/raid1/www/Hosts/bankrupt/TCR_Public/220109.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, January 9, 2022, Vol. 26, No. 8
Headlines
AGL CLO 16: Moody's Rates $18MM Class E Notes 'Ba3'
APIDOS CLO XXXIV: S&P Assigns BB- (sf) Rating on Class E-R Notes
ARES LVII: S&P Withdraws 'BB- (sf)' Rating on Class E Notes
BAIN CAPITAL 2019-3: Moody's Rates $30MM Class E-R Notes 'Ba3'
BAIN CAPITAL 2021-7: Moody's Rates $19.6MM Class E Notes 'Ba3'
BANK 2019-BNK17: Fitch Affirms B- Rating on 2 Tranches
BARINGS CLO 2016-II: Moody's Gives Ba3 Rating to Class E-R2 Notes
BLACKROCK BAKER 2021-1: S&P Assigns BB- (sf) Rating on Cl. E Notes
BXP TRUST 2021-601L: Moody's Rates Class E Debt 'Ba2'
CARLYLE US 2021-11: S&P Assigns BB- (sf) Rating on Class E Notes
CIFC FUNDING 2014-IV-R: Moody's Rates Class E-R Notes Due 2035 'B3'
CITIGROUP MORTGAGE 2021-RP6: Fitch Gives Final B Rating to B-2 Debt
GALLATIN CLO VIII: Moody's Rates $10.5MM Class F-R Notes 'B1'
HOME RE 2021-1: Moody's Hikes Rating on Class M-2 Debt to Ba3
JP MORGAN 2013-C16: Fitch Affirms CCC Rating on Class F Certs
JP MORGAN 2021-15: Moody's Rates Class B-5 Certificates 'B3'
JP MORGAN 2021-INV8: Moody's Rates Class B-5 Debt 'B3'
JP MORGAN 2021-LTV2: Moody's Rates Class B-2 Debt 'B2'
KKR CLO 37: Moody's Rates $20MM Class E Notes 'Ba3'
MADISON PARK LII: Moody's Rates $20MM Class E Notes 'Ba3'
MADISON PARK LIX: Moody's Rates $28MM Class E Notes 'Ba3'
MARBLE POINT XXIII: Moody's Rates $15MM Class E Notes 'Ba3'
MHP COMMERCIAL 2022-MHIL: Moody's Gives (P)B3 Rating to F Certs
NASSAU 2020-I: Moody's Rates $15.6MM Class E-R Notes 'Ba3'
OZLM LTD XIX: Moody's Rates $30.5MM Class D-R Notes 'Ba3'
REGATTA XXIV FUNDING: Moody's Rates Class E Notes 'Ba3'
STRATUS CLO 2021-1: Moody's Rates $5MM Class F Notes 'B1'
SYMPHONY CLO XXIX: Moody's Rates $16MM Class E Notes 'Ba3'
*********
AGL CLO 16: Moody's Rates $18MM Class E Notes 'Ba3'
---------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by AGL CLO 16 Ltd. (the "Issuer" or "AGL CLO 16").
Moody's rating action is as follows:
US$256,000,000 Class A Senior Secured Floating Rate Notes due 2035,
Assigned Aaa (sf)
US$48,000,000 Class B Senior Secured Floating Rate Notes due 2035,
Assigned Aa2 (sf)
US$21,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2035, Assigned A2 (sf)
US$25,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2035, Assigned Baa3 (sf)
US$18,000,000 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.
AGL CLO 16 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 92.5% of the portfolio must consist of
senior secured loans, cash and eligible investments, and up to 7.5%
of the portfolio may consist of permitted obligations. The
portfolio is approximately 40% ramped as of the closing date.
AGL CLO Credit 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.
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.
APIDOS CLO XXXIV: S&P Assigns BB- (sf) Rating on Class E-R Notes
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S&P Global Ratings assigned its ratings to the class A-1R, A-2R,
B-1R, B-2R, C-R, D-R, and E-R replacement notes from Apidos CLO
XXXIV/Apidos CLO XXXIV LLC, a CLO originally issued in November
2020 that is managed by CVC Credit Partners U.S. CLO Management
LLC.
The replacement notes were issued via a supplemental indenture,
which outlines the terms of the replacement notes. According to the
supplemental indenture:
-- The replacement class A-1R, A-2R, B-1R, B-2R, C-R, D-R, and E-R
notes were issued at a lower weighted average cost of debt than the
original notes.
-- The existing class B notes were split into classes B-1R and
B-2R, which were issued at a floating spread and a fixed coupon,
respectively.
-- The non-call period was extended by approximately two years.
-- The stated maturity was extended by two years.
-- The reinvestment period was extended by three years.
-- There was no additional collateral purchased in connection with
this refinancing. The target initial par amount remained at $400.00
million, and the first payment date following the first refinancing
date is April 20, 2022.
-- There were no additional subordinated notes issued in
connection with this refinancing. However, the stated maturity date
was amended to match that of the replacement notes.
-- The transaction amended its ability to purchase workout-related
assets and the required minimums on the overcollateralization
tests, and it also conforming to updated rating agency
methodology.
-- Of the identified underlying collateral obligations, 99.36%
have credit ratings (which may include confidential ratings,
private ratings, and credit estimates) assigned by S&P Global
Ratings.
-- Of the identified underlying collateral obligations, 96.76%
have recovery ratings (which may include confidential ratings,
private ratings, and credit estimates) assigned by S&P Global
Ratings.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Apidos CLO XXXIV/Apidos CLO XXXIV LLC
Class A-1R, $237.00 million: AAA (sf)
Class A-2R, $15.00 million: AAA (sf)
Class B-1R, $45.00 million: AA (sf)
Class B-2R, $7.00 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, $40.50 million: NR
Ratings Withdrawn
Apidos CLO XXXIV/Apidos CLO XXXIV LLC
Class A-1: to NR from AAA (sf)
Class A-2: to NR from AAA (sf)
Class B: to NR from AA (sf)
Class C: to NR from A (sf)
Class D: to NR from BBB- (sf)
Class E: to NR from BB- (sf)
Class F: to NR from B- (sf)
NR--Not rated
ARES LVII: S&P Withdraws 'BB- (sf)' Rating on Class E Notes
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S&P Global Ratings assigned its ratings to the class B-R, C-R, and
D-R notes from Ares LVII CLO Ltd./Ares LVII CLO LLC, a CLO
originally issued in December 2020 that is managed by Ares CLO
Management LLC.
The replacement notes were issued via a supplemental indenture,
which outlines the terms of the replacement notes. According to the
supplemental indenture:
-- The replacement class A-R, B-R, C-R, D-R, and E-R notes were
issued at a lower spread over three-month LIBOR than the original
notes, while the replacement class X-R notes were issued at a
higher spread over three-month LIBOR.
-- The replacement class X-R, A-R, B-R, C-R, D-R, and E-R notes
were issued at a floating spread, replacing the current floating
spread structure.
-- The stated maturity of the notes was extended approximately
three years.
-- The reinvestment period was extended approximately three
years.
-- The weighted average life test was set nine years from the
closing of the refinancing.
-- A two-year non-call period was implemented.
-- The class X-R notes issued in connection with this refinancing
are to be paid down using interest proceeds over 12 payment dates
beginning with the payment date in January 2024.
-- Of the identified underlying collateral obligations, 99.64%
have credit ratings assigned by S&P Global Ratings.
-- Of the identified underlying collateral obligations, 95.29%
have recovery ratings assigned by S&P Global Ratings.
S&P will continue to review whether, in S&P's view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as it deems
necessary.
Ratings Assigned
Ares LVII CLO Ltd./Ares LVII CLO LLC
X-R, $4.00 million: Not rated
A-R, $256.00 million: Not rated
B-R, $48.00 million: AA (sf)
C-R, (deferrable), $22.00 million: A (sf)
D-R, (deferrable), $24.00 million: BBB- (sf)
E-R, (deferrable), $18.00 million: Not rated
Ratings Withdrawn
Ares LVII CLO Ltd./Ares LVII CLO LLC
X, to NR from 'AAA (sf)'
A, to NR from 'AAA (sf)'
B, to NR from 'AA (sf)'
C, to NR from 'A (sf)'
D, to NR from 'BBB- (sf)'
E, to NR from 'BB- (sf)'
Other Outstanding Classes
Ares LVII CLO Ltd./Ares LVII CLO LLC
Subordinated notes, $40.00 million: Not rated
BAIN CAPITAL 2019-3: Moody's Rates $30MM Class E-R Notes 'Ba3'
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Moody's Investors Service has assigned ratings to seven classes of
refinancing notes, and in the case of the Class B-1-R Notes, one
class of exchange notes (collectively, the "Refinancing Notes")
issued by Bain Capital Credit CLO 2019-3, Limited (the "Issuer").
Moody's rating action is as follows:
US$5,000,000 Class X-R Senior Secured Floating Rate Notes Due 2034,
Assigned Aaa (sf)
US$310,000,000 Class A-R Senior Secured Floating Rate Notes Due
2034, Assigned Aaa (sf)
US$43,800,000 Class B-1-R Senior Secured Floating Rate Notes Due
2034, Assigned Aa2 (sf)
US$21,500,000 Class B-2-R Senior Secured Floating Rate Notes Due
2034, Assigned Aa2 (sf)
US$29,915,000 Class C-1-R Senior Secured Deferrable Floating Rate
Notes Due 2034, Assigned A3 (sf)
US$3,585,000 Class C-2-R Senior Secured Deferrable Fixed Rate Notes
Due 2034, Assigned A3 (sf)
US$22,500,000 Class D-R Senior Secured Deferrable Floating Rate
Notes Due 2034, Assigned Baa3 (sf)
US$30,000,000 Class E-R Senior Secured Deferrable Floating Rate
Notes Due 2034, Assigned Ba3 (sf)
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks particularly those associated with the
CLO's portfolio and structure.
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least 90%
of the portfolio must consist of first lien senior secured loans,
cash, and eligible investments, and up to 10% of the portfolio may
consist of second lien loans, unsecured loans and bonds.
Bain Capital Credit U.S. CLO Manager, 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 4.8 year reinvestment period. Thereafter, subject to
certain restrictions, the Manager may reinvest unscheduled
principal payments and proceeds from sales of credit risk assets.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the reinvestment
period; extensions of the stated maturity and non-call period;
changes to certain collateral quality tests; 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
"Moody's 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 2021.
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: 85
Weighted Average Rating Factor (WARF): 3017
Weighted Average Spread (WAS): 3.40%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 8 years
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.
BAIN CAPITAL 2021-7: Moody's Rates $19.6MM Class E Notes 'Ba3'
--------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued and one class of loans incurred by Bain Capital Credit
CLO 2021-7, Limited (the "Issuer" or "Bain Capital Credit
2021-7").
Moody's rating action is as follows:
US$176,400,000 Class A-1 Loans maturing 2035, Assigned Aaa (sf)
Up to US$252,000,000 Class A-1 Senior Secured Floating Rate Notes
due 2035, Assigned Aaa (sf)
US$8,000,000 Class A-2 Senior Secured Floating Rate Notes due 2035,
Assigned Aaa (sf)
US$44,000,000 Class B Senior Secured Floating Rate Notes due 2035,
Assigned Aa2 (sf)
US$20,000,000 Class C Secured Deferrable Floating Rate Notes due
2035, Assigned A2 (sf)
US$24,400,000 Class D Secured Deferrable Floating Rate Notes due
2035, Assigned Baa3 (sf)
US$19,600,000 Class E Secured Deferrable Floating Rate Notes due
2035, Assigned Ba3 (sf)
The notes and loans listed are referred to herein, collectively, as
the "Rated Debt."
On the closing date, the Class A-1 Loans and the Class A-1 Notes
have a principal balance of $176,400,000 and $75,600,000,
respectively. At any time, the Class A-1 Loans may be converted in
whole or in part to Class A-1 Notes, thereby decreasing the
principal balance of the Class A-1 Loans and increasing, by the
corresponding amount, the principal balance of the Class A-1 Notes.
The aggregate principal balance of the Class A-1 Loans and Class
A-1 Notes will not exceed $252,000,000, less the amount of any
principal repayments.
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.
Bain Capital Credit 2021-7 is a managed cash flow CLO. The issued
notes will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 90.0% of the portfolio must
consist of senior secured loans, and up to 10.0% of the portfolio
may consist of second lien loans, senior unsecured loans and
permitted non-loan assets, provided that not more than 5.0% of the
portfolio may consist of permitted non-loan assets. The portfolio
is approximately 80% ramped as of the closing date.
Bain Capital Credit, LP (the "Manager") will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's five year reinvestment period.
Thereafter, subject to certain restrictions, the Manager may
reinvest unscheduled principal payments and proceeds from sales of
credit risk assets.
In addition to the Rated Debt, 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 2021.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Debt is subject to uncertainty. The
performance of the Rated Debt 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 Debt.
BANK 2019-BNK17: Fitch Affirms B- Rating on 2 Tranches
------------------------------------------------------
Fitch Ratings has affirmed 18 classes of BANK 2019-BNK17 commercial
mortgage pass-through certificates, series 2019-BNK17. Fitch has
also revised the Rating Outlooks on four classes to Stable from
Negative.
DEBT RATING PRIOR
---- ------ -----
BANK 2019-BNK17
A-1 065403AY3 LT AAAsf Affirmed AAAsf
A-2 065403AZ0 LT AAAsf Affirmed AAAsf
A-3 065403BB2 LT AAAsf Affirmed AAAsf
A-4 065403BC0 LT AAAsf Affirmed AAAsf
A-S 065403BF3 LT AAAsf Affirmed AAAsf
A-SB 065403BA4 LT AAAsf Affirmed AAAsf
B 065403BG1 LT AA-sf Affirmed AA-sf
C 065403BH9 LT A-sf Affirmed A-sf
D 065403AJ6 LT BBBsf Affirmed BBBsf
E 065403AL1 LT BBB-sf Affirmed BBB-sf
F 065403AN7 LT BB-sf Affirmed BB-sf
G 065403AQ0 LT B-sf Affirmed B-sf
X-A 065403BD8 LT AAAsf Affirmed AAAsf
X-B 065403BE6 LT AA-sf Affirmed AA-sf
X-C 065403BJ5 LT A-sf Affirmed A-sf
X-D 065403AA5 LT BBB-sf Affirmed BBB-sf
X-F 065403AC1 LT BB-sf Affirmed BB-sf
X-G 065403AE7 LT B-sf Affirmed B-sf
KEY RATING DRIVERS
Improved Loss Expectations: Fitch's loss expectations for the pool
have improved since the prior rating action. The Outlook revision
on classes F and G (and interest only classes X-F and X-G) reflects
better than expected 2020 performance on some of the Fitch Loans of
Concern (FLOCs) and larger loans in the pool that were expected to
be adversely affected by the pandemic. Fitch has designated six
FLOCs (15.2% of pool); all loans in the pool have remained
current.
Fitch's current ratings reflect a base case loss of 3.25%. Losses
are marginally higher when factoring an outsized loss on the Great
Wolf Lodge Southern California loan (3%).
The largest FLOC is Vista Village Shopping Center loan (5.3%),
which is secured by a 195,009 square foot anchored retail center
located in Vista, CA, approximately 30 miles northeast of San
Diego. The servicer-reported YE 2020 NOI DSCR fell to 1.32x from
2.39x at YE 2019. The YE 2020 DSCR decline was due to lower rental
income and expense reimbursements. However, performance has
improved, and the DSCR as of September 2021 was reported to be
1.79x. The largest tenants are Cinepolis (movie theater; 35.7% of
NRA through November 2023), Frazier Farms (grocer; 12.8%; September
2025), Crunch Fitness (9.7%; April 2026) and Pet Plus (5.4%;
September 2027).
Per the June 2021 rent roll, the property was 93% leased (compared
to 94.7% at issuance). Cinepolis was closed for several months in
2020 due to COVID-19 restrictions but has since reopened. Crunch
Fitness closed briefly, but per its website it is open with safety
precautions in place. Fitch applied a 15% haircut to the annualized
September 2021 NOI to account for exposure to movie theater and gym
tenants.
The second largest FLOC is the Great Wolf Lodge Southern California
loan (3%), which is secured by a 603-key waterpark resort hotel
located in Garden Grove, CA, approximately three miles from
Disneyland. The loan, which had transferred to special servicing in
June 2020 after being impacted by COVID-19 related business
restrictions, has returned to the master servicer following the
April 2021 payment. Forbearance was granted in July 2020 with terms
allowing for the use of existing reserves to pay debt service and
operating expenses, deferral of FF&E payments through 2020 and
exclusion of 2020 financials from debt yield test calculations. In
March 2021, the borrower was granted additional relief through a
second modification, providing for further deferral of the
seasonality reserve, the recovery of utilized reserves/escrows to
be further deferred, exclusion of 2021 financials when calculating
the debt yield tests and moving the April 1, 2022 debt yield test
to April 1, 2023.
The resort reopened in May 22, 2021 and the loan transferred back
to the master servicer following the April 2021 payment. In its
analysis, Fitch applied a 12% cap rate (up from 11.25% at issuance)
and a 20% haircut to YE 2019 NOI to reflect the coronavirus
pandemic's continuing impact on the property. If performance
reverts back to levels reported prior to the pandemic, issuance
assumptions may be relied upon. Fitch also performed an additional
sensitivity scenario which applied a potential outsized loss of 20%
to the current balance of the loan to reflect the unique asset
type, operational risk and high vulnerability of the property to
the ongoing coronavirus pandemic.
Minimal Changes to Credit Enhancement (CE): As of the December 2021
remittance reporting, the pool's aggregate balance has paid down by
0.85% to $825.9 million from $833.0 million at issuance. No loans
have been paid off since issuance and one loan (1.3%) has been
defeased. The pool has 24 full-term, interest-only loans (60.7%)
and 16 partial interest-only loans (23%). From securitization to
maturity, the pool is projected to pay down by 5.7%.
Alternative Loss Consideration; Coronavirus Exposure: Two loans
(4.2%) are secured by hotel properties and 20 loans (25.7%) are
secured by retail properties. Fitch's sensitivity analysis applied
an additional stress to the pre-pandemic cash flows for two hotel
loans given the significant 2020 NOI declines related to the
pandemic; despite these additional stresses combined with the
outsized loss of 20% on the Great Wolf Lodge Southern California
loan, the Outlooks for classes F and G (and interest only classes
X-F 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.
Credit Opinion Loans: Four loans, representing 20.9% of the pool,
had investment-grade credit opinions at issuance, including Tower
28, ILPT Hawaii Portfolio, Landmark West Loop and Southgate Owners
Corp.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- An increase in pool-level losses from underperforming or
specially serviced loans. Downgrades to classes A-1, A-2, A-3,
A-4, A-SB, 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, X-B and X-C may occur should
expected losses for the pool increase significantly and/or the
FLOCs and/or loans susceptible to the pandemic suffer losses.
-- Downgrades to classes D, X-D, E, F, X-F, G and X-G 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, X-B and X-C 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, X-D, E, F, X-F, G and X-G 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.
BARINGS CLO 2016-II: Moody's Gives Ba3 Rating to Class E-R2 Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
CLO refinancing notes (the "Refinancing Notes") issued by Barings
CLO Ltd. 2016-II (the "Issuer").
Moody's rating action is as follows:
US$4,000,000 Class X-R2 Senior Secured Floating Rate Notes due
2032, Assigned Aaa (sf)
US$224,000,000 Class A-R2 Senior Secured Floating Rate Notes due
2032, Assigned Aaa (sf)
US$38,500,000 Class B-R2 Senior Secured Floating Rate Notes due
2032, Assigned Aa2 (sf)
US$17,150,000 Class C-R2 Secured Deferrable Mezzanine Floating Rate
Notes due 2032, Assigned A2 (sf)
US$22,400,000 Class D-R2 Secured Deferrable Mezzanine Floating Rate
Notes due 2032, Assigned Baa3 (sf)
US$18,200,000 Class E-R2 Secured Deferrable Mezzanine Floating Rate
Notes due 2032, Assigned Ba3 (sf)
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks particularly those associated with the
CLO's portfolio and structure.
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least
92.5% of the portfolio must consist of senior secured loans and
eligible investments, and up to 7.5% of the portfolio may consist
of second-lien loans, unsecured loans and permitted non-loan
assets.
Barings 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 two 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 and additional
subordinated notes, a variety of other changes to transaction
features will occur in connection with the refinancing. These
include: reinstatement of the non-call period and reinvestment
period; extension of the stated maturity; changes to certain
collateral quality tests; changes to the overcollateralization test
levels; changes to 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.
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.
BLACKROCK BAKER 2021-1: S&P Assigns BB- (sf) Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Blackrock Baker CLO
2021-1 Ltd./Blackrock Baker CLO 2021-1 LLC's floating- and
fixed-rate debt.
The debt issuance is a CLO securitization backed by primarily
middle-market speculative-grade (rated 'BB+' and lower) senior
secured term loans.
The ratings reflect S&P's view of:
-- 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
Blackrock Baker CLO 2021-1 Ltd. /Blackrock Baker CLO 2021-1 LLC
Class X(i), $23.10 million: AAA (sf)
Class A-1, $226.30 million: AAA (sf)
Class A-L, $25.00 million: AAA (sf)
Class A-F, $10.00 million: AAA (sf)
Class B, $46.25 million: AA (sf)
Class C (deferrable), $46.25 million: A- (sf)
Class D (deferrable)(ii), $35.90 million: BBB- (sf)
Class E (deferrable)(ii), $30.60 million: BB- (sf)
Variable dividend notes, $52.00 million: Not rated
(i)The class X notes are expected to be paid down using interest
proceeds during the first 15 payment dates in equal installments of
$1.54 million.
(ii)The class D and E notes can be paid down before other more
senior classes of notes due to a turbo feature that allows for
paydowns with excess spread that would otherwise flow out to the
variable dividend notes. The excess spread used to de-lever the
class D and E notes is made available below the transaction's
coverage tests, as well as uncapped subordinated expenses, in the
payment waterfall.
BXP TRUST 2021-601L: Moody's Rates Class E Debt 'Ba2'
-----------------------------------------------------
Moody's Investors Service has assigned definitive ratings to six
classes of CMBS securities, issued by BXP Trust 2021-601L,
Commercial Mortgage Pass-Through Certificates, Series 2021-601L
Cl. A, Definitive Rating Assigned Aaa (sf)
Cl. X*, Definitive Rating Assigned Aa1 (sf)
Cl. B, Definitive Rating Assigned Aa3 (sf)
Cl. C, Definitive Rating Assigned A3 (sf)
Cl. D, Definitive Rating Assigned Baa3 (sf)
Cl. E, Definitive Rating Assigned 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 its Large Loan and Single Asset/Single Borrower
CMBS methodology and its 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 considers 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 makes various adjustments to the MLTV. Moody's
adjusts the MLTV for each loan using a value that reflects
capitalization (cap) rates that are between its sustainable cap
rates and market cap rates. Moody's also 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 its stabilized net cash flow.
Moody's LTV ratio for the first mortgage balance is 100.7% based on
its Moody's Value. Adjusted Moody's LTV ratio for the first
mortgage balance is 87.4% based on its 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.
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 its
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.
CARLYLE US 2021-11: S&P Assigns BB- (sf) Rating on Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned ratings to Carlyle US CLO 2021-11
Ltd./Carlyle US CLO 2021-11 LLC's 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 Carlyle CLO Management LLC, a
subsidiary of the Carlyle Group.
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; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Carlyle US CLO 2021-11 Ltd./Carlyle US CLO 2021-11 LLC
Class A, $279.00 mil.: AAA (sf)
Class B, $63.00 mil.: AA (sf)
Class C, $27.00 mil.: A (sf)
Class D (deferrable), $27.00 mil.: BBB- (sf)
Class E (deferrable), $18.00 mil.: BB- (sf)
Subordinated notes, $40.92 mil.: Not rated
CIFC FUNDING 2014-IV-R: Moody's Rates Class E-R Notes Due 2035 'B3'
-------------------------------------------------------------------
Moody's Investors Service has assigned ratings to nine classes of
CLO refinancing notes (the "Refinancing Notes") issued by CIFC
Funding 2014-IV-R, Ltd. (the "Issuer").
Moody's rating action is as follows:
US$5,250,000 Class X-R Senior Secured Floating Rate Notes due 2035,
Assigned Aaa (sf)
US$325,500,000 Class A-1a-R Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)
US$15,750,000 Class A-1b-R Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)
US$48,750,000 Class A-2a-R Senior Secured Floating Rate Notes due
2035, Assigned Aa2 (sf)
US$9,000,000 Class A-2b-R Senior Secured Fixed Rate Notes due 2035,
Assigned Aa2 (sf)
US$25,200,000 Class B-R Mezzanine Secured Deferrable Floating Rate
Notes due 2035, Assigned A2 (sf)
US$32,550,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2035, Assigned Baa3 (sf)
US$26,250,000 Class D-R Junior Secured Deferrable Floating Rate
Notes due 2035, Assigned Ba3 (sf)
US$7,875,000 Class E-R Junior Secured Deferrable Floating Rate
Notes due 2035, Assigned B3 (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 95%
of the portfolio must consist of senior secured loans and eligible
investments, and up to 5% of the portfolio may consist, in the
aggregate, of assets that are not senior secured loans or eligible
investments; provided that not more than 5.0% of the collateral
principal amount may consist of 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 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 and additional
subordinated notes, a variety of other changes to transaction
features will occur in connection with the refinancing. These
include: reinstatement of the non-call period and reinvestment
period; extension of the stated maturity; changes to certain
collateral quality tests; changes to the overcollateralization test
levels; changes to Libor replacement provisions; additions to the
CLO's ability to hold workout and restructured assets; changes to
the definition of "Adjusted Weighted Average Moody's 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 2021.
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: $525,000,000
Diversity Score: 90
Weighted Average Rating Factor (WARF): 3006
Weighted Average Spread (WAS): 3.45%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 47.50%
Weighted Average Life (WAL): 8 years
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 MORTGAGE 2021-RP6: Fitch Gives Final B Rating to B-2 Debt
-------------------------------------------------------------------
Fitch Ratings has assigned Final ratings to Citigroup Mortgage Loan
Trust 2021-RP6 (CMLTI 2021-RP6).
DEBT RATING PRIOR
---- ------ -----
CMLTI 2021-RP6
A-1 LT AAAsf New Rating AAA(EXP)sf
A-2 LT AAsf New Rating AA(EXP)sf
A-3 LT AAsf New Rating AA(EXP)sf
A-4 LT Asf New Rating A(EXP)sf
A-5 LT BBBsf New Rating BBB(EXP)sf
M-1 LT Asf New Rating A(EXP)sf
M-2 LT BBBsf New Rating BBB(EXP)sf
B-1 LT BBsf New Rating BB(EXP)sf
B-2 LT Bsf New Rating B(EXP)sf
B-3 LT NRsf New Rating NR(EXP)sf
B-4 LT NRsf New Rating NR(EXP)sf
B-5 LT NRsf New Rating NR(EXP)sf
B LT NRsf New Rating NR(EXP)sf
A-IO-S LT NRsf New Rating NR(EXP)sf
X LT NRsf New Rating NR(EXP)sf
SA LT NRsf New Rating NR(EXP)sf
PT LT NRsf New Rating NR(EXP)sf
R LT NRsf New Rating NR(EXP)sf
TRANSACTION SUMMARY
Fitch has rated the residential mortgage-backed notes issued by
Citigroup Mortgage Loan Trust 2021-RP6 (CMLTI 2021-RP6), as
indicated above. The notes are supported by one collateral group
consisting of 7,997 seasoned performing loans (SPLs) and
reperforming loans (RPLs), with a total balance of approximately
$1.28 billion, including $113.6 million, or 8.9%, of the aggregate
pool balance in non-interest bearing deferred principal amounts as
of the cutoff date.
Distributions of P&I and loss allocations are based on a
traditional, senior-subordinate, sequential-pay structure. The
sequential-pay structure locks out principal to the subordinated
notes until the most senior notes outstanding are paid in full. The
servicer will not advance delinquent monthly payments of P&I.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 10.6% 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.
Distressed Performance History (Negative): The collateral pool
consists primarily of peak-vintage SPLs and RPLs. After adjusting
for coronavirus-related forbearance loans, 2.2% of the pool was 30
days' delinquent as of the cutoff date, and 43% of loans are
current but have had delinquencies within the past 24 months (after
being adjusted for Fitch's treatment of coronavirus-related
forbearance and deferral loans). Approximately 94% of the pool by
unpaid principal balance has been modified. Fitch increased its
loss expectations to account for the delinquent loans and the loans
with prior delinquencies. See the Asset Analysis section for
additional information.
Sequential-Pay 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
those classes in the absence of servicer advancing.
No Servicer P&I Advances (Mixed): The servicer will not advance
delinquent monthly payments of P&I, which reduces liquidity to the
trust. P&I advances made on behalf of loans that become delinquent
and eventually liquidate reduce liquidation proceeds to the trust.
Due to the lack of P&I advancing, the loan-level loss severity is
less for this transaction than for those where the servicer is
obligated to advance P&I. Structural provisions and cash flow
priorities, together with increased subordination, provide for
timely payments of interest to the 'AAAsf' and 'AAsf' rated
classes.
CMLTI 2021-RP6 has an ESG Relevance Score of '4' [+] for
transaction parties and operational risk. Operational risk is well
controlled for in CMLTI 2021-RP6, including strong R&Ws and
transaction due diligence, as well as a strong servicer, which
resulted in a reduction in expected losses.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- The defined negative rating sensitivity analysis demonstrates
how the ratings would react to steeper market value declines
(MVDs) at the national level. The analysis assumes MVDs of
10.0%, 20.0% and 30.0%, in addition to the model-projected
41.9% at 'AAA'.
-- The analysis indicates there is some potential for rating
migration with higher MVDs for all rated classes compared with
the model projection. Specifically, a 10.0% 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:
-- The defined positive rating sensitivity analysis demonstrates
how the ratings would react to positive home price growth of
10.0% with no assumed overvaluation. Excluding the senior
class, which is already rated 'AAAsf', the analysis indicates
there is potential for positive rating migration for all of
the rated classes.
-- Specifically, a 10.0% gain in home prices would result in a
full category upgrade for the rated classes excluding those
being assigned ratings of 'AAAsf'.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC. The third-party due diligence review was
completed on 100% of the loans in this transaction. The scope of
the due diligence review was consistent with Fitch criteria for
seasoned collateral. While all but six loans are seasoned 24 months
or greater, 271 loans received a credit and property valuation
review in additional to a regulatory compliance review. All loans
received an updated tax and title search and review of servicing
comments.
Fitch considered this information in its analysis and, as a result,
Fitch made the following adjustments to its analysis: increased the
loss severity due to HUD-1 issues, material TRID exceptions and
delinquent tax or outstanding liens. These adjustments resulted in
an increase in the 'AAAsf' expected loss of approximately 73bps.
ESG CONSIDERATIONS
CMLTI 2021-RP6 has an ESG Relevance Score of '4' [+] for
transaction parties and operational risk due to a highly-rated
servicer, strong R&Ws and transaction due diligence, 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.
GALLATIN CLO VIII: Moody's Rates $10.5MM Class F-R Notes 'B1'
-------------------------------------------------------------
Moody's Investors Service has assigned ratings to eleven classes of
CLO refinancing notes (the "Refinancing Notes") issued by Gallatin
CLO VIII 2017-1, Ltd. (the "Issuer").
Moody's rating action is as follows:
US$9,000,000 Class X-R Senior Secured Floating Rate Notes Due 2031,
Assigned Aaa (sf)
US$308,700,000 Class A-1-R Senior Secured Floating Rate Notes Due
2031, Assigned Aaa (sf)
US$12,300,000 Class A-2-R Senior Secured Floating Rate Notes Due
2031, Assigned Aaa (sf)
US$32,000,000 Class B-1-R Senior Secured Floating Rate Notes Due
2031, Assigned Aa1 (sf)
US$6,000,000 Class B-2-R Senior Secured Fixed Rate Notes Due 2031,
Assigned Aa1 (sf)
US$22,000,000 Class C-1-R Deferrable Mezzanine Floating Rate Notes
Due 2031, Assigned A2 (sf)
US$7,000,000 Class C-2-R Deferrable Mezzanine Fixed Rate Notes Due
2031, Assigned A2 (sf)
U.S.$22,500,000 Class D-1-R Deferrable Mezzanine Floating Rate
Notes Due 2031, Assigned Baa2 (sf)
US$10,500,000 Class D-2-R Deferrable Mezzanine Fixed Rate Notes Due
2031, Assigned Ba1 (sf)
US$17,300,000 Class E-R Deferrable Mezzanine Floating Rate Notes
Due 2031, Assigned Ba2 (sf)
US$10,500,000 Class F-R Deferrable Mezzanine Fixed Rate Notes Due
2031, Assigned B1 (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 95%
of the portfolio must consist of senior secured loans, and up to 5%
of the portfolio may consist of second lien loans and senior
unsecured loans.
Aquarian Credit Partners 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 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
"Moody's 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 2021.
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: $483,000,000
Diversity Score: 50
Weighted Average Rating Factor (WARF): 2740
Weighted Average Spread (WAS): 3.30%
Weighted Average Recovery Rate (WARR): 46.00%
Weighted Average Life (WAL): 4.6 years
HOME RE 2021-1: Moody's Hikes Rating on Class M-2 Debt to Ba3
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of four tranches
from Home Re 2021-1 Ltd. Home Re 2021-1 transfers to the capital
markets the credit risk of private mortgage insurance (MI)
policies, issued by Mortgage Guaranty Insurance Corporation, the
ceding insurer, on a portfolio of residential mortgage loans.
The complete rating actions are as follows:
Issuer: Home Re 2021-1 Ltd.
Cl. M-1A, Upgraded to A2 (sf); previously on Feb 2, 2021 Definitive
Rating Assigned Baa2 (sf)
Cl. M-1B, Upgraded to Baa1 (sf); previously on Feb 2, 2021
Definitive Rating Assigned Baa3 (sf)
Cl. M-1C, Upgraded to Baa3 (sf); previously on Feb 2, 2021
Definitive Rating Assigned Ba2 (sf)
Cl. M-2, Upgraded to Ba3 (sf); previously on Feb 2, 2021 Definitive
Rating Assigned B2 (sf)
RATINGS RATIONALE
The upgrade actions are primarily driven by the increased levels of
credit enhancement available to the bonds and the reduction in
projected losses. Driven by the low interest rate environment, Home
Re 2021-1 has experienced high prepayment rates over the last few
months. The three-month average CPR was approximately 23% with no
loss on the insured balance under the reinsurance agreement. High
prepayments and the sequential pay structures have benefited the
bonds by increasing the paydown speed and building up credit
enhancement.
On the closing date, the issuer and the ceding insurer entered into
a reinsurance agreement providing excess of loss reinsurance on
mortgage insurance policies issued by the ceding insurer on a
portfolio of residential mortgage loans. Proceeds from the sale of
the notes were deposited into the reinsurance trust account for the
benefit of the ceding insurer and as security for the issuer's
obligations to the ceding insurer under the reinsurance agreement.
The funds in the reinsurance trust account were also available to
pay noteholders, following the termination of the trust and payment
of amounts due to the ceding insurer. Funds in the reinsurance
trust account were used to purchase eligible investments and are
subject to the terms of the reinsurance trust agreement.
Following instructions from the ceding insurer, the trustee
liquidates assets in the reinsurance trust account to (1) make
principal payments to the notes as the insurance coverage in the
reference pool reduces due to loan amortization or policy
termination, and (2) reimburse the ceding insurer whenever it pays
MI claims once the bottom (not offered) coverage levels are written
off. While income earned on eligible investments is used to pay
interest on the notes, the ceding insurer is responsible for
covering any difference between the investment income and interest
accrued on the notes' coverage levels.
In its analysis, Moody's considered the additional risk posed by
borrowers enrolled in payment relief programs. Moody's said, "We
increased our MILAN model-derived median expected losses by 15% and
our Aaa losses by 5% to reflect the performance deterioration
resulting from a slowdown in US economic activity due to the
COVID-19 outbreak. This loss increase was based on our assessment
of the additional losses if 50% of such loans incur a deferral of
the missed payments or a modification to the loan terms.
"Our updated loss expectation on the pool incorporates, amongst
other factors, our 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 loan originations.
"The action has considered how the coronavirus pandemic has
reshaped US economic environment and the way its aftershocks will
continue to reverberate and influence the performance of
residential mortgage loans. We expect the public health situation
to improve as vaccinations against COVID-19 increase and societies
continue to adapt to new protocols. Still, the exit from the
pandemic will likely be bumpy and unpredictable and economic
prospects will vary.
"We regard the coronavirus outbreak as a social risk under our ESG
framework, given the substantial implications for public health and
safety."
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 this transaction. 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.
JP MORGAN 2013-C16: Fitch Affirms CCC Rating on Class F Certs
-------------------------------------------------------------
Fitch Ratings has affirmed all classes and revised the Outlook on
one class of J.P. Morgan Chase Commercial Mortgage Securities Trust
(JPMCC) commercial mortgage pass-through certificates series
2013-C16.
DEBT RATING PRIOR
---- ------ -----
JPMCC 2013-C16
A-3 46641BAC7 LT AAAsf Affirmed AAAsf
A-4 46641BAD5 LT AAAsf Affirmed AAAsf
A-S 46641BAH6 LT AAAsf Affirmed AAAsf
A-SB 46641BAE3 LT AAAsf Affirmed AAAsf
B 46641BAJ2 LT AA-sf Affirmed AA-sf
C 46641BAK9 LT A-sf Affirmed A-sf
D 46641BAP8 LT BBB-sf Affirmed BBB-sf
E 46641BAR4 LT Bsf Affirmed Bsf
EC 46641BAL7 LT A-sf Affirmed A-sf
F 46641BAT0 LT CCCsf Affirmed CCCsf
X-A 46641BAF0 LT AAAsf Affirmed AAAsf
X-B 46641BAG8 LT AA-sf Affirmed AA-sf
KEY RATING DRIVERS
Improved Loss Expectations: The Outlook revision to Stable from
Negative on class D reflects improved loss expectations for the
pool since Fitch's last rating action, driven by the expected
return of the largest specially serviced loan (Hilton Richmond
Hotel & Spa, 5.3% of pool) to the master servicer, the defeasance
of an underperforming student housing loan that was previously a
top loss contributor (College Grove Student Apartments, 2% of pool)
and better than expected 2020 performance on some of the larger
Fitch Loans of Concern (FLOCs).
Fitch's current ratings reflect a base case loss of 6.90%. There
are 12 FLOCs (48.7%), including two specially serviced loans (7%).
Seven of these FLOCs (43%) are in the top 15 and are flagged for
declining performance as a result of the coronavirus pandemic,
lower occupancy and/or upcoming lease rollover concerns. The
Negative Outlook on class E reflects potential maturity defaults on
these larger FLOCs should performance not stabilize and/or
deteriorate further.
The largest improvement in loss since the last rating action is the
Hilton Richmond Hotel & Spa loan (5.3%), which is secured by a
254-key hotel in Richmond, VA. The loan, which was one of the
largest contributors to loss at the last rating action, transferred
to special servicing in April 2020 for imminent monetary default
due to the coronavirus pandemic. A receiver was appointed in
February 2021. A foreclosure sale had also been scheduled, but was
postponed when the borrower began reinstatement discussions. The
borrower brought the loan current with the execution of a
reinstatement agreement in October 2021.
A consent order for dismissing the receiver was signed and sent to
the court. The receiver is working with the borrower on an orderly
transfer of operations back to borrower. Per STR and as of TTM
September 2021, property occupancy, ADR and RevPAR were 50.3%, $120
and $60, respectively, compared to 51.2%, $117 and $60 for the
competitive set. The loan is expected to be returned to the master
servicer in 1Q22. Fitch's analysis reflects a stressed value per
key of approximately $149,000.
The largest FLOC is The Aire loan (16.6%), which is secured by a
310-unit luxury, multifamily property located in the Upper West
Side of Manhattan across the street from Lincoln Center and within
walking distance of Central Park and Columbus Circle. NOI DSCR has
declined to 0.31x as of September 2021 from 0.58x at YE 2020, 0.78x
at YE 2019 and 0.90x at YE 2018.
The performance declines are primarily related to higher operating
expenses, mainly real estate taxes, which have increased by $3.6
million since issuance levels of $1.1 million and are expected to
further increase to $6.6 million by 2023, when the 10-year tax
abatement expires. Additionally, gross revenues and renewal rates
have declined. Per the servicer, significant concessions are being
offered at the property to offset soft market conditions.
Additionally, occupancy for the retail component fell to 71.4% (as
of June 2020) due to tenant Flywheel whose lease was rejected after
its Chapter 7 bankruptcy filing. The multifamily occupancy was 99%
as of September 2021, compared to 70% at YE 2020 and 95% in March
2020.
The borrower has funded debt service and operating shortfalls
through 2021. Fitch's loss expectation of 15% is based on a 7.50%
cap rate and 5% haircut to the YE 2019 NOI, with positive
consideration given due to the property quality and location which
recognizes that ultimate losses may be lower than currently
expected.
Improved Credit Enhancement: Credit enhancement has increased due
to loan payoffs, continued scheduled amortization and additional
defeasance since Fitch's last rating action. As of December 2021,
the pool's aggregate principal balance has been reduced by 35.5% to
$732.4 million from $1.136 billion at issuance. Realized losses to
date for the pool total 0.6% of the original pool balance. There
are 19 loans (29.4%) that are fully defeased, four (7.4%) of which
have occurred since the last rating action. One loan, 1615 L Street
(4.7%), is full-term, interest only. Approximately 57% of the pool
had partial interest-only payments, all of which are now
amortizing.
Coronavirus Exposure: Multifamily properties represented 26.1% of
the pool, of which the largest loan, The Aire comprises 16.6%.
Retail and hotel properties represented 16.3% of the pool (11
loans/assets) and 10.7% (two loans), respectively.
The largest retail loan is the Miracle Mile Shops (4.6%), which is
secured by a 448,835-sf regional mall located at the base of the
Planet Hollywood Resort & Casino on the Las Vegas Strip. The
collateral includes an adjacent 11-story parking garage. The loan
is considered a FLOC due to the large theater/specialty tenants
which are vulnerable to coronavirus pandemic. The largest tenant is
V Theater (8.5% of NRA; December 2023) and the third largest tenant
is Race and Sports Book (4.3%; July 2045).
The loan, which transferred to special servicing in August 2020 due
to the borrower requesting coronavirus relief, was modified. Terms
include a seven-month deferral of principal payments and leasing
reserve deposits from August 2020 through February 2021, with
repayment beginning in March 2021. The loan was subsequently
returned to the master servicer later in August 2020.
YE 2020 NOI DSCR declined to 1.01x at YE 2020 from 1.41x at YE19
and 1.55x YE18. The mall was temporarily closed due to the pandemic
in March 2020 and re-opened in July 2020. Occupancy fell to 89.2%
as of August 2021 from 96.7% in April 2020 and 98% in December
2019. The former second-largest tenant, Saxe Theater (5%), and
several other smaller tenants, vacated in 2020 during the
pandemic.
The mall had strong historical sales performance prior to the
pandemic and has improved recently from pandemic lows. The most
recently reported TTM August 2021 inline sales were $778 psf, up
from $473 psf the prior year. Pre-pandemic, inline sales were $835
psf as of TTM February 2020, $817 as of TTM March 2019 and $868 psf
at issuance in 2013. Fitch's analysis includes a 20% haircut to the
YE 2019 NOI to account for coronavirus performance concerns.
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 class A-3, A-4, A-SB, A-S, B, X-A and X-B are not expected
given their high CE relative to expected losses and continued
amortization, but may occur if interest shortfalls occur or if
a high proportion of the pool defaults and expected losses
increase considerably.
-- Downgrades to classes C, D and EC are possible should
additional defaults occur or loss expectations increase. A
downgrade to class E 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 and/or higher
losses than expected are incurred on the specially serviced
loans. A downgrade to class F would occur as losses are
realized or with a greater certainty of loss.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Stable to improved performance of the overall pool coupled
with additional paydown and/or increased defeasance. Upgrades
to classes B, C, EC 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 and E may occur as the number of FLOCs
are reduced, properties vulnerable to the pandemic further
stabilize and/or return to pre-pandemic levels and there is
sufficient CE to the classes. An upgrade to class F is not
likely absent significant improvement on the FLOCs and
substantially higher recoveries than expected on the specially
serviced loans/assets.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
JP MORGAN 2021-15: Moody's Rates Class B-5 Certificates 'B3'
------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 60
classes of residential mortgage-backed securities (RMBS) issued by
J.P. Morgan Mortgage Trust (JPMMT) 2021-15. The ratings range from
Aaa (sf) to B3 (sf).
JPMMT 2021-15 is the fifteenth prime jumbo transaction in 2021
issued by J.P. Morgan Mortgage Acquisition Corporation (JPMMAC).
Moody's said, "The credit characteristics of the mortgage loans
backing this transaction are similar to both recent JPMMT
transactions and other prime jumbo issuers that we have rated. We
consider the overall servicing framework for this pool to be
adequate given the servicing arrangement of the servicers, as well
as the presence of an experienced master servicer."
JPMMT 2021-15 has a shifting interest structure with a five-year
lockout period that benefits from a senior subordination floor and
a subordinate floor. "We coded the cash flow to each of the
certificate classes using Moody's proprietary cash flow tool. In
coding the cash flow, we took into account the step-up incentive
servicing fee structure," Moody's said.
In this transaction, the Class A-11, A-11-A and A-11-B notes'
coupon is indexed to SOFR. However, based on the transaction's
structure, the particular choice of benchmark has no credit impact.
First, interest payments to the notes, including the floating rate
notes, are subject to the net WAC cap, which prevents the floating
rate notes from incurring interest shortfalls as a result of
increases in the benchmark index above the fixed rates at which the
assets bear interest. Second, the shifting-interest structure pays
all interest generated on the assets to the bonds and does not
provide for any excess spread.
Moody's bases its ratings on the certificates on the credit quality
of the mortgage loans, the structural features of the transaction,
its review of the origination quality and servicing arrangement,
the strength of the third-party review (TPR) and the
representations and warranties (R&W) framework of the transaction.
The complete rating actions are as follows:
Issuer: J.P. Morgan Mortgage Trust 2021-15
Cl.A-1, Definitive Rating Assigned Aaa (sf)
Cl.A-1-A, Definitive Rating Assigned Aaa (sf)
Cl.A-2, Definitive Rating Assigned Aaa (sf)
Cl.A-2-A, Definitive Rating Assigned Aaa (sf)
Cl.A-3, Definitive Rating Assigned Aaa (sf)
Cl.A-3-A, Definitive Rating Assigned Aaa (sf)
Cl.A-3-X*, Definitive Rating Assigned Aaa (sf)
Cl.A-4, Definitive Rating Assigned Aaa (sf)
Cl.A-4-A, Definitive Rating Assigned Aaa (sf)
Cl.A-4-X*, Definitive Rating Assigned Aaa (sf)
Cl.A-5, Definitive Rating Assigned Aaa (sf)
Cl.A-5-A, Definitive Rating Assigned Aaa (sf)
Cl.A-5-B, Definitive Rating Assigned Aaa (sf)
Cl.A-5-X*, Definitive Rating Assigned Aaa (sf)
Cl.A-6, Definitive Rating Assigned Aaa (sf)
Cl.A-6-A, Definitive Rating Assigned Aaa (sf)
Cl.A-6-X*, Definitive Rating Assigned Aaa (sf)
Cl.A-7, Definitive Rating Assigned Aaa (sf)
Cl.A-7-A, Definitive Rating Assigned Aaa (sf)
Cl.A-7-B, Definitive Rating Assigned Aaa (sf)
Cl.A-7-X*, Definitive Rating Assigned Aaa (sf)
Cl.A-8, Definitive Rating Assigned Aaa (sf)
Cl.A-8-A, Definitive Rating Assigned Aaa (sf)
Cl.A-8-X*, Definitive Rating Assigned Aaa (sf)
Cl.A-9, Definitive Rating Assigned Aaa (sf)
Cl.A-9-A, Definitive Rating Assigned Aaa (sf)
Cl.A-9-X*, Definitive Rating Assigned Aaa (sf)
Cl.A-10, Definitive Rating Assigned Aaa (sf)
Cl.A-10-A, Definitive Rating Assigned Aaa (sf)
Cl.A-10-X*, Definitive Rating Assigned Aaa (sf)
Cl.A-11, Definitive Rating Assigned Aaa (sf)
Cl.A-11-X*, Definitive Rating Assigned Aaa (sf)
Cl.A-11-A, Definitive Rating Assigned Aaa (sf)
Cl.A-11-AI*, Definitive Rating Assigned Aaa (sf)
Cl.A-11-B, Definitive Rating Assigned Aaa (sf)
Cl.A-11-BI*, Definitive Rating Assigned Aaa (sf)
Cl.A-12, Definitive Rating Assigned Aaa (sf)
Cl.A-13, Definitive Rating Assigned Aaa (sf)
Cl.A-13-A, Definitive Rating Assigned Aaa (sf)
Cl.A-14, Definitive Rating Assigned Aa1 (sf)
Cl.A-15, Definitive Rating Assigned Aa1 (sf)
Cl.A-15-A, Definitive Rating Assigned Aa1 (sf)
Cl.A-15-B, Definitive Rating Assigned Aa1 (sf)
Cl.A-15-C, Definitive Rating Assigned Aa1 (sf)
Cl.A-16, Definitive Rating Assigned Aaa (sf)
Cl.A-17, Definitive Rating Assigned Aaa (sf)
Cl.A-X-1*, Definitive Rating Assigned Aaa (sf)
Cl.A-X-2*, Definitive Rating Assigned Aaa (sf)
Cl.A-X-3*, Definitive Rating Assigned Aaa (sf)
Cl.A-X-3A*, Definitive Rating Assigned Aaa (sf)
Cl.A-X-4*, Definitive Rating Assigned Aa1 (sf)
Cl.B-1, Definitive Rating Assigned Aa3 (sf)
Cl.B-1-A, Definitive Rating Assigned Aa3 (sf)
Cl.B-1-X*, Definitive Rating Assigned Aa3 (sf)
Cl.B-2, Definitive Rating Assigned A3 (sf)
Cl.B-2-A, Definitive Rating Assigned A3 (sf)
Cl.B-2-X*, Definitive Rating Assigned A3 (sf)
Cl.B-3, Definitive Rating Assigned Baa3 (sf)
Cl.B-4, Definitive Rating Assigned Ba3 (sf)
Cl.B-5, Definitive Rating Assigned B3 (sf)
*Reflects Interest-Only Classes
RATINGS RATIONALE
Moody's expected loss for this pool in a baseline scenario-mean is
0.67%, in a baseline scenario-median is 0.46% and reaches 4.82% at
a stress level consistent with its Aaa ratings.
Collateral Description
We assessed the collateral pool as of December 1, 2021, the cut-off
date. The deal will be backed by 1,005 fully amortizing fixed-rate
mortgage loans with an aggregate unpaid principal balance (UPB) of
$1,067,671,101 and an original term to maturity of up to 30 years.
The pool consists of prime jumbo non-conforming (approximately
97.2% by UPB) and GSE-eligible (conforming) (approximately 2.8% by
UPB) mortgage loans. The GSE-eligible loans were underwritten
pursuant to GSE guidelines and were approved by Fannie Mae's
Desktop Underwriter Program or Freddie Mac's Loan Product Advisor
Program.
All of the mortgage loans were underwritten to the Qualified
Mortgages (QM) standard. Approximately 3.9% of the mortgage loans
by UPB are designated as safe harbor QM and meet Appendix Q to the
QM rules, approximately 2.4% of the mortgage loans by UPB are
designated as Agency Safe Harbor loans, and 93.7% of the mortgage
loans by UPB are designated as Safe Harbor APOR loans, for which
mortgage loans are not underwritten to meet Appendix Q but satisfy
AUS with additional overlays of originators. As part of the
origination quality review and based on the documentation
information Moody's received in the ASF tape, Moody's concluded
that all loans were fully documented and therefore, Moody's ran
these loans as "full documentation" loans in its MILAN model.
Similar to recently rated JPMMT transactions, the collateral pool
is of strong credit quality and includes borrowers with a weighted
average (WA) primary borrower FICO of 767, low loan-to-value ratios
(WA LTV 70.6%), high borrower monthly incomes (about $37,872) and
substantial liquid cash reserves (approximately $333,266), on a WA
basis, respectively. Approximately 49.2% of the mortgage loans (by
UPB) were originated in California which includes metropolitan
statistical areas (MSAs) Los Angeles (18.0% by UPB) and San
Francisco (9.1% by UPB). The high geographic concentration in
high-cost MSAs is reflected in the high average balance of the pool
($1,062,359). As of the cut-off date, none of the borrowers of the
mortgage loans have inquired about or requested forbearance plans
with the related servicer or have previously entered into a
COVID-19 related forbearance plan with the related servicer.
Aggregation/Origination Quality
Moody's considers JPMMAC's aggregation platform to be adequate, and
therefore, Moody's do not apply a separate loss-level adjustment
for aggregation quality. In addition to reviewing JPMMAC
aggregation quality, Moody's has also reviewed the origination
quality of originator(s) contributing a significant percentage of
the collateral pool (above 10% by UPB).
United Wholesale Mortgage, LLC (UWM) and loanDepot.com,
LLC(loanDepot) originated approximately 70.4% and 18.0% of the
mortgage loans (by UPB) in the pool. The remaining originators each
account for less than 3.0% (by UPB) in the pool (11.6% by UPB in
the aggregate). Approximately 2.95% and 0.28% of the mortgage loans
(by UPB) were acquired by the JPMMAC from MAXEX Clearing LLC and
Verus Mortgage Trust 1A, respectively, which purchased such
mortgage loans from the related originators or from an unaffiliated
third party which directly or indirectly purchased such mortgage
loans from the related originators.
Moody's do not make an adjustment for GSE-eligible loans, since
those loans were underwritten in accordance with GSE guidelines.
However, Moody's has increased its base case and Aaa loss
expectations for certain originators of non-conforming loans where
Moody's either (a) do not have clear insight into the underwriting
practices, quality control and credit risk management or (b)
concluded, post origination review, that such originators'
origination quality is weaker than that of its peers.
Servicing Arrangement
Moody's considers the overall servicing framework for this pool to
be adequate given the servicing arrangement of the servicers, as
well as the presence of an experienced master servicer, Nationstar
Mortgage LLC (Nationstar) (Nationstar Mortgage Holdings Inc.
corporate family rating B2).
United Shore Financial Services (subserviced by Cenlar FSB),
JPMorgan Chase Bank, National Association (JPMCB), loanDepot.com,
LLC (subserviced by Cenlar FSB), A&D Mortgage LLC and First
National Bank of Pennsylvania are the principal servicers in this
transaction and will service approximately 70.4%, 10.6%, 18.0%,
0.7% and 0.2% of loans (by UPB of the mortgage), respectively.
NewRez LLC f/k/a New Penn Financial, LLC d/b/a Shellpoint Mortgage
Servicing will act as interim servicer for the mortgage loans
serviced by JPMCB from the closing date until the servicing
transfer date, which is expected to occur on or about February 1,
2022 (but which may occur after such date).
The servicers are required to advance principal and interest (P&I)
on the mortgage loans. To the extent that the servicers are unable
to do so, the master servicer will be obligated to make such
advances. In the event that the master servicer, Nationstar, is
unable to make such advances, the securities administrator,
Citibank, N.A. (rated Aa3) will be obligated to do so to the extent
such advance is determined by the securities administrator to be
recoverable. Similar to recent JPMMT transitions, the servicing fee
will be predominantly based on a step-up incentive fee structure
with a monthly base fee of $40 per loan and additional fees for
delinquent or defaulted loans (fixed fee framework servicers, which
will be paid a monthly flat servicing fee equal to one-twelfth of
0.25% of the remaining principal balance of the mortgage loans,
account for less than 1.00% of UPB).
Third-Party Review
The transaction benefits from a TPR on 100% of the loans for
regulatory compliance, credit, property valuation and data
integrity. The TPR results confirm compliance with the originator's
underwriting guidelines for the vast majority of loans, no material
regulatory compliance issues, and no material property valuation
issues. The loans that had exceptions to the originator's
underwriting guidelines had significant compensating factors that
were documented.
R&W Framework
Moody's said, "Our review of the R&W framework takes into account
the financial strength of the R&W providers, scope of R&Ws
(including qualifiers and sunsets) and enforcement mechanisms.
JPMMT 2021-15's R&W framework is in line with that of other JPMMT
transactions we have rated where an independent reviewer is named
at closing, and costs and manner of review are clearly outlined at
issuance. Per our principal methodology, the loan-level R&Ws meet
or exceed the baseline set of credit-neutral R&Ws we have
identified for US RMBS. The R&W framework is "prescriptive",
whereby the transaction documents set forth detailed tests for each
R&W. The originators and the aggregators each make a comprehensive
set of R&Ws for their loans. The creditworthiness of the R&W
provider determines the probability that the R&W provider will be
available and have the financial strength to repurchase defective
loans upon identifying a breach. JPMMAC does not backstop the
originator R&Ws. In this transaction, we've made adjustments to our
base case and Aaa loss expectations for R&W providers that are
unrated and/or financially weaker entities."
Transaction Structure
The transaction has a shifting interest structure in which the
senior bonds benefit from a number of protections. Funds collected,
including principal, are first used to make interest payments to
the senior bonds. Principal payments are made to the senior bonds.
Next, available distribution amounts are used to reimburse realized
losses and certificate write-down amounts for the senior bonds
(after subordinate bonds have been reduced to zero i.e. the credit
support depletion date). Finally, interest and then principal
payments are paid to the subordinate bonds in sequential order.
Realized losses are allocated in a reverse sequential order, first
to the lowest subordinate bond. After the credit support depletion
date (when the balance of the subordinate bonds is written off),
losses from the pool begin to write off the principal balance of
the senior support bond, and finally losses are allocated to the
super senior bonds.
Tail Risk & Subordination Floor
The transaction cash flows follow a shifting interest structure
that allows subordinate bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinate bonds to pay down over time as the loan pool
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 0.75% of the cut-off date pool
balance, and as subordination lockout amount of 0.75% of the
cut-off date pool balance. Moody's calculates the credit neutral
floors as shown in its principal methodology.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
JP MORGAN 2021-INV8: Moody's Rates Class B-5 Debt 'B3'
------------------------------------------------------
Moody's Investors Service has assigned Definitive ratings to 21
classes of residential mortgage-backed securities (RMBS) issued by
J.P. Morgan Mortgage Trust (JPMMT) 2021-INV8. The ratings range
from Aaa (sf) to B3 (sf).
JPMMT 2021-INV8 is the eighth JPMMT transaction in 2021 backed by
100% investment property loans acquired by J.P. Morgan Mortgage
Acquisition Corporation (JPMMAC). JPMMT 2021-INV8 is a
securitization backed by 1,324 fixed rate, non-owner occupied
mortgage loans (designated for investment purposes by the
borrower), with an aggregate unpaid principal balance (UPB) of
approximately $510,419,662.
Four third-party review (TPR) firms verified the accuracy of the
loan level information. These firms conducted detailed credit,
property valuation, data accuracy and compliance reviews on 100.0%
of the mortgage loans in the collateral pool.
Moody's considers the overall servicing framework for this pool to
be adequate given the servicing arrangement which includes, among
other factors, the presence of a master servicer. Nationstar
Mortgage LLC (Nationstar) (Nationstar Mortgage Holdings Inc.
corporate family rating B2) will act as the master servicer.
Pentalpha Surveillance, LLC will be the representations and
warranties (R&W) breach reviewer.
JPMMT 2021-INV8 has a shifting interest structure with a five-year
lockout period that benefits from a senior subordination floor and
a subordinate floor. Moody's coded the cash flow to each of the
certificate classes using Moody's proprietary cash flow tool. In
coding the cash flow, Moody's took into account the step-up
incentive servicing fee structure.
Moody's bases its ratings on the certificates on the credit quality
of the mortgage loans, the structural features of the transaction,
its assessments of the origination quality and servicing
arrangement, the strength of the third-party review (TPR) and the
representations and warranties (R&W) framework of the transaction.
The complete rating actions are as follows:
Issuer: J.P. Morgan Mortgage Trust 2021-INV8
Cl.A-1, Definitive Rating Assigned Aaa (sf)
Cl.A-1-A, Definitive Rating Assigned Aaa (sf)
Cl.A-1-X*, Definitive Rating Assigned Aaa (sf)
Cl.A-2, Definitive Rating Assigned Aaa (sf)
Cl.A-2-A, Definitive Rating Assigned Aaa (sf)
Cl.A-2-X*, Definitive Rating Assigned Aaa (sf)
Cl.A-3, Definitive Rating Assigned Aaa (sf)
Cl.A-3-A, Definitive Rating Assigned Aaa (sf)
Cl.A-3-X*, Definitive Rating Assigned Aaa (sf)
Cl.A-4, Definitive Rating Assigned Aaa (sf)
Cl.A-4-A, Definitive Rating Assigned Aaa (sf)
Cl.A-4-X*, Definitive Rating Assigned Aaa (sf)
Cl.A-5, Definitive Rating Assigned Aa1 (sf)
Cl.A-5-A, Definitive Rating Assigned Aa1 (sf)
Cl.A-5-X*, Definitive Rating Assigned Aa1 (sf)
Cl.A-X-1*, Definitive Rating Assigned Aaa (sf)
Cl.B-1, Definitive Rating Assigned Aa3 (sf)
Cl.B-2, Definitive Rating Assigned A3 (sf)
Cl.B-3, Definitive Rating Assigned Baa3 (sf)
Cl.B-4, Definitive Rating Assigned Ba3 (sf)
Cl.B-5, Definitive Rating Assigned B3 (sf)
*Reflects Interest-Only Classes
RATINGS RATIONALE
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 0.95%, in a baseline
scenario-median is 0.70%, and reaches 5.93% at a stress level
consistent with its Aaa ratings.
Collateral Description
Moody's assessed the collateral pool as of December 1, 2021, the
cut-off date. The deal will be backed by 1,324 fully amortizing
fixed-rate mortgage loans with an aggregate unpaid principal
balance of approximately $510,419,662 and an original term to
maturity of up to 30 years. The pool consists of approximately
75.9% (by UPB) conforming mortgage loans and approximately 24.1%
(by UPB) non-conforming mortgage loans. The GSE-eligible loans were
underwritten pursuant to GSE guidelines and were approved by
DU/LP.
Overall, the pool is of strong credit quality and includes
borrowers with high FICO scores (weighted average primary borrower
FICO of 770) and low loan-to-value ratios (WA CLTV 63.8%). The
weighted average borrower total monthly income is $23,734 with an
weighted average of $357,419 cash reserves. Approximately 49.5% of
the mortgage loans (by UPB) were originated in California followed
by Florida (5.9% by UPB) and New York (4.5% by UPB). The high
geographic concentration in the high-cost state of California is
reflected in the high average balance of the pool ($385,513).
Approximately 20.1% (by UPB) of the mortgage loans are designated
as safe harbor Qualified Mortgages (QM) and meet Appendix Q to the
QM rules with 5.7% (by UPB) of mortgages loans originated under the
new QM APOR framework, and the remaining 79.9% (by UPB) of the
mortgage loans are an extension of credit primarily for a business
or commercial purpose and are not a covered transaction as defined
in Section 1026.43(b)(1) of Regulation Z.
Aggregation/Origination Quality
Moody's considers JPMMAC's aggregation platform to be adequate and
Moody's does not apply a separate loss-level adjustment for
aggregation quality. In addition to reviewing JPMMAC aggregation
quality, Moody's has also reviewed the origination quality of UWM
who originated and sold approximately 65.7% of the mortgage loans
in the pool. Other originators originated less than 10.0% of the
mortgage loans by UPB. Moody's does not make an adjustment for
GSE-eligible loans (75.9% by UPB) since those loans were
underwritten in accordance with GSE guidelines.
Loans originated under UWM's prime jumbo program (24.1% by UPB) are
processed using the Desktop Underwriter (DU) automated underwriting
system, and are therefore predominantly underwritten to Fannie Mae
guidelines. The loans receive a DU Approve Ineligible feedback due
to the (1) loan amount or (2) LTV for non-released prime jumbo
cash-out refinances is over 80%; none of the loans under number 2)
are included in this pool. Moody's has increased its loss
expectations for UWM prime jumbo loans due to the fact that
underwriting prime jumbo loans mainly through DU is fairly new and
no performance history has been provided to Moody's on these types
of loans. More time is needed to assess UWM's ability to
consistently produce high-quality prime jumbo residential mortgage
loans under this program.
Servicing Arrangement
Moody's considers the overall servicing framework for this pool to
be adequate given the servicing arrangement of the servicer, as
well as the presence of an experienced master servicer. Nationstar
will act as the master servicer.
United Wholesale Mortgage, LLC (UWM) will service approximately
65.7% of the mortgage loans, JPMorgan Chase Bank, N.A. (JPMCB) will
servicer 24.7% of mortgage loans, Nationstar will service 4.6% of
the mortgage loans, loanDepot.com, LLC (loanDepot) will service
4.3% of mortgage loans and A&D Mortgage LLC will service 0.6% of
the mortgage loans. Cenlar FSB (Cenlar) will act as sub-servicer
for UWM and loanDepot, Specialized Loan Servicing LLC will act as
sub-servicer for A&D Mortgage LLC. Shellpoint Mortgage Servicing
(Shellpoint) will act as interim servicer for 23.6% of mortgage
loans serviced by JPMMAC.
The servicers are required to advance P&I on the mortgage loans. To
the extent that the servicers are unable to do so, the master
servicer will be obligated to make such advances. In the event that
the master servicer, Nationstar, is unable to make such advances,
the securities administrator, Citibank, N.A. (rated Aa3) will be
obligated to do so to the extent such advance is determined by the
securities administrator to be recoverable. The servicing fee for
loans in this transaction is based on a step-up incentive fee
structure with a monthly base fee of (i) $40 per loan for 15.7% of
mortgage loans and (ii) $25 per loan for 79.1% of mortgage loans
and additional fees for delinquent or defaulted loans.
Third-Party Review
The transaction benefits from a TPR on 100% of the loans for
regulatory compliance, credit and property valuation. The due
diligence results confirm compliance with the originator's
underwriting guidelines for the vast majority of loans, no material
regulatory compliance issues, and no material property valuation
issues. The loans that had exceptions to the originator's
underwriting guidelines had significant compensating factors that
were documented. It should be noted that while the TPR secondary
valuations generally substantiated the original property values,
certain non-conforming loans had secondary valuations which were
performed using only a credit risk score and/or an automatic
valuation model. Moody's took this framework into consideration and
applied a loan level adjustment to the loss for such loans, since
Moody's considers the use of such products, particularly for
non-conforming loans, to be less accurate than desk reviews and
field reviews.
R&W Framework
Moody's review of the R&W framework takes into account the
financial strength of the R&W providers, scope of R&Ws (including
qualifiers and sunsets) and enforcement mechanisms. JPMMT
2021-INV8's R&W framework is in line with that of other JPMMT
transactions Moody's has rated where an independent reviewer is
named at closing, and costs and manner of review are clearly
outlined at issuance. The loan-level R&Ws meet or exceed the
baseline set of credit-neutral R&Ws Moody's has identified for US
RMBS. The R&W framework is "prescriptive", whereby the transaction
documents set forth detailed tests for each R&W.
The originators and the aggregators each makes a comprehensive set
of R&Ws for their loans. The creditworthiness of the R&W provider
determines the probability that the R&W provider will be available
and have the financial strength to repurchase defective loans upon
identifying a breach. JPMMAC does not backstop the originator R&Ws,
except for certain "gap" R&Ws covering the period from the date as
of which such R&W is made by an originator or an aggregator,
respectively, to the cut-off date or closing date. In this
transaction, Moody's has made adjustments to its base case and Aaa
loss expectations for R&W providers that are unrated and/or
financially weaker entities.
Transaction Structure
The transaction has a shifting interest structure in which the
senior bonds benefit from a number of protections. Funds collected,
including principal, are first used to make interest payments to
the senior bonds. Next, principal payments are made to the senior
bonds. Next, available distribution amounts are used to reimburse
realized losses and certificate write-down amounts for the senior
bonds (after subordinate bonds have been reduced to zero i.e. the
credit support depletion date). Finally, interest and then
principal payments are paid to the subordinate bonds in sequential
order. Realized losses are allocated in a reverse sequential order,
first to the lowest subordinate bond. After the balance of the
subordinate bonds is written off, losses from the pool begin to
write off the principal balance of the senior support bond, and
finally losses are allocated to the super senior bonds.
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 1.00% of the cut-off date pool
balance, and as subordination lockout amount of 1.00% of the
cut-off date pool balance. Moody's calculates the credit neutral
floors as shown in its principal methodology.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
JP MORGAN 2021-LTV2: Moody's Rates Class B-2 Debt 'B2'
------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to seven
classes of residential mortgage-backed securities (RMBS) issued by
J.P. Morgan Mortgage Trust (JPMMT) 2021-LTV2. The ratings range
from Aaa (sf) to B2 (sf).
JPMMT 2021-LTV2 is the seventeenth prime jumbo transaction in 2021
issued by J.P. Morgan Mortgage Acquisition Corporation (JPMMAC),
the sponsor and mortgage loan seller, with the underlying loans
originated by various originators. The weighted average (WA)
loan-to-value (LTV) ratio of the mortgage pool is approximately
86.6%, which is in line with those of the other JPMMT LTV
transactions, but higher than other prior JPMMT transactions with
WA LTVs of about 70% on average. Otherwise, the credit
characteristic of the mortgage loans backing this transaction is
similar to recent JPMMT transactions that Moody's has rated.
Moody's considers the overall servicing framework for this pool to
be adequate given the servicing arrangement of the servicers, as
well as the presence of an experienced master servicer to oversee
the servicers.
JPMMT 2021-LTV2 has a sequential payment structure, albeit
principal is paid pro-rata amongst the senior bonds until a trigger
event has occurred, which is more beneficial to senior bondholders
than the shifting interest structure that is typical of prime jumbo
transactions. "We coded the cash flow to each of the certificate
classes using Moody's proprietary cash flow tool. In coding the
cash flow, we took into account the step-up incentive servicing fee
structure," Moody's said.
Moody's bases its ratings on the certificates on the credit quality
of the mortgage loans, the structural features of the transaction,
Moody's assessments of the origination quality and servicing
arrangement, the strength of the third-party review (TPR) and the
representations and warranties (R&W) framework of the transaction.
The complete rating actions are as follows:
Issuer: J.P. Morgan Mortgage Trust 2021-LTV2
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aa2 (sf)
Cl. A-3, Definitive Rating Assigned A1 (sf)
Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf)
Cl. M-1, Definitive Rating Assigned Baa3 (sf)
Cl. B-1, Definitive Rating Assigned Ba2 (sf)
Cl. B-2, Definitive Rating Assigned B2 (sf)
*Reflects Interest-Only Classes
RATINGS RATIONALE
Moody's expected loss for this pool in a baseline scenario-mean is
1.88%, in a baseline scenario-median is 1.47% and reaches 10.91% at
a stress level consistent with its Aaa ratings.
Collateral Description
Moody's assessed the collateral pool as of December 1, 2021, the
cut-off date. The deal will be backed by 518 fully amortizing
fixed-rate prime jumbo non-conforming mortgage loans with an
aggregate unpaid principal balance (UPB) of approximately
$491,761,078 and an original term to maturity of up to 30 years.
All the loans with the exception of 95 loans were underwritten
pursuant to the new general QM rule. The other loans in the pool
either meet Appendix Q to the QM rules or are identified as
QM-Rebuttable Presumption.
There are 423 loans originated pursuant to the new general QM rule
in this pool. The third-party review verified that the loans' APRs
met the QM rule's thresholds (APOR + 1.5%). Furthermore, these
loans are typically underwritten and documented pursuant to the QM
rule's verification safe harbor via a mix of the Fannie Mae Single
Family Selling Guide, the Freddie Mac Single-Family Seller/Servicer
Guide, and the applicable program overlays. As part of the
origination quality review and based on the documentation
information Moody's received in the ASF tape, Moody's concluded
that these loans were fully documented and therefore, Moody's ran
these loans as "full documentation" loans in its MILAN model.
The WA LTV ratio of the mortgage pool is approximately 86.6%, which
is in line with those of the other JPMMT LTV transactions, but
higher than other prior JPMMT transactions with WA LTVs of about
70% on average. Otherwise, the credit characteristic of the
mortgage loans backing this transaction is similar to recent JPMMT
transactions that Moody's has rated. The WA primary borrower FICO
is 755. The borrowers have high monthly incomes (averaging about
$25,963) and substantial liquid cash reserves (averaging about
$161,827) which have been verified as part of the underwriting
process and reviewed by the TPR firms. Approximately 38.1% of the
mortgage loans (by UPB) were originated in California which
includes metropolitan statistical areas (MSAs) Los Angeles (12.0%
by UPB) and San Francisco (7.1% by UPB). The high geographic
concentration in high-cost MSAs is reflected in the high average
balance of the pool ($949,346). Approximately 17.7% of the mortgage
loans by balance are designated as safe harbor Qualified Mortgages
(QM) and meet Appendix Q to the QM rules, 0.2% of the mortgage
loans by balance are designated as QM-rebuttal presumption, and
82.0% of the mortgage loans by balance are designated as Safe
Harbor APOR loans, for which mortgage loans are not underwritten to
meet Appendix Q but satisfy AUS with additional overlays of
originators.
As of the cut-off date, none of the borrowers of the mortgage loans
have inquired about or requested forbearance plans with the related
servicer or have previously entered into a COVID-19 related
forbearance plan with the related servicer. Certain borrowers may
become subject to forbearance plans or other payment relief plans
following the cutoff date. In the event a borrower requests or
enters into a COVID-19 related forbearance plan after the cut-off
date but prior to the closing date, JPMMAC will remove such
mortgage loan from the mortgage pool and remit the related closing
date substitution amount. In the event that after the closing date
a borrower enters into or requests a COVID-19 related forbearance
plan, such mortgage loan (and the risks associated with it) will
remain in the mortgage pool.
Aggregation/Origination Quality
Moody's considers JPMMAC's aggregation platform to be adequate and
Moody's do not apply a separate loss-level adjustment for
aggregation quality. In addition to reviewing JPMMAC aggregation
quality, Moody's has also reviewed the origination quality of
originators contributing a significant percentage of the collateral
pool (above 10%) and MAXEX Clearing LLC (an aggregator).
United Wholesale Mortgage, LLC (UWM) and loanDepot.com, LLC
(loanDepot) sold/originated approximately 44.3% and 12.9% of the
mortgage loans (by UPB) in the pool. The remaining originators each
account for less than 10.0% (by UPB) in the pool. Approximately
4.6% (by UPB) of the mortgage loans were acquired by JPMMAC from
MAXEX Cleaning, LLC (aggregator), respectively, which purchased
such mortgage loans from the related originators or from an
unaffiliated third party which directly or indirectly purchased
such mortgage loans from the related originators.
Moody's said, "We increased our base case and Aaa loss expectations
for certain originators of non-conforming loans where we do not
have clear insight into the underwriting practices, quality control
and credit risk management [except being neutral for CrossCountry
Mortgage, LLC, Guaranteed Rate, Inc. (including Guaranteed Rate
Affinity, LLC and Proper Rate, LLC), Caliber Home Loans, Inc.,
Finance of America Mortgage LLC, NewRez LLC and loanDepot under the
old QM guidelines]."
"UWM originated approximately 44.3% of the mortgage loans by pool
balance. The majority of these loans were originated under UWM's
prime jumbo program which are processed using the Desktop
Underwriter (DU) automated underwriting system and are therefore
predominantly underwritten to Fannie Mae guidelines. The loans
receive a DU Approve Ineligible feedback due to the 1) loan amount
or 2) LTV for non-released prime jumbo cash-out refinances is over
80%. We increased our loss expectations for UWM loans due mostly to
the fact that underwriting prime jumbo loans mainly through DU is
fairly new and no performance history has been provided to Moody's
on these types of loans. More time is needed to assess UWM's
ability to consistently produce high-quality prime jumbo
residential mortgage loans under this program," Moody's said.
The loan pool backing this transaction includes 224 UWM loans
originated pursuant to the new general QM rule. To satisfy the new
rule, UWM implemented its prime jumbo underwriting overlays over
the GSE Automated Underwriting System (AUS) for applications on or
after March 1, 2021. Under UWM's new general QM underwriting, the
APR on all loans will not exceed the average prime offer rate
(APOR) +1.5%, and income and asset documentation will be governed
by the following, designed to meet the verification safe harbor
provisions of the new QM Rule: (i) applicable overlays, (ii) one of
(x) Fannie Mae Single Family Selling Guide or (y) Freddie Mac
guidelines and (iii) Desktop Underwriter.
Servicing Arrangement
Moody's said, "We consider the overall servicing framework for this
pool to be adequate given the servicing arrangement of the
servicers, as well as the presence of an experienced master
servicer. Nationstar Mortgage LLC (Nationstar) (Nationstar Mortgage
Holdings Inc. corporate family rating B2) will act as the master
servicer."
United Wholesale Mortgage, LLC (subserviced by Cenlar FSB),
JPMorgan Chase Bank, National Association (JPMCB), loanDepot
(subserviced by Cenlar FSB) and A&D Mortgage LLC are the principal
servicers in this transaction and will service approximately 44.3%,
41.8%, 12.9% and 0.9% (by UPB), respectively. NewRez LLC f/k/a New
Penn Financial, LLC d/b/a Shellpoint Mortgage Servicing will act as
interim servicer for the mortgage loans serviced by JPMCB from the
closing date until the servicing transfer date, which is expected
to occur on or about February 1, 2022 (but which may occur after
such date).
The servicers are required to advance P&I on the mortgage loans. To
the extent that the servicers are unable to do so, the master
servicer will be obligated to make such advances. In the event that
the master servicer, Nationstar, is unable to make such advances,
the securities administrator, Citibank, N.A. (rated Aa3) will be
obligated to do so to the extent such advance is determined by the
securities administrator to be recoverable. The servicing fee for
loans in this transaction will be predominantly based on a step-up
incentive fee structure with a monthly base fee of $40 per loan and
additional fees for delinquent or defaulted loans (fixed fee
framework servicers, which will be paid a monthly flat servicing
fee equal to one-twelfth of 0.25% of the remaining principal
balance of the mortgage loans, account for less than 1.00% of
UPB).
Third-Party Review
The transaction benefits from a TPR on 100% of the loans for
regulatory compliance, credit, property valuation and data
integrity. The TPR results confirm compliance with the originator's
underwriting guidelines for the vast majority of loans, no material
regulatory compliance issues, and no material property valuation
issues. The loans that had exceptions to the originator's
underwriting guidelines had significant compensating factors that
were documented.
R&W Framework
Moody's review of the R&W framework takes into account the
financial strength of the R&W providers, scope of R&Ws (including
qualifiers and sunsets) and enforcement mechanisms. JPMMT
2021-LTV2's R&W framework is in line with that of other JPMMT
transactions Moody's has rated where an independent reviewer is
named at closing, and costs and manner of review are clearly
outlined at issuance. The loan-level R&Ws meet or exceed the
baseline set of credit-neutral R&Ws Moody's has identified for US
RMBS. The R&W framework is "prescriptive", whereby the transaction
documents set forth detailed tests for each R&W.
The originators and the aggregators each make a comprehensive set
of R&Ws for their loans. The creditworthiness of the R&W provider
determines the probability that the R&W provider will be available
and have the financial strength to repurchase defective loans upon
identifying a breach. JPMMAC does not backstop the originator R&Ws,
except for certain "gap" R&Ws covering the period from the date as
of which such R&W is made by an originator or an aggregator,
respectively, to the cut-off date or closing date. In this
transaction, Moody's adjusted its base case and Aaa loss
expectations for R&W providers that are unrated and/or financially
weaker entities.
Transaction Structure
JPMMT 2021-LTV2 features a sequential payment structure, albeit
principal is paid pro-rata amongst the senior bonds until a trigger
event has occurred, which is more beneficial to senior bondholders
than the shifting interest structure that is typical of prime jumbo
transactions. In addition, the excess spread in this transaction
can be used to absorb losses, whereas shifting interest structures
don't have any excess spread.
Interest payments to the bonds will be made using the interest
remittance amount and principal payments will be made using the
principal remittance amount. Although the transaction has separate
interest and principal waterfalls, principal can be used to
reimburse interest shortfalls. Any excess spread will be used to
reimburse realized loss, pay Class XS certificates, reimburse
unpaid trust expenses with any remaining amounts being funded to an
Interest Reserve Account which will be used to cover losses.
Realized losses and note write-downs will be allocated in reverse
sequential order starting with the class B-3 certificates.
There is less than 0.5% excess spread (annualized) available in the
deal. When excess spread is a form of credit enhancement, it can
provide a significant amount of credit protection to investors.
However, the amount of protection actually provided by excess
spread will depend on: (1) WAC deterioration or yield compression
resulting from (i) high-yielding mortgage loans prepaying or
defaulting at a faster pace than other mortgage loans; or (ii)
modifications of loan interest rates lowering the average rate and
(2) the speed with which mortgage loans prepay or default during
the life of the securitization.
In its analysis, Moody's accounted for WAC deterioration by
applying a 15% haircut to the weighted average interest rate of the
mortgage loans in the pool. Moody's used this calculated lower
interest rate in its cash flow modeling. Moody's also applied a
prepayment rate of 25% based on historical prepayment rate of loans
with similar characteristics.
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.
KKR CLO 37: Moody's Rates $20MM Class E Notes 'Ba3'
---------------------------------------------------
Moody's Investors Service has assigned ratings to three classes of
notes and one class of loans issued by KKR CLO 37 Ltd. (the
"Issuer" or "KKR CLO 37").
Moody's rating action is as follows:
US$95,000,000 Class A-1A Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)
Up to US$220,000,000 Class A-1B Senior Secured Floating Rate Notes
due 2035, Assigned Aaa (sf)
US$220,000,000 Class A-1L Loans maturing 2035, Assigned Aaa (sf)
US$20,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2035, Assigned Ba3 (sf)
The debt listed are referred to herein, collectively, as the "Rated
Debt."
On the closing date, the Class A-1L Loans and the Class A-1B Notes
have a principal balance of $220,000,000 and $0, respectively. At
any time, the Class A-1L Loans may be converted in whole or in part
to Class A-1B Notes, thereby decreasing the principal balance of
the Class A-1L Loans and increasing, by the corresponding amount,
the principal balance of the Class A-1B Notes. The aggregate
principal balance of the Class A-1L Loans and Class A-1B Notes will
not exceed $220,000,000, less the amount of any principal
repayments.
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.
KKR CLO 37 is a managed cash flow CLO. The issued debt will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 92.5% of the portfolio must consist of
senior secured loans, cash and eligible investments, and up to 7.5%
of the portfolio may consist, in the aggregate, of second lien
loans, unsecured loans, senior secured bonds, senior secured notes
and high-yield bonds, of which up to 5% may consist of senior
secured bonds, senior secured notes and high-yield bonds. The
portfolio is approximately 90% ramped as of the closing date.
KKR Financial Advisors II, 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 Debt, the Issuer issued five other classes
of secured notes and one class of 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 2021.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2989
Weighted Average Spread (WAS): 3.40%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 46.0%
Weighted Average Life (WAL): 8 years
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Debt is subject to uncertainty. The
performance of the Rated Debt 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 Debt.
MADISON PARK LII: Moody's Rates $20MM Class E Notes 'Ba3'
---------------------------------------------------------
Moody's Investors Service has assigned ratings to two classes of
notes issued by Madison Park Funding LII, Ltd. (the "Issuer" or
"Madison Park Funding LII").
Moody's rating action is as follows:
US$320,000,000 Class A Floating Rate Senior Notes due 2035,
Assigned Aaa (sf)
US$20,000,000 Class E Deferrable Floating Rate Mezzanine Notes due
2035, Assigned Ba3 (sf)
The notes listed above 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.
Madison Park Funding LII is a managed cash flow CLO. The issued
notes will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 90.0% of the portfolio must
consist of senior secured loans and eligible investments, and up to
10.0% of the portfolio may consist of non-senior secured loans. The
portfolio is approximately 80% ramped as of the closing date.
Credit Suisse 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 four other
classes of secured notes and and one class of 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.
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.
MADISON PARK LIX: Moody's Rates $28MM Class E Notes 'Ba3'
---------------------------------------------------------
Moody's Investors Service has assigned ratings to three classes of
notes issued by Madison Park Funding LIX, Ltd. (the "Issuer" or
"Madison Park Funding LIX").
Moody's rating action is as follows:
US$434,000,000 Class A Floating Rate Senior Notes due 2034,
Assigned Aaa (sf)
US$98,000,000 Class B Floating Rate Senior Notes due 2034, Assigned
Aa2 (sf)
US$28,000,000 Class E Deferrable Floating Rate Mezzanine Notes due
2034, Assigned Ba3 (sf)
The notes listed above 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.
Madison Park Funding LIX is a managed cash flow CLO. The issued
notes will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 90.0% of the portfolio must
consist of senior secured loans and eligible investments, and up to
10.0% of the portfolio may consist of non-senior secured loans. The
portfolio is approximately 80% ramped as of the closing date.
Credit Suisse 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 three 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 two other classes
of secured notes and one class of 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.
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.
MARBLE POINT XXIII: Moody's Rates $15MM Class E Notes 'Ba3'
-----------------------------------------------------------
Moody's Investors Service has assigned ratings to nine classes of
notes issued by Marble Point CLO XXIII Ltd. (the "Issuer" or
"Marble Point CLO XXIII").
Moody's rating action is as follows:
US$310,000,000 Class A-1 Senior Floating Rate Notes due 2035,
Assigned Aaa (sf)
US$15,000,000 Class A-2 Senior Floating Rate Notes due 2035,
Assigned Aaa (sf)
US$40,250,000 Class B-1 Senior Floating Rate Notes due 2035,
Assigned Aa2 (sf)
US$14,750,000 Class B-2 Senior Fixed Rate Notes due 2035, Assigned
Aa2 (sf)
US$22,500,000 Class C-1 Mezzanine Deferrable Floating Rate Notes
due 2035, Assigned A2 (sf)
US$5,000,000 Class C-2 Mezzanine Deferrable Fixed Rate Notes due
2035, Assigned A2 (sf)
US$20,000,000 Class D-1 Mezzanine Deferrable Floating Rate Notes
due 2035, Assigned Baa2 (sf)
US$17,500,000 Class D-2 Mezzanine Deferrable Floating Rate Notes
due 2035, Assigned Ba1 (sf)
US$15,000,000 Class E Junior Deferrable Floating Rate Notes due
2035, Assigned Ba3 (sf)
The notes listed above 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.
Marble Point CLO XXIII is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 90.0% of the portfolio must
consist of senior secured loans and eligible investments, and up to
10.0% of the portfolio may consist of second lien loans, unsecured
loans and permitted bond, provided no more than 5% of the portfolio
may consist of permitted bond. The portfolio is approximately 80%
ramped as of the closing date.
Marble Point CLO 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 approximately 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 one class of
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.
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.
MHP COMMERCIAL 2022-MHIL: Moody's Gives (P)B3 Rating to F Certs
---------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of CMBS securities, issued by MHP Commercial Mortgage Trust
2022-MHIL, Commercial Mortgage Pass-Through Certificates, Series
2022-MHIL:
Cl. A, Assigned (P)Aaa (sf)
Cl. B, Assigned (P)Aa3 (sf)
Cl. C, Assigned (P)A3 (sf)
Cl. D, Assigned (P)Baa3 (sf)
Cl. E, Assigned (P)Ba3 (sf)
Cl. F, Assigned (P)B3 (sf)
RATINGS RATIONALE
The certificates are collateralized by the borrower's fee and
leasehold interests in 83 self-storage properties located across 22
states. 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 Moody's Large Loan and Single Asset/Single Borrower
CMBS 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 considers a range
of qualitative issues as well as the transaction's structural and
legal aspects.
The portfolio contains 39,236 units offering 5,681,548 SF of
combined rentable area. The portfolio is geographically diverse as
the properties are located across 22 states and 48 markets. The top
five states by NOI are California (ten properties; 18.8% of NOI),
New York (ten; 13.5%), Florida (eight; 11.0%), Massachusetts (nine;
8.5%), and Texas (eight; 6.5%). The top five market concentrations
by NOI are Boston-Cambridge-Newton (nine properties; 9.1% of NOI),
New York-Newark-Jersey City (five; 8.5%), Albany-Schenectady-Troy
(five; 4.6%), Riverside-San Bernardino-Newton (two; 4.3%), and
Albuquerque (four; 4.1%). Trade areas within the portfolio's
respective markets are generally dense and affluent as the weighted
average population and median household income within a five-mile
radius are approximately 163,500 and $71,000, respectively.
The portfolio is also granular at the property level, with no
individual property accounting for more than 3.8% of the NOI or
4.0% of the mortgage ALA. The top 10 properties by NOI in the
portfolio account for approximately 24.3% of portfolio NOI and
27.4% of NRA (1.22 million SF). As of October 1, 2021, the top 10
assets were 94.7% occupied.
The credit risk of loans is determined primarily by two factors:
(1) Moody's assessment of the probability of default, which is
largely driven by each loan's DSCR, and (2) Moody's assessment of
the severity of loss upon a default, which is largely driven by
each loan's loan-to-value ratio, referred to as the Moody's LTV or
MLTV. As described in the CMBS methodology used to rate this
transaction, Moody's makes various adjustments to the MLTV. Moody's
adjusts the MLTV for each loan using a value that reflects
capitalization (cap) rates that are between Moody's sustainable cap
rates and market cap rates. Moody's also uses an adjusted loan
balance that reflects each loan's amortization profile.
The Moody's first mortgage DSCR is 2.62x and Moody's first mortgage
stressed DSCR at a 9.25% constant is 0.64x. Moody's DSCR is based
on Moody's stabilized net cash flow.
Moody's LTV ratio for the first mortgage balance is 154.0% and
169.1% including the mezzanine loan based on Moody's Value.
Adjusted Moody's LTV ratio for the first mortgage balance is 133.7%
and 146.8% including the mezzanine loan 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 pool's weighted
average property quality grade is 2.08.
Notable strengths of the transaction include: the portfolio's
historical operating performance, geographic diversity, demographic
profile and experienced property management.
Notable concerns of the transaction include: the older age of the
collateral improvements, low climate-controlled unit offering, as
well as the loan's high Moody's LTV ratio,
floating-rate/interest-only mortgage loan profile, and credit
negative legal features.
Moody's rating approach considers sequential pay in connection with
a collateral release as a credit neutral benchmark. Although the
loans' release premium mitigates the risk of a ratings downgrade
due to adverse selection, the pro rata payment structure limits
ratings upgrade potential as mezzanine classes are prevented from
building enhancement. The benefit received from pooling through
cross-collateralization is also reduced.
Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from Moody's
loan level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.
Factors that would lead to an upgrade or downgrade of the ratings:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
NASSAU 2020-I: Moody's Rates $15.6MM Class E-R Notes 'Ba3'
----------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
CLO refinancing notes (the "Refinancing Notes") issued and one
class of loans incurred by Nassau 2020-I Ltd. (the "Issuer").
Moody's rating action is as follows:
US$50,000,000 Class A-R Loans due 2035, Assigned Aaa (sf)
US$103,800,000 Class A-1-R Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)
US$30,000,000 Class A-2-R Senior Secured Fixed Rate Notes due 2035,
Assigned Aaa (sf)
US$20,075,000 Class B-1-R Senior Secured Floating Rate Notes due
2035, Assigned Aa2 (sf)
US$21,425,000 Class B-2-R Senior Secured Fixed Rate Notes due 2035,
Assigned Aa2 (sf)
US$14,900,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2035, Assigned A2 (sf)
US$17,000,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2035, Assigned Baa3 (sf)
US$15,600,000 Class E-R Secured Deferrable Floating Rate Notes due
2035, Assigned Ba3 (sf)
The Refinancing Notes and Class A-R Loans listed above are referred
to herein, collectively, as the "Rated Debt".
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
92.5% of the portfolio must consist of senior secured loans, cash,
and eligible investments, and up to 7.5% of the portfolio may
consist of second lien loans and unsecured loans and permitted
non-loan assets provided that up to 5.0% of the portfolio may
consist of permitted non-loan assets.
NCC CLO Manager 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 Rated Debt and additional
subordinated notes, a variety of other changes to transaction
features will occur in connection with the refinancing. These
include: extension of the reinvestment period; extensions of the
stated maturity and non-call period; changes to certain collateral
quality tests; and changes to the overcollateralization test
levels; 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 2021.
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: $296,500,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2780
Weighted Average Spread (WAS): 3.47%
Weighted Average Recovery Rate (WARR): 46.5%
Weighted Average Life (WAL): 8.0 years
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Debt is subject to uncertainty. The
performance of the Rated Debt 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 Debt.
OZLM LTD XIX: Moody's Rates $30.5MM Class D-R Notes 'Ba3'
---------------------------------------------------------
Moody's Investors Service has assigned ratings to ten classes of
CLO refinancing debt (the "Refinancing Debt") issued by OZLM XIX,
Ltd. (the "Issuer" or "OZLM XIX").
Moody's rating action is as follows:
US$5,250,000 Class X-R Senior Secured Floating Rate Notes due 2035,
Assigned Aaa (sf)
US$50,000,000 Class A-1-R Loans maturing 2035, Assigned Aaa (sf)
US$242,550,000 Class A-1a-R Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)
US$32,950,000 Class A-1b-R Senior Secured Fixed Rate Notes due
2035, Assigned Aaa (sf)
US$50,625,000 Class A-2a-R Senior Secured Floating Rate Notes due
2035, Assigned Aa2 (sf)
US$15,000,000 Class A-2b-R Senior Secured Fixed Rate Notes due
2035, Assigned Aa2 (sf)
US$21,250,000 Class B-1-R Senior Secured Deferrable Floating Rate
Notes due 2035, Assigned A2 (sf)
US$5,000,000 Class B-2-R Senior Secured Deferrable Fixed Rate Notes
due 2035, Assigned A2 (sf)
US$33,075,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2035, Assigned Baa3 (sf)
US$30,450,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2035, Assigned Ba3 (sf)
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.
OZLM XIX is a managed cash flow CLO. The issued debt will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90% of the portfolio must consist of
first lien senior secured loans and eligible investments, and up to
10% of the portfolio may consist of second lien loans, unsecured
loans and bonds. The portfolio is approximately 92% ramped as of
the closing date.
Sculptor CLO 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 Debt and additional
subordinated notes, a variety of other changes will occur in
connection with the refinancing. These include: extension of
reinvestment period; extensions of the stated maturity and non-call
period; changes to certain collateral quality tests; changes to the
overcollateralization levels; the inclusion of Libor replacement
provisions; additions to the CLO's ability to hold workout and
restructured assets; changes to the definition of "Moody's Default
Probability Rating" 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 2021.
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:
Par amount: $525,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2917
Weighted Average Spread (WAS): 3.50%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 46.0%
Weighted Average Life (WAL): 8 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 2021 and available at
https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1293730.
Alternatively, please see the Rating Methodologies page on
www.moodys.com for a copy of this methodology.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Refinancing Debt is subject to uncertainty.
The performance of the Refinancing Debt 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 Debt.
REGATTA XXIV FUNDING: Moody's Rates Class E Notes 'Ba3'
-------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued and one class of loans incurred by Regatta XXIV
Funding Ltd. (the "Issuer" or "Regatta XXIV").
Moody's rating action is as follows:
US$171,000,000 Class A-1L Loans maturing 2035, Assigned Aaa (sf)
Up to U.S.$315,000,000 Class A-1 Senior Secured Floating Rate Notes
due 2035, Assigned Aaa (sf)
US$10,000,000 Class A-2 Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)
US$55,000,000 Class B Senior Secured Floating Rate Notes due 2035,
Assigned Aa2 (sf)
US$25,500,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2035, Assigned A2 (sf)
US$31,500,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2035, Assigned Baa3 (sf)
US$23,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2035, Assigned Ba3 (sf)
The notes and loans listed are referred to herein, collectively, as
the "Rated Debt."
On the closing date, the Class A-1L Loans and the Class A-1 Notes
have a principal balance of $171,000,000 and $144,000,000,
respectively. At any time, the Class A-1L Loans may be converted in
whole or in part to Class A-1 Notes, thereby decreasing the
principal balance of the Class A-1L Loans and increasing, by the
corresponding amount, the principal balance of the Class A-1 Notes.
The aggregate principal balance of the Class A-1L Loans and Class
A-1 Notes will not exceed $315,000,000, less the amount of any
principal repayments.
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.
Regatta XXIV is a managed cash flow CLO. The issued debt 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, up to 10% of the
portfolio may consist of second lien loans, unsecured loans, senior
secured notes and bonds, up to 5% of the portfolio may consist of
senior secured notes and bonds and up to 2.5% of the portfolio may
consist of unsecured bonds. The portfolio is approximately 95%
ramped as of the closing date.
Napier Park Global Capital (US) LP (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.
In addition to the Rated Debt, 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 debt 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 2021.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2893
Weighted Average Spread (WAS): 3.40%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 8 years
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Debt is subject to uncertainty. The
performance of the Rated Debt 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 Debt.
STRATUS CLO 2021-1: Moody's Rates $5MM Class F Notes 'B1'
---------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Stratus CLO 2021-1, Ltd. (the "Issuer" or "Stratus
2021-1").
Moody's rating action is as follows:
US$340,000,000 Class A Senior Secured Floating Rate Notes due 2029,
Assigned Aaa (sf)
US$60,000,000 Class B Senior Secured Floating Rate Notes due 2029,
Assigned Aa1 (sf)
US$25,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2029, Assigned A2 (sf)
US$23,750,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2029, Assigned Baa3 (sf)
US$16,250,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2029, Assigned Ba2 (sf)
US$5,000,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2029, Assigned B1 (sf)
The notes listed above 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.
Stratus 2021-1 is a static cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. The portfolio is fully ramped as of the closing
date.
Blackstone Liquid Credit Strategies LLC (the "Manager") may engage
in disposition of the assets on behalf of the Issuer during the
life of the transaction. Reinvestment is not permitted and all sale
proceeds and unscheduled principal proceeds received will be used
to amortize the notes in sequential order.
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.
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.
SYMPHONY CLO XXIX: Moody's Rates $16MM Class E Notes 'Ba3'
----------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Symphony CLO XXIX, Ltd. (the "Issuer" or "Symphony
XXIX").
Moody's rating action is as follows:
US$1,000,000 Class X Amortizing Senior Secured Floating Rate Notes
due 2034, Assigned Aaa (sf)
US$256,000,000 Class A Senior Secured Floating Rate Notes due 2034,
Assigned Aaa (sf)
US$48,000,000 Class B Senior Secured Floating Rate Notes due 2034,
Assigned Aa2 (sf)
US$24,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2034, Assigned A2 (sf)
US$24,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2034, Assigned Baa3 (sf)
US$16,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2034, Assigned Ba3 (sf)
The notes listed above 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.
Symphony XXIX is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90.0% of the portfolio must consist of
senior secured loans and eligible investments, and up to 10.0% of
the portfolio may consist of second lien loans, unsecured loans and
non-loan assets. The portfolio is approximately 90% ramped as of
the closing date.
Symphony 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 approximately three
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.
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.
*********
Monday's edition of the TCR delivers a list of indicative prices
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Troubled Company Reporter is a daily newsletter co-published
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