/raid1/www/Hosts/bankrupt/TCR_Public/211219.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, December 19, 2021, Vol. 25, No. 352
Headlines
ANGEL OAK 2021-8: Fitch Gives 'B(EXP)' Rating to Class B-2 Debt
BANK 2019-BNK16: Fitch Affirms B- Rating on 2 Certs
BXP TRUST 2021-601L: Moody's Assigns (P)Ba2 Rating to Cl. E Certs
CATHEDRAL LAKE VIII: S&P Assigns Prelim BB- (sf) Rating on E Notes
CIFC FUNDING 2019-V: Moody's Gives (P)Ba3 Rating to Cl. D-R Notes
CITIGROUP 2014-GC21: Fitch Affirms CCC Rating on 3 Tranches
COMM 2012-LC4: Fitch Lowers Class F Debt Rating to Csf
CSMC 2021-NQM8: S&P Assigns Prelim B (sf) Rating on Class B-2 Notes
DBJPM 2016-C1: Fitch Affirms CC Rating on Class F Certs
DRYDEN 90: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
EATON VANCE 2020-2: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
FANNIE MAE 2021-R03: S&P Assigns Prelim 'BB' Rating on 1B-1 Notes
GREAT LAKES VI: S&P Assigns BB- (sf) Rating on Class E Notes
GS MORTGAGE 2021-GSA3: Fitch Rates Class G-RR Certs 'B-sf'
HORIZON AIRCRAFT II: Fitch Affirms B Rating on Series C Notes
JP MORGAN 2020-5: Moody's Upgrades Rating on 2 Tranches to Ba3
JPMCC COMM 2019-COR4: Fitch Affirms B- Rating on H-RR Certs
KINGS PARK: S&P Assigned Prelim BB- (sf) Rating on Class E Notes
METAL LIMITED 2017-1: Fitch Affirms CCC Rating on 3 Tranches
MFA TRUST 2021-AEINV2: Moody's Gives (P)B3 Rating to Cl. B-5 Certs
MORGAN STANLEY 2015-XLF2: Fitch Lowers Rating on SNM-A Debt to CCC
MOUNT LOGAN 2018-1: S&P Assigns BB- (sf) Rating on Class E-R Notes
NEW RESIDENTIAL 2021-INV2: Moody's Gives B2 Rating to Cl. B5 Certs
NEWSTAR FAIRFIELD: Fitch Rates Class D-N Notes 'BB-'
OAK STREET 2021-2: S&P Assigns BB+ (sf) Rating on Class B-3 Notes
OCTAGON INVESTMENT 40: S&P Assigns Prelim BB- Rating on E-R Notes
PRKCM 2021-AFC2: S&P Assigns B (sf) Rating on Class B-2 Notes
SDART 2019-1: Fitch Affirms BB Rating on Class E Debt
STACR REMIC 2021-HQA4: Moody's Assigns B1 Rating to 10 Tranches
SYMPHONY CLO XXIII: S&P Assigns BB- (sf) Rating on Class E-R Notes
TRINITAS CLO XVIII: S&P Assigns Prelim BB- (sf) Rating on E Notes
TWIN BROOK 2021-1: S&P Assigns BB (sf) Rating on $21MM Cl. E Notes
UBS-CITIGROUP 2011-C1: Moody's Lowers Rating on Cl. C Certs to B1
UWM MORTGAGE 2021-INV5: Moody's Assigns (P)B3 Rating to B-5 Certs
VOYA CLO 2021-3: Moody's Assigns Ba3 Rating to $20MM Class E Notes
[*] Fitch Affirms 82 Classes From 12 CRE CDOs
[*] Moody's Ups Rating on $117MM Prime Jumbo RMBS Issued 2015-2018
[]: Fitch Affirms 44 Classes and Upgrades 14 Classes
*********
ANGEL OAK 2021-8: Fitch Gives 'B(EXP)' Rating to Class B-2 Debt
---------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Angel Oak Mortgage
Trust 2021-8 (AOMT 2021-8).
DEBT RATING
---- ------
AOMT 2021-8
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-X LT NR(EXP)sf Expected Rating
A-IO-S LT NR(EXP)sf Expected Rating
R LT NR(EXP)sf Expected Rating
TRANSACTION SUMMARY
Fitch rates the residential mortgage-backed certificates to be
issued by Angel Oak Mortgage Trust 2021-8, Mortgage-Backed
Certificates, Series 2021-8 (AOMT 2021-8), as indicated. The
certificates are supported by 841 loans with a balance of $418.16
million as of the cut-off date. This will be the 20th Fitch-rated
AOMT transaction, and the eighth Fitch-rated AOMT transaction in
2021.
The certificates are secured by mortgage loans originated by Angel
Oak Home Loans LLC (AOHL) and Angel Oak Mortgage Solutions LLC
(AOMS), as well as various third-party originators, with each
contributing less than 10% to the pool. Of the loans, 78.0% are
designated as non-qualified mortgage (non-QM) and 21.7% are
investment properties not subject to the Ability to Repay (ATR)
Rule. One loan (0.03%) is designated as safe harbor QM in the
pool.
There is Libor exposure in this transaction. Of the pool, 38 loans
represent adjustable-rate mortgage (ARM) loans that reference
one-year Libor. The offered certificates are fixed-rate and capped
at the net weighted average coupon (WAC) or based on the net WAC.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Given Fitch's updated
view on sustainable home prices, home price values for this pool
are viewed as 10.2% above a long-term sustainable level (versus
11.7% on a national level). Underlying fundamentals are not keeping
pace with the growth in prices, which is a result of a
supply/demand imbalance driven by low inventory, low mortgage rates
and new buyers entering the market. These trends have led to
significant home price increases over the past year, with home
prices rising 18.6% yoy nationally as of June 2021.
Non-QM Credit Quality (Mixed): The collateral consists of 841
loans, totaling $418.16 million and seasoned approximately nine
months in aggregate, according to Fitch. The borrowers have a
strong credit profile (739 FICO and 36% debt to income ratio [DTI],
as determined by Fitch) and relatively moderate leverage with an
original combined loan to value ratio (CLTV) of 72.9% as determined
by Fitch that translates to a Fitch-calculated sustainable LTV
(sLTV) of 78.6%. Of the pool, 71.8% represent loans where the
borrower maintains a primary residence, while 28.3% comprises an
investor property or second home based on Fitch's analysis; 13.3%
of the loans were originated through a retail channel.
Additionally, 78.0% are designated as non-QM, while the remaining
21.7% are exempt from QM status since they are investor loans, and
0.03% of the pool are designated as safe harbor QM.
The pool contains 84 loans over $1 million, with the largest
amounting to $3.0 million.
Loans on investor properties (6.5% underwritten to the borrowers'
credit profile and 15.3% comprising investor cash flow loans)
represent 21.7% of the pool. There is one second lien loan, and
1.7% of borrowers were viewed by Fitch as having a prior credit
event in the past seven years. Per the transaction documents, 0.0%
of the loans have subordinate financing; however, in Fitch's
analysis Fitch considers the 12 loans with deferred balances to
have subordinate financing.
Five loans in the pool are to foreign nationals/non-permanent
residents. Fitch treated these borrowers as investor occupied,
coded as ASF1 (no documentation) for employment and income
documentation; if a credit score was not available, Fitch used a
credit score of 650 for these borrowers and removed the liquid
reserves.
None of the loans in the pool are agency eligible loans that were
underwritten to DU/LP and received an Approved/Eligible status. One
loan is a second lien originated to Angel Oak's Agency Second
program.
The largest concentration of loans is in California (30.3%),
followed by Florida and Texas. The largest MSA is Los Angeles
(13.1%), followed by Miami (12.5%) and San Diego (5.4%). The top
three MSAs account for 31% of the pool.
Although the credit quality of the borrowers is higher than that of
the prior AOMT transactions securitized in 2020 and 2019, 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 88.3% of the
loans in the pool were underwritten to borrowers with less than
full documentation. Of this amount, 70% were 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 probability of default (PD) by 1.5x on the bank
statement loans. Besides loans underwritten to a bank statement
program, 2.2% are an asset depletion product and 15.4% comprise a
DSCR product. The pool does not have any loans underwritten to a
CPA or PnL product, which Fitch viewed as a positive.
Five loans to foreign nationals/non-permanent residents were
underwritten to a full documentation program; however, in Fitch's
analysis, these loans were treated as no documentation loans for
income and employment.
Limited Advancing (Mixed): The deal is structured to six months of
servicer advances for delinquent principal and interest (P&I). 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 liquidity is limited in the event of large and
extended delinquencies.
Sequential Payment Structure (Positive): The transaction's cash
flow is based on a sequential-pay structure whereby the subordinate
classes do not receive principal until the senior classes are
repaid in full. Losses are allocated in reverse-sequential order.
Furthermore, the provision to re-allocate principal to pay interest
on the 'AAAsf' and 'AAsf' rated notes prior to other principal
distributions is highly supportive of timely interest payments to
that class with limited advancing.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- Fitch incorporates a sensitivity analysis to demonstrate how
the ratings would react to steeper market value declines
(MVDs) than assumed at the MSA level. Sensitivity analyses was
conducted at the state and national levels to assess the
effect of higher MVDs for the subject pool as well as lower
MVDs, illustrated by a gain in home prices.
-- This defined negative rating sensitivity analysis demonstrates
how the ratings would react to steeper MVDs at the national
level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
addition to the model-projected 41.8% 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 Consolidated Analytics, Inc., Infinity IPS, Covius Real
Estate Services, LLC, AMC Diligence, LLC, Evolve Mortgage Services,
and Inglet Blair. 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 0.45%.
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
engaged Consolidated Analytics, Inc., Infinity IPS, Covius Real
Estate Services, LLC, AMC Diligence, LLC, Evolve Mortgage Services,
and Inglet Blair 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 2021-8 has an ESG Relevance Score of '4' [+] for Transaction
Parties & Operational Risk due to strong due diligence results on
100% of the pool and a 'RPS1-' Fitch-rated servicer, which has a
positive impact on the credit profile, and is relevant to the
ratings 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-BNK16: Fitch Affirms B- Rating on 2 Certs
---------------------------------------------------
Fitch Ratings has affirmed all ratings and revised two Outlooks to
Stable from Negative from BANK 2019-BNK16 Commercial Mortgage
Pass-Through Certificates, Series 2019-BNK16.
DEBT RATING PRIOR
---- ------ -----
BANK 2019-BNK16
A-1 065405AA0 LT AAAsf Affirmed AAAsf
A-2 065405AB8 LT AAAsf Affirmed AAAsf
A-3 065405AD4 LT AAAsf Affirmed AAAsf
A-4 065405AE2 LT AAAsf Affirmed AAAsf
A-S 065405AF9 LT AAAsf Affirmed AAAsf
A-SB 065405AC6 LT AAAsf Affirmed AAAsf
B 065405AG7 LT AA-sf Affirmed AA-sf
C 065405AH5 LT A-sf Affirmed A-sf
D 065405AL6 LT BBBsf Affirmed BBBsf
E 065405AN2 LT BBB-sf Affirmed BBB-sf
F 065405AQ5 LT BB-sf Affirmed BB-sf
G 065405AS1 LT B-sf Affirmed B-sf
X-A 065405AJ1 LT AAAsf Affirmed AAAsf
X-B 065405AK8 LT A-sf Affirmed A-sf
X-D 065405AY8 LT BBB-sf Affirmed BBB-sf
X-F 065405BA9 LT BB-sf Affirmed BB-sf
X-G 065405BC5 LT B-sf Affirmed B-sf
KEY RATING DRIVERS
Decreased Loss Expectations: Fitch's loss expectations for the pool
have decreased since the prior rating action. The Outlook revision
on class G (and interest only classes X-G) reflects better than
expected 2020 performance on some of the Fitch Loans of Concern
(FLOCs) and the return of the second largest loan in the pool
(Southeast Hotel Portfolio - 7.1%) to the master servicer.
Fitch has designated four FLOCs (13.9%), including one specially
serviced loan. Three loans, including Southeast Hotel Portfolio
(7.1%), Springdale General (2.6%), and Hancock Plaza Colorado
Springs (2.2%) are the largest contributors to loss expectations.
Fitch's current ratings incorporate a base case loss of 3.6%.
Losses are marginally higher when factoring additional
coronavirus-related stresses on two hotel loans (3.8%).
The only special serviced loan and largest FLOC is the Southeast
Hotel Portfolio (7.1%), which is secured by a 759-key portfolio of
four limited service hotels and one full service hotel. Two
properties are located in Atlanta, GA, two are located in Orlando,
FL, and one is located in Charlotte, NC. Occupancy has decreased
across the portfolio to 64.7% (TTM June 2020) to 60.6% (TTM June
2021), along with ADR $100.66 (TTM June 2020) to $77.72 (TTM June
2021). The loan transferred to special servicing in March 2020 for
monetary default. The amended agreement calls for the repayment of
$3.1 million in FF&E and PIP reserves used for debt service. The
loan is in the process of being returned to the master servicer as
a corrected loan. Fitch's loss expectations of approximately 3%
reflects a value of approximately $90,000/key. Fitch's analysis
also included an additional sensitivity scenario whereby a
potential outsized loss of 16% was applied to the current balance
of the loan to reflect hotel recovery concerns.
The second largest FLOC is Springdale General (2.6%), secured by 15
2-story office buildings totaling 165,457 sf located in Austin, TX.
The property was built in 2017. The subject is approximately 3.5
miles east of the Austin CBD and four miles north of Austin
Bergstrom International Airport (AUS). The subject's largest tenant
The Notley Center for Social Innovation leases 61,729 sf (37.3% of
NRA) subleases 43,371 sf (26.2% NRA) of its space to 14 of its own
portfolio companies. Performance has been mostly stable since
issuance. Per the December 2020 rent roll, subject is 1.5% vacancy
compared to the submarket vacancy of 30.5% as of 3Q21 per REIS.
Fitch's loss expectations of approximately 3.5% reflect a 10%
stress to the YE 2020 NOI due to the amount of subleased space and
high submarket vacancy.
The next largest FLOC is Hancock Plaza Colorado Springs (2.2%),
secured by 181,300 sf of anchored retail space. Hancock Plaza is
anchored by a 61,453-sf King Soopers (33.9% of NRA) supermarket,
which has occupied the center since 2003. As of the October 2021
rent roll, the subject will have 10 tenants roll in 2022 totaling
11.3% NRA and 22.5% of base rent. The largest tenant expiring
represents 2.2% NRA and 2.9% rent, the remaining nine tenants less
than 1.5% NRA. There is a limited amount of roll over until 2025,
when 26.8 NRA and 24.3% base rent roll primarily due to the ARC
Thrift Store and Dollar Tree lease expirations (14.0% and 8.9% NRA,
respectively). Fitch's loss expectations of 8% reflect a haircut to
the YE 2020 NOI.
Credit Enhancement (CE) Improvement/Amortization: As of the
November 2021 distribution date, the pool's aggregate principal
balance has been paid down by 2.16% to $953.8 million from $974.8
million at issuance. There are 23 IO loans (40.8%) and 20 loans
(20.7%), which are currently IO, and have not begun to amortize.
Alternative Loss Consideration; Coronavirus Exposure: Retail and
hotel loans represent 28.9% (18 loans) and 10.6% (four loans) of
the pool, respectively. Fitch applied an additional stress to
pre-pandemic cash flows for two hotel loans (8.3%) given
significant pandemic-related 2020 NOI declines. Despite these
additional stresses, the Outlooks for classes G and X-G are revised
to Stable from Negative due to sufficient credit enhancement and
better than expected performance of loans that were impacted by the
pandemic.
Investment-Grade Credit Opinion Loans: At issuance, two loans had
investment-grade credit opinions. Millennium Partners Portfolio
(6.8% of the pool) received a credit opinion of 'A-sf' on a
standalone basis. Willowbend Apartments (2.5% of the pool) received
a credit opinion of 'AAAsf' on a standalone basis.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- Downgrades would occur with an increase in pool-level losses
from underperforming or specially serviced loans. Downgrades
to the senior A-1, A-2, A-3, A-4, A-SB and A-S classes, along
with class B and C are not expected given their sufficient CE
relative to expected losses and continued amortization, but
may occur if interest shortfalls occur or loss expectations
increase considerably. Downgrades to classes E, F, X-F, G and
X-G are possible should additional defaults occur or loss
expectations increase.
-- Downgrades to classes G and X-G would occur should loss
expectations increase from continued performance decline of
the FLOCs, loans susceptible to the pandemic not stabilize,
additional loans default or transfer to special servicing,
higher losses than expected are incurred on the specially
serviced loans and/or with an outsized loss on the Southeast
Hotel Portfolio Loan.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Upgrades to classes C, D, X-B and X-D would only occur with
significant improvement in CE, defeasance and/or performance
stabilization of FLOCs and other properties affected by the
coronavirus pandemic. Classes would not be upgraded above
'Asf' if there were likelihood of interest shortfalls.
-- Upgrades to classes E, F, and X-F may occur as the number of
FLOCs are reduced, properties vulnerable to the pandemic
return to pre-pandemic levels and there is sufficient CE 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.
BXP TRUST 2021-601L: Moody's Assigns (P)Ba2 Rating to Cl. E Certs
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of CMBS securities, issued by BXP Trust 2021-601L,
Commercial Mortgage Pass-Through Certificates, Series 2021-601L
Cl. A, Assigned (P)Aaa (sf)
Cl. X*, Assigned (P)Aa1 (sf)
Cl. B, Assigned (P)Aa3 (sf)
Cl. C, Assigned (P)A3 (sf)
Cl. D, Assigned (P)Baa3 (sf)
Cl. E, Assigned (P)Ba2 (sf)
* Reflects interest-only classes
RATINGS RATIONALE
The certificates are collateralized by a single loan backed by a
first-lien mortgage on the borrower's fee simple and leasehold
interests in condominium units that comprise a 59-story Class A
office tower and a 6-story office and retail building located at
601 Lexington Avenue, New York, NY. Moody's ratings are based on
the credit quality of the loans and the strength of the
securitization structure.
Moody's approach to rating this transaction involved the
application of both Moody's Large Loan and Single Asset/Single
Borrower CMBS methodology and Moody's IO Rating methodology. The
rating approach for securities backed by a single loan compares the
credit risk inherent in the underlying collateral with the credit
protection offered by the structure. The structure's credit
enhancement is quantified by the maximum deterioration in property
value that the securities are able to withstand under various
stress scenarios without causing an increase in the expected loss
for various rating levels. In assigning single borrower ratings,
Moody's also consider a range of qualitative issues as well as the
transaction's structural and legal aspects.
The credit risk of loans is determined primarily by two factors: 1)
Moody's assessment of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessment of the
severity of loss upon a default, which is largely driven by each
loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV.
As described in the CMBS methodology used to rate this transaction,
Moody's make various adjustments to the MLTV. Moody's adjust the
MLTV for each loan using a value that reflects capitalization (cap)
rates that are between Moody's sustainable cap rates and market cap
rates. Moody's also use an adjusted loan balance that reflects each
loan's amortization profile.
The Moody's first mortgage DSCR is 2.75x and Moody's first mortgage
stressed DSCR at a 9.25% constant is 0.83x. Moody's DSCR is based
on Moody's stabilized net cash flow.
Moody's LTV ratio for the first mortgage balance is 100.7% based on
Moody's Value. Adjusted Moody's LTV ratio for the first mortgage
balance is 87.4% based on Moody's Value using a cap rate adjusted
for the current interest rate environment.
Moody's also grades properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The property's
weighted average property quality grade is 0.25.
Notable strengths of the transaction include: Superior asset
quality, Location and accessibility, Very strong occupancy history
and Institutional quality tenants.
Notable concerns of the transaction include: Full-term interest
only loan; 24-month tenant departures and downsizing, Recent
softness in Manhattan office market.
The principal methodology used in rating all classes except
interest-only classes was "Large Loan and Single Asset/Single
Borrower Commercial Mortgage-Backed Securitizations Methodology"
published in November.
Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from Moody's
loan level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.
Moody's analysis considers the following inputs to calculate the
proposed IO rating based on the published methodology: original and
current bond ratings and credit estimates; original and current
bond balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology.
Factors that would lead to an upgrade or downgrade of the ratings:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
CATHEDRAL LAKE VIII: S&P Assigns Prelim BB- (sf) Rating on E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Cathedral
Lake VIII Ltd./Cathedral Lake VIII LLC's floating-rate notes.
The note issuance is a CLO transaction backed primarily by broadly
syndicated speculative-grade (rated 'BB+' and lower) senior secured
term loans that are governed by collateral quality tests.
The preliminary ratings are based on information as of Dec. 14,
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
Cathedral Lake VIII Ltd./Cathedral Lake VIII LLC
Class A-1, $240.00 million: AAA (sf)
Class A-2, $16.00 million: AAA (sf)
Class B, $44.00 million: AA (sf)
Class C (deferrable), $28.00 million: A (sf)
Class D-1 (deferrable), $20.00 million: BBB+ (sf)
Class D-J (deferrable), $8.00 million: BBB- (sf)
Class E (deferrable), $12.00 million: BB- (sf)
Subordinated notes, $41.75 million: Not rated
CIFC FUNDING 2019-V: Moody's Gives (P)Ba3 Rating to Cl. D-R Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to seven
classes of CLO refinancing notes to be issued by CIFC Funding
2019-V, Ltd. (the "Issuer").
Moody's rating action is as follows:
US$310,000,000 Class A-1R1 Senior Secured Floating Rate Notes Due
2035, Assigned (P)Aaa (sf)
US$15,000,000 Class A-1RJ Senior Secured Floating Rate Notes Due
2035, Assigned (P)Aaa (sf)
US$5,000,000 Class A-2RF Senior Secured Fixed Rate Notes Due 2035,
Assigned (P)Aa2 (sf)
US$50,000,000 Class A-2RS Senior Secured Floating Rate Notes Due
2035, Assigned (P)Aa2 (sf)
US$27,500,000 Class B-R Mezzanine Secured Deferrable Floating Rate
Notes Due 2035, Assigned (P)A2 (sf)
US$30,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes Due 2035, Assigned (P)Baa3 (sf)
US$22,500,000 Class D-R Junior Secured Deferrable Floating Rate
Notes Due 2035, Assigned (P)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%
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 and unsecured loans and permitted non
loan assets.
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: reinstatement and 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: $500,000,000
Diversity Score: 80
Weighted Average Rating Factor (WARF): 2905
Weighted Average Spread (WAS): 3.35%
Weighted Average Coupon (WAC): 5.00%
Weighted Average Recovery Rate (WARR): 47.50%
Weighted Average Life (WAL): 9.1 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 2014-GC21: Fitch Affirms CCC Rating on 3 Tranches
-----------------------------------------------------------
Fitch Ratings has affirmed 13 classes of Citigroup Commercial
Mortgage Trust 2014-GC21. The Outlook remains Negative on five
classes.
DEBT RATING PRIOR
---- ------ -----
CGCMT 2014-GC21
A-4 17322MAV8 LT AAAsf Affirmed AAAsf
A-5 17322MAW6 LT AAAsf Affirmed AAAsf
A-AB 17322MAX4 LT AAAsf Affirmed AAAsf
A-S 17322MAY2 LT AAAsf Affirmed AAAsf
B 17322MAZ9 LT AA-sf Affirmed AA-sf
C 17322MBA3 LT A-sf Affirmed A-sf
D 17322MAA4 LT BBsf Affirmed BBsf
E 17322MAC0 LT CCCsf Affirmed CCCsf
F 17322MAE6 LT CCCsf Affirmed CCCsf
PEZ 17322MBD7 LT A-sf Affirmed A-sf
X-A 17322MBB1 LT AAAsf Affirmed AAAsf
X-B 17322MBC9 LT A-sf Affirmed A-sf
X-C 17322MAJ5 LT CCCsf Affirmed CCCsf
KEY RATING DRIVERS
Stable Loss Expectations: Overall loss expectations for the pool
have been stable since Fitch's last rating action. There are seven
Fitch Loans of Concern (FLOCs; 35.7% of the pool), including one
loan (1.1%) in special servicing. Fitch's current ratings reflect a
base case loss of 8.90%. The Negative Outlooks reflect losses that
could reach 13.70% after factoring a potential outsized loss on the
Maine Mall loan and one hotel loan to account for the ongoing
business disruption as a result of the pandemic.
The largest contributor to overall loss expectations is the largest
loan, Maine Mall (17.4%), which is secured by the 730,444-sf
portion of a 1,022,208-sf regional mall located approximately six
miles southwest of Portland, ME. The loan is sponsored by
Brookfield. Non-collateral anchors include Macy's and a dark anchor
box previously occupied by Sears. Collateral anchors include
Jordan's Furniture (which backfilled the majority of the former
Bon-Ton space that closed in August 2017; 17.1% of collateral NRA;
lease through 2030) and JCPenney (12.3%; July 2023). Junior anchors
include Best Buy, Round 1 Bowling & Amusement, H&M and Old Navy.
The mall also features the only Apple store in the state of Maine.
Collateral occupancy was 90.4% as of September 2021, compared to
93.9% at YE 2020 and 76% at YE 2019. Upcoming lease rollover
includes 9.5% in 2022, 14.3% in 2023 and 10% in 2024. The
servicer-reported YTD September 2021 NOI debt service coverage
ratio (DSCR) declined to 1.22x, from 1.45x at YE 2020 and 1.70x at
YE 2019. The recent NOI DSCR declines are primarily due to
approximately $1.6 million in deferred rents related to the
pandemic and Jordan Furniture's lower rent relative to what Bon-Ton
previously paid. Jordan's took occupancy of the space in July
2020.
Inline sales for tenants less than 10,000 sf, excluding Apple,
improved to $423 psf for TTM June 2021 from $351 psf for TTM
September 2020, but remain below pre-pandemic sales of $512 psf for
2019, $444 psf for TTM September 2018 and $442 psf for TTM
September 2017. Including Apple, inline sales were $638 psf (TTM
June 2021), $493 (TTM September 2020), $663 psf (2019), $602 psf
(TTM September 2018) and $585 psf (TTM September 2017).
Fitch's base case loss of 23% reflects a cap rate of 12% and a 5%
haircut to the YE 2020 NOI. Fitch also applied a 50% loss as an
additional sensitivity to address the potential for outsized
losses, regional mall collateral in secondary market and
refinancing concerns. The loan matures in April 2024.
The Lanes Mill Marketplace loan (3.0%), the next largest
contributor to losses, is secured by a 145,370-sf retail power
center located in Howell, NJ. The property is grocery-anchored by
Stop & Shop (45.7% of NRA; lease through December 2028) and
shadow-anchored by Target and Lowe's. Occupancy was 78% as of
September 2021, compared to 76% in 2020 and 2019 and 91% in 2017.
The occupancy decline is driven by the departure of the former top
tenant, Barnes & Noble (previously 17% of the NRA), which vacated
in 2018. A cash flow sweep has been in place since the tenant's
departure, which has a current balance of approximately $615,000.
Per the master servicer, the borrower continues to market the
vacant space, but there are currently no prospects. The former
Barnes & Noble space has historically been temporarily filled by
Spirit Halloween. As of September 2021, NOI DSCR was low at 0.71x,
compared to 0.83x at YE 2020 and 0.97x at YE 2019. Fitch's base
case loss of 36% reflects a 9% cap rate to the YE 2020 NOI.
The next largest contributor to losses, the Greene Town Center loan
(5.8%), is secured by an open-air, mixed-use lifestyle center
located in Beavercreek, OH. The collateral consists of retail
(566,634 sf), office (143,343 sf) and residential space (206 units
totaling 199,248 sf). Additionally, there is a 130,000-sf ground
lease to Von Maur department store.
Property occupancy has remained stable; however, approximately 30%
of the NRA rolls between 2021 and 2022, including top tenants Books
& Co (4.8% of NRA; through January 2022), Old Navy (2.5%; expired
September 2021), Unison (2.0%; expired August 2021) and
Northwestern Mutual Insurance (1.6%; expired March 2021). Fitch
requested leasing updates from the master servicer, but has not
received a response. Fitch's base case loss of 12% incorporates a
20% haircut to the YE 2020 NOI to reflect upcoming lease rollover
concerns.
The next largest contributor to losses, the 201 Fourth Avenue North
loan (3.6%), is secured by a 263,666 sf office property located in
downtown Nashville, TN. The largest tenant, ServiceSource (45% of
NRA), has indicated it will not renew its lease expiring in
September 2022. Occupancy is expected to decline to 41% from 86.7%
as of the September 2021 rent roll. Per the master servicer, an
excess cash flow sweep is in place and has a cap of $1.7 million.
Fitch's base case analysis of 18% reflects a 40% haircut to the YE
2020 NOI to reflect the tenant's impending departure.
Improved Credit Enhancement: As of the November 2021 remittance,
the pool's aggregate principal balance has been reduced by 31% to
$716 million from $1.04 billion at issuance. Since Fitch's last
rating action, two loans were prepaid prior to their maturity and
one specially serviced loan, Harbor Square (previously 2.1% of the
pool), was disposed with slightly higher losses than expected; the
loss was absorbed by the non-rated class G certificates, which has
experienced $16.3 million in realized losses to date. Eight loans
(7.3%) are defeased. Four loans (25.5%) are full-term IO payments,
while the remaining loans are amortizing.
Alternative Loss Considerations: Fitch performed a sensitivity
scenario, which applied an additional stress to the pre-pandemic
cash flows for one hotel loan given significant pandemic-related
2020 NOI declines, as well as a 50% loss to the Maine Mall loan.
This scenario contributed to the Negative Outlooks on classes B, C,
D, X-B and PEZ certificates.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- Downgrades would occur with an increase in pool-level losses
from underperforming or specially serviced loans. Downgrades
to classes A-4 through A-S and X-A are not likely due to the
position in the capital structure, but may occur should
interest shortfalls affect these classes.
-- Downgrades to classes B, C, PEZ and X-B may occur should
expected pool losses increase significantly and/or with an
outsized loss on the Maine Mall loan.
-- Downgrades to class D may occur from continued performance
decline of the FLOCs, loans susceptible to the pandemic not
stabilize and deteriorate further, additional loans default or
transfer to special servicing, higher realized losses than
expected on the specially serviced loans/assets and/or with
outsized losses on the Maine Mall loan.
-- Downgrades to classes E, F and X-C would occur as losses are
realized and/or become more certain.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Upgrades would occur with stable to improved asset
performance, coupled with additional paydown and/or
defeasance. Upgrades to the class B certificates are not
expected, but may occur with significant improvement in CE
and/or defeasance, in addition to the stabilization of
properties impacted from the coronavirus pandemic.
-- Upgrades to the classes C, PEZ, X-B and D are considered
unlikely, but may occur as performance of the Maine Mall loan
stabilizes/improves, the number of FLOCs are reduced,
properties vulnerable to the pandemic return to pre-pandemic
levels and there is sufficient CE to the classes, and would be
limited based on the sensitivity to concentrations or the
potential for future concentrations. Classes will not be
upgraded above 'Asf' if there is a likelihood of interest
shortfalls. The Negative Outlooks may be revised back to
Stable should the performance of the Maine Mall stabilize
and/or with greater certainty the loan will refinance.
-- Upgrades to classes E, F and X-D are unlikely absent
significant performance improvement on the FLOCs and
substantially higher recoveries than expected on the specially
serviced loans, and there is sufficient CE 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
CGCMT 2014-GC21 has an ESG Relevance Score of '4' for Exposure to
Social Impacts due to the pool's regional mall exposure which has
sustained a structural shift in secular preferences affecting
consumer trends, occupancy trends, etc., which, in combination with
other factors, affects the ratings.
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.
COMM 2012-LC4: Fitch Lowers Class F Debt Rating to Csf
------------------------------------------------------
Fitch Ratings has downgraded three and affirmed five classes of
German American Capital Corp.'s COMM 2012-LC4 (COMM 2012-LC4)
commercial mortgage pass-through certificates. The Rating Outlooks
remain Negative on classes A-M, B, C and X-A.
DEBT RATING PRIOR
---- ------ -----
COMM 2012-LC4
A-4 126192AD5 LT AAAsf Affirmed AAAsf
A-M 126192AE3 LT AAsf Affirmed AAsf
B 126192AF0 LT Asf Affirmed Asf
C 126192AG8 LT BBsf Downgrade BBBsf
D 126192AK9 LT CCsf Downgrade CCCsf
E 126192AL7 LT Csf Downgrade CCsf
F 126192AM5 LT Csf Affirmed Csf
X-A 126192AH6 LT AAsf Affirmed AAsf
KEY RATING DRIVERS
Greater Certainty of Loss; Increased Concentration: The downgrades
reflect a greater certainty of loss associated with the specially
serviced loans/assets and factor in the pool's increased
concentration and adverse selection. Only 12 loans/assets remain;
seven (69.9%) are Fitch Loans of Concern, including four specially
serviced regional mall/lifestyle center loans/assets (49.7%), two
are REO (11.3%). The retail concentration totals 75.9% of the
pool.
Alternative Loss Consideration: Due to the concentrated nature of
the pool, Fitch performed a sensitivity analysis that grouped the
remaining loans based on the likelihood of repayment and recovery
prospects. The Negative Outlooks reflect the potential for further
downgrades with continued performance declines, as well as
prolonged workouts from the impact of the pandemic on resolutions.
The affirmation of classes A-4 and A-M reflect these classes' high
credit enhancement and expected payoff from performing loans in the
pool with a greater certainty of repayment. Fitch's sensitivity
analysis assumes the transaction's remaining loans/assets are the
Square One Mall, Alamance Crossing, Susquehanna Mall and Johnstown
Galleria - Ground Lease.
The affirmation of class B reflects its reliance on a small amount
of current specially serviced proceeds to repay the class in full.
The Alamance Crossing loan is secured by a 649,989-sf open-air
lifestyle center located in Burlington, NC and is specially
serviced due to the bankruptcy of the sponsor, CBL & Associates.
However, the loan has exhibited relatively stable performance, and
occupancy was 91.4% as of September 2020. A recent appraisal
indicates a valuation exceeding the debt amount. The property is
anchored by Dillard's, JC Penney, and Belk, along with a 16-screen
Carousel Cinemas theater. The lifestyle component of the center
contains 198,740 sf of in-line retail space and four freestanding
restaurant pads. Class C is capped at 'BBsf' given its reliance on
proceeds from the specially serviced loans and due to overall weak
collateral quality. Classes D, E and F have distressed ratings as
loss expectations are likely to affect these classes.
The largest contributor to loss is the Square One Mall loan
(25.5%), secured by a 542,751-sf portion of a 928,667sf regional
mall located in Saugus, MA, which transferred to special servicing
in July 2020 for imminent monetary default related to the pandemic.
The loan was modified in early September 2021, with terms including
a five-year maturity extension to January 2027, the conversion of
payments to interest-only and the implementation of cash management
and excess cash trap. The loan is expected to return to the master
servicer after three timely interest payments.
Non-collateral anchors include Macy's and a former Sears box that
went dark in September 2020. Major collateral tenants include BD's
Furniture, Dick's Sporting Goods, T.J. Maxx and Best Buy. Inline
tenants include Old Navy, The Gap/Gap Kids, H&M, Express, American
Eagle Outfitters, Victoria's Secret, Hollister Co. and
Aeropostale.
As of August 2021, the collateral was 77.0% leased, the inline
space (less than 10,000 sf) was 59.7% leased. The total mall was
89.0% leased, but only 66.3% occupied when accounting for the dark
Sears box. Updated sales were requested from the servicer but not
provided. The most recently available inline sales were $314 psf in
2019. Fitch's loss expectation of 48%, consistent with the prior
rating action, reflects an implied cap rate of 28.7% on the YE 2020
NOI.
The next largest contributor to loss is the REO Susquehanna Valley
Mall asset (7.2%), a 628,063-sf portion of a regional mall located
in Selinsgrove, PA, a tertiary market approximately 50 miles north
of Harrisburg and 40 miles east of State College, PA, which
transferred to special servicing in March 2018 for imminent
monetary default. The asset became REO in late 2019. The mall has
been negatively impacted by superior competition from another power
center which offers a strong mix of national tenants.
Sears (non-collateral), JCPenney and Bon-Ton were in place at the
mall at issuance, but have closed. Only Boscov's and AMC Theatres
remain as the anchors. A grocery-anchored outparcel on site also
closed in October 2018. The former Sears box was leased to Family
Practice, a medical clinic, through 2049. After closing temporarily
due to the pandemic, the mall re-opened in late May 2020.
Fitch requested an updated rent roll, operating statement and
tenant sales report from the servicer, but they were not provided.
As of March 2020, the mall was 64% leased. The latest available
sales were from TTM September 2019, where comparable in-line sales
were only $266 psf, with total mall sales of $153 psf. Fitch's loss
expectations remain high at 82%, reflecting minimal recovery
prospects on the mall.
The REO Johnstown Galleria - Ground Lease (4.1%) asset is a leased
fee simple interest in a 45.8-acre site of land, which is improved
by a ground leased 711,665 sf two-story regional mall, the
Johnstown Galleria. The loan transferred to special servicing in
September 2019 due to imminent default; the asset became REO in
November 2021.
The ground lessee under the ground lease defaulted on its lease
payments. The lessor and borrower under the subject loan also went
in payment default in October 2019. The ground lease was
subsequently terminated. Mall occupancy was 55% as of June 2021. No
recent tenant sales were provided; the latest in-line store sales
at YE 2019 were $193 psf. Fitch modeled a 100% loss, reflecting an
expectation of no recovery on this asset and growing exposure.
Improved Credit Enhancement: Credit enhancement has improved since
Fitch's last rating action due to continued scheduled amortization,
increased defeasance and the repayment of six loans ($142 million).
As of November 2021, the pool's aggregate principal balance has
been reduced by 64.9% to $330.3 million from $941.3 million at
issuance. There have been no realized losses to date. One loan
(12.9%) matures in 2021, eight loans (50.3%) mature in 2022, and
one loan (25.5%) now matures in 2027 after modification.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- Sensitivity factors that may lead to downgrades to classes A-4
through C, and X-A are declining performance and/or valuations
on the specially serviced loans, as well as further defaults
and/or additional transfers to special servicing.
-- If workouts are prolonged on the specially serviced
loans/assets, fees and expenses could continue to increase
loan exposures and loss expectations will continue to
increase. The distressed classes could be further downgraded
should losses be realized or become more certain.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Stable to improved asset performance coupled with further pay
down and/or defeasance. Upgrades of classes A-M, B and X-A are
unlikely due to the increased pool concentration and adverse
selection, but may be possible if any of the regional malls
pay in full or liquidate with minimal losses.
-- Further, classes would not be upgraded above 'Asf' given the
likelihood of interest shortfalls from the specially serviced
loans and should additional loans transfer to special
servicing before or at maturity in 2022. An upgrade to the
'BBsf' category and below is not expected but may be possible
should the regional mall loans liquidate at a considerably
smaller loss than is expected.
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-NQM8: S&P Assigns Prelim B (sf) Rating on Class B-2 Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to CSMC
2021-NQM8 Trust's mortgage pass-through notes.
The note issuance is an RMBS transaction backed by first-lien,
fixed-rate, fixed-rate interest-only, adjustable-rate, and
adjustable-rate interest-only fully amortizing residential mortgage
loans to both prime and nonprime borrowers (some with interest-only
periods). The loans are secured by single-family residential
properties, planned-unit developments, co-ops, condotel,
condominiums, and two- to four-family residential properties.
The preliminary ratings are based on information as of Dec. 10,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The pool's collateral composition;
-- The transaction's credit enhancement;
-- The transaction's associated structural mechanics;
-- The transaction's representation and warranty framework;
-- The transaction's geographic concentration;
-- The mortgage aggregator, DLJ Mortgage Capital Inc., as well as
S&P Global Ratings-reviewed originators; 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.
Preliminary Ratings Assigned
CSMC 2021-NQM8 Trust
Class A-1, $295,586,000: AAA (sf)
Class A-2, $28,934,000: AA (sf)
Class A-3, $45,587,000: A (sf)
Class M-1, $17,902,000: BBB (sf)
Class B-1, $12,282,000: BB (sf)
Class B-2, $8,534,000: B (sf)
Class B-3, $7,494,324: Not rated
Class A-IO-S, notional(i): Not rated
Class XS, notional(ii): Not rated
Class PT(iii), $416,319,324: Not rated
Class R: Not rated
(i)The notional amount will equal the aggregate interest-bearing
principal balance of the mortgage loans as of the first day of the
related due period and is initially $415,934,510.
(ii)The notional amount will equal the aggregate principal balance
of the mortgage loans as of the first day of the related due period
and is initially $416,319,324.
(iii)Certain initial exchangeable notes are exchangeable for the
exchangeable notes and vice versa.
DBJPM 2016-C1: Fitch Affirms CC Rating on Class F Certs
-------------------------------------------------------
Fitch Ratings has affirmed 14 classes of DBJPM 2016-C1 Mortgage
Trust commercial mortgage pass-through certificates, series 2016-C1
(DBJPM 2016-C1). The Outlooks remain Negative on seven classes.
DEBT RATING PRIOR
---- ------ -----
DBJPM 2016-C1
A-3A 23312LAR9 LT AAAsf Affirmed AAAsf
A-3B 23312LAA6 LT AAAsf Affirmed AAAsf
A-4 23312LAS7 LT AAAsf Affirmed AAAsf
A-M 23312LAT5 LT AAAsf Affirmed AAAsf
A-SB 23312LAQ1 LT AAAsf Affirmed AAAsf
B 23312LAU2 LT AA-sf Affirmed AA-sf
C 23312LAV0 LT A-sf Affirmed A-sf
D 23312LAG3 LT Bsf Affirmed Bsf
E 23312LAH1 LT CCCsf Affirmed CCCsf
F 23312LAJ7 LT CCsf Affirmed CCsf
X-A 23312LAW8 LT AAAsf Affirmed AAAsf
X-B 23312LAB4 LT A-sf Affirmed A-sf
X-C 23312LAC2 LT Bsf Affirmed Bsf
X-D 23312LAD0 LT CCCsf Affirmed CCCsf
KEY RATING DRIVERS
Stable Loss Expectations: Fitch's base case loss expectations have
remained relatively stable since Fitch's prior rating action. The
majority of the has pool experienced better than expected
performance in 2020 during the coronavirus pandemic, with improved
performance on several Fitch Loans of Concern (FLOCs). Eight loans
(29.0% of pool), including three (9.5%) in special servicing, were
designated FLOCs.
Fitch's current ratings reflect a base case loss of 7.20%. The
Negative Outlooks reflect losses that could reach 8.60% after
factoring in a potential outsized loss of 50% on the maturity
balance of Hagerstown Premium Outlets (3.9%), as well as an
additional sensitivity on Naples Grande Beach Resort (7.8%) to
reflect the hotel's vulnerability to the on-going pandemic. The
Stable Outlooks on the senior 'AAAsf' classes reflect sufficient
credit enhancement (CE) and the expectation of paydown from
continued amortization.
Fitch Loans of Concern: The largest contributor to Fitch's loss
expectations, Columbus Park Crossing (4.0%), is secured by a
638,028-sf anchored retail center located in Columbus, GA. Property
performance declined pre-pandemic due to two major tenant vacancies
and has deteriorated further during the pandemic. Occupancy was
68.3% as of June 2021, compared with 68.2% in June 2020, 71.5% in
September 2018 and 100% at issuance.
Occupancy remains low after collateral tenants Sears (previously
22.2% of NRA) and Toys R Us (7.7%) closed in 2017 and 2018,
respectively, after filing for bankruptcy. The increased vacancy
has led to declining cash flow, with YE 2020 NOI 7.4% below that at
YE 2019 and 15.6% below the issuer's underwritten NOI. The
servicer-reported YTD June 2021 NOI DSCR was 0.76x, down from 1.13x
at YE 2020 and 1.22x at YE 2019.
According to the servicer, the borrower is currently negotiating
with multiple tenants to fill the vacancies at the property. Recent
news reports indicate that discount retailer pOpshelf would be
opening a 10,000-sf store at the subject property during the fall
of 2021. If and when pOpshelf takes occupancy, property occupancy
is expected to improve to approximately 70%.
Major tenants include AMC Classic Columbus Park (13.2% NRA leased
through September 2023), Haverty Furniture Company (5.2%; December
2025) and Ross Dress for Less (4.7%; January 2023). Upcoming
rollover includes 1.9% of the NRA in 2021, 11.8% in 2022 and 35.2%
in 2023. The 2023 rollover is mostly concentrated in the lease
expirations of AMC Classic Columbus Park and Ross Dress for Less.
Fitch's base case loss of 43% is based on a 15% cap rate and 15%
haircut to the YE 2020 NOI to reflect continued performance
deterioration, upcoming tenant rollover and the lack of progress in
re-leasing the large portion of vacant space at the property.
The second largest contributor to Fitch's loss expectations, UA
Sheepshead Bay Theater (3.4%), is secured by a 14-screen, 78,324-sf
standalone movie theater and adjacent parking deck in the
Sheepshead Bay neighborhood of Brooklyn. The loan transferred to
special servicing in October 2020 for payment default as a result
of the coronavirus pandemic and was closed for the majority of
2020. The special servicer filed suit against the guarantor for
failure to remit the maximum go-dark recourse amount and is
currently in negotiations with the borrower to reinstate the loan.
The sole tenant at the property Regal Entertainment Group, which
operates United Artists (UA), has been in its space since 1987 and
recently provided notice of its intent to exercise its fourth
renewal option for five years through May 2027. The theater is
currently open. Servicer-reported NOI DSCR for this amortizing loan
was 1.01x as of the YTD June 2020 compared with 1.27x at YE 2019
and 1.63x at issuance. Fitch's base case loss 33% is based on a
discount to the recent servicer provided value and reflects a 12%
cap rate on the YE 2019 NOI.
The third largest contributor to Fitch's loss expectations,
Hagerstown Premium Outlets (3.9%), is secured by a 484,994-sf
outlet center located in Hagerstown, MD. Property performance
continues to decline with low occupancy and DSCR. The loan, which
is sponsored by Simon Property Group, transferred to special
servicing in June 2020 to document a coronavirus-related
modification and forbearance and returned to the master servicer in
April 2021 as a corrected mortgage loan.
Cash flow is limited with servicer-reported NOI DSCR at 1.03x and
low occupancy at 46% as of YTD June 2021. The property also faces
near term rollover risks, including 15.4% of the NRA by 2022. The
loan is currently amortizing after the initial two-year IO period
expired in February 2018. Fitch's base case loss of 26% is based on
a 18% cap rate and the YE 2020 NOI.
Alternative Loss Considerations: Fitch applied a potential outsized
loss of 50% on the maturity balance of Hagerstown Premium Outlets
to reflect concerns with continued occupancy and performance
declines. Fitch also applied a pandemic related sensitivity to
Naples Grande Beach Resort to reflect the hotel's vulnerability to
the pandemic and potential declines. This sensitivity analysis
contributed to the Negative Outlooks. Additionally, Fitch assumed a
payoff scenario of the defeased and credit opinion loans, which
resulted in affirming the class B rating.
Increasing Credit Enhancement: As of the November 2021 distribution
date, the pool's aggregate balance has been paid down by 11.4% to
$725.1 million from $818 million at issuance. Thirty-two of the
original 33 loans remain in the pool. Since Fitch's prior rating
action, one IO loan with a $35 million balance paid in full at
maturity. Fifteen loans (27.1%) are amortizing balloon, five loans
(33.3%) are full-term IO, and 12 loans (39.6%) that were structured
with a partial-term IO component at issuance are in their
amortization periods. One loan (2.6%) is defeased. Cumulative
interest shortfalls of $1 million are currently affecting class F
and the non-rated classes G and H.
Pool Concentration: The top 10 loans comprise 60.3% of the pool.
Loan maturities are concentrated in 2026 (89.2%), with three loans
(10.8%) maturing in 2025. Based on property type, the largest
concentrations are office at 36.0%, retail at 34.3% and hotel at
17.6%. Two loans, 787 Seventh Avenue (11.0%) and 225 Liberty Street
(5.6%), received standalone, investment-grade credit opinions of
'BBB+sf' and 'BBBsf' at issuance, respectively.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- Downgrades of the senior 'AAAsf' classes are not likely due to
sufficient CE and the expected receipt of continued
amortization but could occur if interest shortfalls affect the
class. Classes A-M, X-A, B, C and X-B would be downgraded if
interest shortfalls affect the class, additional loans become
FLOCs or if performance of the FLOCs deteriorates further.
-- Classes D, X-C, E, X-D and F would be downgraded if loss
expectations increase, additional loans transfer to special
servicing or losses are realized.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Upgrades of classes B, C, X-B, D and X-C may occur with
significant improvement in CE and/or defeasance, but would be
limited based on sensitivity to concentrations or the
potential for future concentration.
-- Classes would not be upgraded above 'Asf' if there is a
likelihood for interest shortfalls. Upgrades of classes E, X-D
and F could occur if performance of the FLOCs improves
significantly and/or if there is sufficient CE, which would
likely occur if the non-rated classes are not eroded and the
senior classes pay-off.
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.
DRYDEN 90: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Dryden 90
CLO Ltd./Dryden 90 CLO LLC's debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by PGIM Inc., a subsidiary of Prudential
Financial Inc.
The preliminary ratings are based on information as of Dec. 13,
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 subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Dryden 90 CLO Ltd./Dryden 90 CLO LLC
Class A-1 loan(i), $223.00 million: AAA (sf)
Class A-1A, $94.50 million: AAA (sf)
Class A-1B(i), $0.00 million: AAA (sf)
Class B, $62.50 million: AA (sf)
Class C (deferrable), $30.00 million: A (sf)
Class D (deferrable), $30.00 million: BBB- (sf)
Class E (deferrable), $19.50 million: BB- (sf)
Subordinated notes, $47.69 million: Not rated
(i)The class A-1B notes are not funded on the transaction's closing
date. The balance of the class A-1B notes may be increased up to
$223.00 million upon a conversion of the class A-1 loan.
EATON VANCE 2020-2: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-R, and E-R replacement notes from Eaton Vance CLO
2020-2 Ltd./Eaton Vance CLO 2020-2 LLC, a CLO originally issued in
2020 that is managed by Morgan Stanley Eaton Vance CLO Manager LLC
(formerly known as [f/k/a] MS 522 CLO Manager LLC).
The preliminary ratings are based on information as of Dec. 9,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Dec. 15, 2021, refinancing date, the proceeds from the
replacement notes will be used to redeem the original notes. 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 stated maturity and non-call periods will be extended just
over two years;
-- The reinvestment period was will be extended just over three
years;
-- The replacement class A-R, B-R, C-R, D-R, and E-R notes are
expected to be issued at a lower spread over three-month LIBOR than
the original notes;
-- The replacement class A-R, B-R, C-R, D-R, and E-R notes are
also expected to be issued at a floating spread, replacing one
class that is currently at a fixed coupon and the remaining classes
that are at a floating spread;
-- The required minimum overcollateralization and interest
coverage ratios will be amended; and
-- The documents have been updated to include the ability to
purchase workout-related assets and the prohibition to purchase
assets that are related to all or a portion of the controversial
weapon production or trading industries.
Replacement And Original Note Issuances
Replacement notes
Class A-R, $248.000 million: Three-month LIBOR + 1.15%
Class B-R, $56.000 million: Three-month LIBOR + 1.70%
Class C-R, $24.000 million: Three-month LIBOR + 2.10%
Class D-R, $24.000 million: Three-month LIBOR + 3.25%
Class E-R, $16.000 million: Three-month LIBOR + 6.50%
Subordinated notes, $39.225 million: Residual
Original notes
Class A-1, $216.000 million: Three-month LIBOR + 1.37%
Class A-2, $40.000 million: 1.749%
Class B, $48.000 million: Three-month LIBOR + 1.75%
Class C, $24.000 million: Three-month LIBOR + 2.60%
Class D, $20.000 million: Three-month LIBOR + 4.10%
Class E, $16.000 million: Three-month LIBOR + 7.32%
Subordinated notes, $39.25 million: Residual
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
Eaton Vance CLO 2020-2 Ltd./Eaton Vance CLO 2020-2 LLC
Class A-R, $248.000 million: AAA (sf)
Class B-R, $56.000 million: AA (sf)
Class C-R, $24.000 million: A (sf)
Class D-R, $24.000 million: BBB- (sf)
Class E-R, 16.000 million: BB- (sf)
Subordinated notes, $39.225 million: Not rated
FANNIE MAE 2021-R03: S&P Assigns Prelim 'BB' Rating on 1B-1 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Fannie Mae
Connecticut Avenue Securities Trust 2021-R03's (CAS 2021-R03)
notes.
The note issuance is an RMBS transaction in which the payments are
determined by a reference pool of residential mortgage loans, deeds
of trust, or similar security instruments encumbering mortgaged
properties acquired by Fannie Mae.
The preliminary ratings are based on information as of Dec. 13,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings assigned to CAS 2021-R03's notes reflect
S&P's view of:
-- The credit enhancement provided by the subordinated reference
tranches and the associated structural deal mechanics;
-- The REMIC structure, which reduces the counterparty exposure to
Fannie Mae for periodic principal and interest payments, but also
pledges the support of Fannie Mae (as a highly rated counterparty)
to cover any shortfalls on interest payments and make up for any
investment losses;
-- The issuer's aggregation experience and the alignment of
interests between the issuer and noteholders in the transaction's
performance, which enhances the notes' strength, in S&P's view;
-- The enhanced credit risk management and quality control (QC)
processes Fannie Mae uses in conjunction with the underlying
representations and warranties (R&Ws) framework; and
-- The further impact that the COVID-19 pandemic is likely to have
on the U.S. economy and housing market, and the additional
structural provisions included to address corresponding forbearance
and subsequent defaults.
Preliminary Ratings
CLASS PRELIMINARY PRELIMINARY
RATINGS AMOUNT ($)
1A-H(i) NR 33,739,271,715
1M-1 A (sf) 264,348,000
1M-1H(i) NR 13,914,034
1M-2A(ii) BBB+ (sf) 104,638,000
1M-AH(i) NR 5,507,389
1M-2B(ii) BBB+ (sf) 104,638,000
1M-BH(i) NR 5,507,389
1M-2C(ii) BBB (sf) 104,638,000
1M-CH(i) NR 5,507,389
1M-2(ii) BBB (sf) 13,914,000
1B-1A(ii) BB+ (sf) 74,348,000
1B-AH(i) NR 3,913,197
1B-1B(ii) BB (sf) 74,348,000
1B-BH(i) NR 3,913,197
1B-1(ii) BB (sf) 148,696,000
1B-2 NR 181,739,000
1B-2H(i) NR 9,566,149
1B-3H(i)(iii) NR 86,956,886
Note: This presale report is based on information as of Dec. 13,
2021. The ratings shown are preliminary. Subsequent information may
result in the assignment of final ratings that differ from the
preliminary ratings. Accordingly, the preliminary ratings should
not be construed as evidence of final ratings. This report does not
constitute a recommendation to buy, hold, or sell securities.
(i)Reference tranche only and will not have corresponding notes.
Fannie Mae retains the risk of these tranches.
(ii)The holders of the class 1M-2 notes may exchange all or part of
that class for proportionate interests in the class 1M-2A, class
1M-2B, and class 1M-2C notes, and vice versa. The holders of the
class 1B-1 notes may exchange all or part of that class for
proportionate interests in the class 1B-1A and class 1B-1B notes,
and vice versa.
(iii)For the purposes of calculating modification gain or
modification loss amounts, class 1B-3H is deemed to bear interest
at SOFR.
NR--Not rated.
N/A--Not applicable.
SOFR--Secured Overnight Financing Rate.
MACR--Modifiable and combinable real estate mortgage investment
conduit.
TBD-–To be determined.
RCR Exchangeable Classes(i)
RCR NOTE PRELIM RATING INTEREST TYPE AMOUNT (MIL. $)
1M-2 BBB (sf) Floating 313.914
1E-A1 BBB+ (sf) Floating 104.638
1A-I1 BBB+ (sf) Fixed/IO 104.638
1E-A2 BBB+ (sf) Floating 104.638
1A-I2 BBB+ (sf) Fixed/IO 104.638
1E-A3 BBB+ (sf) Floating 104.638
1A-I3 BBB+ (sf) Fixed/IO 104.638
1E-A4 BBB+ (sf) Floating 104.638
1A-I4 BBB+ (sf) Fixed/IO 104.638
1E-B1 BBB+ (sf) Floating 104.638
1B-I1 BBB+ (sf) Fixed/IO 104.638
1E-B2 BBB+ (sf) Floating 104.638
1B-I2 BBB+ (sf) Fixed/IO 104.638
1E-B3 BBB+ (sf) Floating 104.638
1B-I3 BBB+ (sf) Fixed/IO 104.638
1E-B4 BBB+ (sf) Floating 104.638
1B-I4 BBB+ (sf) Fixed/IO 104.638
1E-C1 BBB (sf) Floating 104.638
1C-I1 BBB (sf) Fixed/IO 104.638
1E-C2 BBB (sf) Floating 104.638
1C-I2 BBB (sf) Fixed/IO 104.638
1E-C3 BBB (sf) Floating 104.638
1C-I3 BBB (sf) Fixed/IO 104.638
1E-C4 BBB (sf) Floating 104.638
1C-I4 BBB (sf) Fixed/IO 104.638
1E-D1 BBB+ (sf) Floating 209.276
1E-D2 BBB+ (sf) Floating 209.276
1E-D3 BBB+ (sf) Floating 209.276
1E-D4 BBB+ (sf) Floating 209.276
1E-D5 BBB+ (sf) Floating 209.276
1E-F1 BBB (sf) Floating 209.276
1E-F2 BBB (sf) Floating 209.276
1E-F3 BBB (sf) Floating 209.276
1E-F4 BBB (sf) Floating 209.276
1E-F5 BBB (sf) Floating 209.276
1-X1 BBB+ (sf) Fixed/IO 209.276
1-X2 BBB+ (sf) Fixed/IO 209.276
1-X3 BBB+ (sf) Fixed/IO 209.276
1-X4 BBB+ (sf) Fixed/IO 209.276
1-Y1 BBB (sf) Fixed/IO 209.276
1-Y2 BBB (sf) Fixed/IO 209.276
1-Y3 BBB (sf) Fixed/IO 209.276
1-Y4 BBB (sf) Fixed/IO 209.276
1-J1 BBB (sf) Floating 104.638
1-J2 BBB (sf) Floating 104.638
1-J3 BBB (sf) Floating 104.638
1-J4 BBB (sf) Floating 104.638
1-K1 BBB (sf) Floating 209.276
1-K2 BBB (sf) Floating 209.276
1-K3 BBB (sf) Floating 209.276
1-K4 BBB (sf) Floating 209.276
1M-2Y BBB (sf) Floating 313.914
1M-2X BBB (sf) Fixed/IO 313.914
1B-1 BB (sf) Floating 148.696
1B-1Y BB (sf) Floating 148.696
1B-1X BB (sf) Fixed/IO 148.696
1B-2Y NR Floating 181.739
1B-2X NR Fixed/IO 181.739
(i)Refer to the offering documents for more detail on possible
combinations.
RCR--Related combinable and recombinable notes.
IO--Interest only.
NR--Not rated.
GREAT LAKES VI: S&P Assigns BB- (sf) Rating on Class E Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to Great Lakes CLO VI LLC's
floating-rate notes.
The note issuance is a CLO transaction backed primarily by
middle-market speculative-grade (rated 'BB+' and lower) senior
secured term loans that are governed by collateral quality tests.
The ratings reflect:
-- The diversification of the collateral pool.
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization.
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Great Lakes CLO VI LLC
Class A-X, $4.90 million: AAA (sf)
Class A, $219.00 million: AAA (sf)
Class B, $35.00 million: AA (sf)
Class C (deferrable), $30.00 million: A (sf)
Class D (deferrable), $27.50 million: BBB- (sf)
Class E (deferrable), $26.50 million: BB- (sf)
Subordinated notes, $45.00 million: Not rated
GS MORTGAGE 2021-GSA3: Fitch Rates Class G-RR Certs 'B-sf'
----------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
GS Mortgage Securities Trust 2021-GSA3 commercial mortgage
pass-through certificates 2021-GSA3 as follows:
-- $8,558,000e class A-1 'AAAsf'; Outlook Stable;
-- $16,730,000e class A-2 'AAAsf'; Outlook Stable;
-- $62,400,000e class A-3 'AAAsf'; Outlook Stable;
-- $81,000,000ae class A-4 'AAAsf'; Outlook Stable;
-- $246,127,000ae class A-5 'AAAsf'; Outlook Stable;
-- $22,757,000e class A-AB 'AAAsf'; Outlook Stable;
-- $471,953,000be class X-A 'AAAsf'; Outlook Stable;
-- $66,417,000be class X-B 'A-sf'; Outlook Stable;
-- $34,381,000e class A-S 'AAAsf'; Outlook Stable;
-- $35,162,000e class B 'AA-sf'; Outlook Stable;
-- $31,255,000e class C 'A-sf'; Outlook Stable;
-- $35,162,000bce class X-D 'BBB-sf'; Outlook Stable;
-- $17,190,000bce class X-F 'BB-sf'; Outlook Stable;
-- $19,534,000ce class D 'BBBsf'; Outlook Stable;
-- $15,628,000ce class E 'BBB-sf'; Outlook Stable;
-- $17,190,000cde class F 'BB-sf'; Outlook Stable;
-- $7,033,000cde class G-RR 'B-sf'; Outlook Stable.
The following class is not expected to be rated by Fitch:
-- $27,348,397cde class H-RR 'sf'; Outlook Stable.
(a) The initial certificate balances of classes A-4 and A-5 are
unknown and expected to be $327,127,000 in aggregate, subject to a
5% variance. The certificate balances will be determined based on
the final pricing of those classes of certificates. The expected
class A-4 balance range is $0 to $162,000,000, and the expected
class A-5 balance range is $165,127,000 to $327,127,000. The class
balances for classes A-4 and A-5 are assumed at the midpoint of the
range for each class.
(b) Notional amount and interest only (IO).
(c) Privately places and pursuant to Rule 144A.
(d) Horizontal credit risk retention interest.
(e) Includes non-offered vertical credit risk retention interest
(VRR Interest) of approximately 3.3536% of each class of
certificates The expected ratings are based on information provided
by the issuer as of Dec. 9, 2021.
TRANSACTION SUMMARY
The certificates represent the beneficial ownership interest in the
trust, the primary assets of which are 39 fixed-rate loans secured
by 85 commercial properties with an aggregate principal balance of
$625,103,398 as of the cutoff date. The loans were contributed to
the trust by Goldman Sachs Mortgage Company, Argentic Real Estate
Finance LLC, and Starwood Mortgage Capital LLC. The master servicer
is expected to be Wells Fargo Bank, National Association, and the
special servicer is expected to be Argentic Services Company LP.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 9.4% of the properties by
balance, cash flow analyses of 83.7% of the pool and asset summary
reviews on 100% of the pool.
Coronavirus Impact: The ongoing containment effort related to the
coronavirus (which causes COVID-19) pandemic may have an adverse
impact on near-term revenue (i.e., bad debt expense, rent relief)
and operating expenses (i.e. sanitation costs) for some properties
in the pool. Delinquencies may occur in the coming months as
forbearance programs are put in place, although the ultimate impact
on credit losses will depend heavily on the severity and duration
of the negative economic impact of the coronavirus pandemic, and to
what degree fiscal interventions by the U.S. federal government can
mitigate the impact on consumers. Per the offering documents, all
of the loans are current and are not subject to any forbearance
requests.
KEY RATING DRIVERS
Higher Fitch Leverage than Recent Transactions: The transaction's
Fitch leverage is higher than other recent U.S. multiborrower
transactions rated by Fitch. The pool's Fitch loan-to-value ratio
(LTV) of 107.8% is higher than the 2020 average of 99.6% and the
YTD 2021 average of 103.4%. Additionally, the pool's Fitch trust
debt service coverage ratio (DSCR) of 1.35x is slightly above the
2020 average of 1.32x and slightly below the YTD 2021 average of
1.37x.
Concentrated Pool: The pool's 10 largest loans represent 56.8% of
the pool, which is significantly higher than the YTD 2021 average
of 50.9% but in line with the 2020 average of 56.8%. The pool's
loan concentration index (LCI) score is 453, which is greater than
the YTD 2021 and 2020 averages of 376 and 440, respectively for
other recent Fitch-rated multiborrower transactions.
Limited Amortization: Twenty-three loans totaling 58.7% of the
pool's cutoff balance are interest-only for the entirety of their
respective loan terms, and an additional nine loans, totaling 30.3%
of the pool's balance, are partial interest-only loans. The pool is
scheduled to amortize 5.4%, which is in line with the 2021 YTD and
2020 average paydown of 5.0% and 5.3%, respectively, but below
historical averages.
The largest three property types in this transaction are retail
(29.2% of the pool), office (28.0%) and multifamily (24.8%). The
multifamily property type concentration is significantly higher
than average compared with 17.2% and 16.3% for YTD 2021 and 2020,
respectively. The pool's retail property concentration is higher
than the YTD 2021 average of 22.0% and the 2020 average of 16.3%
for other Fitch-rated U.S. multiborrower transaction. Additionally,
the pool does not have any loans secured by hotel properties.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Declining cash flow decreases property value and capacity to meet
its debt service obligations. The table below indicates the model
implied rating sensitivity to changes to the same one variable,
Fitch NCF:
-- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-
sf' / 'BB-sf' / 'B-sf'
-- 10% NCF Decline: 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB+sf' /
'B+sf' / 'CCCsf' / 'CCCsf'
-- 20% NCF Decline: 'A-sf' / 'BBB-sf' / 'BBsf' / 'B-sf' / 'CCCsf'
/ 'CCCsf'/ 'CCCSf'
-- 30% NCF Decline: 'BBB-sf' / 'BBsf' / 'CCCsf' / 'CCCsf' /
'CCCsf' / 'CCCsf' / 'CCCsf'
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Improvement in cash flow increases property value and capacity to
meet its debt service obligations. The table below indicates the
model implied rating sensitivity to changes in one variable, Fitch
NCF:
-- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-
sf' / 'BB-sf' / 'B-sf'
-- 20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'A+sf' / 'A-
sf' / 'BBB-sf' / 'BBB-sf'
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 Ernst & Young LLP. The third-party due diligence
described in Form 15E focused on a comparison and re-computation of
certain characteristics with respect to each of the mortgage loans.
Fitch considered this information in its analysis and it did not
have an effect on Fitch's analysis or conclusions.
HORIZON AIRCRAFT II: Fitch Affirms B Rating on Series C Notes
-------------------------------------------------------------
Fitch Ratings has affirmed the ratings on the outstanding series A,
B and C notes issued by Horizon Aircraft Finance I Limited (Horizon
I), Horizon Aircraft Finance II Limited (Horizon II) and Horizon
Aircraft Finance III Limited (Horizon III) ABS transactions. The
Rating Outlook remains Negative on all series of notes.
DEBT RATING PRIOR
---- ------ -----
Horizon Aircraft Finance III Limited
A 44040JAA6 LT Asf Affirmed Asf
B 44040JAB4 LT BBBsf Affirmed BBBsf
C 44040JAC2 LT BBsf Affirmed BBsf
Horizon Aircraft Finance II Limited
Series A 44040HAA0 LT Asf Affirmed Asf
Series B 44040HAB8 LT BBBsf Affirmed BBBsf
Series C 44040HAC6 LT Bsf Affirmed Bsf
Horizon Aircraft Finance I Limited
A 440405AE8 LT Asf Affirmed Asf
B 440405AF5 LT BBBsf Affirmed BBBsf
C 440405AG3 LT Bsf Affirmed Bsf
TRANSACTION SUMMARY
The rating actions reflect ongoing stress and pressure on airline
lessee credits backing the leases in each transaction pool,
downward pressure on aircraft values, and Fitch's updated
assumptions and stresses. The prior review for each transaction was
in December 2020.
The Outlook remains Negative on all series of notes for Horizon I,
II and III, reflecting Fitch's base case expectation for the
structure to withstand immediate and near-term stresses at the
updated assumptions, and stressed scenarios commensurate with their
respective ratings. Continued global travel restrictions driven by
the pandemic and the subsequent airlines recovery, including
ongoing regional flareups and potential for and occurrence of new
virus variants, resulted in continued delays in recovery of the
airline industry.
This remains a credit negative for these aircraft ABS transactions,
and airlines globally remain under pressure despite the recent
opening of borders regionally and pick-up in air travel globally.
This could lead to additional near-term lease deferrals, airline
defaults and bankruptcies, along with lower aircraft demand and
value impairments. These negative factors could manifest in the
transactions, resulting in lower cash flows and pressure on ratings
in the near term.
Cash flow modeling was not conducted for Horizon I and II, as
performance has been within expectations, and the transactions were
modeled within the past 18 months, consistent with criteria. For
this review, cash flow modeling was conducted for Horizon III.
Babcock & Brown Aircraft Management (BBAM; not rated by Fitch) and
certain third-parties are the sellers of the initial assets, and
acts as servicer for all three transactions. Fitch deems the
servicer to be adequate to service these transactions based on its
experience as a lessor and overall servicing capabilities.
KEY RATING DRIVERS
Deteriorating Airline Lessee Credit:
The credit profiles of the airline lessees in the pools have
remained relatively consistent since the prior review, but remain
under stress due to the ongoing coronavirus-related impact on all
global airlines in 2021. The proportion of the pool assumed at a
'CCC' Issuer Default Rate (IDR) or lower, or off lease for Horizon
I, increased to 80.0% from 76.5% at the last review, rose to 90.3%
from 83.2% for Horizon II, and crept up to 94.9% from 90.1% for
Horizon III.
The assumptions reflect these airlines' ongoing credit profiles and
fleets in the current operating environment, due to the
coronavirus-related impact on the sector. Any publicly rated
airlines in the pool whose ratings have shifted since close were
updated for this review.
Asset Quality and Appraised Pool Value
All three pools feature 100% liquid narrowbody (NB) aircraft, which
is viewed positively. Uncertainty around market values, and how the
current environment will impact near-term lease maturities remains
elevated.
Fitch recognizes there will be downward pressure on values in the
short to medium term. All three Horizon transactions have
appraisals for each aircraft provided by IBA Group (IBA),
Collateral Verifications LLC (CV), and Morten Beyer & Agnew (mba)
as of December 2020. Maintenance adjustments from half-life were
provided by Alton Aviation Consultancy (Alton).
In modeling Horizon III, modeled values used the
Average-Excluding-Highest (AEH) method for all NB aircraft under 15
years of age, and the single lowest appraised value for those 15
years of age and over. Horizon III day-1 modeled values sets the
pool value at $430.1 million, compared to $479.4 million in the
November servicer report, which is a 10.3% haircut and more
conservative overall.
Transaction Performance
Lease collections have fluctuated in 2021, but remained rangebound
since the prior review. In the November 2021 reporting period,
Horizon I received $2.3 million compared to a YTD average of $2.9
million, and Horizon II $2.7 million versus a YTD average of $2.7
million. Lastly, Horizon III received $1.5 million compared to a
YTD average of $1.8 million.
Loan-to-values (LTVs) are based on updated Fitch LTVs, and remained
stable for all three three transactions since the prior review. All
series A and B notes continue to receive interest payments.
Available cashflow has been sufficient to pay a portion of note A
principal amounts for all three transactions; however, payments
have been sporadic and there have been no payments to the class B
and C notes since the last review. The debt service coverage ratios
(DSCRs) remain tripped below their respective cash trap triggers
and early amortization event triggers for each transaction.
Fitch Modeling Assumptions for Horizon III
Nearly all servicer-driven assumptions are consistent from closing
for each transaction. These include costs and certain downtime
assumptions relating to aircraft repossessions and remarketing,
terms of new leases, and extension terms.
For all airlines currently in administration, rated 'CC' or lower,
and all leases expected to end in the coming two years, Fitch
assumed an additional three months of downtime for NB aircraft.
This is on top of lessor-specific remarketing downtime assumptions
to account for potential remarketing challenges in placing this
aircraft with a new lessee in the current distressed environment.
All aircraft currently off lease were assumed to have an additional
six months of downtime. Please refer to each transaction's
published presale for further information on these assumptions and
stresses, available at www.fitchratings.com.
With the grounding of global fleets and significant reduction in
air travel, maintenance revenue and costs will be impacted and are
expected to decline due to airline lessee credit issues and
grounded aircraft. Maintenance revenues were reduced by 50% over
the next immediate 12 months, and such missed payments were assumed
to be recouped in the following 12 months thereafter.
Maintenance costs over the immediate next six months were assumed
to be incurred as reported. Costs in the following month were
reduced by 50% and assumed to increase straight line to 100% over a
12-month period. Any deferred costs were incurred in the following
12 months.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- The Negative Outlook on all series of notes reflects the
potential for further negative rating actions due to concerns
over the ultimate impact of the coronavirus pandemic, the
resulting concerns associated with airline performance and
aircraft values and other assumptions across the aviation
industry due to the severe decline in travel and grounding of
airlines.
-- Due to continuing pressure on asset values and supply and
demand dynamics, Fitch explored the potential cash flow
decline if residual value (RV) proceeds received were less
than anticipated under Fitch's primary scenarios. Under this
scenario, the transaction experiences weaker cash flows and
could experience downgrades of up to one category for
outstanding classes of notes.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- The aircraft ABS sector has a rating cap of 'Asf'. All
subordinate tranches carry one category of ratings lower than
the senior tranche and below the ratings at close. However, if
the assets in this pool experience stronger RV realization
than Fitch modeled, or if it experiences a stronger lease
collection in-flow than Fitch's stressed scenarios, the
transactions could perform better than expected.
-- At this point, future upgrades beyond current ratings would
not be considered due to a combination of the sector rating
cap, industry cyclicality, weaker lessee mix present in ABS
pools and uncertainty around future lessee mix, along with the
negative impact due to the coronavirus on the global
travel/airline sectors and, ultimately, ABS transactions.
-- In an "Up" scenario, RV recoveries at time of sale are assumed
to be 70% of their depreciated market values, higher than the
base case scenario of 50% for most aircraft. Notes are able to
pay at their current rating stresses. Under this scenario,
Horizon III experiences an improvement to cash flows and all
notes would remain at their current ratings.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
JP MORGAN 2020-5: Moody's Upgrades Rating on 2 Tranches to Ba3
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 126 classes
from 15 transactions issued by J.P. Morgan Mortgage Trust. The
transactions are securitizations of fixed rate, first-lien prime
jumbo and agency eligible mortgage loans.
A List of Affected Credit Ratings is available at
https://bit.ly/3ETBkBw.
Complete rating actions are as follows:
Issuer: J.P. Morgan Mortgage Trust 2018-9
Cl. A-13, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded
to Aa1 (sf)
Cl. A-14, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded
to Aa1 (sf)
Cl. B-1, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded
to Aa3 (sf)
Cl. B-2, Upgraded to Aa1 (sf); previously on Oct 30, 2019 Upgraded
to A1 (sf)
Cl. B-3, Upgraded to A2 (sf); previously on Oct 30, 2019 Upgraded
to Baa1 (sf)
Issuer: J.P. Morgan Mortgage Trust 2018-LTV1
Cl. A-13, Upgraded to Aaa (sf); previously on Dec 3, 2018
Definitive Rating Assigned Aa1 (sf)
Cl. A-14, Upgraded to Aaa (sf); previously on Dec 3, 2018
Definitive Rating Assigned Aa1 (sf)
Cl. B-1, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded
to Aa1 (sf)
Cl. B-2, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded
to Aa3 (sf)
Cl. B-3, Upgraded to Aa3 (sf); previously on Oct 30, 2019 Upgraded
to A3 (sf)
Cl. B-4, Upgraded to Baa1 (sf); previously on Oct 30, 2019 Upgraded
to Ba1 (sf)
Cl. B-5, Upgraded to Ba3 (sf); previously on Dec 3, 2018 Definitive
Rating Assigned B3 (sf)
Issuer: J.P. Morgan Mortgage Trust 2019-2
Cl. A-14, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded
to Aa1 (sf)
Cl. A-15, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded
to Aa1 (sf)
Cl. B-1, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded
to Aa3 (sf)
Cl. B-2, Upgraded to Aa1 (sf); previously on Oct 30, 2019 Upgraded
to A1 (sf)
Cl. B-3, Upgraded to A1 (sf); previously on Oct 30, 2019 Upgraded
to Baa1 (sf)
Cl. B-4, Upgraded to Baa3 (sf); previously on Oct 30, 2019 Upgraded
to Ba1 (sf)
Issuer: J.P. Morgan Mortgage Trust 2019-3
Cl. B-1, Upgraded to Aaa (sf); previously on Mar 11, 2020 Upgraded
to Aa1 (sf)
Cl. B-2, Upgraded to Aaa (sf); previously on Mar 11, 2020 Upgraded
to Aa3 (sf)
Cl. B-3, Upgraded to A1 (sf); previously on Mar 11, 2020 Upgraded
to A3 (sf)
Issuer: J.P. Morgan Mortgage Trust 2019-5
Cl. A-14, Upgraded to Aaa (sf); previously on Mar 11, 2020 Upgraded
to Aa1 (sf)
Cl. A-15, Upgraded to Aaa (sf); previously on Mar 11, 2020 Upgraded
to Aa1 (sf)
Cl. B-1, Upgraded to Aaa (sf); previously on Mar 11, 2020 Upgraded
to Aa2 (sf)
Cl. B-2, Upgraded to Aa1 (sf); previously on Mar 11, 2020 Upgraded
to A1 (sf)
Issuer: J.P. Morgan Mortgage Trust 2019-6
Cl. A-14, Upgraded to Aaa (sf); previously on Aug 30, 2019
Definitive Rating Assigned Aa1 (sf)
Cl. A-15, Upgraded to Aaa (sf); previously on Aug 30, 2019
Definitive Rating Assigned Aa1 (sf)
Cl. B-1, Upgraded to Aaa (sf); previously on Aug 30, 2019
Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Upgraded to Aa2 (sf); previously on Oct 30, 2019 Upgraded
to A2 (sf)
Cl. B-3, Upgraded to A2 (sf); previously on Aug 30, 2019 Definitive
Rating Assigned Baa3 (sf)
Cl. B-4, Upgraded to Ba1 (sf); previously on Aug 30, 2019
Definitive Rating Assigned Ba3 (sf)
Cl. B-5, Upgraded to B1 (sf); previously on Aug 30, 2019 Definitive
Rating Assigned B3 (sf)
Issuer: J.P. Morgan Mortgage Trust 2019-7
Cl. A-14, Upgraded to Aaa (sf); previously on Sep 27, 2019
Definitive Rating Assigned Aa2 (sf)
Cl. A-15, Upgraded to Aaa (sf); previously on Sep 27, 2019
Definitive Rating Assigned Aa2 (sf)
Cl. B-1, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded
to Aa3 (sf)
Cl. B-1-A, Upgraded to Aaa (sf); previously on Oct 30, 2019
Upgraded to Aa3 (sf)
Cl. B-2, Upgraded to Aa3 (sf); previously on Oct 30, 2019 Upgraded
to A2 (sf)
Cl. B-2-A, Upgraded to Aa3 (sf); previously on Oct 30, 2019
Upgraded to A2 (sf)
Cl. B-3, Upgraded to A3 (sf); previously on Oct 30, 2019 Upgraded
to Baa2 (sf)
Cl. B-3-A, Upgraded to A3 (sf); previously on Oct 30, 2019 Upgraded
to Baa2 (sf)
Cl. B-4, Upgraded to Ba1 (sf); previously on Sep 27, 2019
Definitive Rating Assigned Ba2 (sf)
Issuer: J.P. Morgan Mortgage Trust 2019-8
Cl. A-14, Upgraded to Aaa (sf); previously on Oct 31, 2019
Definitive Rating Assigned Aa2 (sf)
Cl. A-15, Upgraded to Aaa (sf); previously on Oct 31, 2019
Definitive Rating Assigned Aa2 (sf)
Cl. B-1, Upgraded to Aa1 (sf); previously on Oct 31, 2019
Definitive Rating Assigned A1 (sf)
Cl. B-1-A, Upgraded to Aa1 (sf); previously on Oct 31, 2019
Definitive Rating Assigned A1 (sf)
Cl. B-2, Upgraded to Aa3 (sf); previously on Oct 31, 2019
Definitive Rating Assigned A3 (sf)
Cl. B-2-A, Upgraded to Aa3 (sf); previously on Oct 31, 2019
Definitive Rating Assigned A3 (sf)
Cl. B-3, Upgraded to A3 (sf); previously on Oct 31, 2019 Definitive
Rating Assigned Baa3 (sf)
Cl. B-3-A, Upgraded to A3 (sf); previously on Oct 31, 2019
Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Upgraded to Baa3 (sf); previously on Oct 31, 2019
Definitive Rating Assigned Ba3 (sf)
Cl. B-5, Upgraded to B1 (sf); previously on Oct 31, 2019 Definitive
Rating Assigned B3 (sf)
Cl. B-5-Y, Upgraded to B1 (sf); previously on Oct 31, 2019
Definitive Rating Assigned B3 (sf)
Issuer: J.P. Morgan Mortgage Trust 2019-9
Cl. A-14, Upgraded to Aaa (sf); previously on Nov 26, 2019
Definitive Rating Assigned Aa2 (sf)
Cl. A-15, Upgraded to Aaa (sf); previously on Nov 26, 2019
Definitive Rating Assigned Aa2 (sf)
Cl. B-1, Upgraded to Aaa (sf); previously on Nov 26, 2019
Definitive Rating Assigned A1 (sf)
Cl. B-1-A, Upgraded to Aaa (sf); previously on Nov 26, 2019
Definitive Rating Assigned A1 (sf)
Cl. B-2, Upgraded to Aa3 (sf); previously on Nov 26, 2019
Definitive Rating Assigned A3 (sf)
Cl. B-2-A, Upgraded to Aa3 (sf); previously on Nov 26, 2019
Definitive Rating Assigned A3 (sf)
Cl. B-3, Upgraded to A3 (sf); previously on Nov 26, 2019 Definitive
Rating Assigned Baa3 (sf)
Cl. B-3-A, Upgraded to A3 (sf); previously on Nov 26, 2019
Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Upgraded to Baa3 (sf); previously on Nov 26, 2019
Definitive Rating Assigned Ba3 (sf)
Cl. B-5, Upgraded to Ba3 (sf); previously on Nov 26, 2019
Definitive Rating Assigned B3 (sf)
Cl. B-5-Y, Upgraded to Ba3 (sf); previously on Nov 26, 2019
Definitive Rating Assigned B3 (sf)
Issuer: J.P. Morgan Mortgage Trust 2019-INV1
Cl. B-1, Upgraded to Aaa (sf); previously on Mar 11, 2020 Upgraded
to Aa1 (sf)
Cl. B-2, Upgraded to Aaa (sf); previously on Mar 11, 2020 Upgraded
to Aa3 (sf)
Cl. B-3, Upgraded to Aa3 (sf); previously on Mar 11, 2020 Upgraded
to A2 (sf)
Cl. B-4, Upgraded to Baa1 (sf); previously on Mar 11, 2020 Upgraded
to Baa3 (sf)
Cl. B-5, Upgraded to Ba2 (sf); previously on Mar 11, 2020 Upgraded
to B1 (sf)
Issuer: J.P. Morgan Mortgage Trust 2019-LTV1
Cl. A-14, Upgraded to Aaa (sf); previously on Feb 28, 2019
Definitive Rating Assigned Aa1 (sf)
Cl. A-15, Upgraded to Aaa (sf); previously on Feb 28, 2019
Definitive Rating Assigned Aa1 (sf)
Cl. B-1, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded
to Aa2 (sf)
Cl. B-2, Upgraded to Aa1 (sf); previously on Oct 30, 2019 Upgraded
to A1 (sf)
Cl. B-3, Upgraded to A1 (sf); previously on Oct 30, 2019 Upgraded
to Baa1 (sf)
Cl. B-4, Upgraded to Baa3 (sf); previously on Feb 28, 2019
Definitive Rating Assigned Ba2 (sf)
Cl. B-5, Upgraded to B1 (sf); previously on Feb 28, 2019 Definitive
Rating Assigned B3 (sf)
Issuer: J.P. Morgan Mortgage Trust 2019-LTV2
Cl. A-14, Upgraded to Aaa (sf); previously on Jul 30, 2019
Definitive Rating Assigned Aa1 (sf)
Cl. A-15, Upgraded to Aaa (sf); previously on Jul 30, 2019
Definitive Rating Assigned Aa1 (sf)
Cl. B-1, Upgraded to Aaa (sf); previously on Jul 30, 2019
Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Upgraded to Aa2 (sf); previously on Jul 30, 2019
Definitive Rating Assigned A2 (sf)
Cl. B-3, Upgraded to A2 (sf); previously on Jul 30, 2019 Definitive
Rating Assigned Baa2 (sf)
Cl. B-4, Upgraded to Baa3 (sf); previously on Jul 30, 2019
Definitive Rating Assigned Ba2 (sf)
Cl. B-5, Upgraded to B1 (sf); previously on Jul 30, 2019 Definitive
Rating Assigned B3 (sf)
Issuer: J.P. Morgan Mortgage Trust 2019-LTV3
Cl. A-14, Upgraded to Aaa (sf); previously on Oct 31, 2019
Definitive Rating Assigned Aa1 (sf)
Cl. A-15, Upgraded to Aaa (sf); previously on Oct 31, 2019
Definitive Rating Assigned Aa1 (sf)
Cl. B-1, Upgraded to Aaa (sf); previously on Oct 31, 2019
Definitive Rating Assigned Aa3 (sf)
Cl. B-1-A, Upgraded to Aaa (sf); previously on Oct 31, 2019
Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Upgraded to Aa3 (sf); previously on Oct 31, 2019
Definitive Rating Assigned A2 (sf)
Cl. B-2-A, Upgraded to Aa3 (sf); previously on Oct 31, 2019
Definitive Rating Assigned A2 (sf)
Cl. B-3, Upgraded to A3 (sf); previously on Oct 31, 2019 Definitive
Rating Assigned Baa3 (sf)
Cl. B-3-A, Upgraded to A3 (sf); previously on Oct 31, 2019
Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Upgraded to Ba1 (sf); previously on Oct 31, 2019
Definitive Rating Assigned Ba3 (sf)
Cl. B-5, Upgraded to B1 (sf); previously on Oct 31, 2019 Definitive
Rating Assigned B3 (sf)
Issuer: J.P. Morgan Mortgage Trust 2020-4
Cl. A-14, Upgraded to Aaa (sf); previously on Jun 30, 2020
Definitive Rating Assigned Aa2 (sf)
Cl. A-15, Upgraded to Aaa (sf); previously on Jun 30, 2020
Definitive Rating Assigned Aa2 (sf)
Cl. A-X-1*, Upgraded to Aaa (sf); previously on Jun 30, 2020
Definitive Rating Assigned Aa1 (sf)
Cl. A-X-2*, Upgraded to Aaa (sf); previously on Jun 30, 2020
Definitive Rating Assigned Aa1 (sf)
Cl. A-X-4*, Upgraded to Aaa (sf); previously on Jun 30, 2020
Definitive Rating Assigned Aa2 (sf)
Cl. B-1, Upgraded to Aa1 (sf); previously on Jun 30, 2020
Definitive Rating Assigned Aa3 (sf)
Cl. B-1-A, Upgraded to Aa1 (sf); previously on Jun 30, 2020
Definitive Rating Assigned Aa3 (sf)
Cl. B-1-X*, Upgraded to Aa1 (sf); previously on Jun 30, 2020
Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Upgraded to Aa3 (sf); previously on Jun 30, 2020
Definitive Rating Assigned A3 (sf)
Cl. B-2-A, Upgraded to Aa3 (sf); previously on Jun 30, 2020
Definitive Rating Assigned A3 (sf)
Cl. B-2-X*, Upgraded to Aa3 (sf); previously on Jun 30, 2020
Definitive Rating Assigned A3 (sf)
Cl. B-3, Upgraded to A3 (sf); previously on Jun 30, 2020 Definitive
Rating Assigned Baa3 (sf)
Cl. B-3-A, Upgraded to A3 (sf); previously on Jun 30, 2020
Definitive Rating Assigned Baa3 (sf)
Cl. B-3-X*, Upgraded to A3 (sf); previously on Jun 30, 2020
Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Upgraded to Baa3 (sf); previously on Jun 30, 2020
Definitive Rating Assigned Ba3 (sf)
Cl. B-5, Upgraded to Ba3 (sf); previously on Jun 30, 2020
Definitive Rating Assigned B3 (sf)
Cl. B-5-Y, Upgraded to Ba3 (sf); previously on Jun 30, 2020
Definitive Rating Assigned B3 (sf)
Cl. B-X*, Upgraded to A1 (sf); previously on Jun 30, 2020
Definitive Rating Assigned Baa1 (sf)
Issuer: J.P. Morgan Mortgage Trust 2020-5
Cl. A-14, Upgraded to Aaa (sf); previously on Jul 30, 2020
Definitive Rating Assigned Aa1 (sf)
Cl. A-15, Upgraded to Aaa (sf); previously on Jul 30, 2020
Definitive Rating Assigned Aa1 (sf)
Cl. A-X-4*, Upgraded to Aaa (sf); previously on Jul 30, 2020
Definitive Rating Assigned Aa1 (sf)
Cl. B-1, Upgraded to Aaa (sf); previously on Jul 30, 2020
Definitive Rating Assigned Aa3 (sf)
Cl. B-1-A, Upgraded to Aaa (sf); previously on Jul 30, 2020
Definitive Rating Assigned Aa3 (sf)
Cl. B-1-X*, Upgraded to Aaa (sf); previously on Jul 30, 2020
Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Upgraded to Aa3 (sf); previously on Jul 30, 2020
Definitive Rating Assigned A3 (sf)
Cl. B-2-A, Upgraded to Aa3 (sf); previously on Jul 30, 2020
Definitive Rating Assigned A3 (sf)
Cl. B-2-X*, Upgraded to Aa3 (sf); previously on Jul 30, 2020
Definitive Rating Assigned A3 (sf)
Cl. B-3, Upgraded to A3 (sf); previously on Jul 30, 2020 Definitive
Rating Assigned Baa3 (sf)
Cl. B-3-A, Upgraded to A3 (sf); previously on Jul 30, 2020
Definitive Rating Assigned Baa3 (sf)
Cl. B-3-X*, Upgraded to A3 (sf); previously on Jul 30, 2020
Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Upgraded to Baa3 (sf); previously on Jul 30, 2020
Definitive Rating Assigned Ba3 (sf)
Cl. B-5, Upgraded to Ba3 (sf); previously on Jul 30, 2020
Definitive Rating Assigned B3 (sf)
Cl. B-5-Y, Upgraded to Ba3 (sf); previously on Jul 30, 2020
Definitive Rating Assigned B3 (sf)
Cl. B-X*, Upgraded to A1 (sf); previously on Jul 30, 2020
Definitive Rating Assigned Baa1 (sf)
*Reflects Interest Only Classes
RATINGS RATIONALE
The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying pools. In these
transactions, high prepayment rates averaging 52%-68% over the last
six months, driven by the low interest rate environment, have
benefited the bonds by increasing the paydown and building credit
enhancement.
In Moody's analysis Moody's considered the additional risk posed by
borrowers enrolled in payment relief programs. Moody's increased
its MILAN model-derived median expected losses by 15% and Moody's
Aaa losses by 5% to reflect the performance deterioration resulting
from a slowdown in US economic activity due to the COVID-19
outbreak.
For transactions where more than 4% of the loans in pool have been
enrolled in payment relief programs for more than 3 months, Moody's
further increased the expected loss to account for the rising risk
of potential deferral losses to the subordinate bonds. Moody's also
considered higher adjustments for transactions where more than 10%
of the pool is either currently enrolled or was previously enrolled
in a payment relief program. Specifically, Moody's account for the
marginally increased probability of default for borrowers that have
either been enrolled in a payment relief program for more than 3
months or have already received a loan modification, including a
deferral, since the start of the pandemic.
Moody's will reduce the adjustment to pool losses in instances
where the collateral has demonstrated strong performance since the
start of the pandemic. For transactions where (1) the current
proportion of loans enrolled in payment relief programs is lower
than 2.5%, and (2) the proportion of loans that are cash flowing
but were previously enrolled in a payment relief program since the
start of the pandemic is lower than 5%, Moody's increase the median
expected loss by 10% and Moody's Aaa loss by 2.5%. The reduced
adjustment reflects the assumption that pools with a higher
proportion of borrowers that continued to make payments throughout
the pandemic are likely to have lower default rates as COVID-19
continues to decline.
Moody's estimated the proportion of loans granted payment relief in
a pool based on a review of loan level cashflows. In Moody's
analysis, Moody's considered a loan to be enrolled in a payment
relief program if (1) the loan was not liquidated but took a loss
in the reporting period (to account for loans with monthly
deferrals that were reported as current), or (2) the actual balance
of the loan increased in the reporting period, or (3) the actual
balance of the loan remained unchanged in the last and current
reporting period, excluding interest-only loans and pay ahead
loans. Based on Moody's analysis, the proportion of borrowers that
are enrolled in payment relief plans in the underlying pool ranged
between 0.2%-11.3% over the last six months.
Given the pervasive financial strains tied to the pandemic,
servicers have been making advances on increased amount of
non-cash-flowing loans, sometimes resulting in interest shortfalls
due to insufficient funds in subsequent periods when such advances
are recouped. Moody's expect such interest shortfalls to be
reimbursed over the next several months.
Moody's updated loss expectations on the pools incorporate, amongst
other factors, Moody's assessment of the representations and
warranties frameworks of the transactions, the due diligence
findings of the third-party reviews received at the time of
issuance, and the strength of the transaction's originators and
servicer.
The action reflects the coronavirus pandemic's residual impact on
the ongoing performance of residential mortgage loans 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.
Principal Methodologies
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in August 2021.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
JPMCC COMM 2019-COR4: Fitch Affirms B- Rating on H-RR Certs
-----------------------------------------------------------
Fitch Ratings has affirmed 17 classes of JPMCC Commercial Mortgage
Securities Trust 2019-COR4 commercial mortgage pass-through
certificates, series 2019-COR4 (JPMCC 2019-COR4).
DEBT RATING PRIOR
---- ------ -----
JPMCC 2019-COR4
A-1 48128YAS0 LT AAAsf Affirmed AAAsf
A-2 48128YAT8 LT AAAsf Affirmed AAAsf
A-3 48128YAU5 LT AAAsf Affirmed AAAsf
A-4 48128YAV3 LT AAAsf Affirmed AAAsf
A-5 48128YAW1 LT AAAsf Affirmed AAAsf
A-S 48128YBA8 LT AAAsf Affirmed AAAsf
A-SB 48128YAX9 LT AAAsf Affirmed AAAsf
B 48128YBB6 LT AA-sf Affirmed AA-sf
C 48128YBC4 LT A-sf Affirmed A-sf
D 48128YAC5 LT BBBsf Affirmed BBBsf
E 48128YAE1 LT BBB-sf Affirmed BBB-sf
F-RR 48128YAG6 LT BBB-sf Affirmed BBB-sf
G-RR 48128YAJ0 LT BB-sf Affirmed BB-sf
H-RR 48128YAL5 LT B-sf Affirmed B-sf
X-A 48128YAY7 LT AAAsf Affirmed AAAsf
X-B 48128YAZ4 LT A-sf Affirmed A-sf
X-D 48128YAA9 LT BBB-sf Affirmed BBB-sf
KEY RATING DRIVERS
Stable Loss Expectations: Loss expectations remain in line with
Fitch's prior rating action. All loans in the pool are current, and
there are no loans in special servicing; however, there are several
Fitch Loans of Concern (FLOC) in the top 15, including two loans
secured by hotels (14.3%) and one loan secured by a regional mall
(6.1%). In total, 12 loans (35.2% of the pool) have been designated
as FLOCs, mostly due to pandemic related performance declines.
Fitch's current ratings reflect a base case loss of 5.3%. The
Negative Outlook on A-S through H-RR and interest only classes X-A,
X-B and X-D reflects losses that could reach 7.6% when factoring
additional coronavirus-related stresses to four hotel loans
(16.8%).
The largest FLOC and largest loan in the pool is the Renaissance
Seattle (10% of the pool). It is secured by a 557-room full-service
hotel in downtown Seattle, WA and is located approximately one-half
mile from the Washington State Convention Center. Occupancy, ADR
and RevPAR for the TTM ended September 2021 was reported to be 27%,
$157.55 and $42.83, respectively. This compares to 82%, $209 and
$170, respectively at issuance.
Fitch expects performance to be slow to recover due to the ongoing
effects of the pandemic and lack of convention demand. The sponsor
received a forbearance that allowed for the deferral of reserve
deposits and access to reserve funds to keep the loan current. The
12-month replenishment period began in May 2021. Fitch's base case
loss of approximately 4% reflects a 10% total stress to the YE 2019
NOI. Fitch's sensitivity scenario reflects an 18% modeled loss,
which is based on a 26% haircut to the YE 2019 NOI to reflect
performance concerns related to the coronavirus pandemic.
The second largest FLOC is the Saint Louis Galleria (6%), a
Brookfield sponsored, super-regional mall located in St. Louis, MO.
The subject's three largest tenants include Galleria 6 Cinemas (NRA
4.2%), H&M (NRA 2.8%) and Victoria's Secret (NRA 2.8%), and the
subject's non-collateral anchors include Dillard's, Macy's, and
Nordstrom. At issuance, Fitch noted that the non-collateral anchors
had all experienced declining sales since 2013, when the loan was
last securitized. Inline sales excluding Apple fell to $403.94 psf
(TTM June 2020) from $469.87 psf (2019) and $561 psf (TTM August
2018). Fitch has an outstanding request for a recent sales report
but has not received sales data since issuance. Fitch's loss
expectation of approximately 12% reflects a 11.5% cap rate applied
to the YE 2020 NOI.
The third largest FLOC is the sixth largest loan, Grand Hyatt
Seattle (4.3%). It is secured by a 457-room full-service hotel in
downtown Seattle, WA and is located across the street from the
Washington State Convention Center. The loan's sponsor is the same
as the aforementioned Renaissance Seattle loan. According to the
borrower's reporting, the subject's YTD September 2021 occupancy,
ADR and RevPAR were 22%, $202.81 and $44.62, respectively. This
compares to 85.8%, $239.09 and $205.24, respectively, at issuance.
As with the Renaissance Seattle, performance for 2021 is likely to
face challenges due to the pandemic. The sponsor received relief
for a term that ended in January 2021 with similar terms as the
Renaissance Seattle loan. Fitch's base case loss of approximately
14% reflects a 10% total stress to the YE 2019 NOI. Fitch's
sensitivity scenario reflects an 30% modeled loss, which is based
on a 26% haircut to the YE 2019 NOI to reflect performance concerns
related to the coronavirus pandemic.
Minimal Change to Credit Enhancement (CE): As of the November 2021
distribution date, the pool's aggregate balance has been reduced by
0.69% to $768.8 million, from $774.1 million at issuance. Fifteen
full-term, IO loans account for 49.6% of the pool, and 11 loans
representing 24.4% of the pool are partial IO that have not started
to amortize. The remainder of the loans in the pool are amortizing.
Interest shortfalls are currently affecting class NR-RR.
Alternative Loss Consideration; Coronavirus Exposure: Five loans
(18.7%) are secured by hotel properties and 11 loans (27.2%) are
secured by retail properties. Fitch's sensitivity analysis applied
an additional stress to the pre-pandemic cash flows for four hotel
loans (16.8%) given the significant 2020 NOI declines related to
the pandemic. These additional stresses contributed to maintaining
the Negative Outlooks on classes A-S through H-RR.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- Downgrades would occur with an increase in pool-level losses
from underperforming or specially serviced loans. Downgrades
to the senior A-1, A-2, A-3, A-4, A-5, A-SB classes are not
likely given their sufficient CE relative to expected losses
and continued amortization but may occur if interest
shortfalls occur or loss expectations increase considerably.
-- Downgrades to classes A-S, B, C, D, X-A and X-B may occur
should expected losses for the pool increase significantly
and/or all loans susceptible to the coronavirus pandemic
suffer losses.
-- Downgrades to classes E, F-RR, G-RR, H-RR and X-D would occur
should loss expectations increase from continued performance
decline of the FLOCs, loans susceptible to the pandemic not
stabilize and/or loans default or transfer to special
servicing.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Upgrades would occur with stable to improved asset
performance, particularly on the FLOCs, coupled with
additional paydown and/or defeasance.
-- Upgrades to classes B, C and X-B would only occur with
significant improvement in CE, defeasance and/or performance
stabilization of FLOCs and other properties affected by the
coronavirus pandemic. Classes would not be upgraded above
'Asf' if there were likelihood of interest shortfalls.
-- Upgrades to classes D, E, F-RR, G-RR, H-RR and X-D may occur
as the number of FLOCs are reduced, properties vulnerable to
the pandemic return to pre-pandemic levels and there is
sufficient CE 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.
KINGS PARK: S&P Assigned Prelim BB- (sf) Rating on Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Kings Park
CLO Ltd./Kings Park CLO LLC's floating- and fixed-rate notes.
The note issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Blackstone Liquid Credit Strategies
LLC.
The preliminary ratings are based on information as of Dec. 13,
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.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Kings Park CLO Ltd./Kings Park CLO LLC
Class A, $315.00 million: AAA (sf)
Class B-1, $30.00 million: AA (sf)
Class B-2, $35.00 million: AA (sf)
Class C (deferrable), $30.00 million: A (sf)
Class D (deferrable), $30.00 million: BBB- (sf)
Class E (deferrable), $20.00 million: BB- (sf)
Subordinated notes, $50.85 million: Not rated
METAL LIMITED 2017-1: Fitch Affirms CCC Rating on 3 Tranches
------------------------------------------------------------
Fitch Ratings has affirmed the ratings on the outstanding series A,
B, C-1 and C-2 notes issued by METAL 2017-1 Limited (METAL). The
Rating Outlook remains Negative for the class A notes.
DEBT RATING PRIOR
---- ------ -----
METAL 2017-1 Limited
A 59111RAA0 LT Bsf Affirmed Bsf
B 59111RAB8 LT CCCsf Affirmed CCCsf
C-1 59111RAC6 LT CCCsf Affirmed CCCsf
C-2 59111RAD4 LT CCCsf Affirmed CCCsf
TRANSACTION SUMMARY
The rating actions reflect ongoing stress and pressure on airline
lessee credits backing the leases in the transaction pool, downward
pressure on aircraft values, Fitch's updated assumptions and
stresses and ongoing performance of the transactions since the
prior review that occurred in December 2020.
The Outlook remains Negative on the series A notes for METAL,
reflecting Fitch's base case expectation for the structure to
withstand immediate and near-term stresses at the updated
assumptions, and stressed scenarios commensurate with their
respective ratings. Continued global travel restrictions driven by
the pandemic and the subsequent airlines recovery, including
ongoing regional flareups and potential for and occurrence of new
virus variants, resulted in continued delays in recovery of the
airline industry.
This remains a credit negative for these aircraft ABS transactions
and airlines globally remain under pressure despite the recent
opening up of borders regionally and a pick-up in air travel across
many regions. This could lead to additional near-term lease
deferrals, airline defaults and bankruptcies, along with lower
aircraft demand and value impairments. These negative factors could
manifest in the transaction, resulting in lower cash flows and
pressure on ratings in the near term.
Cash flow modeling was not conducted for the transaction as
performance has been within expectations, and the transaction was
modeled within the past 18 months, consistent with criteria.
Aergo Capital Holdings Limited (Aergo; not rated by Fitch) and
certain affiliates are the sellers of the assets and acts as
servicer to the transaction. Fitch deems the servicer to be
adequate to service these transactions based on its experience as a
lessor and overall servicing capabilities.
KEY RATING DRIVERS
Stable Airline Lessee Credit
The credit profiles of the airline lessees in the pools remain
relatively stable since the prior review, but remain under stress
due to the coronavirus-related impact on all global airlines in
2021. The proportion of the METAL pool assumed at a 'CCC' Issuer
Default Rate (IDR) and below increased slightly to 95.7% for this
review versus 92.5% previously. The assumptions are reflective of
these airlines' ongoing credit profiles and fleets in the current
operating environment, due to the continued coronavirus-related
impact on the sector. Any publicly rated airlines in the pool whose
ratings have shifted have been updated.
Asset Quality and Appraised Pool Value:
The pool features mostly liquid narrowbody (NB) aircraft, and
comprises 31.2% widebody (WB) and 15.6% turboprop (TP) aircraft.
Uncertainty remains over ongoing pressure on aircraft market values
(MV) and how the current environment will impact near-term lease
maturities. The appraisers for the transaction are BK Associates
(BK), morten beyer & agnew Inc. (mba) and IBA Group (IBA).
Controlling for asset sales, the transaction pool was last
appraised in June 2021 at $343.1 million. The pool value declined
by approximately 11%, compared with values a year ago, which is
within Fitch's expectations. In the prior review, these values were
$395.4 million prior to experiencing approximately $10 million of
aircraft sales.
Transaction Performance:
Lease collections have remained under pressure since the onset of
the pandemic. As of the November report, METAL received $1.0
million in basic rent compared to YTD simple monthly average of
$1.3 million and $0.8 million a year prior. All notes continue to
receive interest payments through November, albeit with periodic
draws on the liquidity facility. The debt-service coverage ratios
(DSCRs) remains tripped below the respective cash trap triggers and
early amortization event triggers.
RATING SENSITIVITIES
Factor that could, individually or collectively, lead to negative
rating action/downgrade:
Base Assumptions with 10% Lower Widebody Values
-- The WB aircraft concentration in the pool is 31.2%. Due to
continuing MV pressure on WB and worsening supply and demand
dynamics, Fitch explored the potential cash flow decline if WB
values were further haircut by an additional 10% at the prior
review. The transaction would experience weaker cash flows,
and each series would be further pressured from a ratings
perspective.
Factor that could, individually or collectively, lead to positive
rating action/upgrade:
Base Assumptions with Stronger Asset Values
-- The aircraft ABS sector has a rating cap of 'Asf'. All
subordinate tranches carry one category of ratings lower than
the senior tranche and below the ratings at close. However, if
the assets in this pool display stronger asset values than
Fitch modeled, and therefore stronger lease collections than
Fitch's stressed scenarios, the transaction could perform
better than expected.
In the prior review, Fitch utilized average excluding highest (AEH)
MABV for narrowbodies and AEH MAMV for widebodies. Under this
scenario, the transaction experienced an improvement to cash flows.
METAL series A and B notes could be considered for ratings uplift
under this scenario.
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.
MFA TRUST 2021-AEINV2: Moody's Gives (P)B3 Rating to Cl. B-5 Certs
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
forty-seven (47) classes of residential mortgage-backed securities
(RMBS) issued by MFA 2021-AEINV2 Trust. The ratings range from
(P)Aaa (sf) to (P)B3 (sf). MFA Financial, Inc. (MFA), a Maryland
corporation is the sponsor of the transaction.
MFA 2021-AEINV2 Trust is a securitization of first lien,
government-sponsored enterprises' (GSE)-eligible mortgage loans on
investor properties sponsored by MFA. As of the cut-off date, the
securitization is backed by 972 fully amortizing, fixed-rate
mortgage loans, with an aggregate stated principal balance (UPB) of
approximately $339,655,385. 100% of the pool was originated by
loanDepot.com, LLC (loanDepot).
In this transaction, the Class A-11, A-11-X, Class A-11-A, and
Class A-11-B certificates' 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
certificates, including the floating rate certificates, are subject
to the net WAC cap, which prevents the floating rate classes 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 certificates and does not provide
for any excess spread.
Although loanDepot is named servicer, Cenlar FSB (Cenlar) will be
the sub-servicer of the loans and Computershare Trust Company, N.A.
(Computershare) will be the master servicer. loanDepot will also be
responsible for servicer advances, with the master servicer
stepping in if loanDepot cannot fulfill its obligation to advance
scheduled principal and interest.
Servicing compensation is subject to a step-up incentive fee
structure. Servicing fee includes base fee plus delinquency and
incentive fees. Delinquency and incentive fees will be deducted
reverse sequentially starting from the Class B-6 interest payment
amount first and could result in interest shortfall to the
certificates depending on the magnitude of the delinquency and
incentive fees.
The complete rating actions are as follows:
Issuer: MFA 2021-AEINV2 Trust
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-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-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-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-2, 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
Summary Credit Analysis and Rating Rationale
Moody's expected loss for this pool in a baseline scenario is 1.14%
at the mean, 0.82% at the median and reaches 7.81% at a stress
level consistent with Moody's Aaa ratings.
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 due diligence (TPR)
and the representations and warranties (R&W) framework of the
transaction.
Collateral description
As of the cut-off date of December 1, 2021, the collateral
comprises 972 GSE-eligible mortgage loans originated by loanDepot,
secured by first liens on residential investment properties, with
an aggregate principal balance of $339,655,385.. All the loans are
underwritten in accordance with Freddie Mac or Fannie Mae
guidelines, which take into consideration, among other factors, the
income, assets, employment and credit score of the borrower as well
as loan-to-value (LTV). These loans are run through one of the GSE
automated underwriting systems (AUS) and have received an "Approve"
or "Accept" recommendation.
The majority of the loans have a 30-year term, with five loans
having terms ranging from 25 to 26 years. All of the loans have a
fixed rate. The WA original credit score is 765 for the primary
borrower only and the WA combined original LTV (CLTV) is 65.0%. The
WA original debt-to-income (DTI) ratio is 34.8%. Around 35.1% of
the mortgage loans by UPB are backed by properties located in
California.
Approximately 6.07% of the mortgage loans by count are "Appraisal
Waiver" (AW) loans, whereby the sponsor obtained an AW for each
such mortgage loan from Fannie Mae or Freddie Mac through their
respective programs. In each case, neither Fannie Mae nor Freddie
Mac required an appraisal of the related mortgaged property as a
condition of approving the related mortgage loan for purchase by
Fannie Mae or Freddie Mac, as applicable. Moody's made an
adjustment in Moody's analysis to account for the increased risk
associated with such loans. However, Moody's have tempered this
adjustment by taking into account the GSEs' robust risk modeling,
which helps minimize collateral valuation risk, as well as the
GSEs' conservative eligibility requirements for AW loans which
helps to support deal collateral quality.
Origination quality
The mortgage loans for this transaction were acquired by MFA, the
sponsor. The sponsor does not originate any mortgage loans,
including the mortgage loans included in the mortgage pool.
Instead, MFA acquired the mortgage loans pursuant to contracts with
loanDepot, the originator.
While Moody's consider there to be some weaknesses in the MFA's
aggregation platform, such as a lack of a formal audit/quality
control process to review mortgage loans, overall, Moody's consider
the aggregation platform to be adequate and as a result did not
apply an adjustment to Moody's losses mainly due to the following
mitigants: (a) loanDepot originated 100% of the pool and loanDepot
conducted audit/quality control on all their investor agency loans.
Moody's reviewed loanDepot investors agency program and consider
loanDepot's origination quality to be in line with its peers; (b)
MFA relied on their custodian to verify the presence of required
collateral documents such as the original mortgage note, as well as
completeness of certain elements in each document; and (c) MFA has
back-end representations and warranties with loanDepot through a
private mortgage loan purchase agreement.
Servicing arrangements
Moody's consider the overall servicing arrangement for this pool to
be adequate and as a result did not make any adjustments to Moody's
base case and Aaa stress loss assumptions based on this servicing
arrangement.
loanDepot has engaged Cenlar to subservice the mortgage loans
pursuant to a separate subservicing agreement between the servicer
and the subservicer. Computershare Trust Company, N.A. will serve
as the master servicer. loanDepot the servicer, will be primarily
responsible for funding certain servicing advances of delinquent
scheduled interest and principal payments for the mortgage loans,
unless it determines that such amounts would not be recoverable.
The master servicer will be obligated to fund any required monthly
advances if the servicer fails in its obligation to do so.
Computershare is a national banking association and a wholly-owned
subsidiary of Computershare Ltd (Baa2, long term rating), an
Australian financial services company with over $5 billion (USD) in
assets as of June 30, 2021. Computershare Ltd and its affiliates
have been engaging in financial service activities, including stock
transfer related services since 1997, and corporate trust related
services since 2000.
Servicing compensation in this transaction is based on a
fee-for-service incentive structure. The servicer receives higher
fees for labor-intensive activities that are associated with
servicing delinquent loans, including loss mitigation, than they
receive for servicing a performing loan, which is less labor
intensive. The fee-for-service compensation is reasonable and
adequate for this transaction because it better aligns the
servicer's costs with the deal's performance. Furthermore, higher
fees for the more labor-intensive tasks make the transfer of these
loans to another servicer easier, should that become necessary.
Third-party review
One independent third-party review firm, Consolidated Analytics,
Inc. (Consolidated Analytics) was engaged to conduct due diligence
for credit, regulatory compliance, property valuation, and data
accuracy on a total of 25.0% (by loan count) of the loan pool. Of
the 972 mortgage loans in the pool, the TPR firm conducted due
diligence on a sample of 243 mortgage loans. Moody's calculated the
credit-neutral sample size using a confidence interval, error rate
and a precision level of 95%/5%/2%, respectively. The number of
mortgage loans that went through a full due diligence review (243)
is below Moody's calculated credit-neutral threshold. Moody's
therefore applied an adjustment to Moody's losses.
Representations and Warranties Framework
The R&W provider is MFA (unrated). Moody's assessed the R&W
framework based on three factors: (a) the financial strength of the
remedy provider; (b) the strength of the R&Ws (including qualifiers
and sunsets) and (c) the effectiveness of the enforcement
mechanisms. Moody's evaluated the impact of these factors
collectively on the ratings in conjunction with the transaction's
specific details and in some cases, the strengths of some of the
factors can mitigate weaknesses in others. Moody's also considered
the R&W framework in conjunction with other transaction features,
such as the independent due diligence, custodial receipt, and
property valuations, as well as any sponsor alignment of interest,
to evaluate the overall exposure to loan defects and inaccurate
information.
Moody's increased its loss levels to account for weaknesses in the
overall R&Ws framework due to the financial weakness of the R&Ws
provider and because the loss amount remedy is subject to conflicts
of interest and will likely not adequately compensate the
transaction for loans that breach R&Ws. Unlike most other
comparable transactions that Moody's have rated, the R&Ws framework
in this transaction has a "loss amount" remedy, namely, in case
there is a material breach to the R&Ws, the sponsor, who is the R&W
provider, is tasked with calculating the loss amount to indemnify
the trust instead of buying the loan at par, which is subject to
conflicts of interest. The party determining the loss amount will
have a natural incentive to determine a low amount since it will
have to pay that amount. Furthermore, there may be no objective way
to determine such amount since the decrease in value of a loan that
breaches a R&W may not be quantifiable at the time the breach is
discovered. The fact that the controlling holder can bring the
sponsor to arbitration in the event that it disagrees with the loss
amount is a partial mitigant. However, there may be no good way to
prove in arbitration that the sponsor's determination is not
adequate because the determination of the loss payment will be, in
many cases, subjective. Furthermore, the controlling holder must
expend its own funds to go to arbitration, which could
disincentivize it to pursue arbitration. Another partial mitigant
is that the sponsor has purchased the loans from one seller,
loanDepot, an originator whose repurchase statistics are equal to
or better than the GSEs' average.
Transaction structure
The securitization has a shifting interest structure that benefits
from a senior subordination floor and a subordinate floor. Funds
collected, including principal, are first used to make interest
payments and then principal payments to the senior bonds, and then
interest and principal payments to each subordinate bond. As in all
transactions with shifting interest structures, the senior bonds
benefit from a cash flow waterfall that allocates all prepayments
to the senior bond for a specified period of time and increasing
amounts of prepayments to the subordinate bonds thereafter, but
only if loan performance satisfies delinquency and loss tests.
Realized losses are allocated in a reverse sequential order, first
to the lowest subordinate bond. After the balances of the
subordinate bonds are written off, losses from the pool begin to
write off the principal balances of the senior support bonds until
their principal balances are reduced to zero. Next, realized losses
are allocated to super senior bonds until their principal balance
is written off.
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 1.05% (UPB) as of the cut-off date
pool balance, and as subordination lock-out amount of 1.05% (UPB)
as of the cut-off date pool balance. Moody's calculate the credit
neutral floors for a given target rating as shown in Moody's
principal methodology. The senior subordination floor and the
subordination lock-out of 1.05% are consistent with the credit
neutral floors for the assigned ratings.
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 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.
Methodology
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in August 2021.
MORGAN STANLEY 2015-XLF2: Fitch Lowers Rating on SNM-A Debt to CCC
------------------------------------------------------------------
Fitch Ratings has downgraded one and affirmed three classes of
Morgan Stanley Capital I Trust MSCI 2015-XLF2, commercial mortgage
pass-through certificates, series 2015-XLF2.
DEBT RATING PRIOR
---- ------ -----
MSCI 2015-XLF2
SNMA 61765VAA6 LT CCCsf Downgrade Bsf
SNMB 61765VAC2 LT Csf Affirmed Csf
SNMC 61765VAE8 LT Csf Affirmed Csf
SNMD 61765VAG3 LT Csf Affirmed Csf
TRANSACTION SUMMARY
The SNM classes represent the Starwood National Mall Portfolio
loan, which is secured by a portfolio of three regional malls
totaling approximately 1.8 million sf of collateral; these malls
include Fairlane Town Center in Dearborn, MI, Shops at Willow Bend
in Plano, TX and Stony Point Fashion Park in Richmond, VA.
KEY RATING DRIVERS
Increased Certainty of Losses: The downgrade of class SNMA reflects
an increased certainty of loss given the continued decline in
occupancy and revenues for the Starwood National Mall Portfolio, as
well as Fitch's expectation of prolonged workouts for each of the
assets.
Fitch's current value reflects an implied cap rate of approximately
26.5% based on the servicer-reported YE 2020 net cash flow. Loss
expectations for the transaction remain high given the already
limited liquidity for malls made worse by the impact of the
coronavirus pandemic. Potential disposition prices, ultimate
workout and/or stabilization plans and time to recovery remain
uncertain at this time.
Fitch performed a recovery and loss analysis given the
underperforming nature of these assets that remain in special
servicing. All three assets are under receivership. Although Fitch
expects proceeds from Stony Point Fashion Park, which is the only
asset currently being marketed for sale, and any excess cash flow
available to be applied to pay down the loan, Fitch does not expect
it will be sufficient to repay the outstanding class SNMA balance.
Specially Serviced Loan: The loan transferred to special servicing
on March 5, 2020 due to the borrower being unable to close a loan
modification and extension with the master servicer. The final
maturity date was Nov. 8, 2019, and the loan did not pay off. The
master servicer initially granted the borrower an extension and
forbearance, while working on a modification. The most recent
combined appraisal valuation for the portfolio, which indicates
significant losses upon liquidation, was 46% below the prior
January/February 2020 valuation and 74% below issuance. Fitch
expects fees will accrue as the loan remains in special servicing
and as property performance deteriorates.
Declining Occupancy at Two Properties: Occupancy at Fairlane Town
Center declined to 66.9% as of October 2021 from 88.2% a year
prior, primarily due to Ford Motor Company (17.3% of collateral
NRA), which utilized the space as its research and development
division, vacating prior to its December 2026 lease expiration. Per
the special servicer, Ford Motor Company is expected to pay rent
through 2024 when it has a lease termination option.
Occupancy at Stony Point Fashion Park also dropped to 59.3% as of
October 2021 from 81.9% one year prior due to multiple tenants
vacating. The loss of 13 tenants totaling over 34% of the
collateral NRA during this time frame was offset by seven new
leases totaling approximately 11% of the NRA. Occupancy at Shops at
Willow Bend was 66.8% as of October 2021, in line with 65.7% one
year prior.
Sustained Property Cash Flow Decline: Portfolio performance has
declined since issuance due to lower revenues and increased
expenses. While YE 2020 servicer-reported NCF is up 9.3% from TTM
November 2019, this is mainly driven by lower expenses (down 28%)
from the property's closure in 2020; revenues were down 16%.
Significant Near-Term Rollover Concerns: As of the October 2021
rent rolls, near-term lease rollover, prior to the end of 2023,
includes approximately 38%, 38% and 46% of the collateral NRA at
Fairlane Town Center, Shops at Willow Bend and Stony Point Fashion
Park, respectively.
Tenant Sales: As of the TTM September 2021 sales reports provided
by the servicer, comparable inline sales for tenants less than
10,000 sf at Fairlane Town Center, Shops at Willow Bend and Stony
Point Fashion Park were $547 psf, $325 psf and $183 psf,
respectively, up from $450 psf, $243 psf and $130 the prior year.
Fitch does not expect the recent uptick in 2021 sales performance
to be sustainable, and it reflects a smaller subset of tenants
given the comparable numbers reflect only those that were in place
for at least 13 months. Pre-pandemic and prior to the assets going
into receivership, these properties reported inline sales of $457
psf, $358 psf and $379 psf, respectively, for TTM September 2019.
Weak Non-Collateral Anchor Tenancy: Fairlane Town Center has
exposure to Macy's and JC Penney, while a former Sears closed in
September 2018 and remains vacant. The Shops at Willow Bend has
exposure to Macy's, Dillard's and Neiman Marcus. Stony Point
Fashion Park has exposure to Saks Fifth Avenue and Dillard's.
Workout Update: Per the special servicer, the receiver is assessing
all pending leases at each of the three properties and is trying to
complete some leasing that will help with co-tenancy at each
property.
At Fairlane Town Center, the special servicer indicated
temporary/specialty leasing was strong. At Stony Point Fashion
Park, leasing was slow, with short term license tenants making up
the majority of the activity. At Willow Bend, the borrower did not
inject additional capital, which resulted in construction stopping
on the Cineopolis project due to non-payment of invoices and
resulting in liens being placed on the property. Per the special
servicer, the majority of these liens have either expired or been
released. Cineopolis has since terminated its lease. The former
Apple store space remains vacant; there are multiple prospects but
none at the leasing stage.
The receiver is working with the lender to determine the right
timing to sell each of the assets. Stony Point Fashion Park was
recently listed for sale and is in the marketing process. Fairlane
Town Center and The Shops at Willowbend remain under review.
Increased Credit Enhancement: Excess cash flow from the Fairlane
Town Center and Shops at Willow Bend properties, after interest was
brought current on the loan through the November 2021 payment date,
were applied to paying down class SNMA. Class SNMA paid down by
$14.4 million since Fitch's last review.
Previous Starwood Mall Loan Extensions/Loan Paydown: The original
loan sponsor was Starwood Property Trust. The loan had an initial
maturity date of Nov. 8, 2017, with two 12-month extension options
subject to debt yield requirements. Prior to the loan's maturity in
November 2017, the sponsor exercised its first one-year extension
requirement and in order to meet the debt yield, was required to
pay down the balance of the SNMA class by $19.8 million and reduce
the non-trust subordinate debt by $9.5 million. The sponsor also
exercised their final extension option on Nov. 8, 2019, with the
SNMA class being paid down by an additional $5.5 million and the
non-trust subordinate debt by $2.6 million.
Floating-Rate Debt: The LIBOR-based floating-rate loan has an
interest rate cap in place and must maintain a cap for any
extension options exercised.
RATING SENSITIVITIES
Factor that could, individually or collectively, lead to negative
rating action/downgrade:
-- Factors that lead to a further downgrade of class SNMA include
continued declines in occupancy, cash flow and/or sales, or
lower appraisal values from prolonged workouts. Classes SNMB,
SNMC and SNMD will be downgraded to 'Dsf' as losses are
incurred.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Upgrades are not expected given the outlook for retail mall
performance and the expectation of the negative effects of the
coronavirus pandemic and for a prolonged workout. Factors that
may lead to upgrades would include increased credit
enhancement, significant improvement to cash flow and sales,
paydown from the release of properties, increases in appraisal
values or a viable workout plan that indicates a more positive
outcome than currently expected.
-- An upgrade of class SNMA would occur with significant
improvement in credit enhancement and property valuations.
Classes would not be upgraded above 'Asf' if there is
likelihood for interest shortfalls which could occur with a
significant reduction in servicing advancing if appraisal
values decline.
-- Upgrades to classes SNMB, SNMC and SNMD are not likely given
the expectation of additional performance declines and lower
position in the capital structure. However, upgrades are
possible if property releases result in significant credit
enhancement improvement and the remaining assets have strong
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
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.
MOUNT LOGAN 2018-1: S&P Assigns BB- (sf) Rating on Class E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R loans and
the A-R, B-R, C-1-R, C-2-R, D-R, and E-R notes from Mount Logan
Funding 2018-1 L.P./Mount Logan Funding 2018-1 LLC, a CLO
originally issued in March 2018 that is managed by Mount Logan
Management LLC; this transaction originally closed under the name
Garrison Funding 2018-1 L.P.
On the Dec. 14, 2021, refinancing date, the proceeds from the
replacement notes were used to redeem the original notes.
Therefore, S&P withdrew its ratings on the original notes and
assigned ratings to the replacement notes.
S&P said, "Our review of this transaction included a cash flow
analysis. In line with our criteria, our cash flow scenarios
applied forward-looking assumptions on the expected timing and
pattern of defaults, and recoveries upon default, under various
interest rate and macroeconomic scenarios. Our analysis also
considered the transaction's ability to pay timely interest and/or
ultimate principal to each of the rated tranches.
"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
Mount Logan Funding 2018-1 L.P./Mount Logan Funding 2018-1 LLC
Class A-R loans, $75.000 million: AAA (sf)
Class A-R notes, $93.000 million: AAA (sf)
Class B-R, $36.000 million: AA (sf)
Class C-1-R (deferrable), $8.211 million: A (sf)
Class C-2-R (deferrable), $15.789 million: A (sf)
Class D-R (deferrable), $18.000 million: BBB- (sf)
Class E-R (deferrable), $15.000 million: BB- (sf)
Subordinated notes, $44.200 million: Not rated
Ratings Withdrawn
Mount Logan Funding 2018-1 L.P./Mount Logan Funding 2018-1 LLC
Class A-1R loans, $50.000 million: AAA (sf)
Class A-1T notes, $158.300 million: AAA (sf)
Class A-2, $36.700 million: AA (sf)
Class B (deferrable), $23.500 million: A (sf)
Class C (deferrable), $13.000 million: BBB (sf)
NEW RESIDENTIAL 2021-INV2: Moody's Gives B2 Rating to Cl. B5 Certs
------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to
thirty-three classes of residential mortgage-backed securities
(RMBS) issued by New Residential Mortgage Loan Trust 2021-INV2
(NRMLT 2021-INV2). The ratings range from Aaa (sf) to B2 (sf).
NRMLT 2021-INV2 is the second securitization of 100% GSE eligible
first-lien investment property mortgage loans sponsored by New
Residential Investment Corp. (New Residential). Approximately 64.0%
and 36.0% of the pool by loan balance is originated by NewRez LLC
("NewRez") and Caliber Home Loans Inc. ("Caliber"), respectively.
All the loans are underwritten in accordance with Freddie Mac or
Fannie Mae guidelines, which take into consideration, among other
factors, the income, assets, employment and credit score of the
borrower as well as loan-to-value (LTV). These loans were run
through one of the government-sponsored enterprises' (GSE)
automated underwriting systems (AUS) and received an "Approve" or
"Accept" recommendation.
Servicing compensation is subject to a step-up incentive fee
structure. Servicing fee includes base fee plus delinquency and
incentive fees. Delinquency and incentive fees will be deducted
reverse sequentially starting from the Class B6 interest payment
amount first and could result in interest shortfall to the
certificates depending on the magnitude of the delinquency and
incentive fees.
The complete rating actions are as follows:
Issuer: New Residential Mortgage Loan Trust 2021-INV2
Cl. A1, Definitive Rating Assigned Aaa (sf)
Cl. A2, Definitive Rating Assigned Aaa (sf)
Cl. A3, Definitive Rating Assigned Aa1 (sf)
Cl. A4, Definitive Rating Assigned Aa1 (sf)
Cl. A5, Definitive Rating Assigned Aa1 (sf)
Cl. A6, Definitive Rating Assigned Aaa (sf)
Cl. A7, Definitive Rating Assigned Aaa (sf)
Cl. A8, Definitive Rating Assigned Aaa (sf)
Cl. A9, Definitive Rating Assigned Aaa (sf)
Cl. A10, Definitive Rating Assigned Aaa (sf)
Cl. A11, Definitive Rating Assigned Aaa (sf)
Cl. A11X*, Definitive Rating Assigned Aaa (sf)
Cl. A12, Definitive Rating Assigned Aaa (sf)
Cl. A13, Definitive Rating Assigned Aaa (sf)
Cl. AX1*, Definitive Rating Assigned Aaa (sf)
Cl. AX2*, Definitive Rating Assigned Aaa (sf)
Cl. AX3*, Definitive Rating Assigned Aa1 (sf)
Cl. AX4*, Definitive Rating Assigned Aa1 (sf)
Cl. AX6*, Definitive Rating Assigned Aaa (sf)
Cl. AX8*, Definitive Rating Assigned Aaa (sf)
Cl. AX12*, Definitive Rating Assigned Aaa (sf)
Cl. AX13*, Definitive Rating Assigned Aaa (sf)
Cl. B, Definitive Rating Assigned A1 (sf)
Cl. BX*, Definitive Rating Assigned A2 (sf)
Cl. B1, Definitive Rating Assigned Aa3 (sf)
Cl. B1A, Definitive Rating Assigned Aa3 (sf)
Cl. BX1*, Definitive Rating Assigned Aa3 (sf)
Cl. B2, Definitive Rating Assigned A2 (sf)
Cl. B2A, Definitive Rating Assigned A2 (sf)
Cl. BX2*, Definitive Rating Assigned A2 (sf)
Cl. B3, Definitive Rating Assigned Baa2 (sf)
Cl. B4, Definitive Rating Assigned Ba2 (sf)
Cl. B5, Definitive Rating Assigned B2 (sf)
*Reflects Interest-Only Classes
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected loss for this pool in a baseline scenario is 1.01%
at the mean, 0.76% at the median, and reaches 5.80% at a stress
level consistent with Moody's Aaa ratings.
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 due diligence and the
R&W framework of the transaction.
Collateral description
As of the cut-off date of November 1, 2021, the $501,183,698 pool
consisted of 1,889 mortgage loans secured by first liens on
residential investment properties. The average stated principal
balance is $265,317 and the weighted average (WA) current mortgage
rate is 3.57%. The majority of the loans have a 30-year term, with
316 loans having a term between 10-29 years. All of the loans have
a fixed rate. The WA original credit score is 772 for the primary
borrower only and the WA combined original LTV and CLTV is 62.6%
and 62.6%, respectively. The WA original debt-to-income (DTI) ratio
is 34.3%. Approximately, 80.7% by loan balance of the borrowers
have more than one mortgage loan in the mortgage pool.
All the loans in the pool are current as of the cut-off date.
However, there are 94 loans in the pool which had 30 days
delinquency which were service transfer related. There were 4 loans
that had 60 days delinquency, but the borrower self cured.
A significant percentage of the mortgage loans by loan balance
(31.5%) are backed by properties located in California. The next
largest geographic concentration of properties are Florida, New
York and New Jersey, which represents 6.7%, 5.4% and 5.2% by loan
balance, respectively. All other states each represent less than 5%
by loan balance. Approximately 26.1% (by loan balance) of the pool
is backed by properties that are 2-4 unit residential properties
whereas loans backed by single family residential properties
represent 46.9% (by loan balance) of the pool.
Approximately 17.15% of the mortgage loans by count are "Appraisal
Waiver" (AW) loans, whereby the sponsor obtained an AW for each
such mortgage loan from Fannie Mae or Freddie Mac through their
respective programs. In each case, neither Fannie Mae nor Freddie
Mac required an appraisal of the related mortgaged property as a
condition of approving the related mortgage loan for purchase by
Fannie Mae or Freddie Mac, as applicable. These loans may present a
greater risk as the value of the related mortgaged properties may
be less than the value ascribed to such mortgaged properties.
Moody's made an adjustment in Moody's analysis to account for the
increased risk associated with such loans. However, Moody's have
tempered this adjustment by taking into account the GSEs' robust
risk modeling, which helps minimize collateral valuation risk, as
well as the GSEs' conservative eligibility requirements for AW
loans which helps to support deal collateral quality.
All the loans in the pool are current as of the cut-off date.
However, there are 98 loans in the pool which have prior
delinquency history, most of which are related to servicing
transfers between correspondents and the servicer. There are 4
loans that had 60-days delinquency, but the borrower self-cured.
Moody's considered mitigating factors for those loans including
strong borrower FICOs and low LTVs and did not make adjustment to
Moody's loss levels.
Origination quality
The majority of the loans in the pool are originated by NewRez LLC
(64.0%) and Caliber Home Loans Inc. (36.0%). These loans were
underwritten in conformity with GSE guidelines without any
overlays. Moody's consider 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 applied an additional adjustment for origination quality.
Servicing arrangements
Moody's consider the overall servicing arrangement for this pool to
be adequate. Moody's did not make any adjustments to its base case
and Aaa stress loss assumptions based on the servicing arrangement.
Moody's also consider the presence of a strong master servicer to
be a mitigant against the risk of any servicing disruptions.
Servicing compensation in this transaction is based on a
fee-for-service incentive structure. The servicer receives higher
fees for labor-intensive activities that are associated with
servicing delinquent loans, including loss mitigation, than they
receive for servicing a performing loan, which is less labor
intensive. The fee-for-service compensation is reasonable and
adequate for this transaction because it better aligns the
servicer's costs with the deal's performance. Furthermore, higher
fees for the more labor-intensive tasks make the transfer of these
loans to another servicer easier, should that become necessary.
Third-party review
Three third-party review (TPR) firms, Consolidated Analytics, Inc,
Recovco Mortgage Management (Recovco), and Infinity IPS (Infinity)
verified the accuracy of the loan level information that Moody's
received from the sponsor. These firms conducted detailed credit,
property valuation, data accuracy and compliance reviews on a total
of 808 (42.8% by loan count) mortgage loans. CU scores were
provided for a majority of the loans in the pool, including for
loans that were not included in the due diligence sample. A vast
majority of loans in the pool have a CU score >2.5 along with
loans that do not have a CU score and for which only an automated
valuation model (AVM) and/or a broker price opinion (BPO) was
ordered. Moody's consider AVM and BPO as less reliable secondary
valuation as compared to CDAs, however, due to a sufficient sample
size of loans have CU score 2.5, Moody's did not make adjustment to
the valuation waterfall.
Representations and Warranties Framework
The R&W provider is NRZ Sponsor VIII LLC. Moody's increased its
loss levels to account for weakness in the overall R&W framework
due to the financial weakness of the R&W provider (unrated) and the
lack of repurchase mechanism for loans experiencing an early
payment default. The R&W provider may not have the financial
wherewithal to purchase defective loans. Moreover, unlike other
comparable transactions that Moody's have rated, the R&W framework
for this transaction does not include a mechanism whereby loans
that experience an early payment default (EPD) are repurchased. In
the event of a breach of a representation and warranty that
materially and adversely affects the value of the related mortgage
loan, the seller will be required to cure the breach, repurchase
the related mortgage loan, or in certain circumstances, substitute
for or pay the loss amount in respect of such mortgage loan.
Transaction structure
The securitization has a shifting interest structure that benefits
from a senior subordination floor and a subordinate floor. Funds
collected, including principal, are first used to make interest
payments and then principal payments to the senior bonds, and then
interest and principal payments to each subordinate bond. As in all
transactions with shifting interest structures, the senior bonds
benefit from a cash flow waterfall that allocates all prepayments
to the senior bond for a specified period of time, and increasing
amounts of prepayments to the subordinate bonds thereafter, but
only if loan performance satisfies delinquency and loss tests.
Realized losses are allocated in a reverse sequential order, first
to the lowest subordinate bond. After the balances of the
subordinate bonds are written off, losses from the pool begin to
write off the principal balances of the senior support bonds until
their principal balances are reduced to zero. Next, realized losses
are allocated to super senior bonds until their principal balance
is written off.
Tail risk & subordination floor
The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to eroding credit enhancement
over time and increased performance volatility, known as tail risk.
To mitigate this risk, the transaction provides for a senior
subordination floor of 0.85% which mitigates tail risk by
protecting the senior bonds from eroding credit enhancement over
time. Additionally, there is a subordination lock-out amount which
is 1.00% of the closing pool balance.
Moody's calculate the credit neutral floors for a given target
rating as shown in Moody's principal methodology. The senior
subordination floor and the subordinate floor of 1.00% and 1.00%,
respectively, are consistent with the credit neutral floors for the
assigned ratings.
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 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.
NEWSTAR FAIRFIELD: Fitch Rates Class D-N Notes 'BB-'
----------------------------------------------------
Fitch Ratings has upgraded the class A-2-N, B-1-N, B-2-N and C-N
notes in NewStar Fairfield Fund CLO, Ltd. (NewStar Fairfield).
Additionally, Fitch has affirmed the class A-1-N and D-N notes at
their current ratings, and all applicable notes were removed from
Under Criteria Observation. The Rating Outlooks on all tranches
remain Stable.
DEBT RATING PRIOR
---- ------ -----
Newstar Fairfield Fund CLO, Ltd. (F/K/A Fifth Street SLF II, Ltd.)
A-1-N 65252BAA1 LT AAAsf Affirmed AAAsf
A-2-N 65252BAC7 LT AA+sf Upgrade AAsf
B-1-N 65252BAE3 LT A+sf Upgrade A-sf
B-2-N 65252BAJ2 LT A+sf Upgrade A-sf
C-N 65252BAG8 LT BBB+sf Upgrade BBB-sf
D-N 65252CAA9 LT BB-sf Affirmed BB-sf
TRANSACTION SUMMARY
NewStar Fairfield is a middle-market (MM) collateralized loan
obligation (CLO) that is managed by First Eagle Alternative Credit,
LLC. NewStar Fairfield closed in September 2015, was reset in April
2018 and will exit its reinvestment period in April 2023. The CLO
is secured primarily by first-lien, senior secured MM loans.
KEY RATING DRIVERS
Updated CLO Criteria & FSP analysis
The rating actions mainly reflect the impact of Fitch's recently
updated CLOs and Corporate CDOs Rating Criteria (CLO Criteria) and
the shorter risk horizon incorporated in Fitch's updated stressed
portfolio analysis. The analysis considered cash flow modelling
results for the current portfolio and newly run Fitch Stressed
Portfolio (FSP) based on the November 2021 trustee report.
The FSP analysis adjusts the current portfolio from the latest
trustee report to create an FSP to account for permissible
concentration limits and collateral quality tests (CQTs). Among
these assumptions, the FSP weighted average life was 5.5 years
(currently 3.9 years), 5% maximum limit of second-lien assets and
considered portfolios with 0% and 5% fixed rate assets.
The stressed analysis also included the analysis of the Fitch test
matrix in transaction documentation, which underpinned the
model-implied ratings (MIRs) for the review. Fitch also applied a
haircut of approximately 3.6% to the weighted average recovery rate
(WARR) as the calculation of the WARR in transaction documentation
is not line with the latest CLO criteria. The assigned ratings are
in line with their FSP model-implied ratings (MIRs), except for the
class D-N notes, which had shortfalls in a limited number of matrix
points under the stressed analysis.
Asset Credit Quality, Asset Security, Portfolio Management and
Portfolio Composition
As of the November 2021 report, the aggregate portfolio par amount
was approximately 1% below the original target par amount. The
Fitch WARF of the portfolio is 33.1, equivalent to the 'B-'/'CCC+'
rating category, after applying the updated CLO Criteria. Senior
secured loans comprised 99.7% of the portfolio and consisted of 133
obligors, with the largest 10 obligors comprising 16.7% of the
portfolio.
There are currently no defaulted assets and all coverage tests,
concentration limitations and CQTs are in compliance, except for
the Fitch Rating Factor Test (40.71 trustee-reported WARF versus
40.00 covenant) and two concentration limitations.
The Stable Outlooks reflect Fitch's expectation that the classes
have sufficient levels of credit protection to withstand potential
deterioration in the credit quality of the portfolio in stress
scenarios commensurate with the class's ratings.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- A 25% increase of the mean default rate across all ratings,
along with a 25% decrease of the recovery rate at all rating
levels for the FSP, would lead to downgrades (based on the
MIR) of up to five notches, depending on the notes.
-- Downgrades may occur if realized and projected losses of the
portfolio are higher than what was assumed at closing and the
notes' credit enhancement (CE) do not compensate for the
higher loss expectation than initially anticipated.
Factor that could, individually or collectively, lead to positive
rating action/upgrade:
-- A 25% reduction of the mean default rate across all ratings,
along with a 25% increase of the recovery rate at all rating
levels for the FSP, would lead to upgrades of up to five
notches, depending on the notes. Additionally, upgrade
scenarios would not apply to the class A-1-N notes as the
tranche is already at the highest rating level.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
securities and markets authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information or information on the risk-presenting entities.
Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.
OAK STREET 2021-2: S&P Assigns BB+ (sf) Rating on Class B-3 Notes
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S&P Global Ratings assigned its ratings to Oak Street Investment
Grade Net Lease Fund L.P.'s net lease mortgage notes series
2021-2.
The note issuance is an ABS securitization backed by 273
industrial, retail, and office commercial real estate properties,
including related rents due under triple-net and modified
triple-net lease contracts with the properties' tenants.
The ratings are based on information as of Dec. 9, 2021.
The ratings reflect S&P's view of:
-- The credit enhancement available in the form of subordination
for the class A-1, A-2, A-3, A-4, B-1 , and B-2 notes;
-- Overcollateralization (the aggregate appraised value minus the
aggregate series' principal balance);
-- The available cushion, as measured by the issuer debt service
coverage ratio (DSCR): year one DSCR is expected to be at least
1.48x, which also includes the debt service for the subordinated
class B-3 notes;
-- Oak Street Investment Grade Net Lease Fund GP LLC's and Oak
Street Investment Grade Net Lease Fund Canada PM ULC's (the
servicers) property management and special servicing abilities;
-- The experience of KeyBank N.A. as backup manager;
-- The projected cash flows and collateral supporting the notes;
-- The high leverage and long period of no cash flow to the class
B-3 notes; and
-- The transaction's legal and payment structures.
This is the third transaction issued out of the master trust. The
collateral will be shared between series 2020-1, 2021-1, and
2021-2.
S&P Global Ratings believes the new Omicron variant is a stark
reminder that the COVID-19 pandemic is far from over. Although
already declared a variant of concern by the World Health
Organization, uncertainty still surrounds its transmissibility,
severity, and the effectiveness of existing vaccines against it.
Early evidence points toward faster transmissibility, which has led
many countries to close their borders with Southern Africa or
reimpose international travel restrictions. Over coming weeks, we
expect additional evidence and testing will show the extent of the
danger it poses to enable us to make a more informed assessment of
the risks to credit. S&P said, "Meanwhile, we can expect a
precautionary stance in markets, as well as governments to put into
place short-term containment measures. Nevertheless, we believe
this shows that, once again, more coordinated, and decisive efforts
are needed to vaccinate the world's population to prevent the
emergence of new, more dangerous variants."
Ratings Assigned
Oak Street Investment Grade Net Lease Fund L.P. (Series 2021-2)
Class A-1, $126.80 million(i): AAA (sf)(i)
Class A-2, $190.20 million(i): AAA (sf)(i)
Class A-3, $90.40 million(i): A (sf)(i)
Class A-4, $135.60 million(i): A (sf)(i)
Class B-1, $32.80 million(i): BBB+ (sf)(i)
Class B-2, $49.20 million(i): BBB+ (sf)(i)
Class B-3, $136.0 million(i): BB+ (sf)(i)
(i)The ratings do not address post-ARD additional interest.
OCTAGON INVESTMENT 40: S&P Assigns Prelim BB- Rating on E-R Notes
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S&P Global Ratings assigned its preliminary ratings to the class
A-1-R, A-2-R, B-R, C-1-R, C-2-R, D-R, and E-R replacement notes
from Octagon Investment Partners 40 Ltd./Octagon Investment
Partners 40 LLC, a CLO originally issued in 2019 that is managed by
Octagon Credit Investors LLC.
The preliminary ratings are based on information as of Dec. 9,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Dec. 15, 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 non-call period will be extended to December 2023;
-- The reinvestment period will be extended by 2.75 years;
-- The weighted average life test will be extended to nine years
from the refinancing date;
-- The required minimum overcollateralization and interest
coverage ratios will be amended;
-- No additional subordinated notes will be issued on the
refinancing date; and
-- The transaction has adopted benchmark replacement language and
made updates to conform to current rating agency methodology.
Replacement And Original Note Issuances
Replacement notes
Class A-1-R, $378.00 million: Three-month LIBOR + 1.17
Class A-2-R, $12.00 million: Three-month LIBOR + 1.40
Class B-R, $66.00 million: Three-month LIBOR + 1.70
Class C-1-R (deferrable), $29.00 million: Three-month LIBOR +
2.15
Class C-2-R (deferrable), $7.00 million: 3.50
Class D-R (deferrable), $36.00 million: Three-month LIBOR + 3.35
Class E-R (deferrable), $24.00 million: Three-month LIBOR + 7.00
Subordinated notes, $61.42 million: Residual
Original notes
Class A-1, $369.00 million: Three-month LIBOR + 1.33%
Class A-2, $16.50 million: Three-month LIBOR + 1.70%
Class B, $66.00 million: Three-month LIBOR + 1.90%
Class C, $40.50 million: Three-month LIBOR + 2.90%
Class D, $30.00 million: Three-month LIBOR + 3.90%
Class E, $30.00 million: Three-month LIBOR + 6.39%
Subordinated notes, $54.25 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."
Preliminary Ratings Assigned
Octagon Investment Partners 40 Ltd./
Octagon Investment Partners 40 LLC
Class A-1-R, $378.00 million: AAA (sf)
Class A-2-R, $12.00 million: AAA (sf)
Class B-R, 66.00 million: AA (sf)
Class C-1-R (deferrable), $29.00 million: A (sf)
Class C-2-R (deferrable), $7.00 million: A (sf)
Class D-R (deferrable), $36.00 million: BBB- (sf)
Class E-R (deferrable), $24.00 million: BB- (sf)
Subordinated notes, $61.42 million: Not rated
PRKCM 2021-AFC2: S&P Assigns B (sf) Rating on Class B-2 Notes
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S&P Global Ratings assigned its ratings to PRKCM 2021-AFC2 Trust's
mortgage-backed notes.
The note issuance is an RMBS securitization backed by first-lien,
fixed- and adjustable-rate, fully amortizing residential mortgage
loans to both prime and nonprime borrowers (some with interest-only
periods). The loans are secured by single-family residential
properties, planned-unit developments, townhouses, condominiums,
and two- to four-family residential properties. The pool consists
of 881 non-qualified mortgage (non-QM/ATR compliant) and ATR-exempt
loans.
S&P said, "Since we assigned preliminary ratings on Dec. 1, 2021,
the sponsor, Park Capital Management Sponsor LLC, updated the
cut-off date pool balance and re-sized note amounts for the class
A-2, A-3, M-1, B-1, and B-3 notes. There was no change in credit
enhancement to the notes as a result of these changes. Our loss
coverage levels for the pool also remained the same. The assigned
ratings remain the same as our preliminary ratings."
The ratings reflect S&P's view of:
-- The pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, representation and warranty framework, and geographic
concentration;
-- The mortgage originator, AmWest Funding Corp.; and
-- The impact 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
PRKCM 2021-AFC2 Trust(i)
Class A-1, $329,204,000: AAA (sf)
Class A-2, $15,412,000: AA (sf)
Class A-3, $15,216,000: A+ (sf)
Class M-1, $16,203,000: BBB (sf)
Class B-1, $9,683,000: BB (sf)
Class B-2, $5,928,000: B (sf)
Class B-3, $3,556,944: Not rated
Class A-IO-S, Notional(ii): Not rated
Class XS, Notional(iii): Not rated
Class R, Not applicable: Not rated
(i)The ratings address the ultimate payment of interest and
principal.
(ii)The notional amount will equal the aggregate stated principal
balance of the mortgage loans as of the first day of the related
due period and is initially $395,203,490.
(iii)The notional amount will equal the aggregate principal balance
of the mortgage loans as of the first day of the related due period
and is initially $395,203,490.
SDART 2019-1: Fitch Affirms BB Rating on Class E Debt
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Fitch Ratings has taken various actions on outstanding classes in
Santander Drive Auto Receivables Trusts (SDART) 2017-3, 2018-1,
2018-2, 2018-5, 2019-1, 2019-2, 2020-2, 2020-3, 2020-4, 2021-1,
2021-2, and 2021-3.
DEBT RATING PRIOR
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Santander Drive Auto Receivables Trust 2017-3
D 80284YAG9 LT AAAsf Affirmed AAAsf
E 80284YAH7 LT AAsf Upgrade Asf
Santander Drive Auto Receivables Trust 2018-2
D 80285FAG9 LT AAAsf Upgrade AAsf
E 80285FAH7 LT BBBsf Affirmed BBBsf
Santander Drive Auto Receivables Trust 2019-1
C 80285HAF7 LT AAAsf Upgrade AAsf
D 80285HAG5 LT AAsf Upgrade Asf
E 80285HAH3 LT BBsf Affirmed BBsf
Santander Drive Auto Receivables Trust 2018-5
D1 80286AAG9 LT AAAsf Upgrade Asf
E1 80286AAH7 LT BBBsf Upgrade BBsf
Santander Drive Auto Receivables Trust 2021-2
A-2 80286XAB0 LT AAAsf Affirmed AAAsf
A-3 80286XAC8 LT AAAsf Affirmed AAAsf
B 80286XAD6 LT AAsf Affirmed AAsf
C 80286XAE4 LT Asf Affirmed Asf
D 80286XAF1 LT BBBsf Affirmed BBBsf
Santander Drive Auto Receivables Trust 2021-1
A-2 80286NAB2 LT AAAsf Affirmed AAAsf
A-3 80286NAD8 LT AAAsf Affirmed AAAsf
B 80286NAE6 LT AAsf Affirmed AAsf
C 80286NAF3 LT Asf Affirmed Asf
D 80286NAH9 LT BBBsf Affirmed BBBsf
Santander Drive Auto Receivables Trust 2021-3
A-2 80287EAB1 LT AAAsf Affirmed AAAsf
A-3 80287EAC9 LT AAAsf Affirmed AAAsf
B 80287EAD7 LT AAsf Affirmed AAsf
C 80287EAE5 LT Asf Affirmed Asf
D 80287EAF2 LT BBBsf Affirmed BBBsf
Santander Drive Auto Receivables Trust 2020-3
A-3 80285WAD9 LT AAAsf Affirmed AAAsf
B 80285WAE7 LT AAAsf Upgrade AAsf
C 80285WAF4 LT AAsf Upgrade Asf
D 80285WAG2 LT Asf Upgrade BBBsf
Santander Drive Auto Receivables Trust 2020-4
A-3 80286WAD8 LT AAAsf Affirmed AAAsf
B 80286WAE6 LT AAAsf Upgrade AAsf
C 80286WAF3 LT AAsf Upgrade Asf
D 80286WAG1 LT Asf Upgrade BBBsf
Santander Drive Auto Receivables Trust 2019-2
C 80286GAF8 LT AAAsf Upgrade AAsf
D 80286GAG6 LT Asf Upgrade BBBsf
E 80286GAH4 LT BBsf Affirmed BBsf
Santander Drive Auto Receivables Trust 2020-2
A-3 80285RAD0 LT AAAsf Affirmed AAAsf
B 80285RAE8 LT AAAsf Upgrade AAsf
C 80285RAF5 LT AAsf Upgrade Asf
D 80285RAG3 LT Asf Upgrade BBBsf
Santander Drive Auto Receivables Trust 2018-1
D 80285TAG9 LT AAAsf Upgrade AAsf
E 80285TAH7 LT BBBsf Affirmed BBBsf
KEY RATING DRIVERS
The affirmations and upgrades of the outstanding notes reflect
available credit enhancement (CE) and loss performance to date.
CNLs are tracking inside the initial base case proxies and hard CE
levels have grown for all classes in each transaction since close.
The Stable Outlooks for the 'AAAsf' rated notes reflect Fitch's
expectation that the notes have sufficient levels of credit
protection to withstand potential deterioration in credit quality
of the portfolio in stress scenarios and that loss coverage will
continue to increase as the transactions amortize. The Positive
Outlooks on the applicable classes reflect the possibility for an
upgrade in the next one to two years.
As of the October 2021 collection period, 61+ day delinquencies
were 4.56%, 4.19%, 4.58%, 4.31%, 3.95%, 3.44%, 2.87%, 2.97%, 2.95%,
2.51%, 2.84%, and 2.36% for 2017-3, 2018-1, 2018-2, 2018-5, 2019-1,
2019-2, 2020-2, 2020-3, 2020-4, 2021-1, 2021-2, and 2021-3,
respectively. Cumulative net losses (CNL) were 8.98%, 8.29%, 7.93%,
7.24%, 5.95%, 5.00%, 1.96%, 1.79%, 1.66%, 1.14%, 0.72%, and 0.30%,
respectively, tracking below Fitch's initial base cases of 17.05%,
16.50%, 16.60%, 17.00%, 17.00%, 17.00%, 18.00%, 18.00%, 18.00%,
17.50%, 17.25%, and 17.00%, respectively.
The lifetime CNL proxies consider the transactions' remaining pool
factors, pool compositions, and performance to date. Furthermore,
they consider current and future macro-economic conditions that
drive loss frequency, along with the state of wholesale vehicle
values, which affect recovery rates and ultimately transaction
losses.
To account for potential increases in delinquencies and losses,
Fitch applied conservative assumptions in deriving the updated base
case proxies. Fitch reduced the base case proxies from the prior
rating action, but maintained conservativism by using projections
based on performance to date. For the 2021 transactions, it was too
early in the transactions' life to solely use projections, and
Fitch accounted for strong performance so far with a measured
reduction. Fitch revised the base case CNL proxies to 10.00%,
10.00%, 10.00%, 10.00%, 10.00%, 10.00%, 11.00%, 12.00%, 12.50%,
13.50%, 15.00%, and 16.25% for 2017-3, 2018-1, 2018-2, 2018-5,
2019-1, 2019-2, 2020-2, 2020-3, 2020-4, 2021-1, 2021-2, and 2021-3,
respectively. Given the strong performance date, driven by strong
recoveries from the strong used vehicle market, Fitch deemed it
appropriately conservative to utilize these approaches for the
transactions.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- Unanticipated increases in the frequency of defaults could
produce default levels higher than the current projected base
case default proxies, and impact available loss coverage and
multiples levels for the transactions. Weakening asset
performance is strongly correlated to increasing levels of
delinquencies and defaults that could negatively impact CE
levels. Lower loss coverage could impact ratings and Outlooks,
depending on the extent of the decline in coverage.
-- In Fitch's initial review the notes were found to have some
sensitivity to a 1.5x and 2.0x increase of Fitch's base case
loss expectation for each transaction. For outstanding
transactions, this scenario suggests a possible downgrade of
up to three categories for all classes of notes. However, this
is based on a very conservative proxy. To date, the
transactions have strong performance with losses within
Fitch's initial expectations with adequate loss coverage and
multiple levels. Therefore, a material deterioration in
performance would have to occur within the asset collateral to
have potential negative impact on the outstanding ratings.
Factor that could, individually or collectively, lead to positive
rating action/upgrade:
-- Stable to improved asset performance driven by stable
delinquencies and defaults would lead to increasing CE levels
and consideration for potential upgrades. If CNLs were 20%
less than projected CNL proxy, the ratings could be maintained
or upgraded.
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 SDART
transactions, either due to their nature or the way in which they
are being managed.
STACR REMIC 2021-HQA4: Moody's Assigns B1 Rating to 10 Tranches
---------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to
classes of credit risk transfer notes issued by Freddie Mac STACR
REMIC Trust 2021-HQA4. The ratings range from Baa3 (sf) to B1 (sf).
Freddie Mac STACR REMIC Trust 2021-HQA4 (STACR 2021-HQA4) is the
fourth transaction of 2021 in the HQA series issued by the Federal
Home Loan Mortgage Corporation (Freddie Mac) to share the credit
risk on a reference pool of mortgages with the capital markets. The
transaction is structured as a real estate mortgage investment
conduit (REMIC). Class coupons of floating rate notes are based on
secured overnight financing rate (SOFR) and their respective fixed
margin.
The notes in STACR 2021-HQA4 receive principal payments as the
loans in the reference pool amortize or prepay. Principal payments
to the notes are paid from assets in the trust account established
from proceeds of the notes issuance. Interest payments to the notes
are paid from a combination of investment income from trust assets,
an asset of the trust known as the interest-only (IO) Q-REMIC
interest, and Freddie Mac. Freddie Mac is responsible to cover (1)
any interest owed on the notes not covered by the investment income
from the trust assets and the yield on the IO Q-REMIC interest and
(2) to reimburse the trust for any investment losses from sales of
the trust assets.
Investors have no recourse to the underlying reference pool. The
credit risk exposure of the notes depends on the actual realized
losses and modification losses incurred by the reference pool.
Freddie Mac is obligated to pay off the notes in December 2041 if
any balances remain outstanding. Of note, this is the second STACR
REMIC transaction in the 2021 HQA series with 20-year stated bullet
maturity on the offered notes, the same as STACR 2021-HQA3.
In this transaction, the notes' coupon is indexed to SOFR. Based on
the transaction's synthetic structure, the particular choice of
benchmark has minimal credit impact. Interest payments to the notes
are backstopped by the sponsor, which prevents the notes from
incurring interest shortfalls as a result of increases in the
benchmark index. However, the coupon rate on the notes could impact
the amount of interest available to absorb modification losses, if
any, from the reference pool.
The complete rating actions are as follows:
Issuer: Freddie Mac STACR REMIC Trust 2021-HQA4
Cl. M-1, Definitive Rating Assigned Baa3 (sf)
Cl. M-2, Definitive Rating Assigned Ba3 (sf)
Cl. M-2A, Definitive Rating Assigned Ba2 (sf)
Cl. M-2AI*, Definitive Rating Assigned Ba2 (sf)
Cl. M-2AR, Definitive Rating Assigned Ba2 (sf)
Cl. M-2AS, Definitive Rating Assigned Ba2 (sf)
Cl. M-2AT, Definitive Rating Assigned Ba2 (sf)
Cl. M-2AU, Definitive Rating Assigned Ba2 (sf)
Cl. M-2B, Definitive Rating Assigned B1 (sf)
Cl. M-2BI*, Definitive Rating Assigned B1 (sf)
Cl. M-2BR, Definitive Rating Assigned B1 (sf)
Cl. M-2BS, Definitive Rating Assigned B1 (sf)
Cl. M-2BT, Definitive Rating Assigned B1 (sf)
Cl. M-2BU, Definitive Rating Assigned B1 (sf)
Cl. M-2I*, Definitive Rating Assigned Ba3 (sf)
Cl. M-2R, Definitive Rating Assigned Ba3 (sf)
Cl. M-2RB, Definitive Rating Assigned B1 (sf)
Cl. M-2S, Definitive Rating Assigned Ba3 (sf)
Cl. M-2SB, Definitive Rating Assigned B1 (sf)
Cl. M-2T, Definitive Rating Assigned Ba3 (sf)
Cl. M-2TB, Definitive Rating Assigned B1 (sf)
Cl. M-2U, Definitive Rating Assigned Ba3 (sf)
Cl. M-2UB, Definitive Rating Assigned B1 (sf)
*Reflects Interest-Only Classes
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected loss for this pool in a baseline scenario-mean is
0.93%, in a baseline scenario-median is 0.72%, and reaches 4.70% at
a stress level consistent with Moody's Aaa ratings.
Moody's calculated losses on the pool using US Moody's Individual
Loan Analysis (MILAN) GSE model based on the loan-level collateral
information as of the cut-off date. Loan-level adjustments to the
model results included, but were not limited to, qualitative
adjustments for origination quality and third-party review (TPR)
scope.
Collateral Description
The reference pool consists of 102,116 prime, fixed-rate, one- to
four-unit, first-lien conforming mortgage loans acquired by Freddie
Mac. The loans were originated on or after January 1, 2015 with a
weighted average seasoning of six months. Each of the loans in the
reference pool had a loan-to-value (LTV) ratio at origination that
was greater than 80% and less than or equal to 97%. 9.2% of the
pool are loans underwritten through Home Possible and 98.7% of
loans in the pool are covered by mortgage insurance as of the
cut-off date.
About 11.8% of loans (by balance) in this transaction were
underwritten through Freddie Mac's Automated Collateral Evaluation
(ACE) program. Under ACE program, Freddie Mac assesses whether the
estimate of value or sales price of a mortgaged property, as
submitted by the seller, is acceptable as the basis for the
underwriting of the mortgage loan. If a loan is assessed as
eligible for appraisal waiver, the seller will not be required to
obtain an appraisal and will be relieved from R&Ws related to
value, condition and marketability of the property. A loan
originated without a full appraisal will lack details about the
property's condition. Moody's consider ACE loans weaker than loans
with full appraisal. Specifically, for refinance loans, seller
estimated value, which is the basis for calculating LTV, may be
biased where there is no arms-length transaction information.
Although such value is validated against Freddie Mac's in-house HVE
model, there's still possibility for over valuations subject to
Freddie Mac's tolerance levels. All ACE loans in this transaction
are either rate or term refinance loans where Moody's made haircuts
to property values to account for overvaluation risk.
Aggregation/Origination Quality
Moody's consider Freddie Mac's overall seller management and
aggregation practices to be adequate and Moody's did not apply a
separate loss-level adjustment for aggregation quality.
Underwriting
Freddie Mac uses a delegated underwriting process to purchase
loans. Sellers are required to represent and warrant that loans are
made in accordance with negotiated terms or Freddie Mac's guide.
Numerous checks in the selling system ensures that loans with the
correct characteristics are delivered to Freddie Mac. Sellers are
required to cure, make an indemnification payment or repurchase the
loans if a material underwriting defect is discovered subject to
certain limits. In certain cases, Freddie Mac may elect to waive
the enforcements of the repurchase if an alternative such as an
indemnification payment is provided.
Quality Control
Freddie Mac monitors each seller's risk exposure both on an
aggregated basis as well as by product lines. A surveillance team
reviews sellers' financials at least on an annual basis, monitors
exposure limits, risk ratings, lenders QC reports and internal
audit results and may adjust credit limits, require additional
loan/operational reviews or put the seller on a watch list, as
needed.
Home Possible Program
Approximately 9.2% of the loans by cut-off date balance were
originated under the Home Possible program. The program is designed
to make responsible homeownership accessible to low- to
moderate-income homebuyers, by requiring low down payments, lower
risk-adjusted pricing, flexibility in sources of income, and, in
certain circumstances, lower than standard mortgage insurance
coverage.
Home Possible loans in STACR 2021-HQA4's reference pool,
collectively, have a WA FICO of 749 and WA LTV of 93.3%, versus a
WA FICO of 753 and a WA LTV of 90.8% for the rest of the loans in
the pool. While Moody's MILAN model takes into account
characteristics listed on the loan tape, such as lower FICOs and
higher LTVs, there may be risks not captured by Moody's model due
to less stringent underwriting, including allowing more flexible
sources of funds for down payment and lower risk-adjusted pricing.
Moody's applied an adjustment to the loss levels to address the
additional risks that Home Possible loans may add to the reference
pool.
Enhanced Relief Refinance (ERR)
The ERR program is designed to provide refinance opportunities to
borrowers with existing Freddie Mac's mortgage loans who are
current on their mortgage payments but whose LTV ratios exceed the
maximum permitted for standard refinance products. The program is
intended to offer refinance opportunities to borrowers so they can
reduce their monthly payment. STACR 2021-HQA4's reference pool does
not include ERR loans at closing, however, transaction documents
allow for the replacement of loans in the reference pool with ERR
loans in the future. The replacement will not constitute a
prepayment on the replaced loan, credit event or a modification
event.
At closing, Moody's did not make any adjustment to its collateral
losses due to the existence of the ERR program. Moody's believe the
programs are beneficial for loans in the pool, especially during an
economic downturn when limited refinancing opportunities would be
available to borrowers with low or negative equity in their
properties. However, since such refinanced loans are likely to have
later maturities and slower prepayment rates than the rest of the
loans, the reference pool is at risk of having a high concentration
of high LTV loans at the tail of the transaction's life. Moody's
will monitor ERR loans in the reference pool and may make an
adjustment in the future if the percentage of them becomes
significant after closing.
Mortgage insurance
98.7% (by balance) of the loans in the pool were originated with
mortgage insurance. 97.2% of the loans benefit from BPMI which is
usually terminated when LTV falls below 78% under scheduled
amortization, and 1.5% of the loans benefit from LPMI or IPMI which
lasts through the life of the loan.
Freddie Mac will cover the amount that is reported as payable under
any effective mortgage insurance policy, but not received due to a
mortgage insurer insolvency or due to a settlement between the
mortgage insurer and Freddie Mac. The servicer is required to
reimburse Freddie Mac for claim curtailments rejections due to the
servicer's violation of the mortgage insurance policy.
The MILAN model output accounts for the presence of mortgage
insurance backed by Freddie Mac. Moody's rejection rate assumption
is 0% under base case and 1% under Aaa scenario.
Servicing arrangement
As master servicer, Freddie Mac has strong servicer oversight and
monitoring processes. Generally, Freddie Mac does not itself
conduct servicing activities. When a mortgage loan is sold to
Freddie Mac, the seller enters into an agreement to service the
mortgage loan for Freddie Mac in accordance with a comprehensive
servicing guide for servicers to follow. Freddie Mac monitors
primary servicer performance and compliance through its Servicer
Success Program, scorecard and servicing quality assurance group.
Freddie Mac also reviews individual loan files to identify
servicing performance gaps and trends.
Moody's consider the servicing arrangement to be adequate and
Moody's did not make any adjustments to its loss levels based on
Freddie Mac's servicer management.
Third-party Review
Moody's consider the scope of the TPR based on Freddie Mac's
acquisition and QC framework to be adequate. Moody's assessed an
adjustment to loss at a Aaa stress level due to lack of compliance
review on TILA-RESPA Integrated Disclosure (TRID) violations.
The results and scope of the pre-securitization third-party,
loan-level review (due diligence) suggest a heavier reliance on
sellers' representations and warranties (R&Ws) compared with
private label securitizations. The scope of the TPR, for example,
is weaker because the sample size is small (only 0.37% of the loans
in reference pool are included in the sample). To the extent that
the TPR firm classifies certain credit or valuation discrepancies
as 'findings', Freddie Mac will review and may provide rebuttals to
those findings, which could result in the change of event grades by
the review firm.
The third-party due diligence scope focuses on the following:
Compliance: The diligence firm reviewed 329 loans for compliance
with federal, state and local high cost Home Ownership and Equity
Protection Act (HOEPA) regulations (316 loans were reviewed for
compliance plus 13 loans were reviewed for both credit/valuation
and compliance). None were determined to be noncompliant.
Appraisals: The third-party diligence provider also reviewed
property valuation on 1,095 loans in the sample pool (1,082 loans
were reviewed for credit/valuation plus 13 loans were reviewed for
both credit/valuation and compliance). 26 loans received final
valuation grades of "C". 19 of the 26 loans are ACE loans and had
Appraisal Desktop with Inspections (ADI) or Retroactive 2055 which
did not support the original appraised value within the 10%
tolerance. The valuation result is in line with the prior STACR
transaction in terms of percentage of TPR sample. Moody's didn't
make additional adjustment based on this result given Moody's have
already made property value haircuts to all ACE loans in the
reference pool.
Credit: The third-party diligence provider reviewed credit on 1,095
loans in the sample pool. Within these 1,095 loans, the diligence
provider reviewed 1,082 loans for credit only, and 13 loans were
reviewed for both credit/valuation and compliance. 8 loans had
final grades of "C" and 13 loans had final grades of "D" due to
underwriting defects. These loans were removed from the
transaction. The results were worse than prior STACR transactions
Moody's rated.
Data integrity: The third-party review firm analyzed the sample
pool for data calculation and comparison to the imaged file
documents. The review revealed 109 data discrepancies on 102
loans.
Unlike private label RMBS transactions, a review of TRID violation
was not part of Freddie Mac's due diligence scope. A lack of
transparency regarding how many loans in the transaction contain
material violations of the TRID rule is a credit negative. However,
since Moody's expect overall losses on STACR transactions owing to
TRID violations to be fairly minimal, Moody's only made a slight
qualitative adjustment to losses under a Aaa scenario. Furthermore,
lender R&Ws and the GSEs' ability to remove defective loans from
the transactions will likely mitigate some of aforementioned
concerns.
Reps & Warranties Framework
Freddie Mac is not providing loan level R&Ws for this transaction
because the notes are a direct obligation of Freddie Mac. The
reference obligations are subject to R&Ws made by the sellers. As
such, Freddie Mac commands robust R&Ws from its seller/servicers
pertaining to all facets of the loan, including but not limited to
compliance with laws, compliance with all underwriting guidelines,
enforceability, good property condition and appraisal procedures.
Freddie Mac will be responsible for enforcing the R&Ws made by the
sellers/lenders in the reference pool. To the extent that Freddie
Mac discovers a confirmed underwriting defect or a major servicing
defect, the respective loan will be removed from the reference
pool. Since Freddie Mac retains a significant portion of the risk
in the transaction, it will likely take necessary steps to address
any breaches of R&Ws. For example, Freddie Mac undertakes quality
control reviews and servicing quality assurance reviews of small
samples of the mortgage loans that sellers deliver to Freddie Mac.
These processes are intended to determine, among other things, the
accuracy of the R&Ws made by the sellers in respect of the mortgage
loans that are sold to Freddie Mac. Moody's made no adjustments to
the transaction regarding the R&W framework.
The notes
Moody's refer to the M-1, M-2A, M-2B, B-1A, B-1B, B-2A and B-2B
notes as the original notes, and the M-2, M-2R, M-2S, M-2T, M-2U,
M-2I, M-2AR, M-2AS, M-2AT, M-2AU, M-2AI, M-2BR, M-2BS, M-2BT,
M-2BU, M-2BI, M-2RB, M-2SB, M-2TB, M-2UB, B-1, B-2, B-1AR, B-1AI,
B-2AR and B-2AI notes as the Modifiable and Combinable REMICs
(MACR) notes; together Moody's refer to them as the notes.
The M-2 notes can be exchanged for M-2A and M-2B notes, M-2R and
M-2I notes, M-2S and M-2I, M-2T and M-2I, and M-2U and M-2I notes.
The M-2A notes can be exchanged for M-2AR and M-2AI notes, M-2AS
and M-2AI notes, M-2AT and M-2AI, and M-2AU and M-2AI notes.
The M-2B notes can be exchanged for M-2BR and M-2BI notes, M-2BS
and M-2BI notes, M-2BT and M-2BI notes, and M-2BU and M-2BI notes.
Classes M-2I, M-2AI, M-2BI, B-1AI and B-2AI are interest only notes
referencing to the balances of Classes M-2, M-2A, M-2B, B-1A and
B-2A, respectively.
Classes M-2RB, M-2SB, M-2TB and M-2UB are each an exchangeable for
two classes that are initially offered at closing. Moody's ratings
of M-2RB, M-2SB, M-2TB and M-2UB reference the rating of Class M-2B
only, disregarding the rating of M-2AI. This is the case because
Class M-2AI's cash flow represents an insignificant portion of the
overall promise. In the event Class M-2B gets written down through
losses and Class M-2AI is still outstanding, Moody's would continue
to rate Classes M-2RB, M-2SB, M-2TB and M-2UB consistent with Class
M-2B's last outstanding rating so long as Classes M-2RB, M-2SB,
M-2TB and M-2UB are still outstanding.
Transaction Structure
Credit enhancement in this transaction is comprised of
subordination provided by mezzanine and junior tranches. Realized
losses are allocated in a reverse sequential order starting with
the Class B-3H reference tranche.
Interest due on the notes is determined by the outstanding
principal balance and the interest rate of the notes. The interest
payment amount is the interest accrual amount of a class of notes
minus any modification loss amount allocated to such class on each
payment date, or plus any modification gain amount. The
modification loss and gain amounts are calculated by taking the
respective positive and negative difference between the original
accrual rate of the loans, multiplied by the unpaid balance of the
loans, and the current accrual rate of the loans, multiplied by the
interest-bearing unpaid balance.
So long as the senior reference tranche is outstanding, and no
performance trigger event occurs, the transaction structure
allocates principal payments on a pro-rata basis between the senior
and non-senior reference tranches. Principal is then allocated
sequentially amongst the non-senior tranches.
The STACR 2021-HQA4 transaction allows for principal distribution
to subordinate notes by the supplemental subordinate reduction
amount even if performance triggers fail. The supplemental
subordinate reduction amount equals the excess of the offered
reference tranche percentage over 5.5%. The distribution of the
supplemental subordinated reduction amount would reduce principal
balances of the offered reference tranche and correspondingly limit
the credit enhancement of class A-H reference tranche to be always
below 5.5% plus the note balance of B-3H. This feature is
beneficial to the offered certificates.
Credit Events and Modification Events
Reference tranche write-downs occur as a result of loan level
credit events. A credit event with respect to any loan means any of
the following events: (i) a short sale with respect to the related
mortgaged property is settled, (ii) a related seriously delinquent
mortgage note is sold prior to foreclosure, (iii) the mortgaged
property that secured the related mortgage note is sold to a third
party at a foreclosure sale, (iv) an REO disposition occurs, or (v)
the related mortgage note is charged-off. As a result, the
frequency of credit events will be the same as actual loan default
frequency, and losses will impact the notes similar to that of a
typical RMBS deal.
Loans that experience credit events that are subsequently found to
have an underwriting defect, a major servicing defect or are deemed
ineligible will be subject to a reverse credit event. Reference
tranche balances will be written up for all reverse credit events
in sequential order, beginning with the most senior tranche that
has been subject to a previous write-down. In addition, the amount
of the tranche write-up will be treated as an additional principal
recovery, and will be paid to noteholders in accordance with the
cash flow waterfall.
If a loan experiences a forbearance or mortgage rate modification,
the difference between the original mortgage rate and the current
mortgage rate will be allocated to the reference tranches as a
modification loss. The Class B-3H reference tranche, which
represents 0.25% of the pool, will absorb modification losses
first. The final coupons on the notes will have an impact on the
amount of interest available to absorb modification losses from the
reference pool.
Tail Risk
Similar to prior STACR transactions, the initial subordination
level of 3.5% is lower than the deal's minimum credit enhancement
trigger level of 3.75%. The transaction begins by failing the
minimum credit enhancement test, leaving the subordinate tranches
locked out of unscheduled principal payments until the deal builds
an additional 0.25% subordination. STACR 2021-HQA4 does not have a
subordination floor. This is mitigated by the sequential principal
payment structure of the deal, which ensures that the credit
enhancement of the subordinate tranches is not eroded early in the
life of the transaction.
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.
Methodology
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in August 2021.
SYMPHONY CLO XXIII: S&P Assigns BB- (sf) Rating on Class 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 from Symphony CLO XXIII Ltd./Symphony
CLO XXIII LLC, a CLO originally issued in November 2020 that is
managed by Symphony Alternative Asset Management LLC. At the same
time, S&P withdrew its ratings on the original class X, A, B, C, D,
and E notes following payment in full on the Dec. 3, 2021,
refinancing date.
The replacement notes will be issued via a supplemental indenture,
which outlines the terms of the replacement notes. According to the
supplemental indenture:
-- The replacement class A-R, B-R, C-R, D-R, and E-R notes were
issued at a lower spread over three-month LIBOR than the original
notes.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches."
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Symphony CLO XXIII Ltd./Symphony CLO XXIII LLC
Class A-R, $248.00 million: AAA (sf)
Class B-R, $56.00 million: AA (sf)
Class C-R (deferrable), $24.00 million: A (sf)
Class D-R (deferrable), $24.00 million: BBB- (sf)
Class E-R (deferrable), $15.00 million: BB- (sf)
Subordinated notes, $37.53 million: NR
Ratings Withdrawn
Symphony CLO XXIII Ltd./Symphony CLO XXIII LLC
Class X to NR from AAA (sf)
Class A to NR from AAA (sf)
Class B to NR from AA (sf)
Class C (deferrable) to NR from A (sf)
Class D (deferrable) to NR from BBB- (sf)
Class E (deferrable) to NR from BB- (sf)
NR--Not rated.
TRINITAS CLO XVIII: S&P Assigns Prelim BB- (sf) Rating on E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Trinitas CLO
XVIII Ltd./Trinitas CLO XVIII LLC's fixed- and floating-rate
notes.
The note issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Trinitas Capital Management LLC.
The preliminary ratings are based on information as of Dec. 9,
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 portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Trinitas CLO XVIII Ltd./Trinitas CLO XVIII LLC
Class A-1, $285.00 million: AAA (sf)
Class A-2, $25.00 million: AAA (sf)
Class B, $70.00 million: AA (sf)
Class C (deferrable), $30.00 million: A (sf)
Class D (deferrable), $27.50 million: BBB- (sf)
Class E (deferrable), $19.00 million: BB- (sf)
Subordinated notes, $51.60 million: Not rated
TWIN BROOK 2021-1: S&P Assigns BB (sf) Rating on $21MM Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Twin Brook CLO 2021-1
LLC's floating-rate notes.
The note issuance is a CLO securitization governed by investment
criteria and backed primarily by middle market speculative-grade
(rated 'BB+' or lower) senior secured term loans. The transaction
is managed by Angelo, Gordon & Co. L.P.
The ratings reflect:
-- The diversification of the collateral pool.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Twin Brook CLO 2021-1 LLC
Class A, $203.00 million: AAA (sf)
Class B, $35.00 million: AA (sf)
Class C (deferrable), $28.00 million: A (sf)
Class D (deferrable), $21.00 million: BBB- (sf)
Class E (deferrable), $21.00 million: BB (sf)
Subordinated notes, $40.65 million: Not rated
UBS-CITIGROUP 2011-C1: Moody's Lowers Rating on Cl. C Certs to B1
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes,
downgraded the ratings on five classes and placed two classes on
review for possible downgrade in UBS-Citigroup Commercial Mortgage
Trust 2011-C1 ("UBSC 2011-C1"), Commercial Mortgage Pass-Through
Certificates, Series 2011-C1 as follows:
Cl. B, Downgraded to Baa1 (sf) and Placed Under Review for Possible
Downgrade; previously on Apr 23, 2021 Downgraded to A2 (sf)
Cl. C, Downgraded to B1 (sf) and Placed Under Review for Possible
Downgrade; previously on Apr 23, 2021 Downgraded to Ba1 (sf)
Cl. D, Downgraded to Caa3 (sf); previously on Apr 23, 2021
Downgraded to Caa1 (sf)
Cl. E, Downgraded to C (sf); previously on Apr 23, 2021 Downgraded
to Caa3 (sf)
Cl. F, Affirmed C (sf); previously on Apr 23, 2021 Downgraded to C
(sf)
Cl. G, Affirmed C (sf); previously on Jul 7, 2020 Downgraded to C
(sf)
Cl. X-B*, Downgraded to Ca (sf); previously on Apr 23, 2021
Downgraded to Caa3 (sf)
*Reflects Interest-Only Class
RATINGS RATIONALE
The ratings on the P&I classes were downgraded due to increased
interest shortfall risks and the significant exposure to specially
serviced loans. Four loans, representing 95% of the pool, are in
specially servicing, of which three loans (82% of the pool) have
been deemed non-recoverable by the master servicer as of the
November 2021 remittance date. As a result of the exposure to
specially serviced loans, as of the November 2021 remittance
statement interest shortfalls impacted all of the remaining
principal and interest (P&I) certificates. Furthermore, the largest
two largest specially serviced loans, The Poughkeepsie Galleria
Mall (50% of the pool) and Marriott Buffalo Niagara (18%), have
both experienced significant decline in performance and value in
recent years.
The ratings on Cl. B and Cl. C were placed on review for possible
downgrade due to current interest shortfalls impacting these
classes in addition to the uncertainty regarding the loan payoffs
on the Hospitality Specialists Portfolio - Pool 1 loan. The
remaining balance of this loan exceeds the certificate balance of
Cl. B and a forbearance agreement is currently being negotiated to
provide additional time to pay off the loan. Due to the exposure to
non-recoverable specially serviced loans, Cl. B and Cl. C may
continue to receive interest shortfalls until one or more of the
specially serviced loans are resolved.
The ratings on two P&I classes, Cl. F and Cl. G, were affirmed
because the ratings are consistent with Moody's expected loss plus
realized losses.
The rating on the IO Class, Cl. X-B, was downgraded due to a
decline in the credit quality of its referenced classes. The IO
Class references all P&I classes including Class H, which is not
rated by Moody's.
The action reflects the coronavirus pandemic's residual impact on
the ongoing performance of commercial real estate 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. Stress on commercial real estate properties
will be most directly stemming from lower hotel occupancies
(particularly related to conference or other group attendance) and
declines in foot traffic and sales at certain retail properties.
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 rating action reflects a base expected loss of 63.1% of the
current pooled balance, compared to 19.1% at Moody's last review.
The pool has paid down nearly 70% since last review and Moody's
base expected loss plus realized losses is now 11.4% of the
original pooled balance, compared to 11.3% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization and/or an
improvement in pool performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, an increase in realized and
expected losses from specially serviced and troubled loans or
interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating all classes except
interest-only classes was "Large Loan and Single Asset/Single
Borrower Commercial Mortgage-Backed Securitizations Methodology"
published in November 2021.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 95% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then applies the aggregate loss
from specially serviced to the most junior classes and the recovery
as a pay down of principal to the most senior classes.
DEAL PERFORMANCE
As of the November 2021 distribution date, the transaction's
aggregate certificate balance has decreased by 82% to $121.9
million from $673.9 million at securitization. The certificates are
collateralized by five remaining mortgage loans. Four of the five
loans, representing 95% of the pool, have passed their original
scheduled maturity dates and are currently in special servicing.
Furthermore, as of the November 2021 remittance statement three
special serviced loans (82% of the pool) have been deemed
non-recoverable by the master servicer. The one non-specially
serviced loan, 5% of the pool, is on the master servicer's
watchlist with a scheduled maturity date in December 2021.
As of the November 2021 remittance statement cumulative interest
shortfalls were $3.37 million and impacted each of the remaining
P&I certificates. Moody's anticipates interest shortfalls will
continue because of the exposure to specially serviced loans and/or
modified loans. Interest shortfalls are caused by special servicing
fees, including workout and liquidation fees, appraisal entitlement
reductions (ASERs), non-recoverable determinations, loan
modifications and extraordinary trust expenses.
One loan has been liquidated from the pool, resulting in a realized
loss of $81,661 (for a loss severity of 1.2%).
The largest specially serviced loan is the Poughkeepsie Galleria
Loan ($61.2 million -- 50% of the pool), which represents a
pari-passu portion of $135.9 million senior mortgage. The loan is
also encumbered by $21 million of mezzanine debt. The loan is
secured by a 691,000 square foot (SF) portion of a 1.2 million SF
regional mall located about 70 miles north of New York City in
Poughkeepsie, New York. The mall's anchors at securitization
included a J.C. Penney, Regal Cinemas, and Dick's Sporting Goods,
each part of the collateral, along with a Macy's, Best Buy, Target,
and Sears (non-collateral anchors). However, Sears (145,000 SF) and
J.C. Penney (180,000 SF) vacated in 2020. As of the June 2021 the
collateral portion of the mall was 61% leased compared to 85% in
December 2019. The mall has also suffered from declining in-line
occupancy and tenant sales. The property's net operating income
(NOI) remains significant below securitization levels. The 2019 NOI
was already nearly 28% lower than in 2011, and the property's NOI
dropped an additional 49% year over year between 2019 and 2020. The
2021 NOI rebounded from its low in 2020, however, the NOI DSCR as
of June 2021 was only 0.82X. The property is managed by the loan's
sponsor, Pyramid Management Group, LLC. The loan has been in
special servicing since April 2020 and is last paid through its
November 2020 payment date. The loan passed its original maturity
date in November 2021 and the property's most recently reported
appraisal value from November 2020 was 71% lower than at
securitization. As of the November 2021 remittance data the loan
has been non-recoverable by the master servicer and special
servicer commentary indicates they continue to work with the
Borrower on an updated resolution proposal.
The second largest specially serviced loan is the Marriott Buffalo
Niagara Loan ($21.3 million -- 18% of the pool), which is secured
by the borrower's fee simple interest in a 356-room full-service
hotel located in Amherst, NY. The property's revenue per available
room (RevPAR) has declined annual since 2015 and the September 2019
trailing-twelve-month NOI had already declined 44% from 2012. The
property's cash flows were significantly by pandemic and both the
full year 2020 and year to date June 2021 annualized cash flows
were not sufficient to cover its operating expenses. The loan
transferred has been in special servicing in April 2020 and is last
paid through its January 2021 payment date. In January 2021 the
borrower noted that they did not plan to contribute any additional
equity towards the property and foreclosure proceedings are in
progress with a receiver appointed in August 2021. The property's
most recently reported appraisal value from March 2021 was 76%
below the appraisal value at securitization and as of the November
remittance statement the master servicer had deemed the loan
non-recoverable.
The third largest specially serviced loan is the Hospitality
Specialists Portfolio -- Pool 2 Loan ($17.3 million -- 14% of the
pool), which is secured by a portfolio of three select-service
hotels totaling 257 rooms. Two of the properties are in Moline, IL
(one Hilton and one Marriott flag) and one property is in
Stevensville, MI (Hilton). The portfolio has realized a significant
decline in NOI recent years, with the 2019 NOI already dropping
nearly 20% compared to 2018. The decline in performance was largely
driven by the Stevensville, MI property due to seasonality issues
and additional supply added to the market in 2019. The NOI further
declined as a result of the pandemic and the loan ultimately
transferred to special servicing in February 2021. As of the
year-to-date June 2021 financials, the loan had an NOI DSCR of
0.12x. The loan has amortized 21% since securitization and is last
paid through its April 2021 payment date. The property's most
recently reported appraisal value from August 2021 was 41% below
the appraisal value at securitization and as of the November 2021,
the master servicer has deemed the loan non-recoverable. The
special servicer is currently dual tracking legal remedies while
preparing for a Deed-in-Lieu of foreclosure.
The remaining specially serviced loan is the Hospitality
Specialists Portfolio -- Pool 1 ($16.5 million -- 13.5% of the
pool), which is secured by a portfolio of three select-service
hotels totaling 285 rooms. Two of the properties are in Grand
Rapids, MI (one Marriott and one Hilton flag) and one property is
in Holland, MI (Marriott). Prior to 2020, the portfolio had
performed well as compared to securitization and as of December
2019, the portfolio's NOI DSCR was 1.89X in 2019. However, the
portfolio's performance has been negatively impacted as a result of
the pandemic and the loan reported an NOI DSCR of 0.31X as of year
to date in June 2021. The Borrower received temporary payment
relief in the form of a forbearance agreement in 2020, however, the
loan transferred to special servicing in March 2021 for imminent
monetary default at the borrower's request. The loan has amortized
21% since securitization and is last paid through its October 2021
payment date (the original maturity date of the loan). Special
servicer commentary indicates negotiations are currently ongoing
between the borrower and lender regarding an additional forbearance
period in order to provide additional time to secure financing to
pay off the loan.
Moody's estimates an aggregate $76.6 million loss for the specially
serviced loans (66% expected loss on average).
The one remaining conduit loan is the Preston Lloyd Shopping Center
Loan ($5.5 million -- 4.5% of the pool), which is secured by a
53,983 SF retail property in Dallas, TX, approximately 15 miles
north of the Dallas central business district. As of June 2021, the
property was 81% leased, compared to 74% in 2020 and 2019. In June
2020, the largest tenant expanded their space within the property
and currently makes up 17% of the NRA with a lease expiration in
December 2027. The property's NOI had fallen 20% in 2020 but has
since recovered as of the June 2021 annualized financials with a
reported NOI DSCR 1.34x and an NOI debt yield of 11.3%. The loan
had an original scheduled maturity date in December 2021.
UWM MORTGAGE 2021-INV5: Moody's Assigns (P)B3 Rating to B-5 Certs
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
thirty-five classes of residential mortgage-backed securities
(RMBS) issued by UWM Mortgage Trust 2021-INV5. The ratings range
from (P)Aaa (sf) to (P)B3 (sf).
UWM Mortgage Trust 2021-INV5 is a securitization of 1,531
fully-amortizing, fixed rate, first-lien non-owner occupied
residential investor properties mortgage loans with original terms
to maturity between 20 and 30 years, with an aggregate stated
principal balance of approximately $564,038,640. All the loans in
the pool are originated by United Wholesale Mortgage, LLC (UWM -
Ba3 long-term corporate family and Ba3 senior unsecured bond
ratings, with stable outlook) in accordance with the underwriting
guidelines of Fannie Mae or Freddie Mac, subject to certain
permitted variances, with additional credit overlays. The average
stated principal balance is approximately $368,412 and the weighted
average (WA) current mortgage rate is 3.4%.
None of the mortgage loans in the pool are subject to TILA because
each such mortgage loan is an extension of credit primarily for a
business purpose and is not a "covered transaction" as defined in
Section 1026.43(b)(1) of Regulation Z.
Cenlar FSB (Cenlar) will service all the mortgage loans in the
pool. Servicing compensation is subject to a step-up incentive fee
structure. UWM will be the servicing administrator and Nationstar
Mortgage LLC (Nationstar - B2 long-term issuer rating, with
positive outlook) will be the master servicer. UWM will be
responsible for principal and interest advances as well as other
servicing advances. The master servicer will be required to make
principal and interest advances if UWM is unable to do so. If the
servicing administrator and the master servicer fail in their
obligations to fund any required advance, the securities
administrator will be obligated to do so.
Two third-party review (TPR) firms conducted credit, data accuracy,
and compliance reviews on approximately 29.4% of the loans in the
pool by loan count and property valuation review on 100.0% of the
loans in the pool. The number of loans that went through a full due
diligence review is above Moody's credit-neutral sample size. Also,
the TPR results indicate that there are no material compliance,
credit, or data issues and no appraisal defects.
Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model. Moody's expected loss for
this pool in a baseline scenario-mean is 1.20% in a baseline
scenario-median is 0.89% and reaches 7.34% at a stress level
consistent with Moody's Aaa ratings. Moody's also compared the
collateral pool to other securitizations with agency eligible
loans. Overall, this pool has average credit risk profile as
compared to that of recent transactions.
The securitization 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.
The complete rating actions are as follows:
Issuer: UWM Mortgage Trust 2021-INV5
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-4, Assigned (P)Aaa (sf)
Cl. A-4-A, Assigned (P)Aaa (sf)
Cl. A-5, Assigned (P)Aaa (sf)
Cl. A-6, Assigned (P)Aaa (sf)
Cl. A-6-A, Assigned (P)Aaa (sf)
Cl. A-7, Assigned (P)Aaa (sf)
Cl. A-8, Assigned (P)Aaa (sf)
Cl. A-9, Assigned (P)Aaa (sf)
Cl. A-9-A, Assigned (P)Aaa (sf)
Cl. A-9-AI*, Assigned (P)Aaa (sf)
Cl. A-9-B, Assigned (P)Aaa (sf)
Cl. A-9-BI*, Assigned (P)Aaa (sf)
Cl. A-9-X*, Assigned (P)Aaa (sf)
Cl. A-10, Assigned (P)Aaa (sf)
Cl. A-11, Assigned (P)Aaa (sf)
Cl. A-12, Assigned (P)Aaa (sf)
Cl. A-12-A, 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-16, Assigned (P)Aaa (sf)
Cl. A-17, Assigned (P)Aaa (sf)
Cl. A-X-1*, Assigned (P)Aa1 (sf)
Cl. A-X-2*, Assigned (P)Aa1 (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-2, 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
Summary Credit Analysis and Rating Rationale
Moody's expected loss for this pool in a baseline scenario is 1.20%
at the mean, 0.89% at the median, and reaches 7.34% at a stress
level consistent with Moody's Aaa ratings.
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 due diligence and the
R&W framework of the transaction.
Collateral description
The transaction is backed by 1,531 fully-amortizing, fixed rate,
first-lien non-owner occupied residential investor properties
mortgage loans with original terms to maturity between 20 and 30
years, with an aggregate stated principal balance of approximately
$564,038,640. The average stated principal balance is approximately
$368,412 and the weighted average (WA) current mortgage rate is
3.4%. Borrowers of the mortgage loans backing this transaction have
strong credit profiles demonstrated by strong credit scores and low
combined loan-to-value (CLTV) ratios. The weighted average primary
borrower original FICO score and original CLTV ratio of the pool is
766 and approximately 66.3% respectively. The WA original debt-to
income (DTI) ratio is approximately 37.5%.
Approximately 45.2% of the mortgages (by loan balance) are backed
by properties located in California. The next largest geographic
concentration is Arizona (approximately 6.1% by loan balance) and
Florida (approximately 5.3% by loan balance). All other states each
represent 5.0% or less by loan balance. Approximately 23.5% (by
loan balance) of the pool is backed by properties that are
two-to-four family residential properties whereas loans backed by
single family residential properties represent approximately 42.2%
(by loan balance) of the pool.
Approximately 80.1% and 19.9% (by loan balance) of the loans were
originated through the broker and the correspondent channels
respectively. Irrespective of the origination channel, UWM
underwrites all the loans it originates through its underwriting
process. Nevertheless, the MILAN model adjusts the loan probability
of default (PD) to account for different loan origination channels
- retail (the least risk), broker (the most risk) and correspondent
(intermediate risk) channels.
Origination Quality and Underwriting Guidelines
All the mortgage loans in this pool (including correspondent
channel loans) were originated in accordance with the underwriting
guidelines of Fannie Mae or Freddie Mac, subject to certain
permitted variances, with additional credit overlays and approved
for origination through Fannie Mae's Desktop Underwriter Program or
Freddie Mac's Loan Prospector Program. Loan file reviews are
conducted through a pre-funding and post-closing quality control
(QC) process.
Moody's consider UWM to be an adequate originator of GSE eligible
loans following Moody's review of its underwriting guidelines,
quality control processes, policies and procedures, and historical
performance relative to its peers. As a result, Moody's did not
make any adjustments to its base case and Aaa stress loss
assumptions.
Servicing arrangement
Cenlar (the servicer) will service all the mortgage loans in the
transaction. UWM will serve as the servicing administrator and
Nationstar will serve as the master servicer. The servicing
administrator will be required to (i) make advances in respect of
delinquent interest and principal on the mortgage loans and (ii)
make certain servicing advances with respect to the preservation,
restoration, repair and protection of a mortgaged property,
including delinquent tax and insurance payments, unless the
servicer determines that such amounts would not be recoverable. The
master servicer will be obligated to fund any required monthly
advance if the servicing administrator fails in its obligation to
do so. Moody's consider the overall servicing arrangement for this
pool as adequate given the ability and experience of Cenlar as a
servicer and the presence of a master servicer. As a result,
Moody's did not make any adjustments to its base case and Aaa
stress loss assumptions.
Servicing compensation in this transaction is based on a
fee-for-service incentive structure. The servicer receives higher
fees for labor-intensive activities that are associated with
servicing delinquent loans, including loss mitigation, than they
receive for servicing a performing loan, which is less labor
intensive. The fee-for-service incentive structure includes an
initial monthly base servicing fee of $40 for all performing loans
and increases according to certain delinquent and incentive fee
schedules. The fees in this transaction are similar to other
transactions with fee-for-service structure which Moody's have
rated.
Third-party review (TPR)
Two independent third-party review firms, Wipro Opus Risk
Solutions, LLC and Consolidated Analytics, Inc., were engaged to
conduct due diligence on approximately 29.4% (by loan count) of the
loans in the pool for credit, compliance and data accuracy and
100.0% of the loans for property valuation review. The number of
loans that went through a full due diligence review is above
Moody's calculated credit-neutral sample size. Also, there were
generally no material findings. The loans that had exceptions to
the originators' underwriting guidelines had significant
compensating factors that were documented. Moody's did not make any
adjustments to Moody's credit enhancement for TPR scope, sample
size and results.
Representations and Warranties Framework
UWM as the sponsor, makes the loan-level R&Ws for the mortgage
loans. The R&Ws cover most of the categories that Moody's
identified in Moody's methodology as credit neutral. Further, R&W
breaches are evaluated by an independent third party using a set of
objective criteria. The independent reviewer will perform detailed
reviews to determine whether any R&Ws were breached when any loan
becomes a severely delinquent mortgage loan, a delinquent modified
mortgage loan, or is liquidated at a loss. These reviews are
thorough in that the transaction documents set forth detailed tests
for each R&W that the independent reviewer will perform. However,
Moody's applied an adjustment to its expected losses to account for
the risk that UWM may be unable to repurchase defective loans in a
stressed economic environment in which a substantial portion of the
loans breach the R&Ws, given that it is a non-bank entity with a
monoline business (mortgage origination and servicing) that is
highly correlated with the economy.
Transaction structure
The securitization has a shifting interest structure that benefits
from a senior subordination floor and a subordinate floor. Funds
collected, including principal, are first used to make interest
payments and then principal payments on a pro-rata basis up to the
senior bonds principal distribution amount, and then interest and
principal payments on a sequential basis up to each subordinate
bond principal distribution amount. As in all transactions with
shifting interest structures, the senior bonds benefit from a cash
flow waterfall that allocates all prepayments to the senior bonds
for a specified period of time, and increasing amounts of
prepayments to the subordinate bonds thereafter, but only if loan
performance satisfies delinquency and loss tests.
Realized losses are allocated reverse sequentially among the
subordinate and senior support certificates and on a pro-rata basis
among the super senior certificates.
Tail risk & subordination floor
The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to eroding credit enhancement
over time and increased performance volatility, known as tail risk.
To mitigate this risk, the transaction provides for a senior
subordination floor of 1.10% which mitigates tail risk by
protecting the senior bonds from eroding credit enhancement over
time. Additionally, there is a subordination lock-out amount which
is 1.10% of the closing pool balance.
Moody's calculate the credit neutral floors for a given target
rating as shown in Moody's principal methodology. The senior
subordination floor and the subordinate floor of 1.10% and 1.10%,
respectively, are consistent with the credit neutral floors for the
assigned ratings.
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 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.
Methodology
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in August 2021.
VOYA CLO 2021-3: Moody's Assigns Ba3 Rating to $20MM Class E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Voya CLO 2021-3, Ltd. (the "Issuer" or "Voya
2021-3").
Moody's rating action is as follows:
US$320,000,000 Class A Senior Secured Floating Rate Notes due 2035,
Assigned Aaa (sf)
US$60,000,000 Class B Senior Secured Floating Rate Notes due 2035,
Assigned Aa2 (sf)
US$30,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2035, Assigned A2 (sf)
US$30,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2035, Assigned Baa3 (sf)
US$20,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2035, 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.
Voya 2021-3 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 non-senior secured loans and bonds. The
portfolio is approximately 100% ramped as of the closing date.
Voya Alternative Asset Management 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: 85
Weighted Average Rating Factor (WARF): 2890
Weighted Average Spread (WAS): 3.40%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 47.0%
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.
[*] Fitch Affirms 82 Classes From 12 CRE CDOs
---------------------------------------------
Fitch Ratings has upgraded one and affirmed 82 classes from 12
commercial real estate collateralized debt obligations (CRE CDOs),
with exposure to commercial mortgage-backed securities (CMBS).
DEBT RATING PRIOR
---- ------ -----
CT CDO IV Ltd.
E 12642VAG5 LT Dsf Affirmed Dsf
F-FL 12642VAJ9 LT Csf Affirmed Csf
F-FX 12642VAH3 LT Csf Affirmed Csf
G 12642TAA3 LT Csf Affirmed Csf
H 12642TAB1 LT Csf Affirmed Csf
J 12642TAC9 LT Csf Affirmed Csf
K 12642TAD7 LT Csf Affirmed Csf
L 12642TAE5 LT Csf Affirmed Csf
M 12642TAF2 LT Csf Affirmed Csf
MACH ONE 2004-1
N 55445RAR8 LT PIFsf Paid In Full BBBsf
O 55445RAS6 LT Dsf Affirmed Dsf
O 55445RAS6 LT WDsf Withdrawn Dsf
Sorin Real Estate CDO I, Ltd./Corp.
D Floating Rate LT Csf Affirmed Csf
Subordinate 83586TAJ3
E Floating Rate LT Csf Affirmed Csf
Subordinate 83586TAL8
F Fixed Rate LT Csf Affirmed Csf
Subordinate 83586TAN4
N-Star Real Estate CDO IX, Ltd.
A-2 Floating Rate LT Dsf Affirmed Dsf
Notes 628983AB4
A-3 Floating Rate LT Dsf Affirmed Dsf
Notes 628983AC2
B Floating Rate LT Dsf Affirmed Dsf
Notes 628983AD0
C Deferrable Fixed LT Csf Affirmed Csf
Rate Notes 628983AE8
D Deferrable Fltg LT Csf Affirmed Csf
Rate Notes 628983AF5
E Deferrable Fltg LT Csf Affirmed Csf
Rate Notes 628983AG3
F Deferrable Fltg LT Csf Affirmed Csf
Rate Notes 628983AH1
G Deferrable Fltg LT Csf Affirmed Csf
Rate Notes 628983AJ7
H Deferrable Fltg LT Csf Affirmed Csf
Rate Notes 628983AK4
J Deferrable Fixed LT Csf Affirmed Csf
Rate Notes 628983AL2
K Deferrable Fixed LT Csf Affirmed Csf
Rate Notes 628983AM0
Ansonia CDO 2006-1 Ltd. / LLC
A-FL 036510AA3 LT CCsf Affirmed CCsf
A-FX 036510AB1 LT CCsf Affirmed CCsf
B 036510AC9 LT Dsf Affirmed Dsf
C 036510AD7 LT Dsf Affirmed Dsf
D 036510AE5 LT Dsf Affirmed Dsf
E 036510AF2 LT Dsf Affirmed Dsf
F 036510AG0 LT Dsf Affirmed Dsf
G 036510AH8 LT Dsf Affirmed Dsf
H 036510AJ4 LT Csf Affirmed Csf
J 036510AK1 LT Csf Affirmed Csf
K 036510AL9 LT Csf Affirmed Csf
L 036510AM7 LT Csf Affirmed Csf
M 036510AN5 LT Csf Affirmed Csf
N 036510AP0 LT Csf Affirmed Csf
O 036510AQ8 LT Csf Affirmed Csf
P 036510AR6 LT Csf Affirmed Csf
Q 036510AS4 LT Csf Affirmed Csf
S 036510AT2 LT Csf Affirmed Csf
T 036510AU9 LT Csf Affirmed Csf
LNR CDO 2003-1, Ltd.
F-FL 50211MAK7 LT Dsf Affirmed Dsf
F-FX 50211MAJ0 LT Dsf Affirmed Dsf
G 50211MAL5 LT Csf Affirmed Csf
H LT Csf Affirmed Csf
J LT Csf Affirmed Csf
G-Star 2003-3 Ltd./Corp.
A-2 36241WAC6 LT Asf Upgrade BBBsf
A-3 36241WAE2 LT Csf Affirmed Csf
B-1 36241WAG7 LT Csf Affirmed Csf
B-2 36241WAJ1 LT Csf Affirmed Csf
Preferred Shares LT Csf Affirmed Csf
36241T208
LNR CDO III Ltd./Corp.
A Floating Rate LT Dsf Affirmed Dsf
Notes 53944PAA0
B Floating Rate LT Dsf Affirmed Dsf
Notes 53944PAB8
C Floating Rate LT Csf Affirmed Csf
Notes 53944PAC6
D Floating Rate LT Csf Affirmed Csf
Notes 53944PAD4
E-FL Floating Rate LT Csf Affirmed Csf
Notes 53944PAF9
E-FX Fixed Rate LT Csf Affirmed Csf
Notes 53944PAG7
F-FL Floating Rate LT Csf Affirmed Csf
Notes 53944PAL6
F-FX Fixed Rate LT Csf Affirmed Csf
Notes 53944PAH5
G Floating Rate LT Csf Affirmed Csf
Notes 53944PAQ5
Anthracite 2004-HY1 Ltd. / Corp.
D 03702YAD2 LT Csf Affirmed Csf
E 03702YAE0 LT Csf Affirmed Csf
F 03702YAF7 LT Csf Affirmed Csf
Anthracite CDO III Ltd. / Corp.
E-FL 03702WAE4 LT Dsf Affirmed Dsf
E-FX 03702WAL8 LT Dsf Affirmed Dsf
F 03702WAF1 LT Csf Affirmed Csf
G 03702WAG9 LT Csf Affirmed Csf
H 03702TAA9 LT Csf Affirmed Csf
Crest 2004-1, Ltd./Corp.
G-1 Notes 22608WAQ2 LT Dsf Affirmed Dsf
G-2 Notes 22608WAR0 LT Dsf Affirmed Dsf
H-1 Notes 22608WAS8 LT Csf Affirmed Csf
H-2 Notes 22608WAT6 LT Csf Affirmed Csf
Preferred Shares LT Csf Affirmed Csf
22608X206
JER CRE CDO 2005-1 Limited
A 46614KAA4 LT Dsf Affirmed Dsf
B-1 46614KAB2 LT Dsf Affirmed Dsf
B-2 46614KAH9 LT Dsf Affirmed Dsf
C 46614KAC0 LT Csf Affirmed Csf
D 46614KAD8 LT Csf Affirmed Csf
E 46614KAE6 LT Csf Affirmed Csf
F 46614KAF3 LT Csf Affirmed Csf
G 46614KAG1 LT Csf Affirmed Csf
Fitch has affirmed class O in MACH ONE 2004-1 at 'Dsf' due to
previously incurred losses; the rating has subsequently been
withdrawn as the collateral balance has been reduced to zero.
KEY RATING DRIVERS
Fitch has upgraded class A-2 in G-Star 2003-3 to 'Asf' from 'BBBsf'
due to increased credit enhancement and positive ratings migration
of the underlying collateral since the last rating action.
Approximately 9% of the current pool was upgraded a weighted
average of 2.7 notches since the last rating action. The repayment
of class A-2 is now reliant on collateral with credit
characteristics consistent with a 'Asf' rating.
Fitch has affirmed classes A-FL and A-FX in Ansonia CDO 2006-1
Ltd./LLC at 'CCsf'. These are timely, non-deferrable classes, where
repayment is reliant on three remaining CMBS obligors, with
significant concentration and adverse selection.
Two loans from the largest obligor, WBCMT 2004-C12, are considered
loans of concern. These include the Callabridge Commons loan, which
was flagged for prior delinquency, limited leasing updates on the
largest tenants and the borrower having been granted coronavirus
debt relief; and the Crossroads Shopping Center loan, which was
flagged for a high percentage of month-to-month and short-term
tenancy and a NOI DSCR below 1.0x.
The largest asset in JPMCC 2005-CB11 is real-estate owned, and the
remaining loan in WBCMT 2004-C15 is secured by a dark, single
tenant retail property leased to CVS; the tenant is expected to pay
rent through its 2023 lease expiration, which is prior to loan
maturity.
Fitch has affirmed 58 classes at 'Csf' for which default is
considered inevitable. These classes are undercollateralized.
Fitch has also affirmed 21 classes at 'Dsf' because they are
non-deferrable classes that have experienced interest payment
shortfalls.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- For class A-2 in G-Star 2003-3 Ltd./Corp., a downgrade is not
expected due to high credit enhancement and expected class
repayment from scheduled amortization within the next 12
months.
-- For classes A-FL and A-FX in Ansonia CDO 2006-1 Ltd./ LLC,
downgrades may occur if these classes experience any interest
payment shortfalls, should performance of the underlying loans
deteriorate and/or with an increased certainty of losses.
-- Classes already rated 'Csf' have limited sensitivity to
further negative migration given their highly distressed
rating level. However, there is the potential for classes to
be downgraded to 'Dsf' at or prior to legal final maturity if
they are non-deferrable classes that experience any interest
payment shortfalls or should an Event of Default, as set forth
in the transaction documents, occur.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- An upgrade to class A-2 in G-Star 2003-3 Ltd./Corp. is
possible with improved credit enhancement and/or additional
positive ratings migration of the underlying collateral.
-- Upgrades to classes A-FL and A-FX in Ansonia CDO 2006-1
Ltd./LLC are possible with continued deleveraging of the
capital structure, performance stabilization of the
underperforming loans and/or better recoveries than expected
on the underlying collateral.
-- Upgrades to classes rated 'Csf' and 'Dsf' are not possible
given their undercollateralization and/or they are non
deferrable classes that have experienced interest payment
shortfalls.
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.
[*] Moody's Ups Rating on $117MM Prime Jumbo RMBS Issued 2015-2018
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 34 classes
from seven transactions issued by Everbank Mortgage Loan Trust
(Everbank), Mello Mortgage Capital Acceptance (Mello), Oaks
Mortgage Trust (Oaks), and TIAA Bank Mortgage Loan Trust. The
transactions are securitizations of fixed rate, first-lien prime
jumbo loans. The Mello and TIAA Bank Mortgage Loan Trust 2018-3
transactions also include agency eligible mortgage loans. Wells
Fargo Bank, N.A is the master servicer for the Everbank, Mello,
Oaks, and TIAA Bank Mortgage Loan Trust 2018-2 transactions.
Nationstar Mortgage LLC is the master servicer for TIAA Bank
Mortgage Loan Trust 2018-3.
A List of Affected Credit Ratings is available at
https://bit.ly/3yACFuV
Complete rating actions are as follows:
Issuer: Everbank Mortgage Loan Trust 2018-1
Cl. B-1, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded
to Aa2 (sf)
Cl. B-2, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded
to Aa3 (sf)
Cl. B-3, Upgraded to Aa3 (sf); previously on Oct 30, 2019 Upgraded
to A3 (sf)
Cl. B-4, Upgraded to Baa2 (sf); previously on Oct 30, 2019 Upgraded
to Ba1 (sf)
Issuer: Mello Mortgage Capital Acceptance 2018-MTG1
Cl. A9, Upgraded to Aaa (sf); previously on Apr 11, 2018 Definitive
Rating Assigned Aa1 (sf)
Cl. A10, Upgraded to Aaa (sf); previously on Apr 11, 2018
Definitive Rating Assigned Aa1 (sf)
Cl. B1, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded
to Aa2 (sf)
Cl. B2, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded
to Aa3 (sf)
Cl. B3, Upgraded to Aa3 (sf); previously on Oct 30, 2019 Upgraded
to A3 (sf)
Cl. B4, Upgraded to A3 (sf); previously on Oct 30, 2019 Upgraded to
Baa3 (sf)
Cl. B5, Upgraded to Baa3 (sf); previously on Oct 30, 2019 Upgraded
to Ba2 (sf)
Issuer: Mello Mortgage Capital Acceptance 2018-MTG2
Cl. B1, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded
to Aa2 (sf)
Cl. B2, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded
to Aa3 (sf)
Cl. B3, Upgraded to Aa3 (sf); previously on Oct 30, 2019 Upgraded
to A3 (sf)
Cl. B4, Upgraded to A3 (sf); previously on Oct 30, 2019 Upgraded to
Baa3 (sf)
Cl. B5, Upgraded to Baa3 (sf); previously on Oct 30, 2019 Upgraded
to Ba2 (sf)
Issuer: Oaks Mortgage Trust Series 2015-1
Cl. B-3, Upgraded to Aaa (sf); previously on Dec 27, 2018 Upgraded
to Aa1 (sf)
Cl. B-4, Upgraded to Aa1 (sf); previously on Dec 27, 2018 Upgraded
to Aa3 (sf)
Cl. B-5, Upgraded to A1 (sf); previously on Dec 27, 2018 Upgraded
to A3 (sf)
Issuer: Oaks Mortgage Trust Series 2015-2
Cl. B-2, Upgraded to Aaa (sf); previously on May 4, 2018 Upgraded
to Aa1 (sf)
Cl. B-3, Upgraded to Aaa (sf); previously on Dec 27, 2018 Upgraded
to Aa3 (sf)
Cl. B-4, Upgraded to Aa2 (sf); previously on Dec 27, 2018 Upgraded
to A2 (sf)
Cl. B-5, Upgraded to Baa1 (sf); previously on Dec 27, 2018 Upgraded
to Baa3 (sf)
Issuer: TIAA Bank Mortgage Loan Trust 2018-2
Cl. A-19, Upgraded to Aaa (sf); previously on Jun 27, 2018
Definitive Rating Assigned Aa1 (sf)
Cl. A-20, Upgraded to Aaa (sf); previously on Jun 27, 2018
Definitive Rating Assigned Aa1 (sf)
Cl. A-21, Upgraded to Aaa (sf); previously on Jun 27, 2018
Definitive Rating Assigned Aa1 (sf)
Cl. B-1, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded
to Aa2 (sf)
Cl. B-2, Upgraded to Aa1 (sf); previously on Oct 30, 2019 Upgraded
to A1 (sf)
Cl. B-3, Upgraded to A2 (sf); previously on Oct 30, 2019 Upgraded
to Baa1 (sf)
Cl. B-4, Upgraded to Baa3 (sf); previously on Oct 30, 2019 Upgraded
to Ba1 (sf)
Issuer: TIAA Bank Mortgage Loan Trust 2018-3
Cl. B-1, Upgraded to Aaa (sf); previously on Feb 19, 2021 Upgraded
to Aa1 (sf)
Cl. B-2, Upgraded to Aaa (sf); previously on Feb 19, 2021 Upgraded
to Aa3 (sf)
Cl. B-3, Upgraded to Aa2 (sf); previously on Feb 19, 2021 Upgraded
to A2 (sf)
Cl. B-4, Upgraded to Baa2 (sf); previously on Oct 30, 2018
Definitive Rating Assigned Ba1 (sf)
RATINGS RATIONALE
The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying pools. In these
transactions, high prepayment rates averaging 39%-64% over the last
six months, driven by the low interest rate environment, have
benefited the bonds by increasing the paydown and building credit
enhancement.
In Moody's analysis Moody's considered the additional risk posed by
borrowers enrolled in payment relief programs. Moody's increased
its MILAN model-derived median expected losses by 15% and Moody's
Aaa losses by 5% to reflect the performance deterioration resulting
from a slowdown in US economic activity due to the COVID-19
outbreak.
Moody's also considered higher adjustments for transactions where
more than 10% of the pool is either currently enrolled or was
previously enrolled in a payment relief program. Specifically,
Moody's account for the marginally increased probability of default
for borrowers that have either been enrolled in a payment relief
program for more than 3 months or have already received a loan
modification, including a deferral, since the start of the
pandemic.
Moody's will reduce the adjustment to pool losses in instances
where the collateral has demonstrated strong performance since the
start of the pandemic. For transactions where (1) the current
proportion of loans enrolled in payment relief programs is lower
than 2.5%, and (2) the proportion of loans that are cash flowing
today but were previously enrolled in a payment relief program
since the start of the pandemic is lower than 5%, Moody's increase
the median expected loss by 10% and Moody's Aaa loss by 2.5%. The
reduced adjustment reflects the assumption that pools with a higher
proportion of borrowers that continued to make payments throughout
the pandemic are likely to have lower default rates as COVID-19
continues to decline.
Moody's estimated the proportion of loans granted payment relief in
a pool based on a review of loan level cashflows. In Moody's
analysis, Moody's considered a loan to be enrolled in a payment
relief program if (1) the loan was not liquidated but took a loss
in the reporting period (to account for loans with monthly
deferrals that were reported as current), or (2) the actual balance
of the loan increased in the reporting period, or (3) the actual
balance of the loan remained unchanged in the last and current
reporting period, excluding interest-only loans and pay ahead
loans. Based on Moody's analysis, the proportion of borrowers that
are enrolled in payment relief plans in the underlying pool ranged
between 0%-5% over the last six months.
Given the pervasive financial strains tied to the pandemic,
servicers have been making advances on increased amount of
non-cash-flowing loans, sometimes resulting in interest shortfalls
due to insufficient funds in subsequent periods when such advances
are recouped. Moody's expect such interest shortfalls to be
reimbursed over the next several months.
Moody's updated loss expectations on the pools incorporate, amongst
other factors, Moody's assessment of the representations and
warranties frameworks of the transactions, the due diligence
findings of the third-party reviews received at the time of
issuance, and the strength of the transaction's originators and
servicer.
The action reflects the coronavirus pandemic's residual impact on
the ongoing performance of residential mortgage loans 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.
Principal Methodology
The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework" published in
August 2021.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
[]: Fitch Affirms 44 Classes and Upgrades 14 Classes
----------------------------------------------------
Fitch Ratings has affirmed its ratings on 44 classes, upgraded 14
classes, revised Rating Outlooks on four classes and assigned
Rating Outlooks to six classes from six collateralized debt
obligations (CDOs). Fitch has also removed nine notes from Under
Criteria Observation.
DEBT RATING PRIOR
---- ------ -----
Attentus CDO III, Ltd./LLC
A-2 04973PAC3 LT BB+sf Upgrade Bsf
B 04973PAD1 LT B+sf Upgrade CCCsf
C-1 04973PAE9 LT CCsf Affirmed CCsf
C-2 04973PAH2 LT CCsf Affirmed CCsf
D 04973PAF6 LT CCsf Affirmed CCsf
E-1 04973PAG4 LT Csf Affirmed Csf
E-2 04973PAJ8 LT Csf Affirmed Csf
F 04973MAA4 LT Csf Affirmed Csf
Kodiak CDO I, Ltd./Inc.
A-2 50011PAB2 LT BBB+sf Upgrade BBBsf
B 50011PAC0 LT Dsf Affirmed Dsf
C 50011PAD8 LT CCsf Affirmed CCsf
D-1 50011PAE6 LT Csf Affirmed Csf
D-2 50011PAJ5 LT Csf Affirmed Csf
D-3 50011PAK2 LT Csf Affirmed Csf
E-1 50011PAF3 LT Csf Affirmed Csf
E-2 50011PAL0 LT Csf Affirmed Csf
F 50011PAG1 LT Csf Affirmed Csf
G 50011PAH9 LT Csf Affirmed Csf
H 50011NAC5 LT Csf Affirmed Csf
Taberna Preferred Funding II, Ltd./Inc.
A-1A 87330UAA9 LT Bsf Upgrade CCCsf
A-1B 87330UAB7 LT Bsf Upgrade CCCsf
A-1C 87330UAC5 LT Bsf Upgrade CCCsf
A-2 87330UAD3 LT CCsf Affirmed CCsf
B 87330UAE1 LT Dsf Affirmed Dsf
C-1 87330UAF8 LT Csf Affirmed Csf
C-2 87330UAG6 LT Csf Affirmed Csf
C-3 87330UAH4 LT Csf Affirmed Csf
D 87330UAJ0 LT Csf Affirmed Csf
E-1 87330UAK7 LT Csf Affirmed Csf
E-2 87330UAL5 LT Csf Affirmed Csf
F 87330UAM3 LT Csf Affirmed Csf
Taberna Preferred Funding I, Ltd./Inc.
A-1A 87330PAA0 LT BB-sf Upgrade Bsf
A-1B 87330PAB8 LT BB-sf Upgrade Bsf
A-2 87330PAC6 LT CCCsf Affirmed CCCsf
B-1 87330PAD4 LT CCsf Affirmed CCsf
B-2 87330PAE2 LT CCsf Affirmed CCsf
C-1 87330PAF9 LT CCsf Affirmed CCsf
C-2 87330PAG7 LT CCsf Affirmed CCsf
C-3 87330PAH5 LT CCsf Affirmed CCsf
D 87330PAJ1 LT CCsf Affirmed CCsf
E 87330PAK8 LT Csf Affirmed Csf
Attentus CDO I, Ltd./LLC
A-1 049730AA2 LT BB+sf Upgrade BBsf
A-2 049730AB0 LT B+sf Upgrade Bsf
B 049730AC8 LT CCsf Affirmed CCsf
C-1 049730AD6 LT CCsf Affirmed CCsf
C-2A 049730AE4 LT Csf Affirmed Csf
C-2B 049730AF1 LT Csf Affirmed Csf
D 049730AG9 LT Csf Affirmed Csf
E 049730AH7 LT Csf Affirmed Csf
Kodiak CDO II, Ltd./Corp.
A-2 50011RAB8 LT A+sf Upgrade Asf
A-3 50011RAC6 LT BB+sf Upgrade Bsf
B-1 50011RAD4 LT B-sf Upgrade CCCsf
B-2 50011RAE2 LT B-sf Upgrade CCCsf
C-1 50011RAF9 LT CCsf Affirmed CCsf
C-2 50011RAG7 LT CCsf Affirmed CCsf
D 50011RAH5 LT CCsf Affirmed CCsf
E 50011RAJ1 LT Csf Affirmed Csf
F 50011QAA2 LT Csf Affirmed Csf
TRANSACTION SUMMARY
The CDOs are collateralized by trust preferred securities (TruPS),
senior and subordinated debt issued by real estate investment
trusts (REITs), corporate issuers, tranches of structured finance
CDOs and commercial mortgage-backed securities.
KEY RATING DRIVERS
All of the transactions experienced moderate deleveraging from
collateral redemptions and excess spread, which led to the senior
classes of notes receiving paydowns ranging from 2% to 14% of their
last review note balances. Such deleveraging in conjunction with
the impact of Fitch's recently updated U.S. Trust Preferred CDOs
Surveillance Rating Criteria (TruPS CDO Criteria)and CLOs and
Corporate CDOs Rating Criteria (CLO Criteria) led to the upgrades.
Upgrades were limited by the outcome of the sector wide migration
sensitivity analysis described in the TruPS CDO Criteria for most
notes. For class A-2 notes in Kodiak CDO I, Ltd./Inc. (Kodiak I),
class A-2 notes in Kodiak CDO II, Ltd./Corp. (Kodiak II), and class
A-1A and A-1B notes in Taberna Preferred Funding I, Ltd./Inc.
(Taberna I) ratings were driven by the results of the interest
shortfall risk analysis.
The Stable Outlooks on 14 tranches in this review reflect Fitch's
expectation that the classes have sufficient levels of credit
protection to withstand potential deterioration in the credit
quality of the portfolios in stress scenarios commensurate with
such classes' rating.
The revision to Outlook Positive on the class A-2 notes in Kodiak I
is due to the expectations that the notional amount of the
outstanding swap will continue to step down annually until its
expiration in 2025 and the notes will continue to deleverage from
excess spread.
Out of six CDOs, two transactions are in acceleration, which
diverts excess spread to the most senior classes outstanding while
cutting off interest due on certain junior timely classes that are
currently rated 'Dsf'.
The class A-2 notes in Taberna I are failing 'CCCsf' loss hurdle
marginally, with a high likelihood that deleveraging from excess
spread would lead to the notes passing their current 'CCCsf' rating
in the near term future.
RATING SENSITIVITIES
Factor that could, individually or collectively, lead to negative
rating action/downgrade:
-- Downgrades to the rated notes may occur if a significant share
of the portfolio issuers default and/or experience negative
credit migration, which would cause a deterioration in rating
default rates.
Factor that could, individually or collectively, lead to positive
rating action/upgrade:
-- Future upgrades to the rated notes may occur if a transaction
experiences improvement in credit enhancement through
deleveraging from collateral redemptions and/or interest
proceeds being used for principal repayment.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
securities and markets authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information or information on the risk-presenting entities.
Overall, Fitch's assessment of the information relied upon for the
agency's rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
*********
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