrower requests or
enters into a COVID-19 related forbearance plan after the cut-off
date but prior to the closing date, JPMMAC will remove such
mortgage loan from the mortgage pool and remit the related closing
date substitution amount. In the event that after the closing date
a borrower enters into or requests a COVID-19 related forbearance
plan, such mortgage loan (and the risks associated with it) will
remain in the mortgage pool.
Aggregation/Origination Quality
Moody's consider JPMMAC's aggregation platform to be adequate and
Moody's did not apply a separate loss-level adjustment for
aggregation quality. In addition to reviewing JPMMAC aggregation
quality, Moody's have also reviewed the origination quality of
originator(s) contributing a significant percentage of the
collateral pool (above 10%) and MAXEX Clearing LLC (an
aggregator).
United Wholesale Mortgage, LLC (UWM) and loanDepot (loanDepot.com,
LLC) sold/originated approximately 65.3% and 16.8% of the mortgage
loans (by UPB) in the pool. The remaining originators each account
for less than 5.0% (by UPB) in the pool (18.0% by UPB in the
aggregate). Approximately 1.13% (by UPB) of the mortgage loans were
acquired by JPMMAC from MAXEX Cleaning, LLC (aggregator),
respectively, which purchased such mortgage loans from the related
originators or from an unaffiliated third party which directly or
indirectly purchased such mortgage loans from the related
originators.
Moody's did not make an adjustment for GSE-eligible loans, since
those loans were underwritten in accordance with GSE guidelines.
Moody's increased its base case and Aaa loss expectations for
certain originators (except being neutral for Guaranteed Rate
Parties and loanDepot) of non-conforming loans where Moody's do not
have clear insight into the underwriting practices, quality control
and credit risk management.
United Wholesale Mortgage originated approximately 65.3% of the
mortgage loans by pool balance. The majority of these loans were
originated under UWM's prime jumbo program which are processed
using the Desktop Underwriter (DU) automated underwriting system,
and are therefore predominantly underwritten to Fannie Mae
guidelines. The loans receive a DU Approve Ineligible feedback due
to the 1) loan amount or 2) LTV for non-released prime jumbo
cash-out refinances is over 80%. Moody's increased its loss
expectations for UWM loans due mostly to the fact that underwriting
prime jumbo loans mainly through DU is fairly new and no
performance history has been provided to Moody's on these types of
loans. More time is needed to assess UWM's ability to consistently
produce high-quality prime jumbo residential mortgage loans under
this program.
Loans underwritten to the new general QM rule: The loan pool
backing this transaction includes 1,101 UWM loans originated
pursuant to the new general QM rule. To satisfy the new rule, UWM
implemented its prime jumbo underwriting overlays over the GSE
Automated Underwriting System (AUS) for applications on or after
March 1, 2021. Under UWM's new general QM underwriting, the APR on
all loans will not exceed the average prime offer rate (APOR)
+1.5%, and income and asset documentation will be governed by the
following, designed to meet the verification safe harbor provisions
of the new QM Rule: (i) applicable overlays, (ii) one of (x) Fannie
Mae Single Family Selling Guide or (y) Freddie Mac guidelines and
(iii) Desktop Underwriter.
LoanDepot originated approximately 16.8% of the mortgage loans by
pool balance. Moody's consider loanDepot's origination quality to
be in line with its peers due to: (1) adequate underwriting
policies and procedures, (2) acceptable performance with low
delinquency and repurchase and (3) adequate quality control.
Therefore, Moody's have not made an origination adjustment for
loanDepot loans.
loanDepot JumboAdvantage Express (tailored for the new general QM
rule): The loan pool backing this transaction includes 76 loanDepot
loans originated pursuant to the new general QM rule. To satisfy
the new rule, loanDepot implemented its non-agency JumboAdvantage
Express program for applications on or after March 1, 2021. Under
the program, the APR on all loans will not exceed the average prime
offer rate (APOR) +1.5%, and income and asset documentation will be
governed by the following, designed to meet the verification safe
harbor provisions of the new QM Rule harbor via a mix of the Fannie
Mae Single Family Selling Guide, the Freddie Mac Single-Family
Seller/ Servicer Guide, and the applicable program overlays.
Servicing Arrangement
Moody's consider the overall servicing framework for this pool to
be adequate given the servicing arrangement of the servicers, as
well as the presence of an experienced master servicer. Nationstar
Mortgage LLC (Nationstar) (Nationstar Mortgage Holdings Inc.
corporate family rating B2) will act as the master servicer.
Cenlar FSB (United Shore Financing Services, LLC d/b/a United
Wholesale Mortgage and Shore Mortgage), NewRez LLC f/k/a New Penn
Financial, LLC d/b/a Shellpoint Mortgage Servicing and Cenlar FSB
(loanDepot.com, LLC) are the principal servicers in this
transaction and will service approximately 65.25%, 17.86% and
16.78% loans (by UPB) of the mortgage, respectively. Shellpoint
will act as interim servicer for these mortgage loans from the
closing date until the servicing transfer date, which is expected
to occur on or about October 1, 2021 (but which may occur after
such date). After the servicing transfer date, these mortgage loans
will be serviced by JPMCB.The servicers are required to advance P&I
on the mortgage loans. To the extent that the servicers are unable
to do so, the master servicer will be obligated to make such
advances. In the event that the master servicer, Nationstar, is
unable to make such advances, the securities administrator,
Citibank, N.A. (rated Aa3) will be obligated to do so to the extent
such advance is determined by the securities administrator to be
recoverable. The servicing fee for loans in this transaction will
be predominantly based on a step-up incentive fee structure with a
monthly base fee of $40 per loan and additional fees for delinquent
or defaulted loans (fixed fee framework servicers, which will be
paid a monthly flat servicing fee equal to one-twelfth of 0.25% of
the remaining principal balance of the mortgage loans, account for
less than 1.00% of UPB).
Third-Party Review
The transaction benefits from a TPR on 100% of the loans for
regulatory compliance, credit and property valuation. The TPR
results confirm compliance with the originator's underwriting
guidelines for the vast majority of loans, no material regulatory
compliance issues, and no material property valuation issues. The
loans that had exceptions to the originator's underwriting
guidelines had significant compensating factors that were
documented.
R&W Framework
Moody's review of the R&W framework takes into account the
financial strength of the R&W providers, scope of R&Ws (including
qualifiers and sunsets) and enforcement mechanisms. JPMMT 2021-11's
R&W framework is in line with that of other JPMMT transactions
Moody's have rated where an independent reviewer is named at
closing, and costs and manner of review are clearly outlined at
issuance. The loan-level R&Ws meet or exceed the baseline set of
credit-neutral R&Ws Moody's have identified for US RMBS. The R&W
framework is "prescriptive", whereby the transaction documents set
forth detailed tests for each R&W.
The originators and the aggregators each makes a comprehensive set
of R&Ws for their loans. The creditworthiness of the R&W provider
determines the probability that the R&W provider will be available
and have the financial strength to repurchase defective loans upon
identifying a breach. JPMMAC does not backstop the originator R&Ws,
except for certain "gap" R&Ws covering the period from the date as
of which such R&W is made by an originator or an aggregator,
respectively, to the cut-off date or closing date. In this
transaction, Moody's made adjustments to Moody's base case and Aaa
loss expectations for R&W providers that are unrated and/or
financially weaker entities.
Transaction Structure
The transaction has a shifting interest structure in which the
senior bonds benefit from a number of protections. Funds collected,
including principal, are first used to make interest payments to
the senior bonds. Next, principal payments are made to the senior
bonds. Next, available distribution amounts are used to reimburse
realized losses and certificate write-down amounts for the senior
bonds (after subordinate bonds have been reduced to zero i.e. the
credit support depletion date). Finally, interest and then
principal payments are paid to the subordinate bonds in sequential
order. Realized losses are allocated in a reverse sequential order,
first to the lowest subordinate bond. After the balance of the
subordinate bonds is written off, losses from the pool begin to
write off the principal balance of the senior support bond, and
finally losses are allocated to the super senior bonds.
The Class A-11, A-11-A and A-11-B Certificates will have a
pass-through rate that will vary directly with the SOFR rate and
the Class A-11-X Certificates will have a pass-through rate that
will vary inversely with the SOFR rate.
Tail Risk & Subordination Floor
The transaction cash flows follow a shifting interest structure
that allows subordinate bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinate bonds to pay down over time as the loan pool
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 0.50% of the cut-off date pool
balance, and as subordination lockout amount of 0.40% of the
cut-off date pool balance. Moody's calculate the credit neutral
floors as shown in Moody's principal methodology.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
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.
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in August 2021.
JP MORGAN 2021-INV4: S&P Assigns B- (sf) Rating on Class B-5 Certs
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to J.P. Morgan Mortgage
Trust 2021-INV4's mortgage pass-through certificates.
The certificate issuance is an RMBS transaction backed by
first-lien, fixed-rate, fully amortizing investment property
mortgage loans secured by one- to four-family residential
properties, condominiums, and planned-unit developments to
primarily prime borrowers.
The ratings reflect S&P's view of:
-- The high-quality collateral in the pool;
-- The transaction's available credit enhancement, associated
structural mechanics, geographic concentration, and representation
and warranty framework;
-- The experienced aggregator; and
-- The 100% due diligence results consistent with represented loan
characteristics.
Ratings Assigned
J.P. Morgan Mortgage Trust 2021-INV4
Class A-1, $509,771,000: AAA (sf)
Class A-1-A, $509,771,000: AAA (sf)
Class A-1-X, 509,771,000(i): AAA (sf)
Class A-2, $481,451,000: AAA (sf)
Class A-2-A, $481,451,000: AAA (sf)
Class A-2-X, 481,451,000(i): AAA (sf)
Class A-3, $361,088,000: AAA (sf)
Class A-3-A, $361,088,000: AAA (sf)
Class A-3-X, 361,088,000(i): AAA (sf)
Class A-4, $120,363,000: AAA (sf)
Class A-4-A, $120,363,000: AAA (sf)
Class A-4-X, 120,363,000(i): AAA (sf)
Class A-5, $28,320,000: AAA (sf)
Class A-5-A, $28,320,000: AAA (sf)
Class A-5-X, $28,320,000(i): AAA (sf)
Class A-X-1, $509,771,000(i): AAA (sf)
Class B-1, $22,090,000: AA- (sf)
Class B-2, $9,913,000: A- (sf)
Class B-3, $10,478,000: BBB- (sf)
Class B-4, $6,797,000: BB- (sf)
Class B-5, $4,531,000: B- (sf)
Class B-6, $2,832,986: Not rated
Class A-R, not applicable: Not rated
(i)Notional balance.
JP MORGAN 2021-INV4: S&P Assigns Prelim 'B-' Rating on B-5 Certs
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to J.P. Morgan
Mortgage Trust 2021-INV4's mortgage pass-through certificates.
The certificate issuance is an RMBS securitization backed by
first-lien, fixed-rate, fully amortizing investment property
mortgage loans secured by one- to four-family residential
properties, condominiums, and planned-unit developments to
primarily prime borrowers.
The preliminary ratings are based on information as of Aug. 27,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The high-quality collateral in the pool;
-- The available credit enhancement;
-- The transaction's associated structural mechanics;
-- The representation and warranty framework for this
transaction;
-- The geographic concentration;
-- The experienced aggregator; and
-- The 100% due diligence results consistent with represented loan
characteristics.
Preliminary Ratings Assigned
J.P. Morgan Mortgage Trust 2021-INV4
Class A-1, $509,771,000: AAA (sf)
Class A-1-A, $509,771,000: AAA (sf)
Class A-1-X, 509,771,000(i): AAA (sf)
Class A-2, $481,451,000: AAA (sf)
Class A-2-A, $481,451,000: AAA (sf)
Class A-2-X, 481,451,000(i): AAA (sf)
Class A-3, $361,088,000: AAA (sf)
Class A-3-A, $361,088,000: AAA (sf)
Class A-3-X, 361,088,000(i): AAA (sf)
Class A-4, $120,363,000: AAA (sf)
Class A-4-A, $120,363,000: AAA (sf)
Class A-4-X, 120,363,000(i): AAA (sf)
Class A-5, $28,320,000: AAA (sf)
Class A-5-A, $28,320,000: AAA (sf)
Class A-5-X, $28,320,000(i): AAA (sf)
Class A-X-1, $509,771,000(i): AAA (sf)
Class B-1, $22,090,000: AA- (sf)
Class B-2, $9,913,000: A- (sf)
Class B-3, $10,478,000: BBB- (sf)
Class B-4, $6,797,000: BB- (sf)
Class B-5, $4,531,000: B- (sf)
Class B-6, $2,832,986: Not rated
Class A-R, not applicable: Not rated
(i)Notional balance.
KREF 2021-FL2: DBRS Finalizes B(low) Rating on 3 Classes
---------------------------------------------------------
DBRS, Inc. finalized provisional ratings on the following classes
of notes issued by KREF 2021-FL2 Ltd:
-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class F-E at BB (low) (sf)
-- Class F-X at BB (low) (sf)
-- Class G at B (low) (sf)
-- Class G-E at B (low) (sf)
-- Class G-X at B (low) (sf)
All trends are Stable.
The Issuer elected to make certain updates to the structure of the
transaction after DBRS Morningstar assigned provisional ratings on
July 19, 2021. The Issuer added additional proceeds into the
proposed structure in the amount of $300.0 million to bring the
total transaction structure from $1.0 billion to $1.3 billion. The
resulting upsizing was not directly proportional to the initial
loan contribution percentages and as a result several loans have
fluctuated in the overall pool composition compared to
announcement. The Issuer has since updated the class balances
across the capital stack to reflect the change in pool size. Please
note that the change in pool size did not result in a change in
credit enhancement levels and the assigned DBRS Morningstar ratings
to all classes remains unchanged. The Issuer reannounced the
transaction with the updated class balances and corresponding
credit enhancement levels.
With regard to the Coronavirus Disease (COVID-19) pandemic, the
magnitude and extent of performance stress posed to global
structured finance transactions remain highly uncertain. This
considers the fiscal and monetary policy measures and statutory law
changes that have already been implemented or will be implemented
to soften the impact of the crisis on global economies. Some
regions, jurisdictions, and asset classes are, however, feeling
more immediate effects. Accordingly, DBRS Morningstar may apply
additional short-term stresses to its rating analysis. For example,
DBRS Morningstar may front-load default expectations and/or assess
the liquidity position of a structured finance transaction with
more stressful operational risk and/or cash flow timing
considerations.
Notes: All figures are in U.S. dollars unless otherwise noted.
M360 2019-CRE2: DBRS Confirms B(low) Rating on Class G Notes
------------------------------------------------------------
DBRS, Inc. confirmed its ratings on the following classes of
floating-rate notes issued by M360 2019-CRE2, Ltd:
-- Class A Senior Secured Floating Rate Notes at AAA (sf)
-- Class A-S Second Priority Secured Floating Rate Notes at AAA
(sf)
-- Class B Third Priority Secured Floating Rate Notes at AA (low)
(sf)
-- Class C Fourth Priority Secured Floating Rate Notes at A (low)
(sf)
-- Class D Fifth Priority Secured Floating Rate Notes at BBB
(high) (sf)
-- Class E Sixth Priority Secured Floating Rate Notes at BBB (low)
(sf)
-- Class F Non-Offered Floating Rate Notes at BB (low) (sf)
-- Class G Non-Offered Floating Rate Notes at B (low) (sf)
The trends for Classes A, A-S, B, C, D, and E were changed to
Stable from Negative, while Classes F and G still have Negative
trends.
The rating confirmations and Stable trends reflect the generally
stable performance of the transaction. In conjunction with this
press release, DBRS Morningstar has published its Surveillance
Performance Update report with in-depth analysis and credit metrics
for the transaction with business plan updates on the select loans.
To access this report, please click on the link under Related
Documents below or by contacting us at info@dbrsmorningstar.com.
The transaction closed in August 2019 and the initial collateral
consisted of 32 floating-rate mortgages secured by 32 mostly
transitional properties with a maximum trust balance totaling
$360.0 million. Per the August 2021 remittance report, there were
30 mortgages secured by 30 properties remaining in the pool with a
total trust balance of $320.8 million, representing a 10.9%
collateral reduction. The reinvestment period concluded in April
2021 and the transaction is paying sequentially. Since August 2020,
13 loans totaling $91.2 million, or 25.3% of the maximum trust
balance, exited the pool with most of these loans being secured by
office properties. Five loans totaling $55.7 million, or 15.5% of
the maximum trust balance, which generally exhibited lower expected
losses compared with the recently exited loans, were added to the
pool. The pool concentrations for office and retail properties have
been reduced to 31.2% and 14.7% of the pool balance, respectively,
as of the August 2021 remittance report, compared with the issuance
figures of 40.2% and 17.8%, respectively. The concentrations of
multifamily and mixed-use properties, which have historically
exhibited less risk, have increased to 20.6% and 19.7%,
respectively, as of August 2021.
Four loans, totaling 17.1% of the trust balance, are in special
servicing as of August 2021. One loan, St. Paul Athletic Club
(Prospectus ID#18 – 2.1% of the pool balance), was hypothetically
liquidated from the pool as part of this analysis and the
probability of default for Baytech Research Center (Prospectus ID#7
– 4.5% of the pool balance) was increased to account for
increased default risk. The Shops at Mauna Lani loan (Prospectus
ID#4 – 6.1% of the pool balance) recently transferred to the
special servicer in July 2021; however, the reason for the transfer
and the workout plan were not provided. DBRS Morningstar is
obtaining additional information regarding the transfer. Nine
additional loans, representing 30.1% of the trust balance, are on
the servicer's watchlist primarily because of low occupancy rates
and low debt service coverage ratios. Probability of default
adjustments were made to the various watchlist loans because of
increased default risk since issuance.
The St. Paul Athletic Club Building loan is secured by the leased
fee interest in a 13-story mixed-use asset in Saint Paul,
Minnesota. The asset contains a traditional office, banquet space,
an athletic club, and a boutique hotel containing 56 rooms. The
property was substantially affected by the Coronavirus Disease
(COVID-19) pandemic, and the special servicer approved a 90-day
forbearance package through June 2020 and granted an additional
90-day extension of the forbearance. The property was reappraised
in August 2020 for a value of $8.5 million, down from the appraised
value of $12.3 million at issuance, and the loan transferred to the
special servicer in October 2020. In April 2021, a reinstatement
agreement was executed effective October 2020 whereby (i) the
payment accommodation provided in the forbearance agreement was
modified and extended to June 2021, with an option to extend with
special servicer approval to December 2021, and (ii) the
reallocation of Flex Future Funding is permitted for property
protective advances (taxes, liens, insurance, utilities), and
approved capital expenditures. Upon full repayment, the accrued
interest in connection with the payment accommodation will be
subject to a decreasing percentage discount based on the payoff
date, commencing with a 42.5% reduction and decreasing to a 25%
reduction if paid-in-full by the January 2022 maturity date. As of
the most recent rent roll from September 2020, the property was
66.2% occupied; however, the occupancy rate is anticipated to be
approximately 57.3% after reports of the St. Scholastica tenant
vacating upon lease expiration in December 2020. The two remaining
tenants are St. Paul Athletic Club (45.3% of net rentable area
(NRA); lease expiration of November 2028) and Hotel 340 (12.0% of
NRA; lease expiration of December 2020). The athletic club's
website notes the club has reopened; however, fitness classes are
conducted offsite as the air conditioning units are down and are
being repaired, which is expected to be completed in September
2021. Per the hotel's website, a portion of the hotel is being
rented out on a short-term basis for pandemic-related uses. DBRS
Morningstar hypothetically liquidated the loan from the pool based
on the August 2020 appraised value resulting in an implied loss
severity in excess of 10.0%.
The Baytech Research Center loan is secured by a two-story,
suburban research and development (R&D) office building in San
Jose, California, and is part of the Alviso Tech Park. At issuance,
the single tenant, HyperGrid, a cloud-based software company that
was related to the sponsor at the time, exercised an option to
purchase the property in January 2019 for $14.0 million. In 2018, a
major tech company had expressed an interest in purchasing the
entire Alviso Tech Park and as such, HyperGrid vacated the subject
in late 2018 in order to make the subject more attractive for a
sale and to allow the new tenant to take occupancy quicker.
HyperGrid was expected to continue its rental payments as its lease
was scheduled to expire in May 2027; however, HyperGrid terminated
its lease in May 2019, one month after the sponsor stepped down
from his position as chief operating officer at HyperGrid. The loan
transferred to the special servicer in July 2021 as the borrower
failed to make more than one payment under the modification terms
and loan payments are now more than 90 days delinquent with real
estate taxes outstanding. The collateral was reappraised in April
2021 at an as-is value of $12.7 million, down from the as-is
appraised value of $20.3 million at issuance. According to Q2 2021
Reis data, the North San Jose/Milpitas Flex/R&D submarket reported
an average asking rent of $16.64 per square foot (psf) and an
average vacancy rate of 20.8% compared with the entire San Jose
market of $17.96 psf and 15.5%, respectively. At year-end (YE) 2019
(pre-pandemic), the submarket reported an average asking rent of
$16.31 psf and an average vacancy rate of 15.8%. Reis projects the
average asking rent to increase to $17.42 psf and for the vacancy
rate to decline to 18.1% by YE2022. The probability of default was
increased given the multiple relief packages for the borrower and
the softened market demand for properties in the submarket.
Notes: All figures are in U.S. dollars unless otherwise noted.
MADISON PARK XLVI: S&P Withdraws 'BB-' (sf) Rating on Class E Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-1-R,
B-2-R, C-R, and D-R replacement notes from Madison Park Funding
XLVI Ltd./Madison Park Funding XLVI LLC, a CLO originally issued in
September 2020 that is managed by Credit Suisse Asset Management
LLC. At the same time, we withdrew our ratings on the original
class A, B-1, B-2, C, D, and E notes following payment in full on
the Sept. 1, 2021, refinancing date.
The replacement notes were issued via a supplemental indenture,
which outlines the terms of the replacement notes. According to the
supplemental indenture:
-- The replacement class A-R, B-1-R, C-R, D-R, and E-R notes will
be issued at a lower spread over three-month LIBOR than the
original notes.
-- The replacement class B-2-R notes will be issued at a higher
coupon than the original notes.
-- The replacement class A-R, B-1-R, C-R, D-R, and E-R notes will
be issued at a floating rate, and the class B-2-R notes will be
issued at a fixed-rate coupon.
-- The stated maturity and reinvestment period will be extended by
three years.
-- The non-call period will be extended by two years.
-- Of the identified underlying collateral obligations, 100.00%
have credit ratings assigned by S&P Global Ratings.
-- Of the identified underlying collateral obligations, 93.30%
have recovery ratings assigned by S&P Global Ratings.
-- The transaction amended its ability to purchase workout-related
assets, conform to updated rating agency methodology, and amend the
required minimums on the overcollateralization tests.
-- The transaction was upsized to a target par of $693 million
from $600 million.
-- No additional subordinated notes will be issued in connection
with this refinancing. However, the stated maturity date was
amended to match that of the replacement notes.
-- The transaction added additional requirements that prohibit
investing in certain industries.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Madison Park Funding XLVI Ltd./Madison Park Funding XLVI LLC
Class A-R, $415.80 million: AAA (sf)
Class B-1-R, $100.19 million: AA (sf)
Class B-2-R, $10.00 million: AA (sf)
Class C-R, $39.50 million: A (sf)
Class D-R, $44.35 million: BBB- (sf)
Class E-R, $27.72 million: Not rated
Subordinated notes, $53.20 million: NR
Ratings Withdrawn
Madison Park Funding XLVI Ltd./Madison Park Funding XLVI LLC
Class A: to NR from 'AAA' (sf)
Class B-1: to NR from 'AA' (sf)
Class B-2: to NR from 'AA' (sf)
Class C: to NR from 'A' (sf)
Class D: to NR from 'BBB-' (sf)
Class E: to NR from 'BB-' (sf)
NR--Not rated.
MFA 2021-NQM2: DBRS Finalizes B Rating on Class B-2 Certs
---------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgage Pass-Through Certificates, Series 2021-NQM2 issued by MFA
2021-NQM2 Trust (MFA 2021-NQM2):
-- $210.3 million Class A-1 at AAA (sf)
-- $16.5 million Class A-2 at AA (sf)
-- $27.8 million Class A-3 at A (sf)
-- $13.7 million Class M-1 at BBB (sf)
-- $9.0 million Class B-1 at BB (sf)
-- $5.4 million Class B-2 at B (sf)
Other than the specified classes above, DBRS Morningstar does not
rate any other classes in this transaction.
The AAA (sf) rating on the Class A-1 Certificates reflects 27.35%
of credit enhancement provided by subordinate certificates. The AA
(sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 21.70%,
12.05%, 7.35%, 4.25%, and 2.40% of credit enhancement,
respectively.
This transaction is a securitization of a portfolio of fixed- and
adjustable-rate nonprime first-lien residential mortgages funded by
the issuance of the Certificates. The Certificates are backed by
678 mortgage loans with a total principal balance of $289,279,453
as of the Cut-Off Date (June 30, 2021).
The pool is, on average, 13 months seasoned with loan age ranges
from two months to 58 months. Citadel Servicing Corporation doing
business as Acra Lending (CSC) is the Originator and Servicer for
all loans in this pool. Approximately 97.1% of the mortgage loans
will be subserviced by ServiceMac, LLC, pursuant to a subservicing
agreement, dated as of September 18, 2020. Each of these mortgage
loans were boarded onto ServiceMac's servicing system on March 1,
2021.
CSC has three programs under which it originates loans. The
Non-Prime and Maggi Plus (Maggi+) products are CSC's core mortgage
programs, with Maggi+ aimed at higher credit profiles. CSC's
Outside Dodd-Frank products include loans exempt from the Consumer
Financial Protection Bureau's (CFPB) rules.
Although the applicable mortgage loans were originated to satisfy
the CFPB Ability-to-Repay (ATR) rules, they were made to borrowers
who generally do not qualify for agency, government, or
private-label nonagency prime jumbo products for various reasons.
In accordance with the Qualified Mortgage (QM)/ATR rules, 73% of
the loans are designated as non-QM. Approximately 27.0% of the
loans are made to investors for business purposes or foreign
nationals, which are not subject to the QM/ATR rules.
The Sponsor, directly or indirectly through a majority-owned
affiliate, will retain an eligible horizontal interest consisting
of the Class B-3 and XS Certificates representing at least 5% of
the aggregate fair value of the Certificates to satisfy the credit
risk-retention requirements under Section 15G of the Securities
Exchange Act of 1934 and the regulations promulgated thereunder.
On or after the earlier of (1) the distribution date in July 2024
or (2) the date when the aggregate unpaid principal balance of the
mortgage loans is reduced to 30% of the Cut-Off Date balance, the
Depositor, at its option, may redeem all of the outstanding
Certificates at a price equal to the class balances of the related
Certificates plus accrued and unpaid interest, including any Cap
Carryover Amounts and any pre-closing deferred amounts due to the
Class XS Certificates (optional redemption). After such purchase,
the Depositor must complete a qualified liquidation, which requires
(1) a complete liquidation of assets within the trust and (2)
proceeds to be distributed to the appropriate holders of regular or
residual interests.
On any date following the date on which the aggregate unpaid
principal balance of the mortgage loans is less than or equal to
10% of the Cut-Off Date balance, the Servicing Administrator will
have the option to terminate the transaction by purchasing all of
the mortgage loans and any real estate owned (REO) property from
the issuer at a price equal to the sum of the aggregate unpaid
principal balance of the mortgage loans (other than any REO
property) plus accrued interest thereon, the lesser of the fair
market value of any REO property and the stated principal balance
of the related loan, and any outstanding and unreimbursed servicing
advances, accrued and unpaid fees, and expenses that are payable or
reimbursable to the transaction parties (optional termination). An
optional termination is conducted as a qualified liquidation.
For this transaction, the Servicer will not fund advances of
delinquent principal and interest (P&I) on any mortgage. However,
the Servicer is obligated to make advances in respect of taxes,
insurance premiums, and reasonable costs incurred in the course of
servicing and disposing of properties (servicing advances).
Of note, if the Servicer defers or capitalizes the repayment of any
amounts owed by a borrower in connection with the borrower's loan
modification, the Servicer is entitled to reimburse itself from the
excess servicing fee, first, and from principal collections,
second, for any previously made and unreimbursed servicing advances
related to the capitalized amount at the time of such
modification.
The transaction employs a sequential-pay cash flow structure with a
pro rata principal distribution among the senior tranches subject
to certain performance triggers related to cumulative losses or
delinquencies exceeding a specified threshold (Trigger Event).
Principal proceeds can be used to cover interest shortfalls on the
Class A-1 and Class A-2 Certificates (IIPP) before being applied
sequentially to amortize the balances of the senior and
subordinated certificates. For more subordinate Certificates,
including Class A-3 Certificates after a Trigger Event, principal
proceeds can be used to cover interest shortfalls as the more
senior Certificates are paid in full. Also, the excess spread can
be used to cover realized losses first before being allocated to
unpaid Cap Carryover Amounts due to Class A-1 down to Class B-2.
Coronavirus Disease (COVID-19) Impact
The Coronavirus Disease (COVID-19) pandemic and the resulting
isolation measures caused an immediate economic contraction,
leading to sharp increases in unemployment rates and income
reductions for many consumers. Shortly after the onset of the
pandemic, DBRS Morningstar saw an increase in the delinquencies for
many residential mortgage-backed securities (RMBS) asset classes.
Such mortgage delinquencies were mostly in the form of
forbearances, which are generally short-term periods of payment
relief that may perform very differently from traditional
delinquencies. At the onset of the pandemic, the option to forbear
mortgage payments was widely available, driving forbearances to an
elevated level. When the dust settled, loans with
coronavirus-induced forbearance in 2020 performed better than
expected, thanks to government aid, low loan-to-value ratios, and
acceptable underwriting in the mortgage market in general. Across
nearly all RMBS asset classes in recent months, delinquencies have
been gradually trending downward, as forbearance periods come to an
end for many borrowers.
Notes: All figures are in U.S. dollars unless otherwise noted.
MORGAN STANLEY 2013-C13: Fitch Affirms B- Rating on Class G Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of Morgan Stanley Bank of
America Merrill Lynch Trust, commercial mortgage pass-through
certificates, series 2013-C13 (MSBAM 2013-C13). Fitch has also
revised the Rating Outlook on class F to Negative from Stable.
DEBT RATING PRIOR
---- ------ -----
MSBAM 2013-C13
A-3 61763BAT1 LT AAAsf Affirmed AAAsf
A-4 61763BAU8 LT AAAsf Affirmed AAAsf
A-S 61763BAW4 LT AAAsf Affirmed AAAsf
A-SB 61763BAS3 LT AAAsf Affirmed AAAsf
B 61763BAX2 LT AAsf Affirmed AAsf
C 61763BAZ7 LT Asf Affirmed Asf
D 61763BAC8 LT BBB-sf Affirmed BBB-sf
E 61763BAE4 LT BB+sf Affirmed BB+sf
F 61763BAG9 LT BB-sf Affirmed BB-sf
G 61763BAJ3 LT B-sf Affirmed B-sf
PST 61763BAY0 LT Asf Affirmed Asf
X-A 61763BAV6 LT AAAsf Affirmed AAAsf
X-B 61763BAA2 LT AAsf Affirmed AAsf
KEY RATING DRIVERS
Increased Loss Expectations: Loss expectations have increased since
Fitch's prior rating action due to additional performance concerns
with the Fitch Loans of Concern (FLOCs). Sixteen loans (39.8% of
pool) were designated FLOCs, including four (9.6%) in special
servicing.
Fitch's current ratings reflect a base case loss of 5.10%. The
Negative Outlooks reflect losses that could reach 6.60% after
factoring in additional pandemic-related stresses to the pool and a
potential outsized loss on The Mall at Chestnut Hill (15.0%).
Fitch Loans of Concern: The largest contributor to loss
expectations, 1200 Howard Blvd. (1.8%), is secured by an 87,011 sf
suburban office building in Mount Laurel, NJ. The loan transferred
to special servicing for non-monetary default in April 2018 after
the borrower completed a non-permitted equity transfer in
bankruptcy and changed the management company without lender
consent. The borrower has failed to address the existing defaults
in a timely manner. The servicer is working on obtaining
foreclosure judgement and taking back the title.
The largest tenant is Merrill Lynch, which leases approximately 40%
of net rentable area (NRA) through February 2023. Occupancy and
servicer-reported NOI DSCR were 93% and 1.13x at YE 2020. Fitch's
loss expectation in the base case of 56% reflects a discount to the
recent servicer provided value.
The second largest contributor to loss expectations, The Mall at
Chestnut Hill (15.0%), is secured by 168,642 sf of a 465,895 sf
reginal mall in Newton, MA and anchored by Bloomingdales
(non-collateral). Crate and Barrel is the largest collateral tenant
and leases 7.9% NRA through January 2024. Other notable tenants
include Apple, Coach and Tiffany and Co. The loan, which is
sponsored by Simon Property Group, was designated a FLOC due to
occupancy declines, rollover concerns and market competition.
Collateral occupancy declined to 79% as of March 2021 from 84% at
YE 2020 and 90% at YE 2019 due to tenant vacancies, which include
Banana Republic and Sur La Table. Due to the decline in occupancy
and increase in expenses, servicer-reported NOI DSCR for this
interest-only (IO) loan declined to 1.75x as of the YTD March 2021,
from 1.86x at YE 2020 and 2.16x at YE 2019. In-line tenant sales
were $586 psf ($380 psf excluding Apple) as of the TTM ended March
2021 down from $963 psf ($781 psf excluding Apple) at issuance.
Near-term rollover includes 2.9% NRA in 2021 and 17.4% (nine
tenants) in 2022.
The property also faces nearby competition with Natick Mall, an
approximate 1.9 million sf mall owned by Brookfield Properties
Retail Group, located approximately 10 miles from the subject.
Natick Mall, which is anchored Macy's, Neiman Marcus, Nordstrom and
Wegmans has in-line tenant overlap and is approximately four times
as large as The Mall at Chestnut Hill.
Fitch's loss expectation in the base case of 6% reflects a 10% cap
rate off the YE 2020 NOI. Due to the regional mall collateral and
FLOC concerns, an additional sensitivity was performed, which
applied a potential outsized loss of 15% on the loan's maturity
balance. This additional sensitivity reflects a 12% cap rate and a
5% total haircut to the YE 2020 NOI.
Additional Stresses Applied due to Exposure to Coronavirus: Retail
properties account for 58.0% of the pool, including the two largest
loans (30.5%), which are secured by regional malls. Hotels account
for 14.2% of the pool. Fitch's analysis applied additional
pandemic-related stresses to the hotel loans as it expects
challenges with performance; these additional stresses, in addition
to the potential outsized loss applied to The Mall at Chestnut
Hill, contributed to the Negative Outlooks on classes F and G.
Pool/Maturity Concentration: The top 10 loans comprise 54.6% of the
pool. Loan maturities are concentrated in 2023 (96.6%). Based on
property type, the largest concentrations are retail at 58.0%,
hotel at 14.2% and multifamily at 9.9%.
The largest loan in the pool, Stonestown Galleria (15.5%), is
secured by 585,758 sf of an 853,546 sf regional mall in San
Francisco, CA and sponsored by Brookfield Properties Retail Group.
Occupancy declined to 65% by YE 2020 from 98% at YE 2019 primarily
due to Nordstrom (previously 28% NRA) vacating at the end of 2019.
The occupancy declines coupled with economic disruptions from the
pandemic resulted in a 32% decline in NOI with servicer-reported
NOI DSCR falling to 1.21x at YE 2020 from 1.79x at YE 2019. Per the
March 2021 rent roll, near-term rollover includes 8.5% NRA in 2021
and 4.6% in 2022.
The sponsor has been successful in redeveloping vacated space at
the mall. Target recently expanded into 1/3 of the former Nordstrom
Space, increasing its footprint to approximately 15% from 5.5% and
bringing total collateral occupancy to approximately 75% as of
March 2021. In addition, the sponsor is actively redeveloping a
non-collateral anchor box previously occupied by Macy's into a
mixed-use space, with leases executed with Whole Foods, Regal
Cinemas and Sports Basement.
Comparable in-line sales for tenants occupying less than 10,000 sf
and reporting sales were $648 psf ($372 excluding Apple) for the
TTM ended June 2021 compared with $789 psf ($441 psf excluding
Apple) for the prior 12 month period.
Fitch's base case loss for this loan of 2.50% reflects a 10% cap
rate and a 15% total haircut to the YE 2019 NOI. Fitch's analysis
gives credit for Target's recent expansion and the recent positive
leasing momentum.
Increasing Credit Enhancement: As of the August 2021 distribution
date, the pool's aggregate principal balance has been reduced by
19.7% to $799.3 million from $995.3 million at issuance. One loan
with a $9 million balance at Fitch's prior rating action paid in
full during the open period. Four loans (18.7%) are full-term IO,
and 16 loans (37.0%), which had a partial-term IO period at
issuance, have all begun amortizing. Five loans (4.9%) are
defeased. Interest shortfalls of $712,515 are currently affecting
the non-rated class H.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- The Negative Outlooks on classes F and G reflect the potential
for downgrades given performance concerns with the FLOCs. The
Stable Outlooks reflect sufficient credit enhancement and the
expectation of paydown from continued amortization and
defeasance.
-- An increase in pool level losses from underperforming loans
and/or loans transferring to special servicing. Downgrades of
classes rated 'AAAsf' are not likely due to sufficient credit
enhancement and expected continued amortization but would
occur at the 'AAAsf' and 'AAsf' levels if interest shortfalls
occur.
-- Downgrades of classes C, PST, D and E would occur if
additional loans become FLOCs or if performance of the FLOCs
declines further. Classes F and G would be downgraded if
additional loans become FLOCs, if loans transfer to special
servicing and/or if the expected losses on the FLOCs
materialize.
Factor that could, individually or collectively, lead to positive
rating action/upgrade:
-- Upgrades are unlikely due to the regional mall exposure and
performance concerns with the FLOCs but could occur if
performance of the FLOCs improves significantly.
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 2021-5: Fitch Assigns Final B Rating on B-5 Tranche
------------------------------------------------------------------
Fitch Ratings has assigned final ratings to Morgan Stanley
Residential Mortgage Loan Trust 2021-5.
DEBT RATING PRIOR
---- ------ -----
MSRM 2021-5
A-1 LT AAAsf New Rating AAA(EXP)sf
A-1-IO LT AAAsf New Rating AAA(EXP)sf
A-1A-IO LT AAAsf New Rating AAA(EXP)sf
A-2 LT AAAsf New Rating AAA(EXP)sf
A-3 LT AAAsf New Rating AAA(EXP)sf
A-3-A LT AAAsf New Rating AAA(EXP)sf
A-3A-IO LT AAAsf New Rating AAA(EXP)sf
A-4 LT AAAsf New Rating AAA(EXP)sf
A-4-A LT AAAsf New Rating AAA(EXP)sf
A-4A-IO LT AAAsf New Rating AAA(EXP)sf
A-5 LT AAAsf New Rating AAA(EXP)sf
A-5-A LT AAAsf New Rating AAA(EXP)sf
A-5A-IO LT AAAsf New Rating AAA(EXP)sf
A-6 LT AAAsf New Rating AAA(EXP)sf
A-6-IO LT AAAsf New Rating AAA(EXP)sf
A-7 LT AAAsf New Rating AAA(EXP)sf
A-8 LT AAAsf New Rating AAA(EXP)sf
A-8-IO LT AAAsf New Rating AAA(EXP)sf
A-9 LT AAAsf New Rating AAA(EXP)sf
A-9-IO LT AAAsf New Rating AAA(EXP)sf
A-10 LT AAAsf New Rating AAA(EXP)sf
B-1 LT AA-sf New Rating AA-(EXP)sf
B-2 LT A-sf New Rating A-(EXP)sf
B-3 LT BBB-sf New Rating BBB-(EXP)sf
B-4 LT BB-sf New Rating BB-(EXP)sf
B-5 LT Bsf New Rating B(EXP)sf
B-6 LT NRsf New Rating NR(EXP)sf
TRANSACTION SUMMARY
Fitch Ratings has assigned final ratings to the residential
mortgage-backed certificates issued by Morgan Stanley Residential
Mortgage Loan Trust 2021-5 (MSRM 2021-5) as indicated above.
This is the eighth post-crisis transaction off the Morgan Stanley
Residential Mortgage Loan Trust shelf; the first transaction was
issued in 2014. This is the sixth MSRM transaction that comprises
loans from various sellers and acquired by Morgan Stanley in its
prime-jumbo aggregation process.
The certificates are supported by 495 prime-quality loans with a
total balance of approximately $478.34 million, as of the cutoff
date. The pool consists of 100% fixed-rate mortgages from various
mortgage originators. The servicer for this transaction is
Specialized Loan Servicing LLC. Nationstar Mortgage LLC will be the
master servicer.
Of the loans, 100% qualify as safe-harbor qualified mortgage (QM).
There are no high-priced QM loans or Non-QM loans in the pool.
There is no exposure to Libor in this transaction. The collateral
comprises 100% fixed-rate loans, and the certificates are fixed
rate and capped at the net weighted average coupon (WAC), are
floating- or inverse floating-rate bonds based off the secured
overnight funding rate index, and capped at the net WAC or based on
the net WAC.
Like other prime transactions, the transaction utilizes a
senior-subordinate, shifting-interest structure with subordination
floors to protect against tail risk.
KEY RATING DRIVERS
High-Quality Mortgage Pool (Positive): The collateral consists of
30-year, fixed-rate fully amortizing loans, seasoned approximately
2.5 months in aggregate as determined by Fitch. Most of the loans
were originated through the sellers' retail channels. The borrowers
in this pool have strong credit profiles (775 FICO as determined by
Fitch) and relatively low leverage (79.9% sustainable loan to value
ratio as determined by Fitch). 184 loans are over $1 million, and
the largest totals $2.6 million. Fitch considered 100% of the loans
in the pool to be fully documented loans. Lastly, 1.9% (13 loans)
of the loans in the pool is made up of non-permanent residents.
Fitch treats non-permanent residents as investor occupied in its
analysis.
Approximately 45% of the pool is concentrated in California with
moderate MSA concentration. Based on Fitch's analysis, the largest
MSA concentration is in San Francisco MSA (16.8%), followed by the
Los Angeles MSA (10.3%) and the Denver MSA (6.4%). The top three
MSAs account for 33.6% of the pool. There was no adjustment made
for geographic concentration.
Shifting-Interest Structure and Full Advancing (Mixed): The
mortgage cash flow and loss allocation are based on a
senior-subordinate, shifting-interest structure, whereby the
subordinate classes receive only scheduled principal and are locked
out from receiving unscheduled principal or prepayments for five
years. The lockout feature helps maintain subordination for a
longer period should losses occur later in the life of the deal.
The applicable credit support percentage feature redirects
subordinate principal to classes of higher seniority if specified
credit enhancement (CE) levels are not maintained.
The servicer will provide full advancing for the life of the
transaction (the servicer is expected to advance delinquent P&I on
loans that enter a coronavirus forbearance plan). Although full P&I
advancing will provide liquidity to the certificates, it will also
increase the loan-level loss severity since the servicer looks to
recoup P&I advances from liquidation proceeds, which results in
less recoveries.
Nationstar is the master servicer and will advance if the servicer
is not able to. If the master servicer is not able to advance, then
the securities administrator (Citibank) will advance.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- Fitch incorporates a sensitivity analysis to demonstrate how
the ratings would react to steeper market value declines
(MVDs) than assumed at the MSA level. Sensitivity analyses
were conducted at the state and national levels to assess the
effect of higher MVDs for the subject pool as well as lower
MVDs, illustrated by a gain in home prices.
-- This defined stress 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 MVD, which is 41.9% in the 'AAAsf' stress. The
analysis indicates that there is some potential rating
migration with higher MVDs, compared with the model
projection. Specifically, a 10% additional decline in home
prices would lower all rated classes by one full category.
Factor that could, individually or collectively, lead to positive
rating action/upgrade:
-- This defined positive rating sensitivity analysis demonstrates
how the ratings would react to positive home price growth of
10% with no assumed overvaluation. Excluding the senior class,
which is already rated 'AAAsf', the analysis indicates there
is potential positive rating migration for all the rated
classes. Specifically, a 10% gain in home prices would result
in a full category upgrade for the rated class excluding those
being assigned ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The 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.
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) as
prepared by SitusAMC and Infinity. The third party due diligence
described in Form 15E focused on four areas: compliance review,
credit review, valuation review and data integrity. Fitch
considered this information in its analysis and, as a result, Fitch
did not make any adjustment(s) to its analysis based on the
findings. Due to the fact that there was 100% due diligence
provided and there were no material findings, Fitch reduced the
'AAAsf' expected loss by 0.24%.
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review
performed on 100% of the pool. The third-party due diligence was
generally consistent with Fitch's "U.S. RMBS Rating Criteria."
SitusAMC and Infinity 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 the
presale report for more detail.
Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. Fitch received
loan-level information based on the American Securitization Forum's
(ASF) data layout format, and the data are considered to be
comprehensive. 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 ASF layout data
tape were reviewed by the due diligence companies, 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.
NEW MOUNTAIN 3: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to New Mountain
CLO 3 Ltd./New Mountain CLO 3 LLC's floating- and fixed-rate notes
and loans.
The debt 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 preliminary ratings are based on information as of Aug. 30,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The diversification of the collateral pool;
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
New Mountain CLO 3 Ltd./New Mountain CLO 3 LLC
Class A, $230.000 million: AAA (sf)
Class A loans, $80.000 million: AAA (sf)
Class B-1, $49.000 million: AA (sf)
Class B-2, $21.000 million: AA (sf)
Class C (deferrable), $30.000 million: A (sf)
Class D (deferrable), $30.000 million: BBB- (sf)
Class E (deferrable), $17.500 million: BB- (sf)
Subordinated notes, $49.875 million: Not rated
OCP CLO 2020-19: S&P Assigns BB- (sf) Rating on Class E-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned ratings to the class X, A-R, B-R, C-R,
D-R and E-R replacement notes from OCP CLO 2020-19 Ltd./OCP CLO
2020-19 LLC, a CLO originally issued in 2020 that is managed by
Onex Credit Partners LLC. At the same time, S&P withdrew its
ratings on the original class A-1, A-2, B, C, D, and E notes
following payment in full on the Sept. 1, 2021 refinancing date.
The replacement notes were issued via a supplemental indenture,
which outlines the terms of the replacement notes. According to the
supplemental indenture:
-- The target initial par amount was upsized to $500 million from
$400 million.
-- The replacement notes were issued at a lower weighted average
cost of debt than the original notes.
-- The stated maturity and reinvestment period was extended by
approximately 3.25 years.
-- The non-call period was extended by approximately 2.00 years.
-- The weighted average life test was extended to 9.00 years from
the refinancing date.
-- The class X notes were issued on the refinancing date and are
expected to be paid down using interest proceeds during the first
eight payment dates in equal installments of $156,250.
-- The required minimum overcollateralization and interest
coverage ratios were amended.
-- Of the identified underlying collateral obligations, 100.00%
have credit ratings assigned by S&P Global Ratings.
-- Of the identified underlying collateral obligations, 97.84%
have recovery ratings assigned by S&P Global Ratings.
Replacement And Original Note Issuances
Replacement notes
Class X, $1.25 million: Three-month LIBOR + 0.70%
Class A-R, $305.00 million: Three-month LIBOR + 1.15%
Class B-R, $75.00 million: Three-month LIBOR + 1.70%
Class C-R (deferrable), $30.00 million: Three-month LIBOR +
2.10%
Class D-R (deferrable), $30.00 million: Three-month LIBOR +
3.15%
Class E-R (deferrable), $20.00 million: Three-month LIBOR +
6.50%
Original notes
Class A-1, $222.00 million: Three-month LIBOR + 1.75%
Class A-2, $18.00 million: 2.10%
Class B, $56.00 million: Three-month LIBOR + 2.50%
Class C (deferrable), $24.00 million: Three-month LIBOR + 2.95%
Class D (deferrable), $24.00 million: Three-month LIBOR + 4.47%
Class E (deferrable), $16.00 million: Three-month LIBOR + 6.11%
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and will take rating actions as we deem
necessary."
Ratings Assigned
OCP CLO 2020-19 Ltd./OCP CLO 2020-19 LLC
Class X, $1.25 million: AAA (sf)
Class A-R, $305.00 million: AAA (sf)
Class B-R, $75.00 million: AA (sf)
Class C-R (deferrable), $30.00 million: A (sf)
Class D-R (deferrable), $30.00 million: BBB- (sf)
Class E-R (deferrable), $20.00 million: BB- (sf)
Subordinated notes, $35.50 million: Not rated
Ratings Withdrawn
OCP CLO 2020-19 Ltd./OCP CLO 2020-19 LLC
Class A-1 to NR from 'AAA (sf)'
Class A-2 to NR from 'AAA (sf)'
Class B to NR from 'AA (sf)'
Class C to NR from 'A (sf)'
Class D to NR from 'BBB (sf)'
Class E to NR from 'BB- (sf)'
NR--Not rated.
PARK AVENUE 2021-2: Moody's Assigns Ba3 Rating to $22MM E Notes
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Park Avenue Institutional Advisers CLO Ltd 2021-2
(the "Issuer" or "PAIA CLO 2021-2").
Moody's rating action is as follows:
US$240,000,000 Class A-1 Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)
US$62,000,000 Class B Senior Secured Floating Rate Notes due 2034,
Assigned Aa2 (sf)
US$18,400,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2034, Assigned A2 (sf)
US$25,600,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned Baa3 (sf)
US$22,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2034, Assigned Ba3 (sf)
The notes listed are referred to herein, collectively, as the
"Rated Notes."
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.
PAIA CLO 2021-2 is a managed cash flow CLO. The issued notes will
be collateralized primarily by broadly syndicated senior secured
corporate loans. At least 92.5% of the portfolio must consist of
senior secured loans and eligible investments, and up to 7.5% of
the portfolio may consist of second lien loans, unsecured loans and
permitted non-loan assets. The portfolio is approximately 80%
ramped as of the closing date.
Park Avenue Institutional Advisers LLC (the "Manager") will direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.
In addition to the Rated Notes, the Issuer issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2020.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $400,000,000
Diversity Score: 55
Weighted Average Rating Factor (WARF): 2775
Weighted Average Spread (WAS): 3.25%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 9 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2020.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
READY CAPITAL 2021-FL6: DBRS Finalizes B(low) Rating on G Notes
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by Ready Capital Mortgage Financing
2021-FL6, LLC.
-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)
All trends are Stable
The initial collateral consists of 52 short-term, floating-rate
mortgage assets with an aggregate cutoff date balance of $652.5
million secured by 55 mortgaged properties. The aggregate unfunded
future funding commitment of the future funding participations as
of the cutoff date is approximately $87.8 million. The holder of
the future funding companion participations, Ready Capital
Subsidiary REIT I, LLC, has full responsibility to fund the future
funding companion participations. The collateral pool for the
transaction is static with no ramp-up period or reinvestment
period. However, the Issuer has the right to use principal proceeds
to acquire fully funded future funding participations subject to
stated criteria during the Permitted Funded Companion Participation
Acquisition Period, which ends on or about July 2023 (subject to a
120-day extension for binding commitments entered during the
Permitted Funded Companion Participation Acquisition Period).
Acquisitions of future funding participations of $1.0 million or
greater will require rating agency confirmation. Interest can be
deferred for the Class F and Class G notes, and interest deferral
will not result in an event of default. The transaction will have a
sequential-pay structure.
Of the 55 properties, 49 are multifamily assets (92.5% of the
mortgage asset cutoff date balance). Four of the remaining loans
(1791 Mt. Zion Road, Trolley Two, Trolley Industrial, and 184
Courtright Street) are secured by industrial properties (5.3% of
the mortgage asset cutoff date balance). One of the remaining
loans, Rolling Hills, is secured by an anchored retail property
(1.5%); the other remaining loan (Station West) is secured by a
mixed-use property (0.7%).
The loans are mostly secured by cash flowing assets, most of which
are in a period of transition with plans to stabilize and improve
the asset value. One loan, 1900 Euclid Lofts, is a whole loan and
the other 51 loans (99.2% of the mortgage asset cutoff date
balance) are participations with companion participations that have
remaining future funding commitments totaling $87.8 million. The
future funding for each loan is generally to be used for capital
expenditures to renovate the property or build-out space for new
tenants. Please see the chart below for loans with future funding
companion commitments and their uses. All of the loans in the pool
have floating interest rates initial indexed to Libor. Fifty-one
loans are IO through their initial terms; one loan, Trolley Two, is
IO for the first 35 months of its 48 initial loan term and then
amortizes on a 360-month schedule thereafter. As such, to determine
a stressed interest rate over the loan term, DBRS Morningstar used
the one-month Libor index, which was the lower of DBRS
Morningstar's stressed rates that corresponded to the remaining
fully extended term of the loans and the strike price of the
interest rate cap with the respective contractual loan spread
added. The properties are often transitioning with potential upside
in cash flow; however, DBRS Morningstar does not give full credit
to the stabilization if there are no holdbacks or if the other loan
structural features are insufficient to support such treatment.
Furthermore, even if the structure is acceptable, DBRS Morningstar
generally does not assume the assets will stabilize above market
levels.
The transaction is sponsored by Ready Capital Corporation, a
publicly traded mortgage REIT, externally managed by Waterfall
Asset Management, LLC., a New York-based SEC-registered investment
advisor. The sponsor has strong origination practices and
substantial experience in originating loans and managing commercial
real estate properties, with an emphasis on small business lending.
The sponsor has provided more than $8.3 billion in capital across
all of its commercial real estate lending programs through July 1,
2021 (approximately $2.0 billion in 2021), and generally lends from
$2.0 million to $45 million for commercial real estate loans.
The Depositor, Ready Capital Mortgage Depositor VI, LLC., which is
a majority-owned affiliate and subsidiary of the sponsor, expects
to retain the Class F, G, and H Notes, collectively representing
the most subordinate 18.5% of the transaction by principal
balance.
The pool is mostly composed of multifamily assets (92.5% of the
mortgage asset cutoff date balance). Historically, multifamily
properties have defaulted at much lower rates than other property
types in the overall CMBS universe.
The DBRS Morningstar Business Plan Scores (BPS) for loans analyzed
by DBRS Morningstar ranged between 1.53 and 3.08, with an average
of 2.08. Higher DBRS Morningstar BPS indicates more risk in the
sponsor's business plan. DBRS Morningstar considers the anticipated
lift at the property from current performance, planned property
improvements, sponsor experience, projected time horizon, and
overall complexity of the business plan. Compared with similar
transactions, the subject has a low average business plan score,
which is indicative of lower risk.
As no loans in the pool were originated prior to the onset of the
Coronavirus Disease (COVID-19) pandemic, the weighted-average (WA)
remaining fully extended term is 59 months, which gives the Sponsor
enough time to execute its business plans without risk of imminent
maturity. In addition, the appraisal and financial data provided
are reflective of conditions after the onset of the pandemic.
Acquisition Financing: Forty-nine loans, representing 95.7% of the
pool balance, represent acquisition financing. Acquisition
financing generally requires the respective sponsor(s) to
contribute material cash equity as a source of funding in
conjunction with the mortgage loan, resulting in a higher sponsor
cost basis in the underlying collateral and aligns the financial
interests between the sponsor and lender.
DBRS Morningstar has concluded to a stabilized cash flow that is,
in some instances, above the in-place cash flow. It is possible
that a related loan sponsor will not successfully execute its
business plans and that the higher stabilized cash flow will not
materialize during the loan term, particularly with the ongoing
coronavirus pandemic and its impact on the overall economy. The
loan sponsor's failure to execute the business plans could result
in a term default or the inability to refinance the fully funded
loan balance. DBRS Morningstar sampled a large portion of the
loans, representing 73.9% of the pool cutoff date balance.
DBRS Morningstar made relatively conservative stabilization
assumptions and, in each instance, considered the business plans to
be rational and the loan structure to be sufficient to
substantially implement such plans. In addition, DBRS Morningstar
analyzes loss given default based on the as-is credit metrics,
assuming the loan is fully funded with no net cash flow or value
upside. Future funding companion participations will be held by
affiliates of Ready Capital Subsidiary REIT I, LLC and have the
obligation to make future advances. Ready Capital Subsidiary REIT
I, LLC agrees to indemnify the Issuer against losses arising out of
the failure to make future advances when required under the related
participated loan. Furthermore, Ready Capital Subsidiary REIT I,
LLC will be required to meet certain liquidity requirements on a
quarterly basis.
Twenty-two loans, comprising 56.5% of the trust balance, are
located within DBRS Morningstar MSA Group 1. Historically, loans
located within this MSA Group have demonstrated higher
probabilities of default (POD), resulting in higher individual loan
level expected losses than the weighted-average (WA) pool expected
loss. Loans within MSA Group 1 are in markets with a WA DBRS
Morningstar Market Rank of 3.8. More specifically, three of the 12
loans (7.4% of pool) are located within a DBRS Morningstar Market
Rank 5 or higher. Overall, 13 loans, representing 19.3% of the
trust balance, are located within a DBRS Morningstar Market Rank 5
or higher.
Twenty-one loans, representing 45.8% of the trust balance, have
DBRS Morningstar As-Is Loan-to-Value Ratios (LTVs) greater than
85.0%, which represents significantly high leverage. Six of those
loans, 27.3% of the trust balance, are among the 10 largest loans
in the pool. All 21 loans were originated in 2021 and have
sufficient time to reach stabilization. Additionally, all the loans
have DBRS Morningstar Stabilized LTVs of less than 72.0%,
indicating improvements to value based on the related sponsors'
business plans. The WA DBRS Morningstar Stabilized LTV for the pool
is 65.5% and there are no loans with a DBRS Morningstar Stabilized
LTV of greater than 76.0%. In addition, 20 of the loans (45.2% of
the trust balance) are acquisition financing, with the sponsor
contributing a considerable amount of cash equity at closing.
All 52 loans have floating interest rates, and 51 loans are IO
during the original term with original terms of 15 months to 60
months, creating interest-rate risk. Forty-six loans (76.9% of
mortgage asset cutoff date balance) amortize during extension
options. All loans are short-term loans and, even with extension
options, they have a fully extended maximum loan term of five
years. For the floating-rate loans, DBRS Morningstar used the
one-month Libor index, which is based on the lower of a DBRS
Morningstar stressed rate that corresponded to the remaining fully
extended term of the loans or the strike price of the interest-rate
cap with the respective contractual loan spread added to determine
a stressed interest rate over the loan term. The borrowers of 42
(96.8% of mortgage asset cutoff date balance) floating-rate loans
have purchased Libor rate caps with strike prices that range from
0.25% to 2.50% to protect against rising interest rates through the
duration of the loan term. In addition to the fulfillment of
certain minimum performance requirements, exercising any extension
options would also require the repurchase of interest rate cap
protection through the duration of the respectively exercised
option.
Lack of Site Inspections: DBRS Morningstar conducted no management
tours because of health and safety constraints associated with the
ongoing coronavirus pandemic. As a result, DBRS Morningstar relied
more heavily on third-party reports, online data sources, and
information provided by the Issuer to determine the overall DBRS
Morningstar property quality assigned to each loan. Recent
third-party reports were provided for all loans and contained
property quality commentary and photos.
Environmental Concerns: Two loans in the pool, Trolley Two (1.5% of
the trust balance) and Trolley Industrial (0.95%) have outstanding
environmental issues. In the case of Trolley Two, the Phase I
Environmental Site Assessment (ESA) identified an Recognized
Environmental Condition (REC) resulting from the property's
historical use as an unregistered nonhazardous solid waste landfill
site with identified concentrations of hazardous substances
exceeding Generic Residential Cleanup Criteria (GRCC) for
unrestricted property use. For Trolley Industrial, Phase I ESA
identified several RECs, including two underground storage tanks
that were previously removed from the property; the presence of
phenanthrene, acetone, arsenic, cadmium, chromium, selenium,
silver, and zinc above GRCC; the presence of arsenic, chromium,
mercury, and selenium in soil and groundwater above the GRCC at an
adjacent property, as well as methane gas in the soil at
concentrations representing a potential flammability/explosivity
condition; and the presence of a rail spur. The Phase I ESA
recommended a limited subsurface investigation to determine whether
there was soil, soil vapor, and/or groundwater contamination as a
result of the property's historical use and the former underground
storage tanks. The Phase II subsurface investigation determined
that off-site soil gas had not migrated onto the property. For both
properties, the environmental reports recommended the preparation
of a Baseline Environmental Assessments (BEA) and Due Care Plans
(DCP). The BEA and the DCP for the Trolley Two property were
completed in February 2021 indicating that current on-site human
health exposure concerns were identified. For the Trolley
Industrial Property, the related sponsor has engaged an
environmental engineer to prepare the BEA and DCP and to undertake
further evaluation of Volatilization to Indoor Air Pathway
screening, both of which remain in process. DBRS Morningstar
modeled both these loans with a Property Quality Score of Poor, and
consequently a higher POD, and elevated DBRS Morningstar BPS of
3.08, resulting in higher loan level expected losses compared with
the WA pool expected loss.
Notes: All figures are in U.S. dollars unless otherwise noted.
REGATTA XX FUNDING: Moody's Assigns (P)Ba3 Rating to $24MM E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of notes to be issued by Regatta XX Funding Ltd. (the
"Issuer" or "Regatta XX").
Moody's rating action is as follows:
US$320,000,000 Class A Senior Secured Floating Rate Notes due 2034,
Assigned (P)Aaa (sf)
US$60,000,000 Class B Senior Secured Floating Rate Notes due 2034,
Assigned (P)Aa2 (sf)
US$25,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)A2 (sf)
US$31,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)Baa3 (sf)
US$24,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2034, Assigned (P)Ba3 (sf)
The notes listed are referred to herein, collectively, as the
"Rated Notes."
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.
Regatta XX is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90% of the portfolio must consist of
senior secured loans and eligible investments, and up to 10% of the
portfolio may consist of first lien last out loans, second lien
loans, unsecured loans, bonds and senior secured notes. Moody's
expect the portfolio to be approximately 90% ramped as of the
closing date.
Napier Park Global Capital (US) LP (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.
In addition to the Rated Notes, the Issuer will issue subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2020.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 75
Weighted Average Rating Factor (WARF): 2865
Weighted Average Spread (WAS): 3.40%
Weighted Average Recovery Rate (WARR): 46.3%
Weighted Average Life (WAL): 9 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2020.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
RR 18: S&P Assigns Prelim BB- (sf) Rating on $30MM Class D Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to RR 18 Ltd.'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 preliminary ratings are based on information as of August 31,
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 diversification of the collateral pool.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
RR 18 Ltd.
Class A-1a, $450.00 million: AAA (sf)
Class A-1b, $18.75 million: AAA (sf)
Class A-2, $93.75 million: AA (sf)
Class B, $52.50 million: A (sf)
Class C, $45.00 million: BBB- (sf)
Class D, $30.00 million: BB- (sf)
Subordinated notes, $65.80 million: Not rated
SIGNAL PEAK 9: Moody's Assigns Ba3 Rating to $24.5MM Class E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
notes issued by Signal Peak CLO 9, Ltd. (the "Issuer" or "Signal
Peak 9").
Moody's rating action is as follows:
US$5,000,000 Class X Floating Rate Notes due 2034, Assigned Aaa
(sf)
US$310,000,000 Class A-1 Floating Rate Notes due 2034, Assigned Aaa
(sf)
US$10,000,000 Class A-2 Floating Rate Notes due 2034, Assigned Aaa
(sf)
US$60,000,000 Class B Floating Rate Notes due 2034, Assigned Aa2
(sf)
US$23,500,000 Class C Mezzanine Deferrable Floating Rate Notes due
2034, Assigned A2 (sf)
US$32,000,000 Class D Mezzanine Deferrable Floating Rate Notes due
2034, Assigned Baa3 (sf)
US$24,500,000 Class E Mezzanine Deferrable Floating Rate Notes due
2034, Assigned Ba3 (sf)
The notes listed are referred to herein, collectively, as the
"Rated Notes."
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.
Signal Peak 9 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90% of the portfolio must consist of
first lien senior secured loans, cash, and eligible investments,
and up to 10% of the portfolio may consist of second lien loans,
unsecured loans and bonds. The portfolio is approximately 94%
ramped as of the closing date.
ORIX Advisers, LLC (the "Manager") will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's five-year reinvestment period.
Thereafter, subject to certain restrictions, the Manager may
reinvest unscheduled principal payments and proceeds from sales of
credit risk assets.
In addition to the Rated Notes, the Issuer issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2020.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2808
Weighted Average Spread (WAS): 3.25%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 47.5%
Weighted Average Life (WAL): 9.25 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2020.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
SOUND POINT XXXI: Moody's Gives (P)Ba3 Rating to $24.75MM E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of notes to be issued by Sound Point CLO XXXI, Ltd. (the
"Issuer" or "Sound Point CLO XXXI ").
Moody's rating action is as follows:
US$346,500,000 Class A Senior Secured Floating Rate Notes due 2034,
Assigned (P)Aaa (sf)
US$71,500,000 Class B Senior Secured Floating Rate Notes due 2034,
Assigned (P)Aa2 (sf)
US$33,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)A2 (sf)
US$30,250,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)Baa3 (sf)
US$24,750,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2034, Assigned (P)Ba3 (sf)
The notes listed are referred to herein, collectively, as the
"Rated Notes."
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.
Sound Point CLO XXXI is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 90% of the portfolio must consist
of senior secured loans (assuming eligible investments are senior
secured loans), and up to 10% of the portfolio may consist of
second lien loans, senior unsecured loans and bonds. Moody's expect
the portfolio to be approximately 60% ramped as of the closing
date.
Sound Point Capital Management, LP (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.
In addition to the Rated Notes, the Issuer will issue subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2020.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $550,000,000
Diversity Score: 75
Weighted Average Rating Factor (WARF): 2865
Weighted Average Spread (WAS): 3.50%
Weighted Average Coupon (WAC): 5.0%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 9 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2020.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
TOWD POINT 2021-SL1: DBRS Finalizes B Rating on Class F Notes
-------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by Towd Point Asset Trust 2021-SL1 (TPAT
2021-SL1):
-- $134,737,000Class A1 Notes rated AAA (sf)
-- $343,489,000Class A2 Notes rated AAA (sf)
-- $54,707,000 Class B Notes rated AA (low) (sf)
-- $25,202,000 Class C Notes rated A (low) (sf)
-- $19,670,000 Class D Notes rated BBB (low) (sf)
-- $14,753,000 Class E Notes rated BB (low) (sf)
-- $3,073,000 Class F Notes rated B (sf)
-- $532,933,000 Class AB Notes rated AA (low) (sf)*
-- $558,135,000 Class AC Notes rated A (low) (sf)*
*Exchangeable Notes.
The ratings on the Rated Notes are based on a review by DBRS
Morningstar of the following considerations:
-- The transaction's assumptions consider DBRS Morningstar's set
of macroeconomic scenarios for select economies related to the
Coronavirus Disease (COVID-19), available in its commentary "Global
Macroeconomic Scenarios - June 2021 Update," published on June 18,
2021. DBRS Morningstar initially published macroeconomic scenarios
on April 16, 2020, which have been regularly updated. The scenarios
were last updated on June 18, 2021, and are reflected in DBRS
Morningstar's rating analysis.
-- The assumptions consider the moderate macroeconomic scenario
outlined in the commentary, with the moderate scenario serving as
the primary anchor for current ratings. The moderate scenario
factors in continued success in containment during the second half
of 2021, enabling the continued relaxation of restrictions.
-- The transaction's form and sufficiency of available credit
enhancement.
-- Note subordination, reserve accounts, and excess spread create
credit enhancement levels that are commensurate with the ratings.
-- Transaction cash flows are sufficient to repay investors under
all AAA (sf), AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low)
(sf), and B (sf) stress scenarios in accordance with the terms of
the TPAT 2021-SL1 transaction documents.
-- The quality and credit characteristics of the student loans
borrowers.
-- The sequential-pay structure.
-- The ability of Nelnet Servicing, LLC and Turnstile Capital
Management, LLC to service and perform collections on the
collateral pool and other required activities.
-- TPAT 2021-SL1 provides for Class F Notes with an assigned
rating of B (sf). While the DBRS Morningstar "Rating U.S. Private
Student Loan Securitizations" methodology does not set forth a
range of multiples for the B (sf) level, the analytical approach
for this rating level is consistent with that contemplated by the
methodology. The typical range of multiples applied in the DBRS
Morningstar stress analysis for a B (sf) rating is 1.00 times (x)
to 1.25x.
-- The legal structure and legal opinions that address the true
sale of the student loans, the nonconsolidation of the trust, that
the trust has a valid first-priority security interest in the
assets and the consistency with DBRS Morningstar's "Legal Criteria
for U.S. Structured Finance."
Notes: All figures are in U.S. dollars unless otherwise noted.
VELOCITY COMMERCIAL 2021-2: DBRS Finalizes B Rating on 3 Classes
----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the Mortgage-Backed
Certificates, Series 2021-2 issued by Velocity Commercial Capital
Loan Trust 2021-2 as follows:
-- $148.3 million Class A at AAA (sf)
-- $148.3 million Class A-S at AAA (sf)
-- $148.3 million Class A-IO at AAA (sf)
-- $15.4 million Class M-1 at AA (low) (sf)
-- $15.4 million Class M1-A at AA (low) (sf)
-- $15.4 million Class M1-IO at AA (low) (sf)
-- $7.2 million Class M-2 at A (low) (sf)
-- $7.2 million Class M2-A at A (low) (sf)
-- $7.2 million Class M2-IO at A (low) (sf)
-- $14.0 million Class M-3 at BBB (sf)
-- $14.0 million Class M3-A at BBB (sf)
-- $14.0 million Class M3-IO at BBB (sf)
-- $4.3 million Class M-4 at BB (sf)
-- $4.3 million Class M4-A at BB (sf)
-- $4.3 million Class M4-IO at BB (sf)
-- $3.1 million Class M-5 at B (sf)
-- $3.1 million Class M5-A at B (sf)
-- $3.1 million Class M5-IO at B (sf)
Classes A-IO, M1-IO, M2-IO, M3-IO, M4-IO, and M5-IO are
interest-only certificates. The class balances represent notional
amounts.
Classes A, M-1, M-2, M-3, M-4, and M-5 are exchangeable
certificates. These classes can be exchanged for combinations of
initial exchangeable certificates as specified in the offering
documents.
The AAA (sf) ratings on the Certificates reflect 27.70% of credit
enhancement provided by subordinated certificates. The AA (low)
(sf), A (low) (sf), BBB (sf), BB (sf), and B (sf) ratings reflect
20.20%, 16.70%, 9.90%, 7.80%, and 6.30% of credit enhancement,
respectively.
Other than the classes specified above, DBRS Morningstar does not
rate any other classes in this transaction.
VCC 2021-2 is a securitization of a portfolio of newly originated
fixed- and adjustable-rate, first-lien residential mortgages
collateralized by investor properties with one to four units
(residential investor loans) and small-balance commercial mortgages
(SBC) collateralized by various types of commercial, multifamily
rental, and mixed-use properties. The securitization is funded by
the issuance of the Certificates, which are backed by 541 mortgage
loans with a total principal balance of $205,177,758 as of the
Cut-Off Date (July 1, 2021).
Approximately 53.7% of the pool is comprised of residential
investor loans and about 46.3% of SBC loans. All but one of the
loans in this securitization (99.5% of the pool) were originated by
Velocity Commercial Capital, LLC (Velocity or VCC), and one loan
(0.5% of the pool) was acquired by Velocity from a third-party
originator. The loans were underwritten to program guidelines for
business-purpose loans where the lender generally expects the
property (or its value) to be the primary source of repayment (No
Ratio). The lender reviews mortgagor's credit profile, though it
does not rely on the borrower's income to make its credit decision.
However, the lender considers the property-level cash flows or
minimum debt-service coverage (DSCR) ratio in underwriting SBC
loans with balances over $750,000 for purchase transactions and
over $500,000 for refinance transactions. Since the loans were made
to investors for business purposes, they are exempt from the
Consumer Financial Protection Bureau's Ability-to-Repay rules and
TILA-RESPA Integrated Disclosure rule.
The pool is about one-month seasoned on a weighted average (WA)
basis, although seasoning may span from zero up to 15 months.
Except for seven loans (1.0% of the pool) that have missed one or
more payments, the loans have been performing since origination. Of
the seven loans that were delinquent, two have cured the
delinquency as of the Cut-Off Date and become current.
PHH Mortgage Corporation will service all loans within the pool for
a servicing fee of 0.30% per annum. In addition, Velocity will act
as a Special Servicer servicing the loans that defaulted or became
60 or more days delinquent under the Mortgage Bankers Association
(MBA) method and other loans, as defined in the transaction
documents (Specially Serviced Loans). The Special Servicer will be
entitled to receive compensation based on an annual fee of 0.75%
and the balance of Specially Serviced Loans. Also, the Special
Servicer is entitled to a liquidation fee equal to 2.00% of the net
proceeds from the liquidation of a Specially Serviced Loan, as
described in the transaction documents.
The Servicer will fund advances of delinquent principal and
interest (P&I) until the advances deemed unrecoverable. Also, the
Servicer is obligated to make advances with respect to taxes,
insurance premiums, and reasonable costs incurred in the course of
servicing and disposing properties.
U.S. Bank National Association (rated AA (high) with a Stable trend
by DBRS Morningstar) will act as the Trustee, Paying Agent, and
Custodian.
The Sponsor, directly or indirectly through a majority-owned
affiliate, is expected to retain an eligible horizontal residual
interest consisting of the Class P and Class XS Certificates, and,
to the extent required, the Class M-7 Certificates, collectively
representing at least 5% of the fair value of all Certificates, to
satisfy the credit risk-retention requirements under Section 15G of
the Securities Exchange Act of 1934 and the regulations promulgated
thereunder.
On or after the later of the (1) three-year anniversary of the
Closing Date or (2) date when the aggregate stated principal
balance of the mortgage loans is reduced to 30% of the Closing Date
balance, the Depositor may purchase all outstanding Certificates
(Optional Purchase) at a price equal to the sum of the remaining
aggregate balance of the Certificates plus accrued and unpaid
interest, and any fees, expenses, and indemnity payments due and
unpaid to the transaction parties, including any unreimbursed P&I
and servicing advances, and other amounts due as applicable. The
Optional Purchase will be conducted concurrently with a qualified
liquidation of the Issuer.
Additionally, if on any date on which the unpaid mortgage loan
balance and the value of real estate owned (REO) properties has
declined to less than 10% of the initial mortgage loan balance as
of the Cut-off Date, the Directing Holder, the Special Servicer, or
the Servicer, in that order of priority, may purchase all of the
mortgages, REO properties, and any other properties from the Issuer
(Optional Termination) at a price specified in the transaction
documents. The Optional Termination will be conducted as a
qualified liquidation of the Issuer. The Directing Holder
(initially, the Seller) is the representative selected by the
holders of more than 50% of the outstanding subordinate
certificates with the lowest priority of principal distributions.
The transaction uses a structure sometimes referred to as a
modified pro rata structure. Prior to the Class A credit
enhancement (CE) falling below 10.0% of the loan balance as of the
Cut-off Date (Class A Minimum CE Event), the principal
distributions allow for amortization of all senior and subordinate
bonds based on CE targets set at different levels for performing
(same CE as at issuance) and nonperforming (higher CE than at
issuance) loans. Each Class's target principal balance is
determined based on the CE targets and the performing and
nonperforming (those that are 90 or more days MBA delinquent, in
foreclosure and REO, and subject to a servicing modification within
the prior 12 months) loan amounts. As such, the principal payments
are paid on a pro rata basis, up to each Class's target principal
balance, so long as no loans in the pool are nonperforming. If the
share of nonperforming loans grows, the corresponding CE target
increases. Thus, the principal payment amount increases for the
senior and senior subordinate classes and falls for the more
subordinate bonds. The goal is to distribute the appropriate amount
of principal to the senior and subordinate bonds each month, to
always maintain the desired level of CE, based on the performing
and nonperforming pool percentages. After the Class A Minimum CE
Event, the principal distributions are made sequentially.
Relative to the sequential pay structure, the modified pro rata
structure is more sensitive to the timing of the projected defaults
and losses as the losses may be applied at a time when the amount
of credit support is reduced as the bonds' principal balances
amortize over a life of the transaction. That said, the excess
spread can be used to cover realized losses after being allocated
to the unpaid net WA coupon shortfalls.
COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBS) METHODOLOGY
Of the 200 loans, 197 loans, representing 98.2% of the SBC portion
of the pool, have a fixed interest rate with a straight average of
7.8%. The three floating-rate loans have interest rate floors
(excluding rate margins) ranging from 3.88% to 3.99% with a
straight average of 3.92% and interest rate margins ranging from
4.75% to 5.00% with a straight average of 4.92%. To determine the
probability of default (POD) and loss given default inputs in the
CMBS Insight Model, DBRS Morningstar applied a stress to the
various indexes that corresponded with the remaining fully extended
term of the loans and added the respective contractual loan spread
to determine a stressed interest rate over the loan term. DBRS
Morningstar looked to the greater of the interest rate floor or the
DBRS Morningstar stressed index rate when calculating stressed debt
service. The WA modeled coupon rate was 7.60%. Most of the loans
have original term lengths of 30 years and fully amortize over
30-year schedules. However, one loan that comprises 1.1% of the SBC
pool has a 10-year term and amortizes over a 30-year schedule. When
the cut-off loan balances were measured against the DBRS
Morningstar net cash flow (NCF) and their respective actual
constants or stressed interest rates, there were 154 loans,
representing 85.6% of the SBC pool, with term DSCRs below 1.15
times (x), a threshold indicative of a higher likelihood of term
default.
All SBC loans were originated between March 2020 and June 2021,
resulting in minimal seasoning of 1.1 months on average. The SBC
pool has a WA original term length of 357.3 months, or 29.8 years,
with a WA remaining term of 356.1 months, or 29.7 years. Based on
the current loan amount, which reflects approximately 8 basis
points (bps) of amortization, and the current appraised values, the
SBC pool has a WA LTV ratio of 66.1%. However, DBRS Morningstar
made LTV adjustments to 37 loans that had an implied capitalization
rate more than 200 bps lower than a set of minimal capitalization
rates established by DBRS Morningstar Market Rank. The DBRS
Morningstar minimal capitalization rates range from 5.0% for
properties located in Market Rank 8 to 8.0% for properties located
in Market Rank 1. This resulted in a higher DBRS Morningstar LTV of
74.5%. Lastly, all but one loan fully amortize over their
respective remaining terms, resulting in a 99.8% expected
amortization; this amount of amortization is greater than what is
typical for CMBS conduit pools. DBRS Morningstar's research
indicates that, for CMBS conduit transactions securitized between
2000 and 2019, average amortization by year has ranged between
7.50% and 21.09%, with an overall medial rate of 18.80%.
As contemplated and explained in DBRS Morningstar's Rating North
American CMBS Interest-Only Certificates methodology, the most
significant risk to an IO cash flow stream is term default risk. As
noted in that methodology, for a pool of approximately 63,000 CMBS
loans that fully cycled through to their maturity dates, DBRS
Morningstar noted that the average total default rate across all
property types was approximately 17%, the refinance default rate
was 6% (approximately one-third of the total rate), and the term
default rate was approximately 11%. DBRS Morningstar recognizes the
muted impact of refinance risk on IO certificates by notching the
IO rating up by one notch from the Reference Obligation rating.
When using the 10-year Idealized Default Table default probability
to derive a POD for a CMBS bond from its rating, DBRS Morningstar
estimates that, in general, a one-third reduction in the CMBS
Reference Obligation POD maps to a tranche rating that is
approximately one notch higher than the Reference Obligation or the
Applicable Reference Obligation, whichever is appropriate.
Therefore, similar logic regarding term default risk supported the
rationale for DBRS Morningstar to reduce the POD in the CMBS
Insight Model by one notch because refinance risk is largely absent
for this SBC pool of loans.
STRENGTHS – SBC LOANS
-- The CMBS pool has a WA expected loss of 4.37%, which is lower
than recently analyzed comparable small-balance transactions.
Contributing factors to the low expected loss include pool
diversity, moderate leverage, and fully amortizing loans.
-- The SBC pool is quite diverse based on loan size, with an
average balance of $475,366, a concentration profile equivalent to
that of a transaction with 117 equal-size loans, and a top-10 loan
concentration of 18.9%. Increased pool diversity helps to insulate
the higher-rated classes from event risk.
-- The loans are mostly secured by traditional property types
(i.e., retail, multifamily, office, and industrial) with no
exposure to higher-volatility property types, such as hotels,
self-storage, or manufactured housing communities.
-- All but one loan in the SBC pool fully amortize over their
respective remaining loan terms between 352 and 360 months,
reducing refinance risk.
CHALLENGES AND STABILIZING FACTORS – SBC LOANS
-- As classified by DBRS Morningstar for modeling purposes, the
SBC pool contains a significant exposure to retail (19.1% of the
SBC pool) and a smaller exposure to office (10.8% of the SBC pool),
which are two of the higher-volatility asset types. Loans counted
as retail include those identified as automotive and potentially
commercial condo. Combined, they represent nearly one-third of the
pool balance. Retail, which has struggled because of the pandemic,
comprises the second-largest asset type in the transaction.
-- DBRS Morningstar applied a 20.0% reduction to the NCF for
retail properties and a 30.0% reduction for office assets in the
SBC pool, which is above the average NCF reduction applied for
comparable property types in CMBS-analyzed deals.
-- Multifamily comprises the fourth-largest property type
concentration in the SBC pool (18.3%); based on DBRS Morningstar's
research, multifamily properties securitized in conduit
transactions have had lower default rates than most other property
types.
-- DBRS Morningstar did not perform site inspections on loans
within its sample for this transaction. Instead, DBRS Morningstar
relied upon analysis of third-party reports and online searches to
determine property quality assessments. Of the 60 loans DBRS
Morningstar sampled, 6.7% were Average, 81.2% were Average –,
11.0% were Below Average, and 1.0% were Poor quality.
-- DBRS Morningstar assumed unsampled loans were Average –
quality, which has a slightly increased POD level. This is more
conservative than the assessments from sampled loans and is
consistent with other SBC transactions.
-- Limited property-level information was available for DBRS
Morningstar to review. Asset summary reports, property condition
reports, Phase I/II environmental site assessment (ESA) reports,
and historical financial cash flows were generally not available
for review in conjunction with this securitization.
-- DBRS Morningstar received and reviewed appraisals for the top
30 loans, which represent 40.1% of the SBC pool balance. These
appraisals were issued between November 2019 and June 2021 when the
respective loans were originated. DBRS Morningstar was able to
perform loan-level cash flow analysis on the top 30 loans, as well
as the 32nd-largest loan in the SBC pool. The haircuts ranged from
-2.5% to -100.0%, with an average of -24.5%; however, DBRS
Morningstar generally applied more conservative haircuts on the
unsampled loans.
-- No ESA reports were provided and are not required by the
Issuer; however, all of the loans are placed onto an environmental
insurance policy that provides coverage to the Issuer and the
securitization trust in the event of a claim.
-- DBRS Morningstar received limited borrower information, net
worth or liquidity information, and credit history.
-- DBRS Morningstar generally initially assumed loans had Weak
sponsor strength scores, which increases the stress on the default
rate. The initial assumption of Weak reflects the generally less
sophisticated nature of small balance borrowers and assessments
from past small balance transactions.
-- Furthermore, DBRS Morningstar received a 12-month pay history
on each loan as of July 16, 2021. If any loan had more than two
late pays within this period or was currently 30 days past due,
DBRS Morningstar applied an additional stress to the default rate.
This occurred for only two loans, representing 0.7% of the SBC pool
balance.
-- Finally, DBRS Morningstar received a borrower FICO score as of
July 16, 2021, for 197 loans or 98.8% of the SBC pool balance, with
an average FICO score of 724. While the CMBS Methodology does not
contemplate FICO scores, the Residential Mortgage-Backed Securities
(RMBS) Methodology does and would characterize a FICO score of 724
as near-prime, whereas prime is considered greater than 750.
Borrowers with a FICO score of 724 could generally be described as
potentially having had previous credit events (foreclosure,
bankruptcy, etc.) but, if they did, it is likely that these credit
events were cleared about two to five years ago.
RESIDENTIAL MORTGAGE-BACKED SECURITIES (RMBS) METHODOLOGY
The collateral pool consists of 341 mortgage loans with a total
balance of approximately $110.1 million collateralized by one- to
four-unit investment properties. The mortgage loans were
underwritten by Velocity to No Ratio program guidelines for
business-purpose loans.
The Coronavirus Disease (COVID-19) pandemic and the resulting
isolation measures caused an immediate economic contraction,
leading to sharp increases in unemployment rates and income
reductions for many consumers. Shortly after the onset of the
pandemic, DBRS Morningstar saw an increase in the delinquencies for
many residential mortgage-backed securities (RMBS) asset classes.
Such mortgage delinquencies were mostly in the form of
forbearances, which are generally short-term periods of payment
relief that may perform very differently from traditional
delinquencies. At the onset of the pandemic, the option to forbear
mortgage payments was widely available, driving forbearances to an
elevated level. When the dust settled, loans with
coronavirus-induced forbearance in 2020 performed better than
expected, thanks to government aid, low loan-to-value ratios
(LTVs), and acceptable underwriting in the mortgage market in
general. Across nearly all RMBS asset classes in recent months
delinquencies have been gradually trending downward, as forbearance
periods come to an end for many borrowers.
Notes: All figures are in U.S. dollars unless otherwise noted.
VIBRANT CLO XIV: Moody's Assigns (P)Ba3 Rating to $18MM D Notes
---------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to seven
classes of notes to be issued by Vibrant CLO XIV, Ltd. (the
"Issuer" or "Vibrant XIV").
Moody's rating action is as follows:
US$270,000,000 Class A-1A Senior Secured Floating Rate Notes due
2034, Assigned (P)Aaa (sf)
US$13,000,000 Class A-1B-1 Senior Secured Floating Rate Notes due
2034, Assigned (P)Aaa (sf)
US$5,000,000 Class A-1B-2 Senior Secured Fixed Rate Notes due 2034,
Assigned (P)Aaa (sf)
US$54,000,000 Class A-2 Senior Secured Floating Rate Notes due
2034, Assigned (P)Aa2 (sf)
US$25,875,000 Class B Secured Deferrable Floating Rate Notes due
2034, Assigned (P)A2 (sf)
US$25,875,000 Class C Secured Deferrable Floating Rate Notes due
2034, Assigned (P)Baa3 (sf)
US$18,000,000 Class D Secured Deferrable Floating Rate Notes due
2034, Assigned (P)Ba3 (sf)
The notes listed are referred to herein, collectively, as the
"Rated Notes."
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.
Vibrant XIV is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 92.5% of the portfolio must consist of
senior secured loans, cash, and eligible investments, and up to
7.5% of the portfolio may consist of second lien loans and
unsecured loans. Moody's expect the portfolio to be approximately
80% ramped as of the closing date.
Vibrant Capital Partners, Inc. (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.
In addition to the Rated Notes, the Issuer will issue subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2020.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $450,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2770
Weighted Average Spread (WAS): 3.38%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 46.5%
Weighted Average Life (WAL): 9.15 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2020.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
VIBRANT CLO XIV: Moody's Assigns Ba3 Rating to $18MM Class D Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
notes issued by Vibrant CLO XIV, Ltd. (the "Issuer" or "Vibrant
XIV").
Moody's rating action is as follows:
US$270,000,000 Class A-1A Senior Secured Floating Rate Notes due
2034, Definitive Rating Assigned Aaa (sf)
US$13,000,000 Class A-1B-1 Senior Secured Floating Rate Notes due
2034, Definitive Rating Assigned Aaa (sf)
US$5,000,000 Class A-1B-2 Senior Secured Fixed Rate Notes due 2034,
Definitive Rating Assigned Aaa (sf)
US$54,000,000 Class A-2 Senior Secured Floating Rate Notes due
2034, Definitive Rating Assigned Aa2 (sf)
US$25,875,000 Class B Secured Deferrable Floating Rate Notes due
2034, Definitive Rating Assigned A2 (sf)
US$25,875,000 Class C Secured Deferrable Floating Rate Notes due
2034, Definitive Rating Assigned Baa3 (sf)
US$18,000,000 Class D Secured Deferrable Floating Rate Notes due
2034, Definitive Rating Assigned Ba3 (sf)
The notes listed are referred to herein, collectively, as the
"Rated Notes."
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.
Vibrant XIV is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 92.5% of the portfolio must consist of
senior secured loans, cash, and eligible investments, and up to
7.5% of the portfolio may consist of second lien loans and
unsecured loans. The portfolio is approximately 80% ramped as of
the closing date.
Vibrant Capital Partners, Inc. (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.
In addition to the Rated Notes, the Issuer issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2020.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $450,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2770
Weighted Average Spread (WAS): 3.38%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 46.5%
Weighted Average Life (WAL): 9.15 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2020.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
VOYA CLO 2012-4: S&P Assigns 'BB+ (sf)' Rating on C-2-R-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1a-R3,
A-2a-R3, B-R3, and C-1-R3 replacement notes from Voya CLO 2012-4
Ltd./Voya CLO 2012-4 LLC, a CLO originally issued in 2012 that is
managed by Voya Alternative Asset Management LLC. At the same time,
S&P withdrew its ratings on the original class A-1a-R-R,
A-1b-R-R-R, A-2a-R-R, A-2b-R-R-R, B-R-R, and C-1-R-R notes
following payment in full on the Sept. 3, 2021, refinancing date.
S&P also raised its ratings on the class D-R-R and E-R-R notes and
affirmed its ratings on the class X-R-R and C-2-R-R notes, which
were not refinanced.
The replacement notes were issued via a supplemental indenture,
which outlines the terms of the replacement notes. According to the
supplemental indenture, the non-call period will be extended to
June 2022.
S&P said, "The upgrades to two tranches that were downgraded during
the pandemic in 2020 is primarily due to the credit quality
improvement in the underlying collateral since our prior rating
actions in 2020, and the benefits of the lower cost-of-funding to
the CLO following the refinance. Collateral with S&P Global
Ratings' credit ratings in the 'CCC' range and defaulted assets
have decreased since our previous review in 2020. This decreased
the scenario default rates. In addition, the cash flow results
following the refinance have improved, which led to an increase in
their credit support."
Replacement And Original Note Issuances
Replacement notes
Class A-1a-R3, $259.5945 million: Three-month LIBOR + 1.00%
Class A-2a-R3, $44.40 million: Three-month LIBOR + 1.45%
Class B-R3, $23.60 million: Three-month LIBOR + 1.95%
Class C-1-R3, $14.00 million: Three-month LIBOR + 3.30%
Original notes
Class A-1a-R-R, $244.618 million: Three-month LIBOR + 1.20%
Class A-1b-R-R-R, $14.977 million: 2.76%
Class A-2a-R-R, $27.90 million: Three-month LIBOR + 1.90%
Class A-2b-R-R-R, $16.50 million: 3.47%
Class B-R-R, $23.60 million: Three-month LIBOR + 2.75%
Class C-1-R-R, $14.00 million: Three-month LIBOR + 3.80%
Subordinated notes, $42.75 million: Not applicable
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Raised
Voya CLO 2012-4 Ltd./Voya CLO 2012-4 LLC
Class D-R-R to 'B (sf)' from 'B- (sf)'
Class E-R-R to 'B- (sf)' from 'CCC+ (sf)'
Ratings Affirmed
Voya CLO 2012-4 Ltd./Voya CLO 2012-4 LLC
Class X-R-R: 'AAA (sf)'
Class C-2-R-R: 'BB+ (sf)'
Ratings Withdrawn
Voya CLO 2012-4 Ltd./ Voya CLO 2012-4 LLC
Class A-1a-R-R to NR from 'AAA (sf)'
Class A-1b-R-R-R to NR from 'AAA (sf)'
Class A-2a-R-R to NR from 'AA (sf)'
Class A-2b-R-R-R to NR from 'AA (sf)'
Class B-R-R to NR from 'A (sf)'
Class C-1-R-R to NR from 'BBB- (sf)
NR--Not rated.
WELLFLEET CLO 2020-2: S&P Assigns BB- (sf) Rating on Cl. E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
D-R, and E-R replacement notes and new class X notes from Wellfleet
CLO 2020-2 Ltd./Wellfleet CLO 2020-2 LLC, a CLO originally issued
in August 2020 that is managed by Wellfleet Credit Partners LLC.
On the Aug. 24, 2021, refinancing date, the proceeds from the
replacement notes were used to redeem the original notes. At that
time, we withdrew our ratings on the original notes and assigned
ratings to the replacement notes.
The replacement notes were issued via a supplemental indenture,
which outlines the terms of the replacement notes. According to the
supplemental indenture:
-- The replacement class A-R, C-R, D-R, and E-R notes were issued
at a lower spread over three-month LIBOR than the original notes.
-- The replacement class B-R notes were issued at a floating
spread, replacing the current class B-1 floating spread and class
B-2 fixed coupon notes.
-- The stated maturity and reinvestment period were extended by
three years.
-- The waterfall was adjusted so that principal proceeds will be
used after the reinvestment period to cure the coverage tests
before interest proceeds.
-- A 5% limit on corporate bonds was added to the concentration
limits.
-- New class X notes were issued in connection with this
refinancing. These notes are expected to be paid down using
interest proceeds during the first 10 payment dates, beginning in
October 2021.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Wellfleet CLO 2020-2 Ltd./Wellfleet CLO 2020-2 LLC
Class X, $3 million: AAA (sf)
Class A-R, $248 million: AAA (sf)
Class B-R, $56 million: AA (sf)
Class C-R (deferrable), $24 million: A (sf)
Class D-R (deferrable), $24 million: BBB- (sf)
Class E-R (deferrable), $15 million: BB- (sf)
Subordinated notes, $34 million: Not rated
Ratings Withdrawn
Wellfleet CLO 2020-2 Ltd./Wellfleet CLO 2020-2 LLC
Class A to not rated from 'AAA (sf)'
Class B-1 to not rated from 'AA (sf)'
Class B-2 to not rated from 'AA (sf)'
Class C (deferrable) to not rated from 'A (sf)'
Class D (deferrable) to not rated from 'BBB- (sf)'
Class E (deferrable) to not rated from 'BB- (sf)'
WELLS FARGO 2017-C41: Fitch Lowers G-RR Certs to 'CCC'
------------------------------------------------------
Fitch Ratings has downgraded two classes, resolved Ratings Watch
Negative on three classes, revised Outlooks on six classes and
affirmed 12 classes of Wells Fargo Commercial Mortgage Trust,
Series 2017-C41. Fitch has also affirmed the 2017 C41 III Trust
pass through certificate (MOA 2020-WC41 Class E-RR).
DEBT RATING PRIOR
---- ------ -----
WFCM 2017-C41
A-1 95001AAZ9 LT AAAsf Affirmed AAAsf
A-2 95001ABA3 LT AAAsf Affirmed AAAsf
A-3 95001ABC9 LT AAAsf Affirmed AAAsf
A-4 95001ABD7 LT AAAsf Affirmed AAAsf
A-S 95001ABG0 LT AAAsf Affirmed AAAsf
A-SB 95001ABB1 LT AAAsf Affirmed AAAsf
B 95001ABH8 LT AA-sf Affirmed AA-sf
C 95001ABJ4 LT A-sf Affirmed A-sf
D 95001AAD8 LT BBB+sf Affirmed BBB+sf
E-RR 95001AAG1 LT BBB-sf Affirmed BBB-sf
F-RR 95001AAK2 LT BBsf Downgrade BB+sf
G-RR 95001AAN6 LT CCCsf Downgrade Bsf
X-A 95001ABE5 LT AAAsf Affirmed AAAsf
X-B 95001ABF2 LT AA-sf Affirmed AA-sf
X-D 95001AAA4 LT BBB+sf Affirmed BBB+sf
MOA 2020-WC41 E
E-RR 90215VAA1 LT BBB-sf Affirmed BBB-sf
KEY RATING DRIVERS
Improved Loss Expectations: Fitch's loss expectations have declined
since the prior rating action due to improved recovery expectations
on several specially serviced loans as well as better than expected
performance in 2020. However, the downgrade of classes F-RR and
G-RR reflect a higher certainty of loss on certain specially
serviced assets.
Fitch identified 11 loans (32.6%) that have been designated Fitch
Loans of Concern (FLOCs), including five specially serviced loans
(17.6%). Since the prior review, two loans (Belden Park Crossing
and 444-446 86th Street) which were previously in special servicing
transferred back to the master servicer and two loans (Marriot LAX
and HGI Plymouth) transferred to special servicing.
Fitch's current ratings and revision of Rating Outlooks on classes
A-S through D, X-B, and X-D to Stable from Negative incorporate a
base case loss of 6.00%. The Negative Outlooks on classes E-RR,
F-RR, and pass through MOA 2020-WC41 E-RR reflects losses that
could reach 6.60% when factoring additional stresses that reflect
pandemic-related performance concerns.
Fitch Loans of Concern: The largest driver to loss is the third
largest loan in the pool, Mall of Louisiana (5.3%), which is
secured by the inline space within a 1.5 million sf super-regional
mall located in Baton Rouge, LA. Non-collateral tenants include
Dillard's, Dillard's Men & Home, JC Penney, Macy's and a vacant
Sears. Large tenants include AMC Theatres, (9.6% of NRA), Dick's
Sporting Goods (9.5% of NRA), Main Event (bowling alley, arcade,
laser tag; opened in 2019) (6.0% of NRA), and Nordstrom Rack (3.9%
of NRA). Occupancy has improved to 93.3% as of 1Q 2021 compared to
89% at YE 2020, 93% at YE 2019, and 89% at YE 2018 and 92% at YE
2017. YE 2020 NOI is 4.5% lower than YE 2019 and is 5.8% lower than
Fitch's NOI at issuance.
Fitch applied a 10% stress to YE 2020 NOI and a 15% cap rate which
resulted in a 22% expected loss.
The second largest driver to loss is a specially serviced loan,
Hilton Houston Galleria TX (1.9%). The subject is a 292-key
full-service hotel located in Houston, TX. The loan transferred to
special servicing on July 17, 2020 due to payment default. The
borrower closed the hotel and the property manager vacated due to
non-payment in January 2021. In March 2021, a receiver was
appointed and retained a mold remediation vendor to address the
humidity in the hotel which remains ongoing. The special servicer
has stated that the mold remediation will be completed in
September/October 2021 and is considering taking title of the asset
before year-end or selling the note.
Fitch applied a stress to the most recent appraisal value due to
account for the hotel being closed and remediated for a significant
mold issue, as well as a lack of updated financials. Fitch's
expected loss is approximately 40%.
The third largest contributor to losses is Corporate Center I & Ill
(2.5%) which has experienced a decline in NOI and occupancy. The
subject is a 95,002 SF suburban office property located in Las
Vegas, NV. Over 50% of the NRA is occupied by medical-related
tenancy, and the subject is among a dense grouping of medical and
health-related businesses. The loan previously transferred to
special servicing in September 2020 due to payment default and was
returned as a corrected mortgage in February 2021 and is current.
The largest tenants include Micro Gaming/MVP (17% NRA, LXP February
2025) and Provident Group (12% NRA, LXP March 2022). Upcoming
tenant rollover includes 5.4% of NRA in 2021, 16.9% in 2022, and
25.2% in 2024. Occupancy has declined to 83% as of 1Q 2021 compared
to 87% at YE 2020, and 92% at YE 2019 and 100% at YE 2018.
Fitch applied a 10% stress to YE 2020 NOI due to concerns with the
decline in occupancy and upcoming tenant rollover which resulted in
a 19% expected loss.
The largest loan in the pool, Headquarters Plaza (6.5%) transferred
to special servicing in June of 2020 due to payment default. The
collateral is a mixed-use office, hotel, and retail complex
featuring three office towers, restaurants, a 10-screen movie
theatre, an upscale health club, and the 256-key Hyatt Regency
Morristown located in Morristown, NJ. The largest tenants include
Riker Danzig Scherer (10.9% of NRA), Chartwell Group LLC (6.9% of
NRA), and AMC Theatres (5.5% of NRA).
Total occupancy has declined to 86% as of 1Q 2021 and YE 2020,
compared to 92% at YE 2019 and YE 2018. Fitch's analysis is based
on a discount to the recent valuation provided by the special
servicer. Minimal losses are expected due to historically strong
performance and expected eventual stabilization.
The second largest loan and specially serviced asset is Marriot LAX
(5.4%), which transferred to special servicing in December 2020 for
payment default. The subject is a 1,004 key full-service hotel,
located adjacent to the Los Angeles International Airport. The
special servicer is considering a forbearance agreement while also
dual tracking foreclosure. Fitch is modelling a minimal loss to
account for servicing fees.
Minimal Changes to Credit Enhancement: As of the August 2021
distribution date, the pool's aggregate principal balance has been
paid down by 2.8% to $764.1 million from $785.9 million at
issuance. One loan, Preferred Self Storage, previously 0.15% of the
pool balance has repaid in full since the prior rating action.
Nineteen loans (33.5% of the pool) are interest-only for the full
term. An additional 18 loans (29.5%) are balloon loans. The
remaining 15 loans are partial interest-only and represent 37.0% of
the pool. One loan (1.9%) is scheduled to mature in 2022, with the
remainder of the pool maturing in 2027. The pool is scheduled to
amortize by 10.6% through maturity.
Coronavirus Exposure: Loans secured by retail properties comprise
27.2% of the pool, including three in the top 15 (10.8%). Loans
secured by hotel properties comprise 19.8% of the pool, including
three in the top 15 (11.2%). Additional coronavirus-related
stresses were applied to five hotel loans (10.4%) and one retail
loan (3.1 %); these additional stresses contributed to the Negative
Outlooks on classes E-RR and F-RR.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- The Negative Outlooks on classes E-RR, F-RR, and pass through
MOA 2020-WC41 E-RR, reflect the potential for downgrade due to
performance concerns associated with the FLOCs and the Mall of
Louisiana. The Stable Outlooks on all other classes reflect
the increasing credit enhancement, continued amortization and
stable performance of the majority of the pool.
-- An increase in pool level losses from underperforming or
specially serviced loans. Downgrades of classes A-1 through A
SB, and X-A are not considered likely due to the improving
credit enhancement and the overall stable performance of the
majority of the pool, but may occur should interest shortfalls
affect these classes. Downgrades of classes A-S, B, C, X-B, D,
and X-D would likely occur if expected losses increase
significantly or the performance of the FLOCs continue to
decline further and/or fail to stabilize. Downgrades to
classes E-RR, F-RR ,G-RR, and pass through MOA 2020-WC41 E-RR
would occur should the performance of the FLOCs and the Mall
of Louisiana fail to improve.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Stable to improved asset performance coupled with paydown
and/or defeasance. Upgrades of classes B, C, and X-B would
likely occur if expected losses decrease significantly or the
performance of the FLOCs stabilize. An upgrade to classes D
and X-D is considered unlikely and would be limited based on
sensitivity to concentrations or the potential for future
concentration. Classes would not be upgraded above 'Asf' if
there is likelihood for interest shortfalls.
-- Upgrades to classes E-RR, F-RR, G-RR, and pass through MOA
2020-WC41 E-RR are not likely until the later years in a
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.
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.
WFRBS TRUST 2014-C19: Fitch Lowers Class F Certs to 'CC'
--------------------------------------------------------
Fitch Ratings has downgraded four and affirmed nine classes of
WFRBS Commercial Mortgage Trust 2014-C19, commercial mortgage
pass-through certificates. Fitch has also removed three classes
from Rating Watch Negative (RWN).
DEBT RATING PRIOR
---- ------ -----
WFRBS 2014-C19
A-3 92938VAN5 LT AAAsf Affirmed AAAsf
A-4 92938VAP0 LT AAAsf Affirmed AAAsf
A-5 92938VAQ8 LT AAAsf Affirmed AAAsf
A-S 92938VAS4 LT AAAsf Affirmed AAAsf
A-SB 92938VAR6 LT AAAsf Affirmed AAAsf
B 92938VAT2 LT AA-sf Affirmed AA-sf
C 92938VAU9 LT A-sf Affirmed A-sf
D 92938VAA3 LT BBsf Downgrade BBB-sf
E 92938VAC9 LT CCCsf Downgrade B-sf
F 92938VAE5 LT CCsf Downgrade CCCsf
PEX 92938VAV7 LT A-sf Affirmed A-sf
X-A 92938VAW5 LT AAAsf Affirmed AAAsf
X-B 92938VAX3 LT BBsf Downgrade BBB-sf
KEY RATING DRIVERS
Increased Loss Expectations/Specially Serviced Loans: The
downgrades and RWN removals reflect increased loss expectations for
the pool since Fitch's last rating action, driven primarily by
higher loss expectations on the Brunswick Square loan (2.9% of
pool), which transferred back to the special servicer for a second
time in July 2021. There are 17 Fitch Loans of Concern (FLOCs;
28.8%), including three specially serviced loans (5.5%), that have
been flagged for declining performance, significant upcoming lease
rollover and/or pandemic-related performance and refinance
concerns.
Fitch's current ratings incorporate a base case loss of 6.7%. The
Negative Rating Outlooks reflect losses that could reach 7.3% when
factoring additional pandemic-related stresses.
The largest change in loss since the last rating action and largest
contributor to overall loss expectations is the specially serviced,
Brunswick Square loan, which is secured by 292,685-sf portion of a
760,311-sf regional mall located in East Brunswick, NJ.
Non-collateral anchored include JCPenney and Macy's. The collateral
is anchored by a 13-screen Starplex Cinemas (17.4% of NRA; through
May 2022) and Barnes & Noble (8.5%; January 2025).
The loan transferred back to the special servicer for a second time
in July 2021 for imminent monetary default at the request of the
borrower, Washington Prime Group, as a result of the coronavirus
pandemic; the loan was 60+ days delinquent as of August 2021. The
loan first transferred to special servicing in June 2020 due to
pandemic-related performance concerns, but transferred back to the
master servicer in October 2020 with no modification. Fitch
requested updates from the special servicer on workout strategy but
has not received a response.
Collateral occupancy fell to 88% as of YE 2020, from 94% at YE 2019
and 100% at YE 2018. The servicer-reported YE 2020 NOI DSCR had
also declined to 1.02x, from 1.32x at YE 2019 and 1.50x at YE 2018.
As of the latest available sales figures provided to Fitch from TTM
May 2019, pre-pandemic inline tenant sales were low at $277psf and
has fallen from $332psf reported at issuance.
Fitch's base case loss on the loan has increased to 67% from 4% at
the last rating action; the loss is based upon a 20% cap rate and a
5% stress to the YE 2020 NOI, which is consistent with similar
defaulted mall properties that have comparable performance metrics,
and incorporates the weakening mall performance and declining
sponsor commitment as the loan has transferred back to special
servicing.
The next largest change in loss since the last rating action and
second largest contributor to overall contributor to loss
expectations is the Holiday Inn Express & Suites - Laplace loan
(1.1%), which is secured by a 91-key limited service hotel located
in LaPlace, LA. The loan transferred to special servicing in June
2020 due to payments defaults as a result of the coronavirus
pandemic. Significant losses are likely based upon a May 2021
appraisal valuation of the property, which indicates a value below
the outstanding debt amount. The same sponsor also had two other
loans in the pool that had been in special servicing and liquidated
with significant losses. Pre-pandemic, the servicer-reported NOI
DSCR of 1.24x at YE 2019 was already well below the 1.60x at
issuance. Fitch assumed a full loss of the loan in its base case
due to the tertiary market location, weak sponsorship and declining
property performance.
The next largest contributor to loss expectations, Waltonwood at
Lakeside (2.1% of the pool), is secured by a 122-unit senior
housing complex located in Sterling Heights, MI. Property has
deteriorated due to higher operating expenses and increased market
competition, which has contributed to the decline in occupancy. YE
2020 NOI DSCR fell to 0.84x from 1.00x at YE 2019 and 1.35x at YE
2018. Per the borrower, several new competitors have entered the
market within five miles of the subject property over the last two
years; four additional properties are also scheduled to open in the
near-term.
Although the increased competition spurred a community-wide
renovation plan that has since been completed, occupancy as of
March 2021 of 73% has remained flat from the 72%at YE 2020 and well
below the 83% at YE 2019. The loan's status has fluctuated between
30 and 60 days delinquent since March 2021. Fitch requested an
update from the master servicer in regards to the borrower's plans
to improve performance, but has not received a response. Fitch
modeled a base case loss of 36%, which reflects a 5% haircut to the
YE 2020 NOI.
The next largest contributor to loss expectations, Residence Inn
Katy Mills (1.5%), is secured by a 126-key extended stay hotel
located in Katy, TX and within 29 miles of the Houston CBD. The
loan transferred to special servicing in June 2017 due to imminent
monetary default after the borrower indicated there were cash flow
issues at the property stemming from new market competition. The
borrower and servicer had previously agreed to a loan modification,
which included 14 months of interest only payments, and the loan
was returned to the master servicer in May 2019.
However, the loan subsequently returned to the special servicer in
May 2020 due to hardships caused by the pandemic. The loan
defaulted on the May 2020 payment and a hard lockbox and cash trap
was implemented. The special servicer is currently evaluating next
steps, including a potential note sale and/or discounted payoff.
Fitch's base case loss of 40% reflects a stressed value per key of
approximately $69,200/key.
Improved Credit Enhancement: As of the August 2021 remittance, the
pool's aggregate principal balance has been reduced by 18.9% to
$895 million from $1.1 billion at issuance. Three loans (3.6% of
pool) are full-term interest-only. All loans that had partial
interest-only periods at issuance are now amortizing. Fifteen loans
(9.4%) are fully defeased. The transaction has realized losses
totaling $17 million to date and cumulative interest shortfalls
totaling $1.5 million are currently affecting the non-rated class G
certificates.
Upcoming Maturity: The largest loan in the pool, Renaissance
Chicago Downtown (9.3%), which is secured by a 553-key, full
service hotel property located in downtown Chicago, had an original
maturity date in July 2021. In December 2020, the loan received a
modification which extended the maturity through July 2022. The
remainder of the pool matures in 2024.
Coronavirus Exposure: Eleven loans (21.5%) are secured by hotel
properties. Twenty loans (31.5%) are secured by retail properties.
Fitch applied additional stresses to nine hotel loans, two retail
loans and one multifamily loan to account for potential cash flow
disruptions due to the coronavirus pandemic. These additional
stresses contributed to the Negative Outlooks.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- The Negative Outlooks on classes B, C, D, X-B and PEX reflect
potential downgrades based on performance concerns on the
FLOCs, primarily Brunswick Square, and the ultimate impact of
the coronavirus pandemic on performance stabilization.
-- An increase in pool-level losses from underperforming or
specially serviced loans.
-- Downgrades to the 'AAAsf' rated classes are not likely due to
their position in the capital structure and high credit
enhancement, but may occur should interest shortfalls impact
these classes. Downgrades to the 'A-sf' and 'AA-sf' rated
classes are possible should all of the FLOCs, particularly the
Brunswick Square loan, and those susceptible to the
coronavirus pandemic suffer losses. A downgrade of the 'AA-sf'
class may also occur with the possibility of an interest
shortfall.
-- Downgrades to the 'BBsf' rated classes would occur if the
performance of the FLOCs continue to decline or fail to
stabilize, additional loans default and/or transfer to special
servicing and/or higher losses than expected are incurred on
the specially serviced loans.
-- Further downgrades to the distressed rated classes (CCCsf and
below) would occur as losses are realized or with greater
certainty of losses.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- 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 and would only occur with
significant improvement in CE and/or defeasance and/or the
stabilization to the properties impacted from the coronavirus
pandemic.
-- Upgrades to the 'BBsf' rated classes are considered unlikely
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 is a
likelihood of interest shortfalls.
-- Classes rated 'CCCsf' and below are unlikely to be upgraded
absent significant performance improvement on the FLOCs and
substantially higher recoveries than expected on the specially
serviced loans, particularly the Brunswick Square loan.
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.
WHITEBOX CLO I: S&P Assigns BB- (sf) Rating on Class D-R Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class AN-A-R,
AN-B-R, B-R, C-R, and D-R replacement notes from Whitebox CLO I
Ltd./Whitebox CLO I LLC, a CLO transaction backed by broadly
syndicated loans that closed in 2019 and is managed by Whitebox
Capital Management LLC. At the same time, S&P withdrew its ratings
on the class AN-A, A-L, AN-B, B, C, and D notes following payment
in full on the Aug. 27, 2021, refinancing date.
The replacement notes were issued via a supplemental indenture,
which outlined the terms of the replacement notes. According to the
supplemental indenture, the non-call period will be Aug. 27, 2022.
Replacement And Original Note Issuances
Replacement notes
Class AN-A-R, $242.00 million: Three-month LIBOR + 1.13%
Class AN-B-R, $62.00 million: Three-month LIBOR + 1.70%
Class B-R, $22.00 million: Three-month LIBOR + 2.05%
Class C-R, $24.00 million: Three-month LIBOR + 3.05%
Class D-R, $16.00 million: Three-month LIBOR + 6.40%
Original notes
Class AN-A, $43.56 million: Three-month LIBOR + 1.41%
Class A-L, $249.28 million: Three-month LIBOR + 1.56%
Class AN-B, $11.16 million: Three-month LIBOR + 2.15%
Class B, $22.00 million: Three-month LIBOR + 3.15%
Class C, $24.00 million: Three-month LIBOR + 4.35%
Class D, $16.00 million: Three-month LIBOR + 7.45%
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Whitebox CLO I Ltd./Whitebox CLO I LLC
Class AN-A-R, $242 million: AAA (sf)
Class AN-B-R, $62 million: AA (sf)
Class B-R, $22 million: A (sf)
Class C-R, $24 million: BBB- (sf)
Class D-R, $16 million: BB- (sf)
Ratings Withdrawn
Whitebox CLO I Ltd./Whitebox CLO I LLC
Class AN-A to not rated from 'AAA (sf)'
Class A-L to not rated from 'AA (sf)'
Class AN-B not rated NR from 'AA (sf)'
Class B to not rated from 'A (sf)'
Class C to not rated from 'BBB- (sf)'
Class D to not rated from 'BB- (sf)'
Other Outstanding Notes
Whitebox CLO I Ltd./Whitebox CLO I LLC
Subordinated notes: Not rated
[*] DBRS Confirms 16 Ratings from 4 Lendmark Funding Transactions
-----------------------------------------------------------------
DBRS, Inc. confirmed 16 ratings from four Lendmark Funding Trust
transactions.
The Affected Ratings are available at https://bit.ly/3sAtI1s
The rating actions are based on the following analytical
considerations:
-- The transaction analysis considers DBRS Morningstar's set of
macroeconomic scenarios for select economies related to the
Coronavirus Disease (COVID-19), available in its commentary "Global
Macroeconomic Scenarios - June 2021 Update," published on June 18,
2021. DBRS Morningstar initially published macroeconomic scenarios
on April 16, 2020, that have been regularly updated. The scenarios
were last updated on June 18, 2021, and are reflected in DBRS
Morningstar's rating analysis.
-- The assumptions consider the moderate macroeconomic scenario
outlined in the commentary, with the moderate scenario serving as
the primary anchor for current ratings. The moderate scenario
factors in continued success in containment during the second half
of 2021, enabling the continued relaxation of restrictions.
-- The level of hard credit enhancement in the form of
overcollateralization, subordination, and amounts held in reserve
fund available in the transaction. Hard credit enhancement and
estimated excess spread are sufficient to support the DBRS
Morningstar current rating levels.
-- The collateral performance to date and DBRS Morningstar's
assessment of future performance, including upward revisions to the
expected charge-off assumptions consistent with the expected
unemployment levels in the moderate scenario.
-- The transaction parties' capabilities with regard to
origination, underwriting, and servicing.
Notes: The principal methodology is DBRS Morningstar Master U.S.
ABS Surveillance (May 26, 2021), which can be found on
dbrsmorningstar.com under Methodologies & Criteria.
[*] S&P Takes Various Actions on 44 Classes from Seven US RMBS Deal
-------------------------------------------------------------------
S&P Global Ratings completed its review of 44 classes from seven
U.S. RMBS non-qualified mortgage (non-QM) transactions. Of the
seven transactions reviewed, five were issued by Angel Oak Mortgage
Trust and two were issued by Arroyo Mortgage Trust (Arroyo). The
review yielded 14 upgrades, one downgrade, and 29 affirmations.
A list of Affected Ratings can be viewed at:
https://bit.ly/3jvWqh2
S&P said, "For all transactions, we performed credit analyses using
updated loan-level information from which we determined foreclosure
frequency, loss severity, and loss coverage amounts commensurate
for each rating level. In addition, we used the same mortgage
operational assessment, representation and warranty, and due
diligence factors that were applied at issuance. Our geographic
concentration and prior-credit-event adjustment factors were based
on the transactions' current pool composition."
The upgrades primarily reflect deleveraging as each respective
transaction benefits from low, or zero, accumulated losses to date,
high prepayment speeds, senior-sequential payment priority, and a
growing percentage of credit support to the rated classes. Although
the transactions' delinquency percentages remain elevated compared
with pre-COVID-19 levels due to extended forbearances and declining
pool balances, they have generally been leveling off or declining
in the reviewed transactions.
The downgrade of class B-2 from Arroyo Mortgage Trust 2019-1 to 'B-
(sf)' from 'B (sf)' reflects a decrease in excess spread in
conjunction with an elevated level of delinquencies as compared to
the class' current credit support.
The affirmations reflect S&P's view that the projected collateral
performance relative to its projected credit support on these
classes remain relatively consistent with its prior projections.
[*] S&P Takes Various Actions on 98 Classes from 27 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 98 classes from 27 U.S.
RMBS transactions issued between 2003 and 2007. All these
transactions are backed by alternative-A, negative amortization,
and small balance commercial collateral. The review yielded seven
upgrades, five downgrades, 62 affirmations, 23 withdrawals, and one
discontinuance.
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations may include:
-- Factors related to the COVID-19 pandemic;
-- Collateral performance or delinquency trends;
-- The erosion of or increases in credit support;
-- Small loan counts; and
-- Principal-only criteria.
Rating Actions
S&P said, "The rating changes reflect our opinion regarding the
associated transaction-specific collateral performance and/or
structural characteristics, as well as the application of specific
criteria applicable to these classes. See the ratings list below
for the specific rationales associated with each of the classes
with rating transitions.
"The rating affirmations reflect our opinion that our projected
credit support, collateral performance, and credit-related
reductions in interest on these classes has remained relatively
consistent with our prior projections.
"We withdrew our ratings on 21 classes from seven transactions due
to the small number of loans remaining within the related group or
structure. Once a pool has declined to a de minimis amount, we
believe there is a high degree of credit instability that is
incompatible with any rating level. Additionally, as a result, we
applied our principal-only criteria, "Methodology For Surveilling
U.S. RMBS Principal-Only Strip Securities For Pre-2009
Originations," published Oct. 11, 2016, which resulted in
withdrawing two ratings from two transactions."
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
TCR subscribers have free access to our on-line news archive.
Point your Web browser to http://TCRresources.bankrupt.com/and use
the e-mail address to which your TCR is delivered to login.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman,
Editors.
Copyright 2021. All rights reserved. ISSN: 1520-9474.
This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers. Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.
The TCR subscription rate is $975 for 6 months delivered via
e-mail. Additional e-mail subscriptions for members of the same
firm for the term of the initial subscription or balance thereof
are $25 each. For subscription information, contact Peter A.
Chapman at 215-945-7000.
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