/raid1/www/Hosts/bankrupt/TCR_Public/220116.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 16, 2022, Vol. 26, No. 15
Headlines
A10 BRIDGE 2021-D: DBRS Gives Prov. B(low) Rating on Class G Notes
AA MMF 1: S&P Assigns B- (sf) Rating on $25MM Class D Notes
ACRES COMMERCIAL 2021-FL2: DBRS Finalizes B(low) Rating on G Notes
AMERICAN CREDIT 2022-1: S&P Assigns Prelim 'BB-' Rating on F Notes
AMERICREDIT AUTO 2019-2: Fitch Affirms BB Rating on Class E Debt
BANK 2017-BNK7: DBRS Confirms B Rating on Class X-F Certs
BENCHMARK 2019-B9: Fitch Affirms B- Rating on 2 Tranches
BSPRT ISSUER 2021-FL7: DBRS Finalizes B(low) Rating on H Notes
CITIGROUP 2020-GC46: DBRS Confirms BB Rating on G-RR Certs
COREVEST AMERICAN 2019-1: DBRS Reviews 35 Classes from 4 Deals
CSAIL 2018-CX11: DBRS Confirms B(high) Rating on Class G-RR Certs
CSMC 2021-GATE: DBRS Finalizes B(low) Rating on Class F Certs
FANNIE MAE 2022-R01: S&P Assigns Prelim 'BB' Rating on 1B-1 Notes
GCAT TRUST 2022-INV1: Moody's Gives (P)B2 Rating to Class B-5 Debt
GS MORTGAGE 2021-STAR: DBRS Finalizes B(low) Rating on Cl. G Certs
GS MORTGAGE 2022-GR1: Moody's Gives (P)B3 Rating to Class B-5 Debt
HERTZ VEHICLE 2022-1: Moody's Gives '(P)Ba2' Rating to Cl. D Notes
HOME PARTNERS 2021-3: DBRS Finalizes BB Rating on Class F Certs
IMSCI 2012-2: DBRS Confirms B(low) Rating on Class G Certs
JP MORGAN 2021-LTV2: DBRS Gives Prov. B(high) Rating on B-2 Certs
JP MORGAN 2022-OPO: Moody's Assigns (P)Ba3 Rating to Class F Debt
JPMCC COMMERCIAL 2014-C20: DBRS Lowers Rating on 3 Classes to C
LB-UBS COMMERCIAL 2006-C1: Moody's Withdraws 19 Ratings
LB-UBS COMMERCIAL 2007-C6: Fitch Hikes Class C Debt Rating to Csf
MFA TRUST 2021-AEINV2: DBRS Finalizes B Rating on Class B-5 Certs
MORGAN STANLEY 2017-H1: DBRS Confirms B(low) Rating on H-RR Certs
NW RE-REMIC 2021-FRR1: DBRS Finalizes B(low) Rating on CK88 Certs
NYMT LOAN 2022-CP1: Fitch Gives B(EXP) Rating to Class B2 Notes
RATE MORTGAGE 2022-J1: Moody's Assigns (P)B3 Rating to Class B-5
RCKT MORTGAGE 2022-1: Fitch Gives 'B-(EXP)' Rating to B-5 Certs
REALT 2014-1: DBRS Confirms B(high) Rating on Class G Certs
REALT 2015-1: DBRS Confirms B Rating on Class G Certs
SANTANDER CONSUMER 2021-A: Fitch Affirms B Rating on Class F Notes
SEQUOIA MORTGAGE 2022-1: Fitch Gives 'BB-(EXP)' Rating to B4 Certs
SUTHERLAND COMMERCIAL 2019-SBC8: DBRS Confirms B Rating on G Certs
TABERNA PREFERRED IV: Fitch Hikes Class A-2 Debt Rating to B-
UBS-CITIGROUP 2011-C1: DBRS Lowers Class E Certs Rating to C
VERUS SECURITIZATION 2021-8: DBRS Finalizes B Rating on B-2 Notes
WELLS FARGO 2022-1: S&P Assigns Prelim B (sf) Rating on B-5 Certs
WILLIS ENGINE V: Fitch Affirms BB Rating on Series C Notes
[*] DBRS Reviews 453 Classes from 41 U.S. RMBS Transactions
[*] DBRS Takes Rating Actions on 7 American Credit Transactions
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A10 BRIDGE 2021-D: DBRS Gives Prov. B(low) Rating on Class G Notes
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DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by A10 Bridge Asset Financing 2021-D, LLC (the
Trust):
-- Class A-1 FL at AAA (sf)
-- Class A-1 FX at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)
All trends are Stable.
The $335.0 million transaction includes an initial trust balance of
$298.5 million, comprising loan assets and $36.5 million held in a
reserve account. The reserve account can be used to fund a
pre-identified additional underlying asset (a $15.2 million loan
secured by The View on the Square, a student housing property
located in San Marcos, Texas) or pre-approved future funding
companion participations (collectively referred to as the
post-closing underlying assets). The post-closing underlying assets
can be brought into the Trust using funds available in the
prefunded reserve account at closing or principal proceeds as a
result of loan payoffs. As existing loans pay off, available
principal proceeds will be distributed according to the priority of
payments. Before distributing principal proceeds to noteholders,
the Issuer has the option to divert principal proceeds toward
pre-approved future funding companion participations. This option
remains with the Issuer throughout the term of the transaction. To
the extent funds are not utilized for purchasing pre-identified
additional underlying loans or funding pre-approved future funding
companion participations during the pre-funding period (the period
ending on the 90th day following the closing date), the remaining
funds may (1) continue to be held in the reserve account to
purchase pre-approved future funding companion participations, (2)
be distributed to holders of the senior notes on a pro rata basis
based on the then-outstanding note principal amount, or (3) be
distributed to noteholders as principal proceeds subject to the
priority of payments.
The initial collateral consists of 26 fixed - or floating-rate
mortgage loans secured by 32 mostly transitional real estate
properties with a current balance totaling $298.5 million.
Inclusive of the pre-identified additional underlying asset, the
collateral is scheduled to consist of 27 mortgage loans secured by
33 mostly transitional real estate properties with a current
portfolio balance totaling $313.7 million. DBRS Morningstar modeled
the pool with all 27 mortgage loans and $21.3 million of additional
capacity as part of the paydown analysis, which was conducted to
bring future funded facilities into the Trust and provide estimated
credit enhancement levels reflective of the full $335.0 million
targeted pool balance. All pool-based statistics in the related
presale report are based on the $313.7 million current portfolio
balance that includes the pre-identified additional underlying
asset and delayed close loans for a total mortgage loan count of
27. The loans are generally secured by cash flowing assets, many of
which are in a period of transition with plans to stabilize and
improve asset value. Twenty of the 27 mortgage loans, representing
73.7% of the current portfolio balance, are structured with
outstanding future funding participations, which collectively total
$83.2 million and may be acquired by the Issuer at a future date.
The transaction will have sequential-pay structure. Interest can be
deferred for the Class C Notes, the Class D Notes, the Class E
Notes, the Class F Notes, and the Class G Notes, and interest
deferral will not result in an Event of Default.
DBRS Morningstar analyzed the pool to determine the provisional
ratings, reflecting the long-term risk that the Issuer will default
and fail to satisfy its financial obligations in accordance with
the terms of the transaction. When the property-level as-is
appraised values were measured against the fully funded mortgage
loan commitments, the pool exhibited a moderately high
weighted-average (WA) as-is loan-to-value (LTV) of 71.5%. However,
the pool's WA LTV ratio is estimated to improve to 52.0% through
stabilization based on the fully funded mortgage loan commitments
measured against the appraiser's property-level stabilized value
estimates. The DBRS Morningstar adjusted stabilized value estimates
reflect a more conservative but still relatively low pool WA LTV of
56.3%.
For all floating-rate loans, DBRS Morningstar used the one-month
Libor index, which is based on the lower of a DBRS Morningstar
stressed rate that corresponded with the remaining fully extended
loan term of the loans or the strike price of the interest rate cap
with the respective contractual loan spread added to determine a
stressed interest rate over the loan term. When the debt service
payments associated with the fully funded loan balances were
measured against the DBRS Morningstar As-Is Net Cash Flow (NCF)
estimates, 25 loans representing 87.1% of the current portfolio
balance had a DBRS Morningstar As-Is Debt Service Coverage Ratio
(DSCR) below 1.00 times (x), a threshold indicative of higher
default risk. The properties are often transitional with potential
upside in cash flow. However, DBRS Morningstar does not give full
credit to the stabilization if there are no holdbacks or if other
structural features are insufficient to support such treatment.
Even with the structure provided, DBRS Morningstar generally does
not assume the assets will stabilize above market levels. When the
debt service payments associated with the fully funded loan
balances were measured against the DBRS Morningstar Stabilized NCF
estimates, 14 loans, representing 50.1% of the current portfolio
balance, had a DBRS Morningstar Stabilized DSCR below 1.00x.
The transaction will be subject to a benchmark (or index) rate
replacement. The current selected benchmark is compounded Secured
Overnight Financing Rate (SOFR). The transaction will be exposed to
a mismatch between the Libor benchmark of the underlying loans in
the transaction and SOFR-pay notes. Currently, A10 Capital, LLC, in
its capacity as designated transaction representative, will
generally be responsible for handling any benchmark rate change to
the underlaying loans and will only be held to a gross negligence
standard with regard to any liability for its actions.
Notes: All figures are in U.S. dollars unless otherwise noted.
AA MMF 1: S&P Assigns B- (sf) Rating on $25MM Class D Notes
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S&P Global Ratings assigned its ratings to AA MMF 1 Ltd.'s
floating-rate notes.
The note issuance is a $1 billion middle-market loan facility
managed by Apollo Capital Management L.P. On the Dec. 10, 2021,
closing date, the notes were unfunded, and there were no assets in
the portfolio. When loans were originated by the facility and
included in the portfolio, the notes were funded in a manner that
resulted in the satisfaction of certain coverage tests. S&P
assessed the transaction for the assignment of ratings once there
were loans from over 10 different obligors in the portfolio, and we
have determined the credit enhancement was in line with the
preliminary ratings that S&P assigned.
The ratings reflect:
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization.
-- The coverage tests, which consider S&P Global Ratings' criteria
as it relates to the required level of credit support.
-- 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
AA MMF 1 Ltd.
Class A, $767.50 million: A- (sf)
Class B (deferrable), $50.75 million: BBB- (sf)
Class C (deferrable), $78.50 million: BB- (sf)
Class D (deferrable), $25.00 million: B- (sf)
Subordinated notes, $78.25 million: Not rated
ACRES COMMERCIAL 2021-FL2: DBRS Finalizes B(low) Rating on G Notes
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DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by ACRES Commercial Realty 2021-FL2 Issuer,
Ltd.
-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)
All trends are Stable.
The initial collateral consists of 23 short-term floating-rate
mortgage assets with an aggregate cutoff date balance of $558.8
million secured by 24 mortgaged properties. The aggregate unfunded
future funding commitment of the future funding participations as
of the cutoff date is approximately $69.9 million. The holder of
the future funding companion participations, ACRES Capital Corp.
(ACRES), has full responsibility to fund the future funding
companion participations. The transaction is a managed vehicle that
includes a 24-month reinvestment period. As part of the
reinvestment period, the transaction includes a 180-day ramp-up
acquisition period that will be used to increase the trust balance
by $141.2 million to a total target collateral principal balance of
$700.0 million. DBRS Morningstar assessed the $141.2 million ramp
component using a conservative pool construct and, as a result, the
ramp loans have expected losses generally in line with the pool
weighted-average (WA) loan expected loss. During the reinvestment
period, so long as the note protection tests are satisfied and no
event of default (EOD) has occurred and is continuing, the
collateral manager may direct the reinvestment of principal
proceeds to acquire reinvestment collateral interest, including
funded companion participations, meeting the eligibility criteria.
The eligibility criteria, among other things, have a minimum debt
service coverage ratio (DSCR), loan-to-value (LTV) ratio, 16.0
Herfindahl score, and property type limitations. Of the 23 loans,
one (The Vic at Interpose; Prospectus ID#5), representing a total
initial pool balance of 7.3%, is a delayed-close loan, unclosed as
of December 1, 2021. The Issuer has 90 days after the closing to
acquire the delayed-close interest. If the delayed-close collateral
interest is not acquired within 90 days of the closing date, the
Issuer can use the allocated balance of the delayed-close loan to
acquire additional ramp loans. Acquisitions of future funding
participations of $500,000 or greater will require rating agency
confirmation. Interest can be deferred for the Class F and Class G
notes, and interest deferral will not result in an EOD. The
transaction will have a sequential-pay structure.
Of the 24 properties, 18 are multifamily assets (87.0% of the
mortgage asset cutoff date balance). The remaining loans are
secured by self-storage (three loans, 6.6% of the pool) and hotel
(two loans, 6.4% of the pool) properties.
For the floating-rate loans, DBRS Morningstar used the one-month
Libor index, which is based on the lower of a DBRS Morningstar
stressed rate that corresponded to the remaining fully extended
term of the loans or the strike price of the interest rate cap with
the respective contractual loan spread added to determine a
stressed interest rate over the loan term. When the debt service
payments were measured against the DBRS Morningstar As-Is Net Cash
Flow (NCF), 18 loans, comprising 75.3% of the initial pool balance,
had a DBRS Morningstar As-Is DSCR of 1.00 times (x) or below, a
threshold indicative of default risk. However, the DBRS Morningstar
Stabilized DSCR of only three loans, comprising 18.1% of the
initial pool balance, was 1.00x or below, which is indicative of
elevated refinance risk. The properties are often transitioning
with potential upside in cash flow; however, DBRS Morningstar does
not give full credit to the stabilization if there are no holdbacks
or if other structural features in place are insufficient to
support such treatment. Furthermore, even with the structure
provided, DBRS Morningstar generally does not assume the assets to
stabilize above market levels.
The Sponsor is ACRES Commercial Realty Corp. (NYSE: ACR). In July
2020, ACRES, through its subsidiary, ACRES Capital, LLC, acquired
the management agreement of ACRES Commercial Realty Corp. (formerly
known as Exantas Capital Corp). ACRES is a publicly-traded
commercial mortgage real estate investment trust focused on
self-originated commercial mortgage loans and other commercial real
estate (CRE) debt investments. It provides nationwide,
middle-market CRE lending with a focus on multifamily, student
housing, hospitality, office, and independent senior living
properties in the U.S. The Sponsor has been an Issuer on 12
securitized CRE financings totaling approximately $5.4 billion,
including ACRES 2021-FL1, which was rated by DBRS Morningstar and
closed in May 2021.
An affiliate of the sponsor, Retention Holder, will be acquiring
and holding 100% of the first-loss position (including the Class F
Notes, the Class G Notes, and the Preferred Shares) on this
transaction as an eligible horizontal residual interest (EHRI). The
Retention Holder will retain the EHRI in accordance with the U.S.
Credit Risk Retention Rules. The Sponsor and the Retention Holder
will both agree and undertake in the EU/UK Risk Retention Letter to
comply with the EU/UK Risk Retention Requirements in accordance
with the terms of the EU/UK Risk Retention Letter. Collectively,
the retained notes and membership interests represent 19.0% of the
trust balance
Twenty loans, representing 90.1% of the initial pool, are backed by
multifamily properties (83.5%), excluding student housing, and
self-storage properties (6.6%). These property types have
historically shown lower defaults and losses. Multifamily
properties benefit from staggered lease rollovers and generally low
expense ratios compared with other property types. While revenue is
quick to decline in a downturn because of the short-term nature of
the leases, it is also quick to respond when the market improves.
Furthermore, the pool has limited office, retail, mixed-use, and
hospitality exposure with only two loans, representing 6.4% of the
pool, backed by such property types. These property types have
experienced considerable disruption as a result of the coronavirus
pandemic with mandatory closures, stay-at-home orders, travel
restrictions, retail bankruptcies, and consumer shifts to online
purchasing.
As no loans in the pool were originated prior to the onset of the
coronavirus pandemic, the WA remaining fully extended term is 57
months, which gives the Sponsor enough time to execute its business
plans without risk of imminent maturity. In addition, the appraisal
and financial data provided are reflective of conditions after the
onset of the pandemic.
Sixteen loans, representing 66.4% of the pool balance, represent
acquisition financing. Acquisition financing generally requires the
respective sponsor(s) to contribute material cash equity as a
source of funding in conjunction with the mortgage loan, resulting
in a higher sponsor cost basis in the underlying collateral and
aligning the financial interests between the sponsor and lender.
DBRS Morningstar has analyzed the loans to a stabilized cash flow
that is, in some instances, above the in-place cash flow. It is
possible that a related loan sponsor will not successfully execute
its business plans and that the higher stabilized cash flow will
not materialize during the loan term, particularly with the ongoing
coronavirus pandemic and its impact on the overall economy. The
loan sponsor's failure to execute the business plans could result
in a term default or the inability to refinance the fully funded
loan balance. DBRS Morningstar made relatively conservative
stabilization assumptions and, in each instance, considered the
business plans to be rational and the loan structure to be
sufficient to substantially implement such plans. In addition, DBRS
Morningstar analyzes loss given default based on the as-is credit
metrics, assuming the loan is fully funded with no NCF or value
upside.
Thirty-one loans, representing 41.5% of the trust balance, have
DBRS Morningstar As-Is LTVs (fully funded loan amount) greater than
85.0%, which represents significantly high leverage. Four of those
loans, 26.4% of the trust balance, are among the 10 largest loans
in the pool. All 21 loans were originated in 2021 and have
sufficient time to reach stabilization. Additionally, all the loans
have DBRS Morningstar Stabilized LTVs of 71.8% or less, indicating
improvements to value based on the related sponsors' business
plans. The DBRS Morningstar WA Stabilized LTV for the pool is 65.3%
and no loans have a DBRS Morningstar Stabilized LTV greater than
71.8%.
DBRS Morningstar did not conduct site inspections for any of the
properties in the pool because of health and safety constraints
associated with the ongoing coronavirus pandemic. As a result, DBRS
Morningstar relied more heavily on third-party reports, online data
sources, and information provided by the Issuer to determine the
overall DBRS Morningstar property quality assigned to each loan.
Recent third-party reports were provided for all loans and
contained property quality commentary and photos. DBRS Morningstar
made relatively conservative property quality adjustments with only
three loans (Linden on the GreeneWay, The Vic at Interpose, and 55
Resort Apartments), representing a combined 22.2% of the pool
balance, being modeled with Average + property quality. These
properties were recently built or renovated. No loans received a
property quality distinction of Excellent.
The transaction is managed and includes a delayed-close loan, a
ramp-up component, and a reinvestment period, which could result in
negative credit migration and/or an increased concentration profile
over the life of the transaction. The risk of negative migration is
also partially offset by eligibility criteria that outline DSCR,
LTV, 16.0 Herfindahl score minimum, property type, and loan size
limitations for ramp and reinvestment assets. DBRS Morningstar
accounted for the uncertainty introduced by the 180-day ramp-up
period by running a ramp scenario that simulates the potential
negative credit migration in the transaction based on the
eligibility criteria. As a result, the ramp component has an
expected loss generally in line with the WA pre-ramp pool.
All loans have floating interest rates and all 23 loans are
interest-only (IO) during the entire initial loan term, creating
interest rate risk should interest rates increase. For the
floating-rate loans, DBRS Morningstar used the one-month Libor
index, which is based on the lower of a DBRS Morningstar stressed
rate that corresponded to the remaining fully extended term of the
loans or the strike price of the interest rate cap with the
respective contractual loan spread added to determine a stressed
interest rate over the loan term. Additionally, all loans have
extension options and, in order to qualify for these options, the
loans must meet minimum DSCR, debt yield, and/or LTV requirements.
Notes: All figures are in U.S. dollars unless otherwise noted.
AMERICAN CREDIT 2022-1: S&P Assigns Prelim 'BB-' Rating on F Notes
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S&P Global Ratings assigned its preliminary ratings to American
Credit Acceptance Receivables Trust 2022-1's asset-backed notes.
The note issuance is an ABS securitization backed by subprime auto
loan receivables.
The preliminary ratings are based on information as of Jan. 12,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The availability of approximately 62.48%, 55.65%, 48.44%,
41.24%, 35.93%, and 33.69% credit support, including excess spread,
for the class A, B, C, D, E, and F notes, respectively, based on
stressed cash flow scenarios. These credit support levels provide
more than 2.35x, 2.10x, 1.70x, 1.48x, 1.29x, and 1.20x coverage of
our expected net loss range of 25.50%-26.50% for the class A, B, C,
D, E, and F notes, respectively.
-- The hard credit enhancement in the form of subordination,
overcollateralization, and a reserve account in addition to excess
spread.
-- The expectation that under a moderate ('BBB') stress scenario
(1.37x S&P's expected loss level), all else being equal, its
preliminary ratings on the class A, B, C, D, E, and F notes, will
be within the credit stability limits specified by section A.4 of
the Appendix of "S&P Global Ratings Definitions," published Jan. 5,
2021.
-- The timely payment of interest and principal by the designated
legal final maturity dates under our stressed cash flow modeling
scenarios that S&P believes are appropriate for the assigned
preliminary ratings.
-- The collateral characteristics of the subprime automobile loans
securitized in this transaction.
-- The backup servicing arrangement with Computershare Trust Co.
N.A.
-- The transaction's payment and legal structure.
Preliminary Ratings Assigned
American Credit Acceptance Receivables Trust 2022-1(i)
Class A, $197.88 million: AAA (sf)
Class B, $56.22 million: AA (sf)
Class C, $58.01 million: A (sf)
Class D, $53.52 million: BBB+ (sf)
Class E, $42.05 million: BB+ (sf)
Class F, $17.32 million: BB- (sf)
(i)The actual size of these tranches will be determined on the
pricing date.
AMERICREDIT AUTO 2019-2: Fitch Affirms BB Rating on Class E Debt
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Fitch Ratings has taken various actions on the outstanding notes
issued by AmeriCredit Automobile Receivables Trusts (AMCAR) 2018-1,
2018-2, 2019-1, 2019-2, 2020-1, 2020-2 and 2021-1 and revised the
Rating Outlooks on six classes.
DEBT RATING PRIOR
---- ------ -----
AmeriCredit Automobile Receivables Trust 2019-2
A-3 03066KAE0 LT AAAsf Affirmed AAAsf
B 03066KAF7 LT AAAsf Affirmed AAAsf
C 03066KAG5 LT AAAsf Upgrade AAsf
D 03066KAH3 LT Asf Upgrade BBBsf
E 03066KAA8 LT BBsf Affirmed BBsf
AmeriCredit Automobile Receivables Trust 2020-1
A-3 03067DAD7 LT AAAsf Affirmed AAAsf
B 03067DAE5 LT AAAsf Affirmed AAAsf
C 03067DAF2 LT AAsf Upgrade Asf
D 03067DAG0 LT BBBsf Affirmed BBBsf
AmeriCredit Automobile Receivables Trust 2018-1
C 03066HAF4 LT AAAsf Affirmed AAAsf
D 03066HAG2 LT Asf Affirmed Asf
E 03066HAH0 LT BBBsf Affirmed BBBsf
AmeriCredit Automobile Receivables Trust 2021-1
A-2 03063FAB0 LT AAAsf Affirmed AAAsf
A-3 03063FAC8 LT AAAsf Affirmed AAAsf
B 03063FAD6 LT AAsf Affirmed AAsf
C 03063FAE4 LT Asf Affirmed Asf
D 03063FAF1 LT BBBsf Affirmed BBBsf
E 03063FAG9 LT BBsf Affirmed BBsf
AmeriCredit Automobile Receivables Trust 2020-2
A-2-A 03066EAB0 LT AAAsf Affirmed AAAsf
A-2-B 03066EAC8 LT AAAsf Affirmed AAAsf
A-3 03066EAD6 LT AAAsf Affirmed AAAsf
B 03066EAE4 LT AAAsf Upgrade AAsf
C 03066EAF1 LT Asf Affirmed Asf
D 03066EAG9 LT BBBsf Affirmed BBBsf
E 03066EAH7 LT BBsf Affirmed BBsf
AmeriCredit Automobile Receivables Trust 2018-2
B 03066LAE8 LT AAAsf Affirmed AAAsf
C 03066LAF5 LT AAAsf Affirmed AAAsf
D 03066LAG3 LT Asf Affirmed Asf
E 03066LAH1 LT BBBsf Affirmed BBBsf
AmeriCredit Automobile Receivables Trust 2019-1
A-3 03066GAD1 LT AAAsf Affirmed AAAsf
B 03066GAE9 LT AAAsf Affirmed AAAsf
C 03066GAF6 LT AAAsf Upgrade AAsf
D 03066GAG4 LT Asf Affirmed Asf
E 03066GAH2 LT BBBsf Affirmed BBBsf
KEY RATING DRIVERS
The affirmations and upgrades of the outstanding notes reflect
available credit enhancement (CE) and loss performance to date.
Cumulative net losses (CNLs) are tracking inside the initial base
case proxies, and hard CE levels have grown for all classes in each
transaction since close. The Stable Outlooks reflect Fitch's
expectation that the notes have sufficient levels of credit
protection to withstand potential deterioration in credit quality
of the portfolio in stress scenarios and that loss coverage will
continue to increase as the transactions amortize. The Positive
Outlooks on the applicable classes reflect the possibility for an
upgrade in the next one to two years.
As of the November 2021 collection period, 61+ day delinquencies
were 2.54%, 2.33%, 2.02%, 2.16%, 1.36%, 1.27%, and 0.96% of the
remaining collateral balance for 2018-1, 2018-2, 2019-1, 2019-2,
2020-1, 2020-2, and 2021-1, respectively. CNLs were 5.38%, 5.20%,
4.27%, 3.94%, 1.88%, 1.16%, and 0.41%, tracking below Fitch's
initial base cases of 10.50%, 10.50%, 10.75%, 11.00%, 10.75%,
11.25%, and 11.00%. Hard CE has grown for all transactions since
close.
The revised lifetime CNL proxies consider the transactions'
remaining pool factors, pool compositions, and performance to date.
They also consider current and future macro-economic conditions
that drive loss frequency, along with the state of wholesale
vehicle values, which affect recovery rates and ultimately
transaction losses.
To account for potential increases in delinquencies and losses,
Fitch applied conservative assumptions in deriving the updated base
case CNL proxies. The base case proxies were lowered to 8.00%,
8.00%, 8.00%, 8.00%, 8.50%, 9.00%, and 10.00% for 2018-1, 2018-2,
2019-1, 2019-2, 2020-1, 2020-2, and 2021-1, respectively. Given the
performance to date, driven by strong recoveries from the used
vehicle market, Fitch deemed these appropriately conservative for
the transactions.
For all outstanding transactions, loss coverage multiples for the
rated notes are consistent with or in excess of 3.25x for 'AAAsf',
2.75x for 'AAsf', 2.25x for 'Asf', 1.75x for 'BBBsf', and 1.50x for
'BBsf'.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- Unanticipated increases in the frequency of defaults could
produce default levels higher than the current projected base
case default proxy, and impact available loss coverage and
multiples levels for the transaction. Weakening asset
performance is strongly correlated to increasing levels of
delinquencies and defaults that could negatively impact CE
levels. Lower loss coverage could impact ratings and Rating
Outlooks, depending on the extent of the decline in coverage.
-- In Fitch's initial review, the notes had some sensitivity to a
1.5x and 2.0x increase of Fitch's base case loss expectation
for each transaction. For outstanding transactions, this
scenario suggests a possible downgrade of up to three
categories for all classes of notes. However, this is based on
a very conservative proxy. To date, the transactions have
strong performance with losses within Fitch's initial
expectations with adequate loss coverage and multiple levels.
Therefore, a material deterioration in performance would have
to occur within the asset collateral to have potential
negative impact on the outstanding ratings.
Factor that could, individually or collectively, lead to positive
rating action/upgrade:
-- Stable to improved asset performance driven by stable
delinquencies and defaults would lead to increasing CE levels
and consideration for potential upgrades. If CNL is 20% less
than the projected CNL proxy, the ratings could be affirmed or
upgraded.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the AMCAR
transactions, either due to their nature or the way in which they
are being managed.
BANK 2017-BNK7: DBRS Confirms B Rating on Class X-F Certs
---------------------------------------------------------
DBRS, Inc. confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2017-BNK7 issued by BANK
2017-BNK7 as follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class X-B at A (high) (sf)
-- Class C at A (sf)
-- Class X-D at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class X-E at BB (sf)
-- Class E at BB (low) (sf)
-- Class X-F at B (sf)
-- Class F at B (low) (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction since last review. At issuance, the transaction
consisted of 65 fixed-rate loans secured by 83 commercial or
multifamily properties with an aggregate balance of $1.21 billion.
According to the November 2021 remittance, 64 loans remain in the
pool with a collateral reduction of 2.8% since issuance, as a
result of scheduled amortization and one loan that prepaid early in
June 2019. Additionally, one loan, which represents 1.4% of the
current pool balance, is defeased.
As of the November 2021 remittance report, there were 14 loans,
representing 15.5% of the current pool balance, on the servicer's
watchlist and one loan, representing 1.1% of the current pool
balance, in special servicing. Of the loans on the servicer's
watchlist, five loans, representing 1.7% of the current pool
balance, were secured by co-operative housing properties. The three
largest loans on the servicer's watchlist, all of which are in the
top 15, representing a combined 11.0% of the current pool balance,
are all secured by hotel assets. These three watchlisted loans are
being monitored for low debt service coverage ratios (DSCR) related
to the effects of the Coronavirus Disease (COVID-19) pandemic, and
each was granted relief in the form of a forbearance allowing the
borrowers to use furniture, fixtures, and equipment (FF&E) reserve
funds to make debt service payments and deferral of FF&E
contribution requirements for a three-month period. As of November
2021, updated financials were provided for two of the three
properties and showed improving occupancy and DSCR, though still
below the breakeven threshold. The three loans remain current.
The fourth-largest loan on the servicer's watchlist is 8532 Melrose
Avenue (Prospectus ID#21; 1.2% of the current pool balance). The
loan is secured by a small retail property in West Hollywood,
California. The loan is being monitored for the January 2022 lease
expiry for the largest tenant, Lululemon USA (59.1% of the net
rentable area). The servicer has confirmed that the lease was
extended to September 2027, one month past loan maturity; however,
the renewal significantly reduced the tenant's rental rate to $160
per square foot (psf) from the $240 psf rate at issuance, with a
free rent period for the first nine months of 2022. The free rent
period notwithstanding, DBRS Morningstar estimates that this new
rental rate will result in a DSCR decline to below 1.50 times (x),
based on the YE2019 revenue figure and reported DSCR of 1.90x.
The one loan in special servicing is HGI Memphis Wolfchase Galleria
(Prospectus ID#23; 1.1% of the current pool balance). The loan is
secured by the borrower's fee-simple interest in a 124-room
select-service hotel in Cordova, Tennessee, approximately 12 miles
northeast of the Memphis central business district. The loan was
transferred to special servicing in May 2020 for an imminent
monetary default related to the effects of the pandemic. In June
2021, the borrower managed to bring the loan current, and the
servicer reports that the workout negotiations remained ongoing as
of the most recent commentary. The most recent financials provided
are for the trailing 12 months ended June 30, 2021, with a DSCR
below breakeven at 0.75x but up from 0.13x at YE2020, suggesting
hotel performance is trending in the right direction.
Classes X-A, X-B, X-D, X-E, and X-F are interest-only (IO)
certificates that reference a single rated tranche or multiple
rated tranches. The IO rating mirrors the lowest-rated applicable
reference obligation tranche adjusted upward by one notch if senior
in the waterfall.
Notes: All figures are in U.S. dollars unless otherwise noted.
BENCHMARK 2019-B9: Fitch Affirms B- Rating on 2 Tranches
--------------------------------------------------------
Fitch Ratings has affirmed 18 classes of Benchmark 2019-B9 Mortgage
Trust commercial mortgage pass-through certificates, series
2019-B9.
DEBT RATING PRIOR
---- ------ -----
BMARK 2019-B9
A-1 08160JAA5 LT AAAsf Affirmed AAAsf
A-2 08160JAB3 LT AAAsf Affirmed AAAsf
A-3 08160JAC1 LT AAAsf Affirmed AAAsf
A-4 08160JAD9 LT AAAsf Affirmed AAAsf
A-5 08160JAE7 LT AAAsf Affirmed AAAsf
A-AB 08160JAF4 LT AAAsf Affirmed AAAsf
A-S 08160JAH0 LT AAAsf Affirmed AAAsf
B 08160JAJ6 LT AA-sf Affirmed AA-sf
C 08160JAK3 LT A-sf Affirmed A-sf
D 08160JAY3 LT BBBsf Affirmed BBBsf
E 08160JBA4 LT BBB-sf Affirmed BBB-sf
F 08160JBC0 LT BB-sf Affirmed BB-sf
G 08160JBE6 LT B-sf Affirmed B-sf
X-A 08160JAG2 LT AAAsf Affirmed AAAsf
X-B 08160JAL1 LT A-sf Affirmed A-sf
X-D 08160JAN7 LT BBB-sf Affirmed BBB-sf
X-F 08160JAQ0 LT BB-sf Affirmed BB-sf
X-G 08160JAS6 LT B-sf Affirmed B-sf
KEY RATING DRIVERS
Stable Loss Expectations: Loss expectations are in line with
issuance expectations. Seven loans (22.1%) were flagged as Fitch
Loans of Concern (FLOCs) primarily due to the loss of large tenants
or impact from the coronavirus pandemic; two loans (1.2%) were
specially serviced. Fitch's current ratings reflect a base case
loss of 4.8% compared to 4.5% at issuance. The Negative Outlooks
reflect the pool's concentration with 50 loans of which 20% is
secured by retail and 10.1% is secured hotels. The Outlooks may be
revised to Stable if FLOCs' performance stabilizes.
The largest contributor to base case losses, AC Marriott Downtown
Tucson (2.9%), is secured by a 136-key limited service hotel
located in Tucson, AZ. It was flagged as a FLOC as property
performance was impacted by the coronavirus pandemic. Occupancy and
debt service coverage ratio (DSCR) declined from 83% and 2.12x,
respectively, as of YE 2019 to 40% and 0.82x as of YE 2020.
Performance has shown signs of rebounding. Occupancy and DSCR were
a reported 51% and 1.37x, respectively, as of TTM Sept. 20, 2021.
The second largest contributor to base case losses, Walgreens
Chicago (2.1%), is secured by 41,113-sf retail property located in
Chicago, IL. Walgreens which occupied 100% of the space vacated in
2019, prior to its October 2088 lease expiration. However, the
tenant continues to pay rent. Fitch applied a 20% stress to the YE
2020 NOI due to the dark tenant.
The third largest contributor to loss expectations is 3 Park Avenue
(10%), the largest loan in the pool. The loan is secured by an
641,186 sf of office space on floors 14 through 41 and 26,260 sf of
multi-level retail space on Park Avenue and 34th Street. The top
three tenants are Houghton Mifflin Harcourt (15.2%; lease expires
Dec. 31, 2027), P. Kaufman Contract (8.5%; lease expires Dec. 31,
2022) and Zeta Global Holding (4.2%; 0.8% expires Jan. 31, 2023 and
3.4% expires March 31, 2029). This loan has been considered a FLOC
since occupancy declined to 63.9% as of June 2020 from 85.5% at YE
2019 following the loss of several tenants, including the former
second largest tenant TransPerfect Translations (13.7% NRA; lease
expired in September 2019). Occupancy remains low at 60% as of June
2021. Fitch's low loss expectations reflect the property's location
and likely recovery during the loan term.
Minimal Change to Credit Enhancement: As of the December 2021
distribution date, the pool's aggregate balance has been reduced by
0.8% to $876.3 million from $883.5 million at issuance. Di minimus
interest shortfalls ($154K) are currently affecting non-rated class
J. Nineteen loans (53.8% of the pool) are full-term interest-only,
and 18 loans, representing 33.4% of the pool, are partial
interest-only (five loans representing 9.3% have exited their
interest only period). The remainder of the pool consists of 13
balloon loans representing 12.8% by balance. There have been no
realized losses to date.
Property Concentrations: The pool's largest property type is office
at 40.6%, including seven loans (35.1%) in the top 15. Retail and
industrial represent the second and third largest property types at
20% and 10.2%, respectively. Lodging represents 10.1% of the pool.
No other property type represents more than 8.8% of the pool
balance. The 22nd largest loan, Aventura Mall (1.7%), is the only
regional mall and Credit Opinion Loan within the pool. It had
stand-alone credit opinion of 'Asf' at issuance.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- Downgrades would occur with an increase in pool-level losses
from underperforming or specially serviced loans. Downgrades
to the senior A-1, A-2, A-3, A-4, A-5, A-SB classes are not
likely given their sufficient credit enhancement (CE) relative
to expected losses and continued amortization but may occur if
interest shortfalls occur or loss expectations increase
considerably.
-- Downgrades to classes A-S, B, C, D, X-A, X-B and X-D may occur
should expected losses for the pool increase significantly
and/or all loans susceptible to the coronavirus pandemic
suffer losses.
-- Downgrades to classes E, F, G, X-F, X-G and X-H would occur
should loss expectations increase from continued performance
decline of the FLOCs, loans susceptible to the pandemic not
stabilize and/or loans default or transfer to special
servicing.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Upgrades would occur with stable to improved asset
performance, particularly on the FLOCs, coupled with
additional paydown and/or defeasance.
-- Upgrades to classes B, C and X-B would only occur with
significant improvement in CE, defeasance and/or performance
stabilization of FLOCs and other properties affected by the
coronavirus pandemic. Classes would not be upgraded above
'Asf' if there were likelihood of interest shortfalls.
-- Upgrades to classes D, E, F, G, X-D, X-F 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.
BSPRT ISSUER 2021-FL7: DBRS Finalizes B(low) Rating on H Notes
--------------------------------------------------------------
DBRS, Inc. finalized provisional ratings on the following classes
of notes issued by BSPRT 2021-FL7 Issuer, Ltd.:
-- Class A Notes at AAA (sf)
-- Class A-S Notes at AAA (sf)
-- Class B Notes at AA (low) (sf)
-- Class C Notes at A (low) (sf)
-- Class D Notes at BBB (sf)
-- Class E Notes at BBB (low) (sf)
-- Class F Notes at BB (high) (sf)
-- Class G Notes at BB (low) (sf)
-- Class H Notes at B (low) (sf)
All trends are Stable.
The initial collateral consists of 26 floating-rate mortgage loans
secured by 29 mostly transitional real estate properties with a
cut-off balance totaling $840.7 million excluding $50.3 million in
remaining future funding commitments. The transaction is a managed
vehicle, which includes a 24-month reinvestment period. As part of
the reinvestment period, the transaction includes a six-month
ramp-up acquisition period that will be used to increase the trust
balance by $59.3 million to a total target collateral principal
balance of $900.0 million. DBRS Morningstar assessed the $59.3
million ramp component using a conservative pool construct and as a
result, the ramp loans have expected losses above the pool weighted
average (WA) loan expected loss. During the reinvestment period, so
long as the note protection tests are satisfied and no event of
default has occurred and is continuing, the collateral manager may
direct the reinvestment of principal proceeds to acquire
reinvestment collateral interest, including funded companion
participations, meeting the eligibility criteria. The eligibility
criteria, among other things, has minimum debt service coverage
ratio (DSCR), loan-to-value (LTV) ratio, 14.0 Herfindahl score, and
loan size limitations. Lastly, the eligibility criteria stipulates
Rating Agency Confirmation on ramp loans, reinvestment loans, and
on pari passu participation acquisitions if a portion of the
underlying loan is already included in the pool, thereby allowing
DBRS Morningstar the ability to review the new collateral interest
and any potential impacts to the overall ratings.
The loans are mostly secured by cash flowing assets, many of which
are in a period of transition with plans to stabilize and improve
the asset value. In total, 18 loans, representing 60.2% of the
pool, have remaining future funding participations totaling $50.3
million, which the Issuer may acquire in the future.
For the floating-rate loans, DBRS Morningstar used the one-month
Libor index, which is based on the lower of a DBRS Morningstar
stressed rate that corresponded to the remaining fully extended
term of the loans or the strike price of the interest rate cap with
the respective contractual loan spread added to determine a
stressed interest rate over the loan term. When the cut-off
balances were measured against the DBRS Morningstar As-Is Net Cash
Flow (NCF), 18 loans, representing 71.0% of the initial pool
balance, had a DBRS Morningstar As-Is DSCR of 1.0 times (x) or
below, a threshold indicative of default risk. By contrast, none of
the loans had a DBRS Morningstar Stabilized DSCR below 1.0x. The
properties are often transitioning with potential upside in cash
flow; however, DBRS Morningstar does not give full credit to the
stabilization if there are no holdbacks or if other loan structural
features in place are insufficient to support such treatment.
Furthermore, even with the structure provided, DBRS Morningstar
generally does not assume the assets to stabilize above market
levels.
The sponsor for the transaction is Benefit Street Realty Operating
Partnership, L.P., a wholly owned subsidiary of Franklin BSP Realty
Trust, Inc. (FBRT), formerly known as Benefit Street Partners
Realty Trust, Inc., and an experienced commercial real estate (CRE)
collateralized loan obligation (CLO) issuer and collateral manager.
As of September 30, 2021, FBRT managed a commercial mortgage debt
portfolio of approximately $3.3 billion and had issued eight CRE
CLO transactions. Through September 30, 2021, FBRT had not realized
any losses on any of its CRE bridge loans. Additionally, FBRT will
purchase and retain 100.0% of the Class F Notes, the Class G Notes,
the Class H Notes, and the Preferred Shares, which total $177.75
million, or 19.8% of the transaction total.
The majority of the pool comprises primarily multifamily (92.3%)
and self-storage (1.8%) properties. These properties have
historically shown lower defaults and losses. Multifamily
properties benefit from staggered lease rollover and generally low
expense ratios compared with other property types. While revenue is
quick to decline in a downturn because of the short-term nature of
the leases, it is also quick to respond when the market improves.
Twenty-four of the 26 loans, representing 94.3% of the mortgage
asset cut-off date balance, are for acquisition financing, where
the borrowers contributed material cash equity in conjunction with
the mortgage loan. Triton Court Apartments and Prime South Carolina
Portfolio are the sole refinance loans representing 5.7% of the
pool. Triton Court Apartments, representing 3.9% of the current
trust balance, is of recent construction and the sponsor will have
$6.6 million of equity remaining in the deal despite a small return
of equity as part of the refinance. The sponsor for Prime South
Carolina Portfolio, representing 1.8% of the current trust balance,
contributed material equity in conjunction with the mortgage loan,
and the portfolio is cash flowing.
The transaction is managed and includes a ramp-up component and
reinvestment period, which could result in negative credit
migration and/or an increased concentration profile over the life
of the transaction. The risk of negative migration is partially
offset by eligibility criteria that outline minimum DSCR, LTV, 14.0
Herfindahl score, property type, and loan size limitations, among
other things, for reinvestment assets. No Downgrade Confirmation is
required from DBRS Morningstar for all reinvestment loans and
ramp-up loans. Additionally, DBRS Morningstar accounted for the
uncertainty introduced by the six-month ramp-up period by running a
ramp scenario that simulates the potential negative credit
migration in the transaction based on the eligibility criteria.
Based on the initial pool balances, the overall DBRS Morningstar WA
As-Is DSCR of 0.92x and WA As-Is LTV of 76.6% generally reflect
high-leverage financing. Most of the assets are generally well
positioned to stabilize, and any realized cash flow growth would
help to offset a rise in interest rates and improve the overall
debt yield of the loans. DBRS Morningstar associates its loss
severity given default based on the assets' as-is LTV, which does
not assume that the stabilization plan and cash flow growth will
ever materialize. The DBRS Morningstar As-Is DSCR at issuance does
not consider the sponsor's business plan as the DBRS Morningstar
As-Is NCF was generally based on the most recent annualized period.
The sponsor's business plan could have an immediate impact on the
underlying asset performance that the DBRS Morningstar As-Is NCF
does not account for. When measured against the DBRS Morningstar
Stabilized NCF, the DBRS Morningstar WA DSCR is estimated to
improve to 1.21x, suggesting that the properties are likely to have
improved NCFs once the sponsor's business plan has been
implemented.
All 26 loans have floating interest rates and are interest only
during the initial loan term, creating interest rate risk should
interest rates increase. DBRS Morningstar used the one-month Libor
index, which is based on the lower of a DBRS Morningstar stressed
rate that corresponded to the remaining fully extended term of the
loans or the strike price of the interest rate cap with the
respective contractual loan spread added to determine a stressed
interest rate over the loan term. Additionally, 24 loans with
extension options, representing 91.0% of the initial pool balance,
must meet minimum DSCR and LTV requirements. All loans are short
term and, even with extension options, have a fully extended loan
term of five years maximum. The borrowers for all loans, except one
(Vaughan Place Apartments) have purchased Libor caps that range
between 1.0% and 3.0% and protect against rising interest rates
over the term of the loan. The borrower for Vaughan Place
Apartments, representing 10.5% of the trust balance, is not
required to purchase a rate cap at closing; however, once Libor
reaches 1.00%, the borrower will be required to obtain an interest
rate cap for the term of the loan.
Notes: All figures are in U.S. dollars unless otherwise noted.
CITIGROUP 2020-GC46: DBRS Confirms BB Rating on G-RR Certs
----------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2020-GC-46 issued by Citigroup
Commercial Mortgage Trust 2020-GC46 as follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class X-B at AA (low) (sf)
-- Class C at A (high) (sf)
-- Class D at BBB (high) (sf)
-- Class X-D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class X-F at BBB (low) (sf)
-- Class F at BB (high) (sf)
-- Class G-RR at BB (low) (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction. According to the November 2021 remittance, all 46
of the original loans remain in the pool with an aggregate
principal balance of approximately $1.2 billion, representing a
collateral reduction of just 0.3% since issuance due to loan
amortization.
The transaction includes eight loans, representing 36.3% of the
trust balance, that were shadow-rated investment grade by DBRS
Morningstar at issuance. The trust benefits from the high amount of
urban properties as there are seven loans, representing 29.2% of
the trust balance, with a DBRS Morningstar Market Rank of seven or
greater. The loans also exhibit relatively low leverage as the
weighted-average loan-to-value (LTV) ratio was 54.3% based on the
issuance appraised values. However, the leverage of the pool is
barbelled by 16 loans, representing 25.5% of the trust balance,
that had LTVs greater than 67.1%, and 17 loans, comprising 52.8% of
the pool balance, with an issuance LTV lower than 59.3%. Most of
the higher leverage loans are secured by retail properties, which
have been more susceptible to stress during the Coronavirus Disease
(COVID-19) pandemic. Additionally, there are 23 loans, totaling
66.5% of the trust balance, that are structured with full-term
interest-only (IO) periods and an additional 13 loans, totaling
25.5% of the trust balance, structured with partial IO terms. The
lack of amortization is mitigated by seven of the full-term IO
loans being shadow-rated investment grade by DBRS Morningstar at
issuance.
Per the November 2021 reporting, there was one loan, representing
3.7% of the current pool, in special servicing and an additional 10
loans representing 17.0% of the pool on the servicer's watchlist.
The Westin Book Cadillac loan is secured by the fee interest in a
32-story, 453-key, full-service hotel located in the Detroit
central business district. The loan transferred to special
servicing in August 2020 for imminent default following the hotel's
closure from April to June 2020 and the subsequent decline in
performance as a result of the pandemic. At closing, the Westin
Book Cadillac was owned by The Ferchill Group, a real estate
development and management company in Cleveland; however, according
to an article published by the Detroit Free Press in December 2021,
the property has been sold to a subsidiary of Chicago-based Oxford
Capital Group. Per the reporting, Oxford Capital will assume the
$77.0 million in debt and would then spend approximately $16.5
million on renovations and maintenance throughout the building,
including maintenance on the HVAC system and elevators. According
to the article, the company was also seeking a 12-year commercial
redevelopment tax break valued at $26.0 million. The collateral was
reappraised in May 2021 for $82.3 million, up from $74.6 million in
September 2020, but down by 39% from the issuance appraised value
of $136.0 million. Based on the current loan balance, the loan has
an LTV of 102.6% based on the total loan exposure as of the
November 2021 remittance. The reported sale to Oxford Capital and
the plans to inject funds to renovate the property, coupled with
the potential tax break, should help stabilize the property; a
return to the master servicer is likely.
The loans on the servicer's watchlist were all performing as of the
November 2021 remittance report. Most of the watchlist loans
exhibited low debt service coverage ratios or exhibited increased
risk of default caused by the coronavirus pandemic. The three
largest loans on the watchlist, 10.1% of the current trust balance,
are shadow-rated investment grade, mainly due to their senior debt
positions.
Notes: All figures are in U.S dollars unless otherwise noted.
COREVEST AMERICAN 2019-1: DBRS Reviews 35 Classes from 4 Deals
--------------------------------------------------------------
DBRS, Inc. reviewed 35 classes from four U.S. single-family rental
transactions. Of the 35 classes reviewed, DBRS Morningstar upgraded
two ratings and confirmed 33 ratings.
CoreVest American Finance 2019-1 Trust
-- Class A confirmed at AAA (sf)
-- Class B upgraded to AA (high) (sf) from AA (sf)
-- Class C confirmed at A (sf)
-- Class D confirmed at BBB (sf)
-- Class E confirmed at BBB (low) (sf)
-- Class F confirmed at BB (sf)
-- Class G confirmed at B (sf)
-- Class X-A confirmed at AAA (sf)
-- Class X-B confirmed at BBB (sf)
CoreVest American Finance 2019-3 Trust
-- Class A confirmed at AAA (sf)
-- Class B upgraded to AA (sf) from AA (low) (sf)
-- Class C confirmed at A (low) (sf)
-- Class D confirmed at BBB (sf)
-- Class E confirmed at BBB (sf)
-- Class F confirmed at BB (high) (sf)
-- Class G confirmed at B (high) (sf)
-- Class X-A confirmed at AAA (sf)
CoreVest American Finance 2020-1 Trust
-- Class A-1 confirmed at AAA (sf)
-- Class A-2 confirmed at AAA (sf)
-- Class B confirmed at A (high) (sf)
-- Class C confirmed at A (low) (sf)
-- Class D confirmed at BBB (sf)
-- Class E confirmed at BB (high) (sf)
-- Class F confirmed at BB (sf)
-- Class G confirmed at B (sf)
-- Class X-A confirmed at AAA (sf)
CoreVest American Finance 2020-3 Trust
-- Class A confirmed at AAA (sf)
-- Class B confirmed at AA (low) (sf)
-- Class C confirmed at A (low) (sf)
-- Class D confirmed at BBB (sf)
-- Class E confirmed at BBB (low) (sf)
-- Class F confirmed at BB (low) (sf)
-- Class G confirmed at B (sf)
-- Class X-A confirmed at AAA (sf)
-- Class X-B confirmed at BBB (sf)
The rating confirmations reflect asset performance and
credit-support levels that are consistent with the current
ratings.
DBRS Morningstar's rating actions are based on the following
analytical consideration:
-- Key performance measures as reflected in month-over-month
changes in vacancy and delinquency, quarterly analysis of the
actual expenses, credit enhancement increases since deal inception,
and bond paydown factors.
CSAIL 2018-CX11: DBRS Confirms B(high) Rating on Class G-RR Certs
-----------------------------------------------------------------
DBRS Limited confirmed the following ratings on the Commercial
Mortgage Pass-Through Certificates, Series 2018-CX11 issued by
CSAIL 2018-CX11 Commercial Mortgage Trust:
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class X-D at BBB (high) (sf)
-- Class D at BBB (sf)
-- Class E-RR at BBB (low) (sf)
-- Class F-RR at BB (low) (sf)
-- Class G-RR at B (high) (sf)
All trends are Stable. In addition, DBRS Morningstar removed the
Interest in Arrears designation on Class E-RR, F-RR, and G-RR.
The rating confirmations reflect the overall stable performance of
the transaction since the last review. At issuance, the trust
consisted of 56 fixed-rate loans secured by 118 commercial and
multifamily properties with a total trust balance of $952.9
million. According to the December 2021 remittance report, 55 loans
remain in the trust with a total trust balance of $914.5 million,
representing a collateral reduction of 4.0% since issuance. The
pool is relatively diverse based on loan size with the largest 15
loans comprising 60.1% of the trust balance. Five loans,
representing 16.3% of the trust balance, exhibited credit
characteristics consistent with investment-grade shadow ratings at
issuance. Nine loans, representing 22.3% of the trust balance, are
located in urban markets with DBRS Morningstar Market Ranks of 6 or
greater. Nineteen loans, representing 44.6% of the trust balance,
are structured with interest-only (IO) payments for the full term.
An additional 14 loans, representing 23.0% of the trust balance,
are structured with partial IO payments.
According to the December 2021 remittance report, one loan,
representing 2.8% of the trust balance, is in special servicing
after the underlying collateral was negatively affected by the
Coronavirus Disease (COVID-19) pandemic. An additional 16 loans,
representing 29.1% of the trust balance, are on the servicer's
watchlist, including five of the largest 15 loans by loan balance.
The Hilton Clearwater Beach Resort and Spa loan (Prospectus ID#2,
6.2% of the pool) is secured by the borrower's leasehold interest
in a 416-key full-service hotel located in Clearwater Beach,
Florida. The loan was added to the servicer's watchlist in April
2020 as a result of the borrower requesting coronavirus relief.
Forbearance was granted in October 2020 in the form of a deferral
of reserve payments between October 2020 and March 2021 and the
allowance of reserve accounts to be available for debt service
payments. The forbearance requires all reserves to be replenished
by March 2022. Property performance has improved significantly in
2021, led by an 87.9% increase in departmental revenue, which
resulted in a Q3 2021 debt service coverage ratio (DSCR) of 3.06
times (x) compared with the YE2020 DSCR of 1.16x. According to the
year-to-date August 2021 STR data, the subject occupancy is above
the competitive set at 83.8% with a penetration rate of 105%. While
the subject's ADR and RevPAR penetration lag behind the competitive
set at 85.1% and 83.9%, respectively, the subject has demonstrated
higher year-over-year growth in ADR and RevPAR rates when compared
to the competitive set. The subject benefits from its superior
beach frontage and flagship Hilton amenities. Although property
performance has rebounded, DBRS Morningstar will continue to
monitor for developments and any potential disruptions related to
the Omicron variant.
The 6-8th West 28th Street loan (Prospectus ID#13, 2.8% of the
pool) is secured by the fee interest in a 26,600 square-foot
mixed-use building between Broadway and Fifth Avenue in Manhattan.
The loan transferred to special servicing in June 2020 after
coronavirus relief was requested, and the last loan payment was
made in March 2020. The lender is actively pursuing foreclosure;
however, such proceedings have been temporarily halted due to the
foreclosure moratorium in place in New York. According to the
servicer, the legislation and court have stayed the foreclosure and
receivership action until January 2022. The August 2020 appraisal
value was reported at $29.1 million, down 28.1% from the appraised
value of $40.5 million at issuance. The loan-to-value (LTV) ratio
increased to 89.3% from 64.2% based on that updated appraised
value. For the purposes of this analysis, the loan was liquidated
from the trust based on the August 2020 appraised value, which
resulted in an implied loss severity in excess of 20%.
At issuance, DBRS Morningstar assigned an investment-grade shadow
rating to One State Street (Prospectus ID#3, 5.4% of the trust
balance), Moffett Towers II – Building 2 (Prospectus ID#9, 3.3%
of the trust balance), Northrop Grumman Portfolio (Prospectus
ID#11, 2.7% of the trust balance), Lehigh Valley Mall (Prospectus
ID#12, 2.8% of the trust balance), and Yorkshire & Lexington Tower
(Prospectus ID#15, 2.2% of the trust balance). With this review,
DBRS Morningstar confirmed that the performances of these loans
remain in line with the investment-grade shadow ratings.
Notes: All figures are in U.S. dollars unless otherwise noted.
CSMC 2021-GATE: DBRS Finalizes B(low) Rating on Class F Certs
-------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Commercial Mortgage Pass-Through Certificates, 2021-GATE
issued by CSMC 2021-GATE:
-- Class A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class F at B (low) (sf)
All trends are Stable.
The collateral for the CSMC 2021-GATE transaction consists of three
office buildings totaling 1.7 million square feet (sf), two parking
structures, and a surface lot totaling 1,010 spaces in downtown
Newark, New Jersey. The properties are part of a larger complex
known as the Gateway, which includes an above-ground, enclosed
concourse that connects the buildings to each other and to Newark
Penn Station. A fourth office building and a Doubletree (formerly a
Hilton) hotel are owned by unrelated third parties. The complex was
originally developed by Prudential beginning in the 1970s and, over
time, individual buildings were sold to individual owners. The lack
of development in Newark led to soft occupancy within the Gateway
complex and, since 2005, all four buildings experienced some form
of distress, including defaults and foreclosures.
Beginning in 2019, the sponsors acquired several of the assets with
the aim of unifying the ownership and conducting renovations on the
buildings as well as the concourse. Upon completion, the
partnership expects to increase the occupancy to about 80% from
67.9% today with higher rents generated from new tenants. Part of
the business plan included acquiring proxy votes from other owners
within the Concourse Association in order to renovate and improve
the concourse. In the years since the initial development, the
concourse had begun to deteriorate physically and in terms of the
tenant mix. Most of the tenants were small shops and cafes that did
little to attract tenants or outsiders to the area. Despite a
desire to improve the fortunes of the concourse, the fractured
ownership structure and the makeup of the Concourse Association
board left individual owners unable to effect positive change
without the votes and funding of other owners.
As Newark has experienced an increase in interest from developers
and companies, the sponsors saw an opportunity to improve the
interior and exterior of the complex to draw larger and more
desirable tenants, and make the complex more desirable, given its
proximity to the transit hub at Newark Penn Station. The sponsors
have reserved more than $60.5 million in funds to use for capital
improvements and accretive tenant-improvement and leasing
commission costs over the loan term. The general capital
expenditure budget is to be used to construct a new entrance facing
Newark Penn Station that will include a food hall and to renovate
the concourse with new tenants. Construction on the entrance was
underway at the time of loan closing, and several sections of the
concourse have been renovated. The funding will complete the work
and allow for new leasing to occur.
Newark began seeing new development in the mid-2010s with the
construction of new apartment towers in the Military Park area,
just north of the Gateway, and the continued relocation of Mars
Wrigley's headquarters from Chicago in 2018. The company took space
in Ironside Newark, a disused warehouse, across the street from
Gateway. In addition to Prudential, which renewed its commitment to
the city with the construction of a new headquarters building in
2015, technology companies including Audible.com are finding Newark
as a potential destination given its access to New York and the
lower rent. Indeed, the sponsors executed a lease with WebMD, an
internet health portal, in 2021, which is taking more than 100,000
sf at Gateway II upon the completion of its build-out.
In addition to WebMD, the planned changes to the concourse and
exterior have been met with new leases from food and beverage
tenants, including Serafina, which has expanded in New York. Once
limited in terms of dining options, commuters to Newark may be able
to enjoy several new eateries over the next few years.
The amount of capital invested will result in a more attractive
property than before, and the recent leasing demonstrates demand
from area tenants in the Gateway complex. More residents are moving
to Newark, which could lead more firms to relocate in the city,
closer to their employees. Gateway has a strong location across the
street from Newark Penn Station, which is a hub for Amtrak, NJ
Transit, and the PATH trains to Manhattan. The city also has ample
parking and an easier commute by car from locations in Northern New
Jersey than to Jersey City or New York.
However, there are risks to the plan. The Newark redevelopment
story is still in its early stages and, although the area has seen
a significant improvement compared with over 10 years ago, the city
continues to have high levels of poverty and crime. In addition,
the Coronavirus Disease (COVID-19) pandemic has resulted in an
increase in remote working, which could result in reduced office
leasing going forward. Finally, the assets have a checkered
performance history, with some of the portfolio properties having
experienced loan defaults or foreclosures by other owners that
believed they could stabilize the properties. The properties are
encumbered by $40 million in mezzanine financing that will drain
cash flow from the partnership and result in an initial debt
service coverage ratio (DSCR) of only 1.03 times (x), leaving
little room for disruption in the cash flow. With the mezzanine
debt, the all-in loan-to-value ratio (LTV) is 71.4% and the debt
yield is 5.8% net operating income Debt Yield. The projected
stabilized value still results in an LTV of 65.0%, which may not be
readily refinancable.
DBRS Morningstar accounted for these risks by concluding to an NCF
and sizing using only the in-place leasing and giving no credit to
additional cash flow upside. In addition, the credit provided the
LTV hurdles are minimal at 2.0%, well below the average for similar
assets in New York or more established areas of northern New
Jersey. The $22.7 million upfront reserve sets aside nearly $41.38
per vacant sf for additional leasing, which will help the
partnership offer generous incentives to secure new tenants.
The property is in downtown Newark, across the street from Newark
Penn Station, a major transit hub with connections to New York and
New Jersey. Downtown Newark has seen an influx of investment with
new residents and companies seeking a lower cost while maintaining
strong access to New York.
The largest tenant, Broadridge Securities, accounts for 12.5% of
the property's base rent and was granted Long Term Credit Tenant
treatment owing to its investment-grade quality. Other major
tenants include Prudential, which is headquartered in Newark and is
part of the ownership, and McCarter & English, LLP, a Newark-based
law firm that renewed its lease in 2020 for an additional 14 years.
Through the fully extended maturity date in 2026, leases
representing about 39.6% of the total base rent will expire, which
is a manageable burden over five years.
The loan sponsors are Onyx, Garrison, Taconic, and Axonic, all of
which are well-capitalized real estate investment companies. In
addition, Prudential, which originally developed the properties and
controls some of the concourse proxy votes, is an investor in
Garrison.
The properties are supported by an upfront reserve of more than
$60.5 million for accretive TI/LC in addition to a new modern
entrance with a food hall and an updated concourse. This investment
could bring more visitors to the property and make it more
attractive to potential tenants.
The properties that make up the portfolio have had a history of
weak cash flow and loan defaults and foreclosures over the past 15
years. The defaults have resulted in losses via liquidation and
highlight the risk of older office assets outside of central
business districts. DBRS Morningstar recognizes that the current
loan sponsor was not the subject of the prior defaults or
foreclosures and has made a significant investment into the
property to cure or remediate some of the factors that led to the
poor past performance of the assets.
The ongoing coronavirus pandemic continues to pose challenges and
risks to virtually all major commercial real estate property types,
creating an element of uncertainty around future demand for office
space.
The DBRS Morningstar LTV is high at 124.0% based on the $285
million in total mortgage debt. In order to account for the high
leverage, DBRS Morningstar programmatically reduced its LTV
benchmark targets for the transaction by 2.50% across the capital
structure.
The loan is structured with four recycled special-purpose entities
(SPEs). The borrowers have given backward-looking representation,
from the date of a SPE's formation, that it does not carry any
prior liabilities. Additionally, if the borrower's SPE
representations are breached, a guarantee from the sponsor is
triggered.
The loan has three one-year extension options that may be
exercisable by the borrower subject to following conditions: (1) at
least 30 days' and not more than 120 days' prior written notice to
the lender, (2) no event of default existing as of the commencement
of the applicable extension term, (3) the borrower's purchase of a
cap agreement for each extension term providing for a cap on Libor
at a minimum DSCR of 1.15x, and (4) minimum debt yields of 7.50% on
the second extension and 8.00% on the third extension.
The underlying mortgage loan for the transaction will pay a
floating rate, which presents potential benchmark transition risk
as the deadline approaches for the elimination of Libor. The
transaction documents provide for the transition to an alternative
benchmark rate, which is primarily contemplated to be either the
Term Secured Overnight Financing Rate plus the Benchmark
Replacement Adjustment or the Compounded SOFR plus the applicable
Benchmark Replacement Adjustment.
Notes: All figures are in U.S. dollars unless otherwise noted.
FANNIE MAE 2022-R01: S&P Assigns Prelim 'BB' Rating on 1B-1 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Fannie Mae
Connecticut Avenue Securities Trust 2022-R01's (CAS 2022-R01)
notes.
The note issuance is an RMBS transaction in which the payments are
determined by a reference pool of residential mortgage loans, deeds
of trust, or similar security instruments encumbering mortgaged
properties acquired by Fannie Mae.
The preliminary ratings are based on information as of Jan. 10,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings assigned to CAS 2022-R01's notes reflect
S&P's view of:
-- The credit enhancement provided by the subordinated reference
tranches and the associated structural deal mechanics;
-- The REMIC structure, which reduces the counterparty exposure to
Fannie Mae for periodic principal and interest payments, but also
pledges the support of Fannie Mae (as a highly rated counterparty)
to cover any shortfalls on interest payments and make up for any
investment losses;
-- The issuer's aggregation experience and the alignment of
interests between the issuer and noteholders in the transaction's
performance, which enhances the notes' strength, in our view;
-- The enhanced credit risk management and quality control
processes Fannie Mae uses in conjunction with the underlying
representations and warranties framework; and
-- The further impact that the COVID-19 pandemic is likely to have
on the U.S. economy and housing market, and the additional
structural provisions included to address corresponding forbearance
and subsequent defaults.
Preliminary Ratings Assigned
FANNIE MAE CONNECTICUT AVENUE SECURITIES TRUST 2022-R01
CLASS PRELIMINARY RATING PRELIMINARY AMOUNT ($)
1A-H(i) NR 52,027,270,354
1M-1 A (sf) 459,538,000
1M-1H(i) NR 24,186,621
1M-2A(ii) A- (sf) 144,669,000
1M-AH(i) NR 7,614,677
1M-2B(ii) BBB+ (sf) 144,669,000
1M-BH(i) NR 7,614,677
1M-2C(ii) BBB (sf) 144,669,000
1M-CH(i) NR 7,614,677
1M-2(ii) BBB (sf) 434,007,000
1B-1A(ii) BB+ (sf) 153,179,000
1B-AH(i) NR 8,062,540
1B-1B(ii) BB (sf) 153,179,000
1B-BH(i) NR 8,062,540
1B-1(ii) BB (sf) 306,358,000
1B-2(ii) NR 306,358,000
1B-2H(i) NR 16,125,081
1B-3H(i)(iii) NR 134,367,951
(i)Reference tranche only and will not have corresponding notes.
Fannie Mae retains the risk of these tranches.
(ii)The holders of the class 1M-2 notes may exchange all or part of
that class for proportionate interests in the class 1M-2A, class
1M-2B, and class 1M-2C notes, and vice versa. The holders of the
class 1B-1 notes may exchange all or part of that class for
proportionate interests in the class 1B-1A and class 1B-1B notes,
and vice versa. The holders of the class 1M-2A, class 1M-2B, class
1M-2C, class 1B-1A, class 1B-1B, and class 1B-2 notes may exchange
all or part of those classes for proportionate interests in the
classes of RCR notes as specified in the offering documents.
(iii)For the purposes of calculating modification gain or
modification loss amounts, class 1B-3H is deemed to bear interest
at SOFR + 15%.
NR--Not rated.
N/A--Not applicable.
SOFR--Secured Overnight Financing Rate.
RCR--Related combinable and recombinable.
TBD--To be determined.
RCR Exchangeable Classes(i)
FANNIE MAE CONNECTICUT AVENUE SECURITIES TRUST 2022-R01
RCR NOTE PRELIM RATING INTEREST TYPE AMOUNT (MIL. $)
1M-2 BBB (sf) Floating 434.007
1E-A1 A- (sf) Floating 144.669
1A-I1 A- (sf) Fixed/IO 144.669
1E-A2 A- (sf) Floating 144.669
1A-I2 A- (sf) Fixed/IO 144.669
1E-A3 A- (sf) Floating 144.669
1A-I3 A- (sf) Fixed/IO 144.669
1E-A4 A- (sf) Floating 144.669
1A-I4 A- (sf) Fixed/IO 144.669
1E-B1 BBB+ (sf) Floating 144.669
1B-I1 BBB+ (sf) Fixed/IO 144.669
1E-B2 BBB+ (sf) Floating 144.669
1B-I2 BBB+ (sf) Fixed/IO 144.669
1E-B3 BBB+ (sf) Floating 144.669
1B-I3 BBB+ (sf) Fixed/IO 144.669
1E-B4 BBB+ (sf) Floating 144.669
1B-I4 BBB+ (sf) Fixed/IO 144.669
1E-C1 BBB (sf) Floating 144.669
1C-I1 BBB (sf) Fixed/IO 144.669
1E-C2 BBB (sf) Floating 144.669
1C-I2 BBB (sf) Fixed/IO 144.669
1E-C3 BBB (sf) Floating 144.669
1C-I3 BBB (sf) Fixed/IO 144.669
1E-C4 BBB (sf) Floating 144.669
1C-I4 BBB (sf) Fixed/IO 144.669
1E-D1 BBB+ (sf) Floating 289.338
1E-D2 BBB+ (sf) Floating 289.338
1E-D3 BBB+ (sf) Floating 289.338
1E-D4 BBB+ (sf) Floating 289.338
1E-D5 BBB+ (sf) Floating 289.338
1E-F1 BBB (sf) Floating 289.338
1E-F2 BBB (sf) Floating 289.338
1E-F3 BBB (sf) Floating 289.338
1E-F4 BBB (sf) Floating 289.338
1E-F5 BBB (sf) Floating 289.338
1-X1 BBB+ (sf) Fixed/IO 289.338
1-X2 BBB+ (sf) Fixed/IO 289.338
1-X3 BBB+ (sf) Fixed/IO 289.338
1-X4 BBB+ (sf) Fixed/IO 289.338
1-Y1 BBB (sf) Fixed/IO 289.338
1-Y2 BBB (sf) Fixed/IO 289.338
1-Y3 BBB (sf) Fixed/IO 289.338
1-Y4 BBB (sf) Fixed/IO 289.338
1-J1 BBB (sf) Floating 144.669
1-J2 BBB (sf) Floating 144.669
1-J3 BBB (sf) Floating 144.669
1-J4 BBB (sf) Floating 144.669
1-K1 BBB (sf) Floating 289.338
1-K2 BBB (sf) Floating 289.338
1-K3 BBB (sf) Floating 289.338
1-K4 BBB (sf) Floating 289.338
1M-2Y BBB (sf) Floating 434.007
1M-2X BBB (sf) Fixed/IO 434.007
1B-1 BB (sf) Floating 306.358
1B-1Y BB (sf) Floating 306.358
1B-1X BB (sf) Fixed/IO 306.358
1B-2Y NR Floating 306.358
1B-2X NR Fixed/IO 306.358
(i)Refer to the offering documents for more detail on possible
combinations.
RCR--Related combinable and recombinable notes.
IO--Interest only.
NR--Not rated.
GCAT TRUST 2022-INV1: Moody's Gives (P)B2 Rating to Class B-5 Debt
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 53
classes of residential mortgage-backed securities (RMBS) issued by
GCAT 2022-INV1 Trust (GCAT 2022-INV1). The ratings range from
(P)Aaa (sf) to (P)B2 (sf).
GCAT 2022-INV1 is the first agency-eligible issue backed by
non-owner occupied mortgage loans sponsored by Blue River Mortgage
III LLC, which is owned by AG Mortgage Investment Trust.
The transaction is a prime RMBS securitization of predominantly
30-year, fixed rate agency-eligible non-owner occupied mortgage
loans (designated for investment purposes by the borrower), with an
aggregate unpaid principal balance (UPB) of approximately
$467,114,226. All the loans are underwritten in accordance with
Freddie Mac or Fannie Mae guidelines, which take into
consideration, among other factors, the income, assets, employment
and credit score of the borrower as well as loan-to-value (LTV).
These loans were run through one of the government-sponsored
enterprises' (GSE) automated underwriting systems (AUS) and
received an "Approve" or "Accept" recommendation. As of the closing
date, the sponsor or a majority-owned affiliate of the sponsor
intends to retain an eligible horizontal residual interest in an
amount (that is, with a fair value) equal to not less than 5% of
the fair value of the certificates to satisfy U.S. risk retention
rules.
NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) is the
servicer and responsible for making P&I advances. Nationstar
Mortgage LLC (Nationstar, long term issuer rating B2) will be the
master servicer.
In this transaction, the Class A-11 and Class A-11X coupon are
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.
The transaction has a shifting interest structure with a five-year
lockout period that benefits from a senior subordination floor and
a subordinate floor. Moody's coded the cash flow to each of the
certificate classes using Moody's proprietary cash flow tool.
The complete rating action are as follows.
Issuer: GCAT 2022-INV1
Cl. A-1, Assigned (P)Aaa (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. A-4, Assigned (P)Aaa (sf)
Cl. A-5, Assigned (P)Aaa (sf)
Cl. A-6, Assigned (P)Aaa (sf)
Cl. A-7, Assigned (P)Aaa (sf)
Cl. A-8, Assigned (P)Aaa (sf)
Cl. A-9, Assigned (P)Aaa (sf)
Cl. A-10, Assigned (P)Aaa (sf)
Cl. A-11, Assigned (P)Aaa (sf)
Cl. A-11X*, Assigned (P)Aaa (sf)
Cl. A-12, Assigned (P)Aaa (sf)
Cl. A-13, Assigned (P)Aaa (sf)
Cl. A-14, Assigned (P)Aaa (sf)
Cl. A-15, Assigned (P)Aaa (sf)
Cl. A-16, Assigned (P)Aaa (sf)
Cl. A-17, Assigned (P)Aaa (sf)
Cl. A-18, Assigned (P)Aaa (sf)
Cl. A-19, Assigned (P)Aaa (sf)
Cl. A-20, Assigned (P)Aaa (sf)
Cl. A-21, Assigned (P)Aaa (sf)
Cl. A-22, Assigned (P)Aaa (sf)
Cl. A-23, Assigned (P)Aaa (sf)
Cl. A-24, Assigned (P)Aaa (sf)
Cl. A-25, Assigned (P)Aaa (sf)
Cl. A-26, Assigned (P)Aa1 (sf)
Cl. A-27, Assigned (P)Aa1 (sf)
Cl. A-28, Assigned (P)Aa1 (sf)
Cl. A-29, Assigned (P)Aaa (sf)
Cl. A-30, Assigned (P)Aaa (sf)
Cl. A-31, Assigned (P)Aaa (sf)
Cl. A-X1*, Assigned (P)Aaa (sf)
Cl. A-X4*, Assigned (P)Aaa (sf)
Cl. A-X5*, Assigned (P)Aaa (sf)
Cl. A-X6*, Assigned (P)Aaa (sf)
Cl. A-X8*, Assigned (P)Aaa (sf)
Cl. A-X10*, Assigned (P)Aaa (sf)
Cl. A-X13*, Assigned (P)Aaa (sf)
Cl. A-X15*, Assigned (P)Aaa (sf)
Cl. A-X17*, Assigned (P)Aaa (sf)
Cl. A-X19*, Assigned (P)Aaa (sf)
Cl. A-X21*, Assigned (P)Aaa (sf)
Cl. A-X25*, Assigned (P)Aaa (sf)
Cl. A-X26*, Assigned (P)Aa1 (sf)
Cl. A-X27*, Assigned (P)Aa1 (sf)
Cl. A-X28*, Assigned (P)Aa1 (sf)
Cl. A-X30*, Assigned (P)Aaa (sf)
Cl. B-1, Assigned (P)Aa3 (sf)
Cl. B-2, Assigned (P)A3 (sf)
Cl. B-3, Assigned (P)Baa3 (sf)
Cl. B-4, Assigned (P)Ba2 (sf)
Cl. B-5, Assigned (P)B2 (sf)
*Reflects Interest-Only Classes
*Reflects Interest-Only Classes
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected loss for this pool in a baseline scenario-mean is
1.11%, in a baseline scenario-median is 0.83% and reaches 6.42% at
a stress level consistent with Moody's Aaa rating scenario.
Moody's said, "We base our ratings on the certificates on the
credit quality of the mortgage loans, the structural features of
the transaction, our assessments of the origination quality and
servicing arrangement, the strength of the third-party review (TPR)
and the R&W framework of the transaction."
Collateral Description
As of the cut-off date of January 1, 2022, the pool consists of
1,612 mortgage loans secured by first liens with an aggregate
stated principal balance of approximately $467,114,226. The loans
in this transaction have strong borrower credit characteristics
with a weighted average (WA) current FICO score of 768 and a WA LTV
ratio of 65.3%. The mortgage pool has a WA seasoning of
approximately seven months. One mortgage loan (0.03% by UPB) was
previously subject to a Covid-19 related forbearance plan. In
addition, if a borrower requests or enters into a forbearance plan
after the Cut-off Date, such loans will remain in the pool. All
mortgage loans are current as of the cut-off date. Overall, the
credit quality of the mortgage loans backing this transaction is in
line with recently issued GSE eligible investor property
transactions Moody's has rated, with average monthly all borrower
total income of $16,617 and average liquid/cash reserve of
$177,910.
Approximately 5.3% of the mortgage loans by count are "Appraisal
Waiver" (AW) loans, whereby the sponsor obtained an AW for each
such mortgage loan from Fannie Mae or Freddie Mac through their
respective programs. In each case, neither Fannie Mae nor Freddie
Mac required an appraisal of the related mortgaged property as a
condition of approving the related mortgage loan for purchase by
Fannie Mae or Freddie Mac, as applicable. We made an adjustment in
our analysis to account for the increased risk associated with such
loans, Moody's said.
Aggregation and Origination Quality
Moody's considers the sponsor and the seller's aggregation platform
to be adequate and Moody's did not apply a separate loss-level
adjustment for aggregation quality.
Blue River Mortgage III LLC acquired approximately 55.7% of the
loans (by UPB) from Bank of America, National Association (BANA).
Approximately 34.7% of the loans (by UPB) were previously acquired
by an affiliate of GCAT 2021-24B, LLC (Seller) prior to the closing
date from BANA. Furthermore, approximately 4.7% of the loans (by
UPB) were acquired directly by an affiliate of GCAT 2021-24B, LLC
from Sun West Mortgage Company, Inc. and approximately 5.0% of the
loans (by UPB) were acquired directly by an affiliate of GCAT
2021-24B, LLC from Arc Home, LLC.
Majority of the mortgage loans in the pool were originated by
NewRez LLC (21.7% by UPB), Movement Mortgage LLC (18.4% by UPB),
Rocket Mortgage LLC (15.9% by UPB) and Fairway Independent Mortgage
Corporation (13.4% by UPB). All other originators represent less
than 10% by UPB.
With exception for loans originated by Rocket Mortgage and Home
Point Financial Corporation (approximately 3.2% by UPB), Moody's
did not make any adjustments to its base case and Aaa stress loss
assumptions, regardless of the originator, since the loans were all
underwritten in accordance with GSE guidelines.
Moody's increased its loss assumption for loans originated by
Rocket Mortgage due to the relatively weaker performance of their
investment property mortgage transactions compared to similar
transactions from other originators. Moody's increased its loss
assumption for loans originated Home Point Financial Corporation
due to (i) worse performance than average GSE investor loan despite
average loans having better characteristics than GSE loans and (ii)
lack of strong controls and uneven production quality (as evidenced
by recent internal QC/audit findings) to support recent rapid
growth.
Servicing Arrangement
Moody's said, "We consider 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. Shellpoint
will service all the loans in the pool."
The servicer is required to advance P&I on the mortgage loans. To
the extent that the servicer is unable to do so, the master
servicer will be obligated to make such advances. Citibank N.A.
(long-term debt Aa3), will be the Securities Administrator,
Certificate Registrar and Trustee and will also act as the backup
advancing party with respect to P&I advance in the event both
servicer and master servicer fail in their obligation to make
advances.
No advances of delinquent principal or interest will be made for
mortgage loans that become 120 days or more delinquent under the
MBA method. Subsequently, if there are mortgage loans that are 120
days or more delinquent on any payment date, there will be a
reduction in amounts available to pay principal and interest
otherwise payable to note holders. We did not make an adjustment
for the stop advance feature due to the strong reimbursement
mechanism for liquidated mortgage loans. Proceeds from liquidated
mortgage loans are included in the available distribution amount
and are paid according to the waterfall, Moody's said.
Third-Party Review
Five third-party review (TPR) firms verified the accuracy of the
loan level information that Moody's received from the sponsor. The
firms conducted detailed credit, property valuation, data accuracy
and compliance reviews on 86.8% of the mortgage loans in the final
collateral pool (by loan count). The TPR results indicated
compliance with the originators' underwriting guidelines for most
of the loans without any material compliance issues or appraisal
defects. 99.6% of the loans reviewed in the final population
received a grade B or higher with five loans having a final
valuation of grade C due to property valuation variance being
greater than -10%. Moody's did not make adjustments to its losses
as the sample size that was reviewed met its credit neutral
criteria.
Representations & Warranties
Moody's said, "We evaluate the R&W framework based on three
factors: (a) the financial strength of the R&W providers; (b) the
strength of the R&Ws (including qualifiers and sunsets) and (c) the
effectiveness of the enforcement mechanisms. We evaluated the
impact of these factors collectively on the ratings in conjunction
with the transaction's specific details and in some cases, the
strengths of some of the factors can mitigate weaknesses in others.
We also considered the R&W framework in conjunction with other
transaction features, such as the independent due diligence,
custodial receipt, and property valuations, as well as any sponsor
alignment of interest, to evaluate the overall exposure to loan
defects and inaccurate information. Overall, we consider the R&W
framework for this transaction to be adequate, generally consistent
with that of other prime transactions which we rated. However, we
applied an adjustment to Moody's losses to account for the risk
that the R&W providers may be unable to repurchase defective loans
in a stressed economic environment."
Transaction Structure
GCAT 2022-INV1 has one pool with a shifting interest structure that
benefits from a subordination floor. Funds collected, including
principal, are first used to make interest payments and then
principal payments to the senior bonds, and then interest and
principal payments to each subordinate bond. As in all transactions
with shifting interest structures, the senior bonds benefit from a
cash flow waterfall that allocates all prepayments to the senior
bond for a specified period of time and increasing amounts of
prepayments to the subordinate bonds thereafter, but only if loan
performance satisfies delinquency and loss tests.
Tail Risk & Subordination Floor
The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
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 lock-out amount of 1.00% of the
cut-off date pool balance. The floors are consistent with the
credit neutral floors for the assigned ratings according to Moody's
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 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.
GS MORTGAGE 2021-STAR: DBRS Finalizes B(low) Rating on Cl. G Certs
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the classes of GS
Mortgage Securities Corporation Trust 2021-STAR Commercial Mortgage
Pass-Through Certificates, Series 2021-STAR as follows:
-- Class A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at AA (low) (sf)
-- Class D at A (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)
All trends are Stable. Classes H, HRR, P and ELP are not rated by
DBRS Morningstar
The collateral for GSMS Trust 2021-STAR includes the borrower's
fee-simple interest in seven Class A suburban properties totaling
2,494 units across five states and five distinct multifamily
submarkets throughout the U.S. The portfolio is primarily
concentrated in Florida (three properties, 1,004 units, 37.0% of
NCF), Texas (one property, 583 units, 25.6% of NCF), and Arizona
(one property, 360 units, 16.0% of NCF). Within Florida, the three
assets are located in Tampa. The Texas property is in Austin and
the Arizona property is in Phoenix. Additional markets include
Raleigh, North Carolina, and Atlanta, Georgia. are directly or
indirectly owned (except for certain interests owned by other
persons for the purpose of establishing or maintaining the REIT
status of certain equity holders in the borrowers) by a joint
venture between Starlight Group Property Holdings Inc (Starlight),
Public Sector Pension Investment Board (PSP), and Future Fund Board
of Guardians (Future Fund). Future Fund has recapitalized PSP and
Starlight through an investment vehicle that indirectly owns all
seven properties. Six of the seven properties were previously
purchased by entities indirectly owned by PSP and Starlight through
joint venture structures. Tuscany Bay was previously owned by a
separate structure controlled by Starlight. The recapitalization of
equity by Future Fund to PSP and Starlight was based on a gross
purchase price of $662.8 million ($265,766 per unit) that was
completed on October 26, 2021. The Portfolio is currently
indirectly owned by all three investors after Future Fund
contributed cash equity of $86.5 million in exchange for a 45%
interest. The final equity ownership is PSP 45%, Future Fund 45%,
and Starlight 10%.
The properties comprising the portfolio generally exhibit favorable
finish qualities and comprehensive amenity offerings with the
properties being built between 1994 and 2007 and a WA year built of
2002. Approximately 35.0% of the units within the portfolio have
been renovated, which has allowed an average yield of 20.6% on an
average unit renovation cost of $15,400. The current business plan
calls for renovation of 1,214 units (75% of remaining eligible
units) across the portfolio during the first three years. This
would equate to approximately four per month with an estimated cost
of $16,491 per unit, which is estimated to bring in a monthly
premium of $281 per unit. Additionally, there is planned property
level capex to common areas including renovated clubhouses, common
rooms, gyms and gym equipment, rebuilt dog parks, and barbecue
areas with patio furniture. Overall, total capital expenditures are
estimated to be $29.08 million. While DBRS Morningstar did not give
any credit to potential upside in cash flow from the sponsor's
business plan, the portfolio's generally favorable asset quality
and location in high-growth markets make it well positioned to
maintain stable operating performance through the loan term.
Additionally, DBRS Morningstar expects there would be no issues
funding any planned renovations, given the sponsor's strong access
to capital and significant financial wherewithal.
In addition to the generally favorable asset quality of the
underlying collateral, DBRS Morningstar generally views the markets
to which the portfolio is exposed as highly desirable for
multifamily assets, with strong growth potential and favorable
population statistics. The generally favorable market conditions
are further evidenced by relatively tight submarket vacancy rates,
which averaged 4.0% across the portfolio per the appraiser and are
generally projected to decline through the fully extended loan
maturity. While 100% of the properties are in areas characterized
as having a DBRS Morningstar Market Rank of between 2 and 4 (ranks
generally associated with more suburban locations), the
cross-collateralized and geographically diversified nature of the
portfolio generally mitigates a portion of the market risk. As of
November 2021, the portfolio was 94.9% occupied. In addition, As of
the trailing four week leasing activity through October 31, 2021,
the portfolio has exhibited leasing activity with new rents
trade-outs growing by 29.7% over prior leases and renewal
trade-outs growing 15.7% over prior leases. Combined, the
portfolio's trade outs have grown 18.8% on a WA basis
month-over-month.
The transaction sponsorship is a joint venture Starlight, PSPIB,
and Future Fund. Starlight is affiliated and under common control
with Starlight Investments, which includes both Starlight U.S.
Multi-Family and Starlight Canadian Multi-Family and is a real
estate investment and asset management company. Founded in 2011 by
Daniel Drimmer, Starlight's multi-family portfolio consists of more
than 70,000 multi-family units in over 600 properties located
across Canada and the US as of October 31, 2021. During the past 20
years, Starlight Investments and its predecessor companies have
acquired, operated, and sold in excess of 110,000 multi-family
units valued at over $30 billion and have over $23 billion assets
under management as of November 30, 2021. PSP is one of Canada's
largest pension investment managers by assets under management. PSP
manages a diversified global portfolio composed of investments in
public financial markets, private equity, real estate,
infrastructure, natural resources, and credit investment.
Established in 1999, PSP manages net contributions to the pension
funds of Canada's Federal Public Service, the Canadian Armed
Forces, the Royal Canadian Mounted Police and the Reserve Force.
Headquartered in Ottawa, Canada, PSP has its principal business
office in Montréal and offices in New York and London. As of March
31, 2021, the organization maintained $204.5B CAD of net assets
under management, The Future Fund is the sovereign wealth fund of
Australia. It was founded by the Australian Government in 2006 to
"strengthen the Australian Government's long-term financial
position." The Future Fund operates independently from the
Australian Government, investing the assets of six special purpose
public asset funds in accordance with each fund's individual
investment mandates, as determined by the Australian Government
under legislation. The specific funds under the purview of the
larger sovereign wealth fund are the Future Fund, the Medical
Research Future Fund, the Aboriginal and Torres Strait Islander
Land and Sea Future Fund, the Future Drought Fund, the Emergency
Response Fund, and the DisabilityCare Australia Fund. Total funds
under management as of September 30, 2021 were approximately $248
billion across all six funds.
The trust collateral was originated by Goldman Sachs Bank USA, and
consists of a mortgage loan in the amount of $470.6 million. Future
Fund will recapitalize Starlight and PSP through a new investment
vehicle and Starlight will retain a 10% interest in the portfolio,
with the remaining 90% being split equally between two investors:
PSP and Future Fund. Following the recapitalization, the sponsors
will have approximately $204.7 million of cash and implied market
equity in the properties based on the as-is portfolio appraisal
value of approximately $675.3 million.
Notes: All figures are in U.S. dollars unless otherwise noted.
GS MORTGAGE 2022-GR1: Moody's Gives (P)B3 Rating to Class B-5 Debt
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 30
classes of residential mortgage-backed securities (RMBS) issued by
GS Mortgage-Backed Securities Trust (GSMBS) 2022-GR1. The ratings
range from(P)Aaa (sf) to (P)B3 (sf).
GS Mortgage-Backed Securities Trust 2022-GR1 (GSMBS 2022-GR1) is
the first investment property transaction in 2022 issued by Goldman
Sachs Mortgage Company (GSMC), the sponsor and the mortgage loan
seller. GSMC is a wholly owned subsidiary of Goldman Sachs Bank USA
and Goldman Sachs. The certificates are backed by 1,788 first lien,
primarily 30-year, fully-amortizing fixed-rate mortgage loans on
residential investment properties with an aggregate unpaid
principal balance (UPB) of $519,290,576 as of the January 1, 2022
cut-off date. All loans in the pool are originated by Guaranteed
Rate parties. Overall, pool strengths include the high credit
quality of the underlying borrowers, indicated by high FICO scores,
strong reserves, loans with fixed interest rates and no
interest-only loans. As of the cut-off date, all of the mortgage
loans are current, and no borrower has entered into a COVID-19
related forbearance plan with the servicer.
Approximately 1.8% of the mortgage loans by stated principal
balance as of the cut-off date were subject to debt consolidation
in which the related funds were used by the related mortgagor for
consumer, family or household purposes (personal-use loans). Vast
majority of the personal-use loans are "qualified mortgages" under
Regulation Z as result of the temporary provision allowing
qualified mortgage status for loans eligible for purchase,
guaranty, or insurance by Fannie Mae and Freddie Mac (and certain
other federal agencies). With the exception of personal-use loans,
all other mortgage loans in the pool are not subject to the federal
Truth-in-Lending Act (TILA) because each such mortgage loan is an
extension of credit primarily for a business purpose and is not a
"covered transaction" as defined in Section 1026.43(b)(1) of
Regulation Z. As of the closing date, the sponsor or a majority-
owned affiliate of the sponsor will retain at least 5% of the
initial certificate principal balance or notional amount of each
class of certificates (other than Class A-R certificates) issued by
the trust to satisfy U.S. risk retention rules.
NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) will
service all of the loans in the pool. Computershare Trust Company,
N.A. will be the master servicer and securities administrator. U.S.
Bank Trust National Association will be the trustee. Pentalpha
Surveillance LLC will be the representations and warranties (R&W)
breach reviewer.
One third-party review (TPR) firm verified the accuracy of the loan
level information. This firm conducted detailed credit, property
valuation, data accuracy and compliance reviews on 27.0% (by loan
count) of the mortgage loans in the collateral pool.
Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model. In addition, we adjusted
our losses based on qualitative attributes, including origination
quality, the strength of the R&W framework and third-party review
(TPR) results.
Distributions of principal and interest and loss allocations are
based on a typical shifting interest structure with a five-year
lockout period that benefits from a senior and subordination floor.
We coded the cash flow to each of the certificate classes using
Moody's proprietary cash flow tool.
The complete rating actions are as follows:
Issuer: GS Mortgage-Backed Securities Trust 2022-GR1
Cl. A-1, Assigned (P)Aaa (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aa1 (sf)
Cl. A-4, Assigned (P)Aa1 (sf)
Cl. A-5, Assigned (P)Aaa (sf)
Cl. A-6, Assigned (P)Aaa (sf)
Cl. A-7, Assigned (P)Aaa (sf)
Cl. A-8, Assigned (P)Aaa (sf)
Cl. A-9, Assigned (P)Aaa (sf)
Cl. A-9-X*, Assigned (P)Aaa (sf)
Cl. A-10, Assigned (P)Aaa (sf)
Cl. A-11, Assigned (P)Aaa (sf)
Cl. A-11-X*, Assigned (P)Aaa (sf)
Cl. A-12, Assigned (P)Aaa (sf)
Cl. A-12-X*, Assigned (P)Aaa (sf)
Cl. A-13, Assigned (P)Aaa (sf)
Cl. A-14, Assigned (P)Aaa (sf)
Cl. A-15, Assigned (P)Aa1 (sf)
Cl. A-X-1*, Assigned (P)Aa1 (sf)
Cl. A-X-2*, Assigned (P)Aaa (sf)
Cl. A-X-3*, Assigned (P)Aa1 (sf)
Cl. A-X-4*, Assigned (P)Aa1 (sf)
Cl. A-X-5*, Assigned (P)Aaa (sf)
Cl. A-X-6*, Assigned (P)Aa1 (sf)
Cl. A-X-7*, Assigned (P)Aaa (sf)
Cl. B-1, Assigned (P)Aa3 (sf)
Cl. B-2, Assigned (P)A3 (sf)
Cl. B-3, Assigned (P)Baa3 (sf)
Cl. B-4, Assigned (P)Ba3 (sf)
Cl. B-5, Assigned (P)B3 (sf)
*Reflects Interest-Only Classes
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected loss for this pool in a baseline scenario-mean is
0.95%, in a baseline scenario-median is 0.70%, and reaches 5.65% at
stress level consistent with our Aaa rating.
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, strength of the TPR and the R&W framework of the
transaction.
Collateral Description
Moody's assessed the collateral pool as of January 1, 2022, the
cut-off date. The aggregate collateral pool as of the cut-off date
consists of 1,788 first lien, primarily 30-year, fully-amortizing
fixed-rate mortgage loans on residential investment properties with
an aggregate unpaid principal balance (UPB) of $519,290,576 and a
weighted average mortgage rate of 3.5%.
All the mortgage loans are secured by first liens on one-to-four
family residential properties, planned unit developments and
condominiums. 1,707 mortgage loans have original terms to maturity
of 30 years, six loans have original term to maturity of 25 years,
75 loans have original term to maturity of 20 years.
The WA current FICO score of the borrowers in the pool is 772. The
WA Original LTV ratio of the mortgage pool is 65.7%, which is in
line with that of comparable transactions.
The mortgage loans in the pool were originated mostly in California
(30.9% by loan balance) and in high cost metropolitan statistical
areas (MSAs) of Los Angeles (10.9%), Boston (10.5%), Chicago
(7.4%), San Francisco (6.4%) and others (16.4%). The average loan
balance of the pool is $290,431. We made adjustments in our
analysis to account for this geographic concentration risk. Top 10
MSAs comprise 51.6% of the pool, by loan balance. Approximately
19.6%% of the pool balance is related to borrowers with two or more
mortgages in the pool.
Aggregator/Origination Quality
GSMC is the loan aggregator and the mortgage seller for the
transaction. GSMC's general partner is Goldman Sachs Real Estate
Funding Corp. and its limited partner is Goldman Sachs Bank USA.
Goldman Sachs Real Estate Funding Corp. is a wholly owned
subsidiary of Goldman Sachs Bank USA. GSMC is an affiliate of
Goldman Sachs & Co. LLC. GSMC is overseen by the mortgage capital
markets group within Goldman Sachs. Senior management averages 16
years of mortgage experience and 15 years of Goldman Sachs tenure.
The mortgage loans for this transaction were acquired by GSMC, the
sponsor and the mortgage loan seller from Guaranteed Rate, Inc and
Guaranteed Rate Affinity, LLC. The mortgage loan seller does not
originate any mortgage loans, including the mortgage loans included
in the mortgage pool. Instead, the mortgage loan seller acquired
the mortgage loans pursuant to contracts with the originators.
Overall, Moody's considers GSMC's aggregation platform to be
comparable to that of peer aggregators and therefore did not apply
a separate loss-level adjustment for aggregation quality.
Servicing Arrangement
Moody's considers the overall servicing arrangement for this pool
to be adequate, and as a result Moody's did not make any
adjustments to our base case and Aaa stress loss assumptions based
on the servicing arrangement.
Shellpoint will be the named primary servicer for this transaction
and will service 100% of the pool. Shellpoint is an approved
servicer in good standing with Ginnie Mae, Fannie Mae and Freddie
Mac. Shellpoint's primary servicing location is in Greenville,
South Carolina. Shellpoint services residential mortgage assets for
investors that include banks, financial services companies, GSEs
and government agencies. Computershare Trust Company, N.A.
(Computershare) will act as master servicer and securities
administrator under the sale and servicing agreement and as
custodian under the custodial agreement. Computershare is a
national banking association and a wholly-owned subsidiary of
Computershare Ltd (Baa2, long term rating), an Australian financial
services company with over $5 billion (USD) in assets as of June
30, 2021. Computershare Ltd and its affiliates have been engaging
in financial service activities, including stock transfer related
services since 1997, and corporate trust related services since
2000.
Third-party Review
Evolve Mortgage Services (Evolve), the TPR firm, reviewed 27.0%(by
loan count) of the loans for regulatory compliance, credit,
property valuation and data accuracy. The due diligence results
confirm compliance with the originators' underwriting guidelines
for many mortgage loans, no material compliance issues, and no
material valuation defects. The mortgage loans that had exceptions
to the originators' underwriting guidelines had significant
compensating factors that were documented.
Representations & Warranties
GSMBS 2022-GR1's R&W framework is in line with that of prior GSMBS
transactions we have rated where an independent reviewer is named
at closing, and costs and manner of review are clearly outlined at
issuance. 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 the R&W enforcement mechanism. The
loan-level R&Ws meet or exceed the baseline set of credit-neutral
R&Ws we have identified for US RMBS. R&W breaches are evaluated by
an independent third-party using a set of objective criteria. The
transaction requires mandatory independent reviews of mortgage
loans that become 120 days delinquent and those that liquidate at a
loss to determine if any of the R&Ws are breached. There is a
provision for binding arbitration in the event of a dispute between
the trust and the R&W provider concerning R&W breaches.
The creditworthiness of the R&W providers determines the
probability that the R&W provider will be available and have the
financial strength to repurchase defective loans upon identifying a
breach. An investment-grade rated R&W provider lends substantial
strength to its R&Ws. We analyze the impact of less creditworthy
R&W providers case by case, in conjunction with other aspects of
the transaction. Here, because the R&W providers are unrated and/or
exhibit limited financial flexibility, we applied an adjustment to
the mortgage loans for which these entities provided R&Ws.
Tail Risk and Locked Out Percentage
The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
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 0.85% of the cut-off date pool
balance, and a subordination lock-out amount of 0.85% of the
cut-off date pool balance. The floors are consistent with the
credit neutral floors for the assigned ratings according to our
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 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.
HERTZ VEHICLE 2022-1: Moody's Gives '(P)Ba2' Rating to Cl. D Notes
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
Series 2022-1 and Series 2022-2 Rental Car Asset Backed Notes to be
issued by Hertz Vehicle Financing III LLC (the Issuer), Hertz's
rental car ABS facility.
The Series 2022-1 Notes and the Series 2022-2 Notes will have a
legal final maturity in 54 and 78 months, respectively. Hertz
Vehicle Financing III LLC (HVFIII) is a Delaware limited liability
company, which is a bankruptcy-remote special purpose entity (SPE)
and direct subsidiary of The Hertz Corporation (Hertz). The
collateral backing the notes is a fleet of vehicles and a single
operating lease of the fleet to Hertz for use in its rental car
business, as well as certain manufacturer and incentive rebate
receivables owed to the SPE by the original equipment manufacturers
(OEMs).
The complete rating actions are as follows:
Issuer: Hertz Vehicle Financing III LLC
Series 2022-1 Rental Car Asset Backed Notes, Class A, Assigned
(P)Aaa (sf)
Series 2022-1 Rental Car Asset Backed Notes, Class B, Assigned
(P)A2 (sf)
Series 2022-1 Rental Car Asset Backed Notes, Class C, Assigned
(P)Baa2 (sf)
Series 2022-1 Rental Car Asset Backed Notes, Class D, Assigned
(P)Ba2 (sf)
Series 2022-2 Rental Car Asset Backed Notes, Class A, Assigned
(P)Aaa (sf)
Series 2022-2 Rental Car Asset Backed Notes, Class B, Assigned
(P)A2 (sf)
Series 2022-2 Rental Car Asset Backed Notes, Class C, Assigned
(P)Baa2 (sf)
Series 2022-2 Rental Car Asset Backed Notes, Class D, Assigned
(P)Ba2 (sf)
RATINGS RATIONALE
The provisional ratings are based on (1) the credit quality of the
collateral in the form of rental fleet vehicles, which Hertz uses
in its rental car business, (2) the credit quality of Hertz,
Corporate Family Rating of B2, as the primary lessee and as
guarantor under the operating lease, (3) the experience and
expertise of Hertz as sponsor and administrator, (4) the credit
enhancement, which will consist of subordination and
over-collateralization, (5) a required liquidity amount in the form
of cash and/or a letter of credit, (6) the transaction's legal
structure, including standard bankruptcy remoteness and security
interest provisions, and (7) vastly improved rental car market
conditions, owing to the tight supply and increasing demand.
The Series 2022-1 and Series 2022-2 Class A, Class B, and Class C
Notes will benefit from subordination of 30.00%, 22.00%, and 13.00%
of the outstanding balance of the Series 2022-1 and Series 2022-2
Notes, respectively. Additionally, the Series 2022-1 Notes and
Series 2022-2 Notes will benefit from overcollateralization and a
liquidity reserve to cover at least six months of interest on the
notes, plus 50 basis points of expenses.
As in prior issuances, the transaction documents stipulate that the
required credit enhancement for the Series 2022-1 and Series 2022-2
Notes, sized as a percentage of the total assets, will be a blended
rate, which is a function of Moody's ratings on the vehicle
manufacturers and defined asset categories as described below:
-- 5.00% for eligible program vehicle and receivable amount from
investment grade manufacturers (any manufacturer that has Moody's
long-term rating or senior unsecured rating or long-term corporate
family rating (together, relevant Moody's ratings) of at least
"Baa3" and any manufacturer that does not have a relevant Moody's
rating and has a senior unsecured debt rating from Moody's of at
least "Ba1")
-- 8.00% for eligible program vehicle amount from non-investment
grade manufacturers
-- 15.00% for eligible non-program vehicle amount from investment
grade manufacturers
-- 15.00% for eligible non-program vehicle amount from
non-investment grade manufacturers
-- 8.00% for eligible program receivable amount from
non-investment grade (high) manufacturers (any manufacturer that
(i) is not an investment grade manufacturer and (ii) has a relevant
Moody's rating of at least "Ba3")
-- 100.00% for eligible program receivable amount from
non-investment grade (low) manufacturers (any manufacturer that has
a relevant Moody's rating of less than "Ba3")
-- 35.0% for medium-duty truck amount
-- 0.00% for cash amount
-- 100% for remainder Aaa amount
Consequently, the actual required amount of credit enhancement will
fluctuate based on the mix of vehicles and receivables in the
securitized fleet. Furthermore, the transaction documents dictate
that the total enhancement should include a minimum portion which
is liquid (in cash and/or letter of credit), sized as a percentage
of the aggregate Class A / B / C / D principal amount, net of
cash.
Below are the assumptions Moody's applied in the analysis of this
transaction:
Risk of sponsor default: Moody's assumed a 60% decrease in the
probability of default (from Moody's idealized default probability
tables) implied by the B2 rating of the sponsor. This reflects
Moody's view that, in the event of a bankruptcy, Hertz would be
more likely to reorganize under a Chapter 11 bankruptcy filing, as
it would likely realize more value as an ongoing business concern
than it would if it were to liquidate its assets under a Chapter 7
filing. Furthermore, given the sponsor's competitive position
within the industry and the size of its securitized fleet relative
to its overall fleet, the sponsor is likely to affirm its lease
payment obligations in order to retain the use of the fleet and
stay in business. Moody's arrives at the 60% decrease assuming a
80% probability Hertz would reorganize under a Chapter 11
bankruptcy and a 75% probability Hertz would affirm its lease
payment obligations in the event of Chapter 11.
Disposal value of the fleet: Moody's assumed the following haircuts
to the net book value (NBV) of the vehicle fleet:
Non-Program Haircut upon Sponsor Default (Car): Mean: 19%
Non-Program Haircut upon Sponsor Default (Car): Standard Deviation:
6%
Non-Program Haircut upon Sponsor Default (Truck): Mean: 35%
Non-Program Haircut upon Sponsor Default (Truck): Standard
Deviation: 8%
Non-Program Haircut upon Sponsor Default (Tesla): Mean: 24%
Non-Program Haircut upon Sponsor Default (Tesla): Standard
Deviation: 10%
Fixed Program Haircut upon Sponsor Default: 10%
Additional Fixed Non-Program Haircut upon Manufacturer Default
(Car): 20%
Additional Fixed Non-Program Haircut upon Manufacturer Default
(Truck): 10%
Additional Fixed Non-Program Haircut upon Manufacturer Default
(Tesla): 50%
Fleet composition -- Moody's assumed the following fleet
composition (based on NBV of vehicle fleet):
Non-program Vehicles: 95%
Program Vehicles: 5%
Non-program Manufacturer Concentration (percentage, number of
manufacturers, assumed rating):
Aa/A Profile: 10.0%, 2, A3
Baa Profile: 55.0%, 2, Baa3
Ba/B Profile: 35.0%, 2, Ba3
Program Manufacturer Concentration (percentage, number of
manufacturers, assumed rating):
Aa/A Profile: 0.0%, 0, A3
Baa Profile: 50.0%, 1, Baa3
Ba/B Profile: 50.0%, 1, Ba3
Manufacturer Receivables: 10%; receivables distributed in the same
proportion as the program fleet (Program Manufacturer Concentration
and Manufacturer Receivables together should add up to 100%)
Correlation: Moody's applied the following correlation
assumptions:
Correlation among the sponsor and the vehicle manufacturers: 10%
Correlation among all vehicle manufacturers: 25%
Default risk horizon -- Moody's assumed the following default risk
horizon:
Sponsor: 5 years
Manufacturers: 1 year
A fixed set of time horizon assumptions, regardless of the
remaining term of the transaction, is used when considering sponsor
and manufacturer default probabilities and the expected loss of the
related liabilities, which simplifies Moody's modeling approach
using a standard set of benchmark horizons.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the ratings of the Series 2022-1 and 2022-2
Notes if (1) the credit quality of the lessee improves, (2)
assumptions of the credit quality of the pool of vehicles
collateralizing the transaction were to improve, as reflected by a
stronger mix of program and non-program vehicles and stronger
credit quality of vehicle manufacturers, (3) the residual values of
the non-program vehicles collateralizing the transaction were to
increase materially relative to Moody's expectations.
Down
Moody's could downgrade the ratings of the Series 2022-1 and 2022-2
Notes if (1) the credit quality of the lessee deteriorates or a
corporate liquidation of the lessee were to occur and introduce
operational complexity in the liquidation of the fleet, (2)
assumptions of the credit quality of the pool of vehicles
collateralizing the transaction were to weaken, as reflected by a
weaker mix of program and non-program vehicles and weaker credit
quality of vehicle manufacturers, (3) reduced demand for used
vehicles results in lower sales volumes and sharp declines in used
vehicle prices above Moody's assumed depreciation, or (3) the
residual values of the non-program vehicles collateralizing the
transaction were to decrease materially relative to Moody's
expectations.
HOME PARTNERS 2021-3: DBRS Finalizes BB Rating on Class F Certs
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Single-Family Rental Pass-Through Certificates (the Certificates)
issued by Home Partners of America 2021-3 Trust (HPA 2021-3 or the
Issuer):
-- $435.5 million Class A at AAA (sf)
-- $127.1 million Class B at AA (low) (sf)
-- $56.8 million Class C at A (low) (sf)
-- $75.7 million Class D at BBB (sf)
-- $32.5 million Class E1 at BBB (sf)
-- $40.6 million Class E2 at BBB (low) (sf)
-- $64.9 million Class F at BB (sf)
The AAA (sf) rating on the Certificates reflects 51.72% of credit
enhancement provided by subordinated notes in the pool. The AA
(low) (sf), A (low) (sf), BBB (sf), BBB (low) (sf), and BB (sf)
ratings reflect 37.63%, 31.34%, 19.34%, 14.84%, and 7.65% of credit
enhancement, respectively.
Other than the specified classes above, DBRS Morningstar does not
rate any other classes in this transaction.
The Issuer's 2,868 properties are in 21 states, with the largest
concentration by broker price opinion (BPO) value in Colorado
(16.5%). The largest metropolitan statistical area (MSA) by BPO
value is Atlanta (14.5%), followed by Colorado Springs (9.1%). The
geographic concentration dictates the home-price stresses applied
to the portfolio and the resulting market value decline (MVD). The
MVD at the AAA (sf) rating level for this deal is 54.0%. HPA 2021-3
has properties from 54 MSAs, many of which did not experienced
dramatic home price index declines in the housing crisis of 2008.
DBRS Morningstar assigned the provisional ratings for each class of
certificates by performing a quantitative and qualitative
collateral, structural, and legal analysis. This analysis uses DBRS
Morningstar's single-family rental subordination model and is based
on DBRS Morningstar's published criteria. DBRS Morningstar
developed property-level stresses for the analysis of single-family
rental assets. DBRS Morningstar will finalize the provisional
ratings on each class based on the level of stresses each class can
withstand and whether such stresses are commensurate with the
applicable rating level. DBRS Morningstar's analysis includes
estimated base-case net cash flows (NCFs) by evaluating the gross
rent, concession, vacancy, operating expenses, and capital
expenditure data. The DBRS Morningstar NCF analysis resulted in a
minimum debt service coverage ratio of higher than 1.0 times.
Furthermore, DBRS Morningstar reviewed the third-party participants
in the transaction, including the property manager, servicer, and
special servicer. These transaction parties are acceptable to DBRS
Morningstar. DBRS Morningstar also conducted a legal review and
found no material rating concerns.
Notes: All figures are in U.S. dollars unless otherwise noted.
IMSCI 2012-2: DBRS Confirms B(low) Rating on Class G Certs
----------------------------------------------------------
DBRS, Inc. confirmed the following ratings of the Commercial
Mortgage Pass-Through Certificates, Series 2012-2 issued by
Institutional Mortgage Securities Canada Inc. (IMSCI) 2012-2 as
follows:
-- Class A-2 at AAA (sf)
-- Class B at AA (sf)
-- Class C at AA (low) (sf)
-- Class XC at A (sf)
-- Class D at BBB (high) (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)
The Negative trends on Classes F and G reflect the exposure to
loans secured by properties in Fort McMurray, Alberta, which
continues to struggle from the impacts of job losses in the oil
sector. All other trends are Stable given the absence of specially
serviced loans in the trust, the resolution of the Centre 1000 loan
(Prospectus ID#7, previously 9.0% of the pool balance), the
recourse provisions provided by the sponsors, and the paydown in
the trust. Since DBRS Morningstar's last review of this
transaction, the only specially serviced loan, Centre 1000,
liquidated from the trust in August 2021, resulting in a 40.2% loss
severity.
As of the December 2021 remittance, the deal is concentrated by
multifamily and retail properties, representing 48.4% and 34.2% of
the current pool, respectively. There has been collateral reduction
of 68.1%, as 10 of the original 31 loans remain in the trust. One
additional loan, representing 17.5% of the pool, is fully defeased.
There are currently three loans on the servicer's watchlist,
representing 46.3% of the pool balance, which are being monitored
primarily because of low debt service coverage resulting from oil
and gas retractions in Alberta and/or occupancy concerns.
The largest loan in the pool is Cedars Apartments (Prospectus ID#1,
23.3% of the pool). The trust debt is a $17.9 million pari passu
participation in a $26.0 million whole loan secured by a 276-unit
multifamily property in Calgary, approximately eight kilometers
from the downtown core. The loan was added to the servicer's
watchlist as of October 2020 for low debt coverage service ratio
(DSCR). The sponsor decreased rental rates at the property in an
effort to maintain occupancy as rental demand in Calgary has
declined because of a combination of the economic impact of the
pandemic and oil sector job losses. As of January 2021, the
property reported a net cash flow (NCF) of $1.67 million, a 3% drop
from the January 2020 NCF of $1.73 million and a 14% drop from the
Issuer's underwritten NCF of $1.9 million. Occupancy was 92% at
January 2021, 93% at January 2020, and 97% at issuance. The loan
includes a full recourse to Shelter Canadian Properties Limited
(SCPL) and the parent company of SCPL.
The second-largest loan on the watchlist is Lakewood Apartments
(Prospectus ID#3, 11.9% of the pool), which is secured by the fee
interest in a 111-unit multifamily property in Fort McMurray, eight
kilometers from the central business district. As of January 2018,
the loan was added to the servicer's watchlist for low DSCR. After
the borrower requested Coronavirus Disease (COVID-19) relief, the
loan was initially modified to extend the maturity date to November
2022, and later, in May 2020, the servicer approved a second
modification allowing for monthly principal and reserve payments to
be deferred from April through August 2020. In September 2020, the
borrower recommenced principal and interest payments. Additionally,
the modifications also allowed for drawing upon existing reserves
to pay the interest portion of debt service and permitted the
borrower to delay a $350,000 principal paydown that was previously
due by July 2020 to March 2021. DBRS Morningstar is awaiting
confirmation from the servicer that the borrower made this payment.
As of November 2021, the average rental rate was $1,470/unit, a
slight increase from $1,460/unit in February 2021, but still lower
than the $1,519/unit in April 2020. YE2020 NCF was reported at
$0.76 million, a 62.0% drop from the Issuer's underwritten NCF of
$1.60 million, while occupancy was 76.0% in November 2021, an
increase compared with the YE2020 occupancy of 60.0% but lower than
the 97.0% at issuance.
The Mont-Tremblant Retail loan (Prospectus ID#9, 11.0% of the pool)
is secured by the fee interest in a 49,616-square-foot anchored
retail property within a mountainous wooded region north of
Montréal, known as the Northern Laurentian Mountains in
Mont-Tremblant, Quebec. This area is a popular tourist destination,
attracting visitors with its local ski resorts and numerous
year-round outdoor activities. The loan has been on the servicer's
watchlist since July 2016 for low DSCR, decreasing occupancy, and
concerns with tenant rollover. An initial coronavirus-related
forbearance was granted that deferred principal and interest
payments from April to June 2020. The master servicer approved an
additional modification from September 2020 to April 2022, which
converted the loan to interest only. YE2020 NCF was reported at
$0.3 million, a drop since the YE2019 figure of $0.6 million and
the Issuer's underwritten NCF of $1.0 million. As of October 2021,
occupancy was 77.9%, an increase compared with the March 2021
occupancy of 68.7%, YE2020 of 69.0%, and YE2019 of 74.0%. The most
recently provided rent roll shows a number of expired leases, so
the current tenant composition is a bit uncertain.
Class XC is an interest-only (IO) certificate that references a
single rated tranche or multiple rated tranches. The IO rating
mirrors the lowest-rated applicable reference obligation tranche
adjusted upward by one notch if senior in the waterfall.
Notes: All figures are in Canadian dollars unless otherwise noted.
JP MORGAN 2021-LTV2: DBRS Gives Prov. B(high) Rating on B-2 Certs
-----------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage Pass-Through Certificates, Series 2021-LTV2 (the
Certificates) to be issued by J.P. Morgan Mortgage Trust 2021-LTV2
(JPMMT 2021-LTV2):
-- $393.4 million Class A-1 at AAA (sf)
-- $36.9 million Class A-2 at AA (high) (sf)
-- $32.0 million Class A-3 at A (high) (sf)
-- $462.3 million Class A-X-1 at A (high) (sf)
-- $4.4 million Class M-1 at BBB (high) (sf)
-- $3.2 million Class B-1 at BB (high) (sf)
-- $13.5 million Class B-2 at B (high) (sf)
Other than the classes specified above, DBRS Morningstar does not
rate any other classes in this transaction.
Class A-X-1 is an interest-only certificate. The class balance
represents a notional amount.
The AAA (sf) rating on the Class A-1 Certificates reflects 20.00%
of credit enhancement provided by subordinate certificates. The AA
(high) (sf), A (high) (sf), BBB (high) (sf), BB (high) (sf), and B
(high) (sf) ratings reflect 12.50%, 6.00%, 5.10%, 4.45%, and 1.70%
of credit enhancement, respectively.
This securitization of a portfolio of first-lien fixed-rate prime
residential mortgages is funded by the issuance of the
Certificates. The Certificates are backed by 518 loans with a total
principal balance of $491,761,078 as of the Cut-Off Date (December
1, 2021).
Compared with other post-crisis prime pools, this portfolio
consists of higher loan-to-value (LTV), first-lien, fully
amortizing fixed-rate mortgages with original terms to maturity of
up to 30 years. The weighted-average original combined LTV (CLTV)
for the portfolio is 86.6%, and the majority of the pool (78.4%)
comprises loans with DBRS Morningstar-calculated current CLTV
ratios greater than 80.0%. The high LTV attribute of this portfolio
is mitigated by certain strengths, such as high FICO scores, low
debt-to-income ratios, robust income and reserves, as well as other
strengths detailed in the report.
The originators for the aggregate mortgage pool are United
Wholesale Mortgage, LLC (UWM; 44.3%), loanDepot.com, LLC
(loanDepot; 12.9%), and various other originators of which each
comprises less than 10.0% of the pool.
The mortgage loans will be serviced by UMW (44.3%), Shellpoint
Mortgage Servicing (SMS; 41.8%), loanDepot (12.9%), and A&D
Mortgage LLC (0.9%). For UWM and loanDepot-serviced loans, the
subservicer is Cenlar FSB (57.3%).
As of the Closing Date, SMS (41.8%) is the interim servicer for
JPMorgan Chase Bank, National Association (JPMCB). Servicing will
be transferred to JPMCB from SMS on the servicing transfer date
(February 1, 2022, or a later date) as determined by the Issuing
Entity and JPMCB. For this transaction, the servicing fee payable
for mortgage loans serviced by JPMCB, loanDepot, SMS, and UWM is
composed of three separate components: the aggregate base servicing
fee, the aggregate delinquent servicing fee, and the aggregate
additional servicing fee. These fees vary based on the delinquency
status of the related loan and will be paid from interest
collections before distribution to the securities.
Nationstar Mortgage LLC will act as the Master Servicer. Citibank,
N.A. (rated AA (low) with a Stable trend by DBRS Morningstar) will
act as Securities Administrator and Delaware Trustee. Computershare
Trust Company N.A. will act as Custodian. Pentalpha Surveillance
LLC will serve as the Representations and Warranties Reviewer.
Unlike transactions previously issued under the LTV shelf, which
employed a traditional prime shifting-interest structure, JPMMT
2021-LTV2 employs a sequential cash flow structure with a pro rata
feature among the senior tranches. Principal proceeds can be used
to cover interest shortfalls on the Class A-1 Certificates. For
more subordinated Certificates, principal proceeds can be used to
cover interest shortfalls as the more senior Certificates are paid
in full. Furthermore, excess spread can be used to cover realized
losses and prior period bond writedown amounts.
Coronavirus Impact
The Coronavirus Disease (COVID-19) pandemic and the resulting
isolation measures have caused an immediate economic contraction,
leading to sharp increases in unemployment rates and income
reductions for many consumers. DBRS Morningstar saw increases in
delinquencies for many residential mortgage-backed securities
(RMBS) asset classes shortly after the onset of the pandemic.
Such mortgage delinquencies were mostly in the form of forbearance,
which are generally short-term payment reliefs that may perform
very differently from traditional delinquencies. At the onset of
coronavirus, because the option to forebear mortgage payments was
so widely available, it drove forbearance to a very high level.
When the dust settled, coronavirus-induced forbearance in 2020
performed better than expected, thanks to government aid, low LTVs,
and good underwriting in the mortgage market in general. Across
nearly all RMBS asset classes, delinquencies have been gradually
trending down in recent months as forbearance period comes to an
end for many borrowers.
As of the Cut-Off Date, none of the loans are currently subject to
a coronavirus-related forbearance plan. In the event a borrower
requests or enters into a coronavirus-related forbearance plan
after the Cut-Off Date but prior to the Closing Date, the Mortgage
Loan Seller will remove such loan from the mortgage pool and remit
the related Closing Date substitution amount. Loans that enter a
coronavirus-related forbearance plan after the Closing Date will
remain in the pool.
The ratings reflect transactional strengths that include
high-quality credit attributes, well-qualified borrowers,
satisfactory third-party due-diligence review, and 100% current
loans.
The ratings reflect transactional weaknesses that include the
representations and warranties framework, and financial capability
of the counterparties.
Notes: All figures are in U.S. dollars unless otherwise noted.
JP MORGAN 2022-OPO: Moody's Assigns (P)Ba3 Rating to Class F Debt
-----------------------------------------------------------------
Moody's Investors Service, Inc. has assigned provisional ratings to
seven classes of CMBS securities, issued by J.P. Morgan Chase
Commercial Mortgage Securities Trust 2022-OPO ("JPMCC 2022-OPO"),
Commercial Mortgage Pass-Through Certificates, Series 2022-OPO as
follows:
Cl. A, Assigned (P)Aaa (sf)
Cl. X*, Assigned (P)Aa1 (sf)
Cl. B, Assigned (P)Aa3 (sf)
Cl. C, Assigned (P)A3 (sf)
Cl. D, Assigned (P)Baa3 (sf)
Cl. E, Assigned (P)Ba2 (sf)
Cl. F, Assigned (P)Ba3 (sf)
*Reflects Interest-Only Class
RATINGS RATIONALE
The certificates are collateralized by a first-lien mortgage on the
borrower's fee simple interest in the Old Post Office, which is a
Class A office tower located in the West Loop submarket of Chicago,
IL totaling 2,331,477 SF, along with the Sugar House building and
Clinton Parcel (the "collateral").
The property was built between 1916 and 1921 and recently completed
a $1.26 billion renovation, achieving LEED Gold certification. The
collateral features 13'--19' finished ceiling heights, efficient
column spacing, river front views and a rooftop park known as the
Meadow. The 2.3 million SF of Class A office space boasts
floorplates averaging 250,000 SF. The property still features its
architecturally significant lobby, fully restored to its original
form and 1920's Art Deco design. Noteworthy property amenities
include a 27,176 SF fitness center (known as Boxcar) on the second
floor, an onsite food hall, an 11,792 SF lounge, a 2,824 SF
library, event space and conference center. The property also
boasts the largest outdoor amenity space in Chicago as the site
includes basketball courts, athletic track, a bistro and bar area.
As of December 1, 2021, the property was 91.8% leased to 23
tenants. Notable occupants include Uber (15.8% of NRA, 17.2% of
base rent), PepsiCo (8.3% of NRA, 9.7% of base rent), Walgreens
(9.4% of NRA, 9.6% of base rent), CBOE (8.1% of NRA, 9.2% of base
rent) and Cisco (5.8% of NRA, 7.1% of base rent). Other than Uber,
no tenant occupies more than 9.4% of NRA or comprises more than
9.7% of base rent. The weighted average remaining lease term at the
property is approximately 11.1 years as of the loan's origination
date.
The securitization consists of the $705,000,000 (the "trust loan")
of a five-year, interest-only, first lien mortgage loan with an
outstanding principal balance of $830,000,000 (the "whole loan" or
the "loan"). The trust loan will contain senior and junior note
components. Moody's ratings are based on the credit quality of the
loan and the strength of the securitization structure.
Moody's approach to rating this transaction involved the
application of Moody's 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 uses an adjusted loan balance that reflects
each loan's amortization profile.
The Moody's first mortgage DSCR is 2.21x 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 107.4% based on
its Moody's Value. Adjusted Moody's LTV ratio for the first
mortgage balance is 93.2% based on its Moody's Value using a cap
rate adjusted for the current interest rate environment. In
addition to the mortgage loan, there is mezzanine financing secured
by a pledge of the direct equity interests in the borrower of
$125.0 million. The total debt Moody's LTV ratio increases to
123.5% based on the Moody's Value and 107.3% based on the 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 0.75.
Notable strengths of the transaction include: the property's
superior quality, significant capital investment, strong rollover
profile and institutional quality sponsor.
Notable concerns of the transaction include: early termination
rights present in the tenant roster, an expiring real estate tax
abatement that will lead to increases in operating leverage, new
scheduled supply within the market, as well as certain credit
negative loan features including an interest-only payment profile
and select legal characteristics.
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.
JPMCC COMMERCIAL 2014-C20: DBRS Lowers Rating on 3 Classes to C
---------------------------------------------------------------
DBRS Limited downgraded the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2014-C20 issued by JPMCC
Commercial Mortgage Securities Trust 2014-C20 as follows:
-- Class C to BBB (high) (sf) from A (low) (sf)
-- Class EC to BBB (high) (sf) from A (low) (sf)
-- Class D to CCC (sf) from BB (low) (sf)
-- Class E to C (sf) from B (low) (sf)
-- Class F to C (sf) from CCC (sf)
-- Class G to C (sf) from CCC (sf)
In addition, DBRS Morningstar confirmed the following classes:
-- Class A-4A1 at AAA (sf)
-- Class A-4A2 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (sf)
-- Class B at AA (low) (sf)
DBRS Morningstar changed the trends for Classes X-B and B to
Negative from Stable. Classes C and EC continue to have Negative
trends. Classes D, E, F, and G have ratings that do not carry
trends. DBRS Morningstar also designated Classes D, E, F, and G as
having Interest in Arrears. All other classes have Stable trends.
The rating downgrades and Negative trends reflect the increased
risk of loss to the trust for select loans in the pool. As of the
December 2021 remittance, 25 of the original 37 loans remain in the
pool, representing a collateral reduction of 36.0% since issuance.
Three loans, representing 6.1% of the pool balance, are fully
defeased. There are three loans in special servicing and five loans
on the servicer's watchlist, representing 13.4% and 23.1% of the
pool balance, respectively.
The rating downgrades are generally reflective of DBRS
Morningstar's loss projections for the two largest loans in special
servicing. The largest is Lincolnwood Town Center (Prospectus ID#4,
7.9% of the pool balance), which is secured by a regional mall in
the northern Chicago suburb of Lincolnwood, Illinois. The loan has
been in special servicing since May 2020. Most recently, the
servicer reported a value decline to $15.2 million, down
drastically from the issuance value of $89.1 million, suggesting
that a significant loss will be realized at disposition. The
second-largest loan in special servicing is University Gate
Apartments (Prospectus ID#15, 3.4% of the pool balance), secured by
a student housing apartment complex in Erie, Pennsylvania. The loan
has been in special servicing since 2018 and has been real estate
owned since late 2020. Based on the most recent appraised value of
$13.3 million, DBRS Morningstar expects a significant loss at
resolution.
The Negative trends reflect DBRS Morningstar's concerns with two
large loans in the top 15, both of which are currently on the
servicer's watchlist for performance declines. The largest of these
loans, 200 West Monroe (Prospectus ID#6, 8.6% of the pool balance),
is secured by a Class B office building in downtown Chicago that
has struggled since losing a major tenant in 2017. The Westminster
Mall loan (Prospectus ID#11, 4.6% of the pool balance) is secured
by a regional mall in Orange County, California, and is also on the
servicer's watchlist for performance declines related to occupancy
disruptions. The loan benefits from the property's highly visible
location near several major transportation arteries; furthermore,
the loan sponsor, Washington Prime Group, has reportedly been in
discussions to partner with another firm to develop land adjacent
to the collateral property. Both of these large watchlisted loans
are current with sponsors who appear committed to the respective
properties and loans, but the increased risks from issuance will be
monitored closely for further development.
At issuance, DBRS Morningstar shadow-rated The Outlets at Orange
(Prospectus ID#1, 16.0% of the pool balance) investment grade. With
this review, DBRS Morningstar confirms that the performance of the
loan remains consistent with investment-grade loan
characteristics.
Notes: All figures are in U.S. dollars unless otherwise noted.
LB-UBS COMMERCIAL 2006-C1: Moody's Withdraws 19 Ratings
-------------------------------------------------------
Fitch Ratings has taken various actions on already distressed bonds
across two U.S. commercial mortgage-backed securities (CMBS)
transactions.
DEBT RATING PRIOR
---- ------ -----
COMM 2012-CCRE4
D 12624QAE3 LT Dsf Downgrade Csf
E 12624QAG8 LT Dsf Affirmed Dsf
F 12624QAJ2 LT Dsf Affirmed Dsf
LB-UBS Commercial Mortgage Trust 2006-C1
B 52108MDL4 LT Dsf Downgrade CCsf
B 52108MDL4 LT WDsf Withdrawn Dsf
C 52108MDM2 LT Dsf Downgrade Csf
C 52108MDM2 LT WDsf Withdrawn Dsf
D 52108MDN0 LT Dsf Downgrade Csf
D 52108MDN0 LT WDsf Withdrawn Dsf
E 52108MDP5 LT Dsf Affirmed Dsf
E 52108MDP5 LT WDsf Withdrawn Dsf
F 52108MDQ3 LT Dsf Affirmed Dsf
F 52108MDQ3 LT WDsf Withdrawn Dsf
G 52108MDS9 LT Dsf Affirmed Dsf
G 52108MDS9 LT WDsf Withdrawn Dsf
H 52108MDU4 LT Dsf Affirmed Dsf
H 52108MDU4 LT WDsf Withdrawn Dsf
IUU-3 52108MEW9 LT Dsf Affirmed Dsf
IUU-3 52108MEW9 LT WDsf Withdrawn Dsf
IUU-4 52108MEY5 LT Dsf Affirmed Dsf
IUU-4 52108MEY5 LT WDsf Withdrawn Dsf
IUU-5 52108MFA6 LT Dsf Affirmed Dsf
IUU-5 52108MFA6 LT WDsf Withdrawn Dsf
IUU-6 52108MFC2 LT Dsf Affirmed Dsf
IUU-6 52108MFC2 LT WDsf Withdrawn Dsf
IUU-7 52108MFE8 LT Dsf Affirmed Dsf
IUU-7 52108MFE8 LT WDsf Withdrawn Dsf
IUU-8 52108MFG3 LT Dsf Affirmed Dsf
IUU-8 52108MFG3 LT WDsf Withdrawn Dsf
IUU-9 52108MFJ7 LT Dsf Affirmed Dsf
IUU-9 52108MFJ7 LT WDsf Withdrawn Dsf
J 52108MDW0 LT Dsf Affirmed Dsf
J 52108MDW0 LT WDsf Withdrawn Dsf
K 52108MDY6 LT Dsf Affirmed Dsf
K 52108MDY6 LT WDsf Withdrawn Dsf
L 52108MEA7 LT Dsf Affirmed Dsf
L 52108MEA7 LT WDsf Withdrawn Dsf
M 52108MEC3 LT Dsf Affirmed Dsf
M 52108MEC3 LT WDsf Withdrawn Dsf
N 52108MEE9 LT Dsf Affirmed Dsf
N 52108MEE9 LT WDsf Withdrawn Dsf
All 19 ratings in LB-UBS Commercial Mortgage Trust 2006-C1 have
been withdrawn as there is no remaining collateral and the trust
balance has been reduced to zero. Thus, the transaction is no
longer considered by Fitch to be relevant to the agency's
coverage.
AUTOMATIC WITHDRAWAL OF THE LAST DEFAULT RATING
Default ratings ('Dsf') assigned to the last rated class of a
transaction will be automatically withdrawn within 11 months from
the date of this rating action. A separate RAC will not be issued
at that time.
KEY RATING DRIVERS
Fitch has downgraded one class of COMM 2012-CCRE4 Mortgage Trust to
'Dsf' as the class has realized its first dollar loss. Per the
December 2021 remittance report, the class received $0 in principal
paydown, as well as $1.0 million in losses. The class was
previously rated 'Csf,' indicating default was inevitable. Fitch
has also affirmed two classes of COMM 2012-CCRE4 at 'Dsf' as a
result of previously incurred losses.
Additionally, Fitch has downgraded three classes of LB-UBS
Commercial Mortgage Trust 2006-C1 to 'Dsf' as the classes have
realized their first dollar losses. Per the December 2021
remittance report, class B received $0 in principal paydown and
$12.6 million in losses, class C received $0 in principal paydown
and $27.6 million in losses and class D received $0 in principal
paydown and $24.6 million in losses. Class B was previously rated
'CCsf,' indicating default was probable. Classes C and D were
previously rated 'Csf,' indicating default was inevitable. Fitch
has also affirmed 16 classes of LB-UBS Commercial Mortgage Trust
2006-C1 at 'Dsf' as a result of previously incurred losses.
COMM 2012-CCRE4 has an ESG Relevance Score of '4' for Exposure to
Social Impacts due to malls that are underperforming as a result of
changing consumer preference to shopping, which has a negative
impact on the credit profile and is highly relevant to the
ratings.
RATING SENSITIVITIES
Factor that could, individually or collectively, lead to negative
rating action/downgrade:
-- No further negative rating changes are expected as these bonds
have incurred principal losses.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- While the bonds that have defaulted are not expected to
recover any material amount of lost principal in the future,
there is a limited possibility this may happen. In this
unlikely scenario, Fitch would further review the affected
classes.
-- Today's actions are limited to the bonds that have incurred
losses. Any remaining bonds in COMM 2012-CCRE4 Mortgage Trust
have not been analyzed as part of this review.
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
COMM 2012-CCRE4 has an ESG Relevance Score of '4' for Exposure to
Social Impacts due to malls that are underperforming as a result of
changing consumer preference to shopping, which has a negative
impact on the credit profile and is highly relevant to the
ratings.
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
LB-UBS COMMERCIAL 2007-C6: Fitch Hikes Class C Debt Rating to Csf
-----------------------------------------------------------------
Fitch Ratings has upgraded one class and affirmed 13 classes of
LB-UBS Commercial Mortgage Trust commercial mortgage pass-through
certificates series 2007-C6.
DEBT RATING PRIOR
---- ------ -----
LB-UBS Commercial Mortgage Trust 2007-C6
C 52109PAK1 LT CCsf Upgrade Csf
D 52109PAL9 LT Dsf Affirmed Dsf
E 52109PAM7 LT Dsf Affirmed Dsf
F 52109PAN5 LT Dsf Affirmed Dsf
G 52109PAX3 LT Dsf Affirmed Dsf
H 52109PAY1 LT Dsf Affirmed Dsf
J 52109PAZ8 LT Dsf Affirmed Dsf
K 52109PBA2 LT Dsf Affirmed Dsf
L 52109PBB0 LT Dsf Affirmed Dsf
M 52109PBC8 LT Dsf Affirmed Dsf
N 52109PBD6 LT Dsf Affirmed Dsf
P 52109PBE4 LT Dsf Affirmed Dsf
Q 52109PBF1 LT Dsf Affirmed Dsf
S 52109PBG9 LT Dsf Affirmed Dsf
KEY RATING DRIVERS
One Remaining Loan: The upgrade of class C reflects better than
expected recoveries on the disposed loans/assets since Fitch's
prior rating action; however, losses to the class are still
considered probable, which is consistent with a 'CCsf' rating.
The one remaining loan in the pool, Tower Square Retail, is secured
by a 70,579-sf unanchored retail shopping center in Eden Prairie,
MN. The loan is scheduled to mature in July 2022. A recovery of
$139 psf on this loan is needed to fully repay class C. This Fitch
Loan of Concern was flagged for declining occupancy and cash flow,
as well as low DSCR.
Collateral occupancy was 74% as of September 2021, compared to 70%
at YE 2020, 82% at YE 2019 and 83% at YE 2018. Occupancy declined
between 2019 and 2020 due to Pier 1 Imports (13.1% NRA; 11% of base
rents; lease expiry in June 2023) and Homade (3.6% NRA; lease
expired in November 2020) vacating. As a result of the lower
occupancy and rent loss due to the pandemic, NOI declined 17%
between 2019 and 2020. The servicer-reported YE 2020 NOI DSCR was
0.99x, compared to 1.19x at YE 2019 and 1.08x at YE 2018.
Per the servicer, and as of December 2021, all tenants are paying
their full rent. The borrower has also indicated there is positive
leasing traction as they are working with two prospective tenants
to lease up the vacancies. Major tenants include Bharat Bazaar MN
(16.3%; November 2026), Once Upon a Child (7.8%; August 2031) and
Sri Saravana (7.2%; October 2030). Upcoming rollover includes 7.3%
of NRA (three leases) in 2022, 5.8% (one lease) in 2023 and 18.2%
(five leases) in 2024.
Lower Credit Enhancement (CE): Credit enhancement has deteriorated
since Fitch's last rating action due to realized losses from
specially serviced loan/asset dispositions; 48 loans/assets ($279
million) were liquidated with losses totaling $177 million. This
included the REO PECO Portfolio asset ($135 million) disposed with
a full loss. The portfolio was originally secured by 39
cross-collateralized and cross-defaulted properties located across
13 states; the final asset in the portfolio was liquidated in July
2021.
As of the December 2021 distribution date, the pool's aggregate
principal balance has been reduced by 99.6% to $13.1 million from
$3.0 billion at issuance. Realized losses since issuance total $365
million (12.3% of original pool balance). Cumulative interest
shortfalls totaling $30.8 million are currently affecting classes D
through T.
RATING SENSITIVITIES
Factor that could, individually or collectively, lead to negative
rating action/downgrade:
-- A downgrade to class C would occur as losses are realized
and/or with a greater certainty of loss should performance of
the Tower Square Retail loan deteriorate significantly.
Factor that could, individually or collectively, lead to positive
rating action/upgrade:
-- A further upgrade to class C is not expected, but could occur
with significantly improved occupancy and cash flow for the
Tower Square Retail loan.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
MFA TRUST 2021-AEINV2: DBRS Finalizes B Rating on Class B-5 Certs
-----------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Mortgage Pass-Through Certificates, Series 2021-AEINV2 issued by
MFA 2021-AEINV2 Trust (MFA 2021-AEINV2):
-- $307.9 million Class A-1 at AAA (sf)
-- $288.4 million Class A-2 at AAA (sf)
-- $216.3 million Class A-3 at AAA (sf)
-- $216.3 million Class A-3-A at AAA (sf)
-- $216.3 million Class A-3-X at AAA (sf)
-- $162.2 million Class A-4 at AAA (sf)
-- $162.2 million Class A-4-A at AAA (sf)
-- $162.2 million Class A-4-X at AAA (sf)
-- $54.1 million Class A-5 at AAA (sf)
-- $54.1 million Class A-5-A at AAA (sf)
-- $54.1 million Class A-5-X at AAA (sf)
-- $129.8 million Class A-6 at AAA (sf)
-- $129.8 million Class A-6-A at AAA (sf)
-- $129.8 million Class A-6-X at AAA (sf)
-- $86.5 million Class A-7 at AAA (sf)
-- $86.5 million Class A-7-A at AAA (sf)
-- $86.5 million Class A-7-X at AAA (sf)
-- $32.4 million Class A-8 at AAA (sf)
-- $32.4 million Class A-8-A at AAA (sf)
-- $32.4 million Class A-8-X at AAA (sf)
-- $10.8 million Class A-9 at AAA (sf)
-- $10.8 million Class A-9-A at AAA (sf)
-- $10.8 million Class A-9-X at AAA (sf)
-- $43.3 million Class A-10 at AAA (sf)
-- $43.3 million Class A-10-A at AAA (sf)
-- $43.3 million Class A-10-X at AAA (sf)
-- $72.1 million Class A-11 at AAA (sf)
-- $72.1 million Class A-11-A at AAA (sf)
-- $72.1 million Class A-11-AI at AAA (sf)
-- $72.1 million Class A-11-B at AAA (sf)
-- $72.1 million Class A-11-BI at AAA (sf)
-- $72.1 million Class A-11-X at AAA (sf)
-- $72.1 million Class A-12 at AAA (sf)
-- $72.1 million Class A-13 at AAA (sf)
-- $19.5 million Class A-14 at AAA (sf)
-- $19.5 million Class A-15 at AAA (sf)
-- $230.9 million Class A-16 at AAA (sf)
-- $77.0 million Class A-17 at AAA (sf)
-- $307.9 million Class A-X-1 at AAA (sf)
-- $307.9 million Class A-X-2 at AAA (sf)
-- $72.1 million Class A-X-3 at AAA (sf)
-- $19.5 million Class A-X-4 at AAA (sf)
-- $9.5 million Class B-1 at AA (low) (sf)
-- $7.1 million Class B-2 at A (low) (sf)
-- $5.4 million Class B-3 at BBB (low) (sf)
-- $3.1 million Class B-4 at BB (sf)
-- $2.2 million Class B-5 at B (sf)
Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-10-X,
A-11-X, A-11-AI, A-11-BI, A-X-1 A-X-2, A-X-3, and A-X-4 are
interest-only (IO) certificates. The class balances represent
notional amounts.
Classes A-1, A-2, A-3, A-3-A, A-3-X, A-4, A-4-A, A-4-X, A-5, A-5-A,
A-5-X, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-10, A-11-A, A-11-AI,
A-11-B, A-11-BI, A-12, A-13, A-14, A-16, A-17, A-X-2, and A-X-3 are
exchangeable certificates. These classes can be exchanged for
combinations of exchange certificates.
Classes A-2, A-3, A-3-A, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7,
A-7-A, A-8, A-8-A, A-9, A-9-A, A-10, A-10-A, A-11, A-11-A, A-11-B,
A-12, and A-13 are super-senior certificates. These classes benefit
from additional protection from the senior support certificates
(Classes A-14 and A-15) with respect to loss allocation.
The AAA (sf) ratings on the Certificates reflect 9.35% of credit
enhancement provided by subordinated certificates. The AA (low)
(sf), A (low) (sf), BBB (low) (sf), BB (sf), and B (sf) ratings
reflect 6.55%, 4.45%, 2.85%, 1.95%, and 1.30% of credit
enhancement, respectively.
Other than the classes specified above, DBRS Morningstar does not
rate any other classes in this transaction.
This is a securitization of a portfolio of first-lien, fixed-rate
prime conventional investment-property residential mortgages funded
by the issuance of the Mortgage Pass-Through Certificates, Series
2021-AEINV2 (the Certificates). The Certificates are backed by 972
loans with a total principal balance of approximately $339,655,385
as of the Cut-Off Date (December 1, 2021).
loanDepot.com, LLC (loanDepot) is the Originator and the Servicer
of the mortgage loans. MFA Financial, Inc. is the Sponsor of the
transaction. MFRA NQM Depositor, LLC will act as the Depositor of
the transaction. DBRS Morningstar performed a review of loanDepot's
origination and servicing platform and believes the company is an
acceptable mortgage loan originator and servicer.
MFA 2021-AEINV2 is the second securitization by the Sponsor
composed of fully-amortizing, fixed-rate mortgages on
non-owner-occupied residential investment properties. The portfolio
consists of conforming mortgages with original terms to maturity of
primarily 30 years, which were underwritten by loanDepot using an
automated underwriting system (AUS) designated by Fannie Mae or
Freddie Mac and were eligible for purchase by such agencies.
Details on the underwriting of conforming loans can be found in the
Key Probability of Default Drivers section of the related Report.
The pool is, on average, five months seasoned with a maximum age of
eight months.
Cenlar FSB (Cenlar) will act as the Subservicer. Computershare
Trust Company, N.A. (Computershare Trust Company) will act as the
Master Servicer, Securities Administrator, Certificate Registrar
and Custodian. Wilmington Savings Fund Society, FSB will serve as
the Trustee.
For this transaction, the servicing fee is composed of three
separate components: the aggregate base servicing fee, the
aggregate delinquent servicing fee, and the aggregate additional
servicing fee. These fees vary based on the delinquency status of
the related loan and will be paid from interest collections before
distribution to the securities.
For this transaction, the Servicer will fund advances of delinquent
principal and interest (P&I) until deemed unrecoverable.
Additionally, the Servicer is obligated to make advances with
respect to taxes, insurance premiums, and reasonable costs incurred
in the course of servicing and disposing of properties (servicing
advances). If the Servicer fails in its obligation to make P&I
advances, Computershare, as a Master Servicer, will be obligated to
fund such P&I advances. The Master Servicer is responsible for only
P&I advances; the Servicer is responsible for P&I and servicing
advances.
The Sponsor, directly or indirectly through a majority-owned
affiliate, will retain an eligible vertical interest consisting of
at least 5% of the Certificate Principal Amount or Class Notional
Amount, as applicable, of each class of Certificates (other than
the Class R Certificates) issued on the Closing Date to satisfy the
credit risk-retention requirements under Section 15G of the
Securities Exchange Act of 1934 and the regulations promulgated
thereunder.
On any date following the date on which the aggregate loan balance
is less than 10% of the Cut-Off Date balance, the Depositor will
have the option to terminate the transaction by purchasing all of
the mortgage loans and any real estate-owned (REO) property from
the issuer at the clean-up call price described in the transaction
documents (Clean-up Call). Similarly, on any date following the
date on which the loan balance is less than 5% of the Cut-Off Date
balance, the Servicer will have the option to terminate the
transaction by the Clean-up Call. However, once the Servicer
notifies the Depositor of its intent, the Depositor will have 30
days to exercise the Clean-up Call.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that is enhanced from a pre-crisis structure.
Coronavirus Pandemic Impact
The Coronavirus Disease (COVID-19) pandemic and the resulting
isolation measures caused an immediate economic contraction,
leading to sharp increases in unemployment rates and income
reductions for many consumers. DBRS Morningstar saw increases in
delinquencies for many residential mortgage-backed securities
(RMBS) asset classes shortly after the onset of the pandemic.
Such mortgage delinquencies were mostly in the form of
forbearances, which are generally short-term payment reliefs that
may perform very differently from traditional delinquencies. At the
onset of the pandemic, the option to forbear mortgage payments was
so widely available that it drove forbearances to a very high
level. When the dust settled, coronavirus-induced forbearances in
2020 performed better than expected, thanks to government aid, low
loan-to-value ratios (LTV), and good underwriting in the mortgage
market in general. Across nearly all RMBS asset classes,
delinquencies have been gradually trending down in recent months as
the forbearance period comes to an end for many borrowers.
The ratings reflect transactional strengths that include
high-quality credit attributes, well-qualified borrowers,
structural enhancements, satisfactory third-party due-diligence
review, and 100% current loans.
The ratings reflect transactional weaknesses that include loans
that are 100% investor properties and certain borrowers with
multiple mortgages in the securitized pool, certain aspects of the
representations and warranties framework, and the servicing
administrator's financial capabilities.
Notes: All figures are in U.S. dollars unless otherwise noted.
MORGAN STANLEY 2017-H1: DBRS Confirms B(low) Rating on H-RR Certs
-----------------------------------------------------------------
DBRS Limited confirmed the ratings on all the classes of the
Commercial Mortgage Pass-Through Certificates, Series 2017-H1
issued by Morgan Stanley Capital I Trust 2017-H1 as follows:
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class X-B at AA (low) (sf)
-- Class C at A (high) (sf)
-- Class X-D at A (sf)
-- Class D at A (low) (sf)
-- Class E-RR at BBB (sf)
-- Class F-RR at BBB (low) (sf)
-- Class G-RR at BB (low) (sf)
-- Class H-RR at B (low) (sf)
The trends for Classes G-RR and H-RR remain Negative, reflective of
the concerns surrounding select loans showing performance declines
from issuance, as further described below. All other trends are
Stable.
The rating confirmations reflect the overall stable performance of
the transaction since issuance. According to the December 2021
remittance, 56 of the original 58 loans remain in the trust, with
loan repayments and scheduled amortization resulting in a
collateral reduction of 7.4% since issuance. There are three
defeased loans, representing 1.1% of the current pool balance. Two
loans, representing 3.4% of the current pool balance, are in
special servicing, and 17 loans, representing 22.2% of the current
pool balance, are on the servicer's watchlist.
Of the two loans in special servicing, the largest is the One
Presidential loan (Prospectus ID #13, 2.9% of the pool balance),
secured by an office property located in the Philadelphia suburb of
Bala Cynwyd, Pennsylvania. The loan was previously on the
servicer's watchlist for the upcoming loss of a major tenant at the
December 31, 2021, lease expiry and transferred to special
servicing with the December 2021 remittance, with the special
servicer citing imminent monetary default. Given the recent
transfer, there is limited information available on the workout
options, but DBRS Morningstar notes the loan is underwater with the
occupancy decline and leasing efforts have likely been hampered by
the effects of the Coronavirus Disease (COVID-19) pandemic.
DBRS Morningstar is also monitoring performance declines for two
large hotel loans on the servicer's watchlist in the Magnolia Hotel
Denver (Prospectus ID #19, 3.7% of the pool) and the DoubleTree
Tinton Falls (Prospectus ID #17, 1.9% of the pool) loans. The
larger loan is secured by a full-service boutique hotel located in
downtown Denver and was previously in special servicing following
the sponsor's request for coronavirus relief. A loan modification
was granted and the loan was returned to the master servicer in
early 2021, with the loan reporting current since then. Recent
financial reporting shows the loan continues to underperform, but
the STR report provided for August 2021 shows performance is
trending in the right direction.
The DoubleTree Tinton Falls loan is secured by a full-service hotel
in Tinton Falls, New Jersey, and that loan was also previously in
special servicing before a loan modification and return to the
master servicer was processed in early 2021. The collateral hotel
was underperforming prior to the pandemic and a $2.1 million
reserve established to fund property improvements required by the
franchisor had not been spent at the time of the loan's transfer to
special servicing. The servicer reported STR figures for June 2021
that suggested performance was trending in a positive direction and
the sponsor remains in compliance with the terms of the loan
agreement.
All three of these loans were subject to probability of default
penalties to increase the expected loss in the analysis for this
review, with the results suggesting the two lowest-rated classes
could be subject to increased risk of loss if the credit profiles
deteriorate further from the current status. In depth commentary is
provided for each of these pivotal loans on the DBRS Viewpoint
platform, as outlined below.
Notes: All figures are in U.S. dollars unless otherwise noted.
NW RE-REMIC 2021-FRR1: DBRS Finalizes B(low) Rating on CK88 Certs
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Multifamily Mortgage Certificate-Backed Certificates,
Series 2021-FRR1 issued by NW RE-REMIC TRUST 2021-FRR1:
-- Class AK88 at BBB (low) (sf)
-- Class BK88 at BB (low) (sf)
-- Class CK88 at B (low) (sf)
All trends are Stable.
This transaction is a resecuritization collateralized by the
beneficial interests in the commercial mortgage certificate-backed
certificates from FREMF 2019-K88 Mortgage Trust, Series 2019-K88,
the underlying transaction. The ratings of NW RE-REMIC TRUST
2021-FRR1 are dependent on the performance of the underlying
transaction.
NYMT LOAN 2022-CP1: Fitch Gives B(EXP) Rating to Class B2 Notes
----------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed notes
to be issued by NYMT Loan Trust 2022-CP1 (NYMT 2022-CP1).
DEBT RATING
---- ------
NYMT 2022-CP1
A1 LT AAA(EXP)sf Expected Rating
A2 LT AA(EXP)sf Expected Rating
M1 LT A(EXP)sf Expected Rating
M2 LT BBB(EXP)sf Expected Rating
B1 LT BB(EXP)sf Expected Rating
B2 LT B(EXP)sf Expected Rating
B3 LT NR(EXP)sf Expected Rating
XS LT NR(EXP)sf Expected Rating
AIOS LT NR(EXP)sf Expected Rating
TRANSACTION SUMMARY
Fitch Ratings expects to rate the residential mortgage-backed notes
to be issued by New York Mortgage Trust 2022-CP1 (NYMT 2022-CP1) as
indicated above. The notes are supported by one collateral group
that consists of 1,949 seasoned performing loans (SPLs) and
re-performing loans (RPLs) with a total balance of approximately
$310.2 million, including $11.5 million in deferred balances. The
transaction is being issued as a sub-REIT structure.
Distributions of P&I and loss allocations are based on a senior
subordinate, sequential structure. The sequential-pay structure
locks out principal to the subordinated notes until the most senior
notes outstanding are paid in full. The servicers will not be
advancing 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 10.4% above a long-term sustainable level (vs.
10.5% 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.
RPL Credit Quality (Negative): The collateral pool consists
primarily of peak-vintage SPLs and RPLs. As of the cut-off date,
the pool was 99.1% current and 0.9% delinquent. Based on Fitch's
treatment of coronavirus-related forbearance and deferral loans and
servicing transfer related delinquencies, approximately 76.7% of
the loans were treated as having clean payment histories for the
past two years or more (clean current). Additionally, 57.9% of
loans have a prior modification. The borrowers have a moderate
credit profile (680 FICO and 42% DTI) and relatively low leverage
(67% Sustainable Loan-to-Value).
Non-Standard Sequential Pay Structure (Mixed): 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 to the non-offered
notes in reverse-sequential order. Furthermore, there is a
provision to re-allocate principal to pay interest on the 'AAAsf'
through 'BBBsf' rated notes prior to principal distributions, which
is slightly different from a standard sequential structure where
typically principal is re-allocated to pay interest to the 'AAA'
and 'AA' classes only before distributing principal.
This feature is highly supportive of timely interest payments to
those classes in the absence of servicer advancing, but increases
the credit enhancement as the A-1 class does not receive principal
until interest and unpaid interest shortfalls are paid to the 'AAA'
through 'BBB' classes.
No Servicer P&I Advances (Mixed): The servicer will not be
advancing delinquent monthly payments of P&I, which reduce
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 (LS) 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.
RATING SENSITIVITIES
Factor that could, individually or collectively, lead to negative
rating action/downgrade:
-- This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition
to the model-projected 41.70% at the 'AAA' level. As shown in
the table, the analysis indicates that there is some potential
rating migration with higher MVDs compared with the model
projection.
Factor that could, individually or collectively, lead to positive
rating action/upgrade:
-- This defined positive rating sensitivity analysis demonstrates
how the ratings would react to positive home price growth of
10% with no assumed overvaluation. Excluding the senior class,
which is already rated 'AAAsf', the analysis indicates there
is potential positive rating migration for all of the rated
classes. Specifically, a 10% gain in home prices would result
in a full category upgrade for the rated class excluding those
being assigned ratings of 'AAAsf'.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
CRITERIA VARIATION
Fitch's analysis incorporated two criteria variations from the
"U.S. RMBS Rating Criteria."
The first variation is that a due diligence compliance and data
integrity review was not completed on approximately 18% of the pool
by loan count. The sample meets Fitch's criteria for SPL loans as
42% of the SPL loans were reviewed (the criteria allows for a 20%
sample). Fitch defines SPL as loans which are seasoned over 24
months, have not been modified and have had no more one 30-day
delinquency in the prior 24 months but are current as of the cutoff
date.
A criteria variation was applied for the RPL loans. 74% of the pool
is categorized as RPL, and Fitch's criteria expects a 100%
securitization review for RPL loans (96% was reviewed). Fitch did
not make any adjustments to these loans as they were reviewed but
just not up to securitization standards. This variation did not
have a rating impact.
The second variation is that a full new origination due diligence
review, including credit, compliance and property valuation, was
not completed on the loans seasoned less than 24 months.
Approximately 1% of the pool by loan count is considered new
origination and did not receive a credit or valuation review
consistent with Fitch criteria. A criteria variation was applied as
only a compliance review was received. These loans were treated as
Tier 3 R&W framework in Fitch's analysis.
Additionally, the amount of impact loans was considered to be
immaterial. Fitch received current pay strings for all loans which
were used in Fitch's analysis. This variation did not have a
material impact.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with the Forms ABS Due Diligence-15E (Form 15E)
as prepared by SitusAMC, Recovco and RRR. 82% of the pool received
a compliance review, 71% of the pool received a pay history review,
and 100% of the pool received a tax and title review. This was out
of scope for the RPL loans in the transaction which resulted in a
criteria variation. For more information please see the due
diligence section in the presale.
Fitch considered this information in its analysis and, as a result,
Fitch made the following adjustments to its analysis: increased the
LS due to HUD-1 issues, material TRID exceptions and delinquent tax
or outstanding liens and increased the timeline for foreclosures on
select loans for missing modification documents. These adjustments
resulted in an increase in the 'AAAsf' expected loss of
approximately 17 bps.
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.
RATE MORTGAGE 2022-J1: Moody's Assigns (P)B3 Rating to Class B-5
----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 82
classes of residential mortgage-backed securities (RMBS) issued by
RATE Mortgage Trust (RATE) 2022-J1. The ratings range from (P)Aaa
(sf) to (P)B3 (sf).
RATE 2022-J1 is the first issue from Guaranteed Rate, Inc.
(Guaranteed Rate or GRI), the sponsor of the transaction in 2022.
RATE 2022-J1 is a securitization of first-lien prime jumbo mortgage
loans.
The transaction is backed by 660 non-agency eligible mortgage loans
with 30-year fixed rate and an aggregate stated principal balance
of $632,108,723. All the loans in the pool are originated by
Guaranteed Rate and are designated as Qualified Mortgages (QM)
under the QM safe harbor. Borrowers of the mortgage loans backing
this transaction have strong credit profiles demonstrated by strong
credit scores and low loan-to-value (LTV) ratios. No borrower under
any mortgage loan is currently in an active COVID-19 related
forbearance plan with the servicer. All mortgage loans are current
as of the cut-off date.
Similar to RATE 2021-J3 transaction, RATE 2022-J1 contains a
structural deal mechanism according to which the servicing
administrator will not advance principal and interest (P&I) to
mortgage loans that are 120 days or more delinquent. Here, the
servicing administrator will be responsible for funding any advance
of delinquent monthly payments of principal and interest due but
not received by the servicer on the mortgage loans. The sponsor and
the servicing administrator are the same party, GRI.
One TPR firm verified the accuracy of the loan level information
that we received from the sponsor. This firm conducted detailed
credit, property valuation, data accuracy and compliance reviews on
all of the 660 mortgage loans in the collateral pool. ServiceMac,
LLC (ServiceMac) will service all the mortgage loans as of the
cut-off date. Computershare Trust Company, N.A. (Computershare)
will be the master servicer. We consider the presence of a strong
master servicer to be a mitigant against the risk of any servicing
disruptions.
The transaction 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 for each of the
certificate classes using Moody's proprietary cash flow tool.
Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model.
The complete rating actions are as follows:
Issuer: RATE Mortgage Trust 2022-J1
Cl. A-1, Assigned (P)Aaa (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. A-4, Assigned (P)Aaa (sf)
Cl. A-5, Assigned (P)Aaa (sf)
Cl. A-6, Assigned (P)Aaa (sf)
Cl. A-7, Assigned (P)Aaa (sf)
Cl. A-8, Assigned (P)Aaa (sf)
Cl. A-9, Assigned (P)Aaa (sf)
Cl. A-10, Assigned (P)Aaa (sf)
Cl. A-11, Assigned (P)Aaa (sf)
Cl. A-12, Assigned (P)Aaa (sf)
Cl. A-13, Assigned (P)Aaa (sf)
Cl. A-14, Assigned (P)Aaa (sf)
Cl. A-15, Assigned (P)Aaa (sf)
Cl. A-16, Assigned (P)Aaa (sf)
Cl. A-17, Assigned (P)Aaa (sf)
Cl. A-18, Assigned (P)Aaa (sf)
Cl. A-19, Assigned (P)Aaa (sf)
Cl. A-20, Assigned (P)Aaa (sf)
Cl. A-21, Assigned (P)Aaa (sf)
Cl. A-22, Assigned (P)Aaa (sf)
Cl. A-23, Assigned (P)Aaa (sf)
Cl. A-24, Assigned (P)Aaa (sf)
Cl. A-25, Assigned (P)Aaa (sf)
Cl. A-26, Assigned (P)Aaa (sf)
Cl. A-27, Assigned (P)Aaa (sf)
Cl. A-28, Assigned (P)Aaa (sf)
Cl. A-29, Assigned (P)Aaa (sf)
Cl. A-30, Assigned (P)Aaa (sf)
Cl. A-31, Assigned (P)Aa1 (sf)
Cl. A-32, Assigned (P)Aa1 (sf)
Cl. A-33, Assigned (P)Aa1 (sf)
Cl. A-34, Assigned (P)Aa1 (sf)
Cl. A-35, Assigned (P)Aa1 (sf)
Cl. A-36, Assigned (P)Aa1 (sf)
Cl. A-X-1*, Assigned (P)Aa1 (sf)
Cl. A-X-2*, Assigned (P)Aaa (sf)
Cl. A-X-3*, Assigned (P)Aaa (sf)
Cl. A-X-4*, Assigned (P)Aaa (sf)
Cl. A-X-5*, Assigned (P)Aaa (sf)
Cl. A-X-6*, Assigned (P)Aaa (sf)
Cl. A-X-7*, Assigned (P)Aaa (sf)
Cl. A-X-8*, Assigned (P)Aaa (sf)
Cl. A-X-9*, Assigned (P)Aaa (sf)
Cl. A-X-10*, Assigned (P)Aaa (sf)
Cl. A-X-11*, Assigned (P)Aaa (sf)
Cl. A-X-12*, Assigned (P)Aaa (sf)
Cl. A-X-13*, Assigned (P)Aaa (sf)
Cl. A-X-14*, Assigned (P)Aaa (sf)
Cl. A-X-15*, Assigned (P)Aaa (sf)
Cl. A-X-16*, Assigned (P)Aaa (sf)
Cl. A-X-17*, Assigned (P)Aaa (sf)
Cl. A-X-18*, Assigned (P)Aaa (sf)
Cl. A-X-19*, Assigned (P)Aaa (sf)
Cl. A-X-20*, Assigned (P)Aaa (sf)
Cl. A-X-21*, Assigned (P)Aaa (sf)
Cl. A-X-22*, Assigned (P)Aaa (sf)
Cl. A-X-23*, Assigned (P)Aaa (sf)
Cl. A-X-24*, Assigned (P)Aaa (sf)
Cl. A-X-25*, Assigned (P)Aaa (sf)
Cl. A-X-26*, Assigned (P)Aaa (sf)
Cl. A-X-27*, Assigned (P)Aaa (sf)
Cl. A-X-28*, Assigned (P)Aaa (sf)
Cl. A-X-29*, Assigned (P)Aaa (sf)
Cl. A-X-30*, Assigned (P)Aaa (sf)
Cl. A-X-31*, Assigned (P)Aaa (sf)
Cl. A-X-32*, Assigned (P)Aa1 (sf)
Cl. A-X-33*, Assigned (P)Aa1 (sf)
Cl. A-X-34*, Assigned (P)Aa1 (sf)
Cl. A-X-35*, Assigned (P)Aa1 (sf)
Cl. A-X-36*, Assigned (P)Aa1 (sf)
Cl. A-X-37*, Assigned (P)Aa1 (sf)
Cl. B-1, Assigned (P)Aa3 (sf)
Cl. B-1A, Assigned (P)Aa3 (sf)
Cl. B-X-1*, Assigned (P)Aa3 (sf)
Cl. B-2, Assigned (P)A2 (sf)
Cl. B-2A, Assigned (P)A2 (sf)
Cl. B-X-2*, Assigned (P)A2 (sf)
Cl. B-3, Assigned (P)Baa2 (sf)
Cl. B-4, Assigned (P)Ba3 (sf)
Cl. B-5, Assigned (P)B3 (sf)
*Reflects Interest-Only Classes
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected loss for this pool in a baseline scenario-mean is
0.30%, in a baseline scenario-median is 0.16%, and reaches 2.87% at
a stress level consistent with our Aaa ratings.
We base our ratings on the certificates on the credit quality of
the mortgage loans, the structural features of the transaction, our
assessments of the origination quality and servicing arrangement,
the strength of the TPR and the representations and warranties
(R&W) framework, and the transaction's legal structure and
documentation.
Collateral Description
In general, the borrowers have high FICO scores, high income,
significant liquid assets and a stable employment history, all of
which have been verified as part of the underwriting process and
reviewed by the TPR firm. Most of the loans were originated through
the retail channel. The borrowers have a high weighted average
total monthly income of $27,277, significant weighted average
liquid cash reserves of approximately $480,509 (approximately 84.7%
of the pool has more than 24 months of mortgage payments in
reserve), and sizeable equity in their properties (weighted average
LTV of 73.4%, CLTV of 73.6%). The pool has approximately 2 months
of seasoning as of January 1, 2022, and all loans have been current
since origination. All the mortgage loans in RATE 2022-J1 are
qualified mortgages (QM) meeting the requirements of the safe
harbor provision under the QM safe harbor (per the original (old)
QM rule).
Origination Quality
Guaranteed Rate has originated 100% of the loan pool. We consider
Guaranteed Rate to be an acceptable originator of agency eligible
and prime jumbo loans following a detailed review of its
underwriting guidelines, quality control processes, policies and
procedures, technology infrastructure, disaster recovery plan, and
historical performance information relative to its peers.
Therefore, we did not apply a separate adjustment for origination
quality.
Founded in 2000 by Victor Ciardelli, Guaranteed Rate is the largest
non-bank jumbo mortgage originator in the U.S. and 3rd largest
retail originator overall (as of Q1 2021). Headquartered in
Chicago, the company has approximately 350+ branch offices across
the U.S. and is licensed in all 50 states and Washington, D.C. The
company employs over 6,500 employees nationwide. In 2020 Guaranteed
Rate funded nearly $74B in total loan volume ($9B from jumbo
loans), up 100% from 2019. The company invests heavily in
technology. Guaranteed Rate originates primarily through its retail
channels and focuses primarily on purchase, agency eligible loans.
The company is an approved Ginnie Mae, Fannie Mae, and Freddie Mac
lender.
Servicing Arrangement
We consider the overall servicing arrangement for this pool to be
adequate. ServiceMac has the necessary processes, staff, technology
and overall infrastructure in place to effectively service a
transaction. Computershare is responsible for servicer oversight,
the termination of servicers and the appointment of successor
servicers. We consider the presence of an experienced master
servicer such as Computershare to be a mitigant for any servicing
disruptions. As a result, we did not make any adjustments to our
base case and Aaa stress loss assumptions based on the servicing
arrangement.
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. The TPR identified 47 level B grades in its review
of the original 660 loans, no level C grades and no level D
grades.
Representations & Warranties
We evaluate the R&W framework based on three factors: (a) the
financial strength of the remedy provider; (b) the strength of the
R&Ws (including qualifiers and sunsets) and (c) the effectiveness
of the enforcement mechanisms. We evaluated the impact of these
factors collectively on the ratings in conjunction with the
transaction's specific details and in some cases, the strengths of
some of the factors can mitigate weaknesses in others. We also
considered the R&W framework in conjunction with other transaction
features, such as the independent due diligence, custodial receipt,
and property valuations, as well as any sponsor alignment of
interest, to evaluate the overall exposure to loan defects and
inaccurate information. Overall, we consider the R&W framework for
this transaction to be adequate, generally consistent with that of
other prime jumbo transactions which we rated. However, we applied
an adjustment to our losses to account for the risk that the R&W
provider (unrated) may be unable to repurchase defective loans in a
stressed economic environment.
Transaction Structure
RATE 2022-J1 has one pool with a shifting interest structure that
benefits from a subordination floor. Funds collected, including
principal, are first used to make interest payments and then
principal payments to the senior bonds, and then interest and
principal payments to each subordinate bond. As in all transactions
with shifting interest structures, the senior bonds benefit from a
cash flow waterfall that allocates all prepayments to the senior
bond for a specified period of time and increasing amounts of
prepayments to the subordinate bonds thereafter, but only if loan
performance satisfies delinquency and loss tests.
Similar to the recently rated RATE 2021-J3 transaction, RATE
2022-J1 contains a structural deal mechanism according to which the
servicing administrator will not advance principal and interest to
loans that are 120 days or more delinquent. Although this feature
lowers the risk of high advances that may negatively affect the
recoveries on liquidated loans, the reduction in interest
distribution amount is credit negative to the subordinate
certificates.
The balance and the interest accrued on these "Stop Advance
Mortgage Loans (SAML)" will be removed from the calculation of the
principal and interest distribution amounts with respect to the
seniors and subordinate bonds. The interest distribution amount
will be reduced by the interest accrued on the SAML loans. This
reduction will be allocated first to the subordinate certificates
and then to the senior certificates in the reverse order of payment
priority. In the case of the senior certificates, such reduction in
distribution amounts, are allocated (i) first to the senior support
(including the linked interest-only classes) and (ii) then to the
super senior classes (including the linked interest-only classes),
on a pro rata basis.
Once a SAML is liquidated, the net recovery from that loan's
liquidation is included in available funds and thus follows the
transaction's priority of payment. However, the reimbursement of
stop advance shortfalls happens only after liquidation or curing of
SAML. As a result, higher delinquencies could lead to higher
shortfalls especially for the subordinate bonds as compared to a
transaction without the stop advance feature.
While the transaction is backed by collateral with strong credit
characteristics, we considered scenarios in which the delinquency
pipeline rises, especially due to the current coronavirus
environment, and results in higher shortfalls for the certificates
outstanding. In our analysis, we have considered the additional
interest shortfall that the certificates may incur due to the
transaction's stop-advance feature.
Tail Risk & Subordination Floor
The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
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. The floors are consistent with the
credit neutral floors for the assigned ratings according to our
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 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.
RCKT MORTGAGE 2022-1: Fitch Gives 'B-(EXP)' Rating to B-5 Certs
----------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates issued by RCKT Mortgage Trust 2022-1 (RCKT 2022-1).
DEBT RATING
---- ------
RCKT 2022-1
A-1 LT AAA(EXP)sf Expected Rating
A-10 LT AAA(EXP)sf Expected Rating
A-11 LT AAA(EXP)sf Expected Rating
A-12 LT AAA(EXP)sf Expected Rating
A-13 LT AAA(EXP)sf Expected Rating
A-14 LT AAA(EXP)sf Expected Rating
A-15 LT AAA(EXP)sf Expected Rating
A-16 LT AAA(EXP)sf Expected Rating
A-17 LT AAA(EXP)sf Expected Rating
A-18 LT AAA(EXP)sf Expected Rating
A-19 LT AAA(EXP)sf Expected Rating
A-2 LT AAA(EXP)sf Expected Rating
A-20 LT AAA(EXP)sf Expected Rating
A-21 LT AAA(EXP)sf Expected Rating
A-22 LT AAA(EXP)sf Expected Rating
A-23 LT AAA(EXP)sf Expected Rating
A-24 LT AAA(EXP)sf Expected Rating
A-3 LT AAA(EXP)sf Expected Rating
A-4 LT AAA(EXP)sf Expected Rating
A-5 LT AAA(EXP)sf Expected Rating
A-6 LT AAA(EXP)sf Expected Rating
A-7 LT AAA(EXP)sf Expected Rating
A-8 LT AAA(EXP)sf Expected Rating
A-9 LT AAA(EXP)sf Expected Rating
A-X-1 LT AAA(EXP)sf Expected Rating
A-X-10 LT AAA(EXP)sf Expected Rating
A-X-11 LT AAA(EXP)sf Expected Rating
A-X-12 LT AAA(EXP)sf Expected Rating
A-X-13 LT AAA(EXP)sf Expected Rating
A-X-2 LT AAA(EXP)sf Expected Rating
A-X-3 LT AAA(EXP)sf Expected Rating
A-X-4 LT AAA(EXP)sf Expected Rating
A-X-5 LT AAA(EXP)sf Expected Rating
A-X-6 LT AAA(EXP)sf Expected Rating
A-X-7 LT AAA(EXP)sf Expected Rating
A-X-8 LT AAA(EXP)sf Expected Rating
A-X-9 LT AAA(EXP)sf Expected Rating
B-1 LT AA-(EXP)sf Expected Rating
B-1A LT AA-(EXP)sf Expected Rating
B-X-1 LT AA-(EXP)sf Expected Rating
B2 LT A-(EXP)sf Expected Rating
B-2A LT A-(EXP)sf Expected Rating
B-X-2 LT A-(EXP)sf Expected Rating
B-3 LT BBB-(EXP)sf Expected Rating
B-4 LT BB-(EXP)sf Expected Rating
B-5 LT B-(EXP)sf Expected Rating
B-6 LT NR(EXP)sf Expected Rating
TRANSACTION SUMMARY
The certificates are supported by 827 loans with a total balance of
approximately $748 million as of the cutoff date. The pool consists
of prime fixed-rate mortgages acquired by Woodward Capital
Management LLC (Woodward) from Rocket Mortgage, LLC (Rocket
Mortgage), formerly known as Quicken Loans, LLC. Distributions of
principal and interest and loss allocations are based on a
senior-subordinate, shifting-interest structure.
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 11.2% above a long-term sustainable level (vs.
10.5% 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.
High-Quality Mortgage Pool (Positive): The collateral consists of
827 loans, totaling $748 million, and seasoned approximately four
months in the aggregate (calculated as the difference between
origination date and first pay date). The borrowers have a strong
credit profile (761 Fitch model FICO and 34% DTI) and moderate
leverage (80% sLTV). The pool consists of 94.9% of loans where the
borrower maintains a primary residence, while 5.1% comprise a
second home. Additionally, 58.8% of the loans were originated
through a retail channel and 100% are designated as Safe Harbor
(APOR) qualified mortgage (QM).
Interest Reduction Risk (Negative): The transaction incorporates a
structural feature for loans more than 120 days delinquent (a
stop-advance loan). Unpaid interest on stop-advance loans reduces
the amount of interest that is contractually due to bondholders in
reverse-sequential order. While this feature helps limit cash flow
leakage to subordinate bonds, it can result in interest reductions
to rated bonds in high-stress scenarios. A key difference with this
transaction compared to other programs that treat stop-advance
loans similarly is that liquidation proceeds are allocated to
interest before principal. As a result, Fitch included the full
interest carry in its loss projections and views the risk of
permanent interest reductions as lower than other programs with a
similar feature.
Low Operational Risk (Positive): Operational risk is well
controlled for in this transaction. Fitch assessed Rocket Mortgage
(fka Quicken Loans) as an 'Above Average' originator, and it is
contributing all of the loans to the pool. The originator has a
robust origination strategy and maintains experienced senior
management and staff, strong risk management and corporate
governance controls and a robust due diligence process. Primary
servicing functions will be performed by Rocket Mortgage, which is
rated 'RPS2'.
Credit Enhancement (CE) Floor (Positive): To mitigate tail risk,
which arises as the pool seasons and fewer loans are outstanding, a
subordination floor of 1.00% will be available for the senior bonds
and a subordinate floor of 0.70% of the original balance will be
maintained for the subordinate classes. The floor is sufficient to
protect against the 100 average-sized loans incurring Fitch's
'AAAsf' expected loss
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- Fitch's incorporates a sensitivity analysis to demonstrate how
the ratings would react to steeper market value declines
(MVDs) than assumed at the metropolitan statistical area
level. Sensitivity analysis was conducted at the state and
national level to assess the effect of higher MVDs for the
subject pool as well as lower MVDs, illustrated by a gain in
home prices.
-- The defined negative rating sensitivity analysis demonstrates
how the ratings would react to steeper MVDs at the national
level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
addition to the model projected 42.3% at 'AAA'. The analysis
indicates that there is some potential rating migration with
higher MVDs for all rated classes, compared with the model
projection. Specifically, a 10% additional decline in home
prices would lower all rated classes by one full category.
Factor 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% with no assumed overvaluation. Excluding the senior class,
which is already rated 'AAAsf', the analysis indicates there
is potential positive rating migration for all of the rated
classes. Specifically, a 10% gain in home prices would result
in a full category upgrade for the rated class excluding those
being assigned ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC Diligence, LLC. The third-party due diligence
described in Form 15E focused on a review that consisted of credit,
regulatory compliance, and property valuation. Fitch considered
this information in its analysis and, as a result, Fitch made the
following adjustment to its analysis: a 5% PD credit to the 61% of
the pool by loan count in which diligence was conducted. This
adjustment resulted in a 18bps reduction to the 'AAAsf' expected
loss.
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.
REALT 2014-1: DBRS Confirms B(high) Rating on Class G Certs
-----------------------------------------------------------
DBRS, Inc. upgraded five classes of Commercial Mortgage
Pass-Through Certificates Series 2014 1 issued by Real Estate Asset
Liquidity Trust (REALT) 2014-1 as follows:
-- Class C to AAA (sf) from AA (sf)
-- Class X to AAA (sf) from AA (sf)
-- Class D to AA (low) (sf) from A (low) (sf)
-- Class E to A (low) (sf) from BBB (sf)
-- Class F to BBB (sf) from BB (high) (sf)
In addition, DBRS Morningstar confirmed the ratings on the
remaining classes in the transaction as listed below:
-- Class A at AAA (sf)
-- Class B to AAA (sf)
-- Class G to B (high) (sf)
All trends are Stable.
The rating upgrades reflect the significant paydown in the deal to
date coupled with the overall stable performance of the remaining
collateral. As of the December 2021 remittance, eight of the
original 34 loans remain in the pool with an aggregate trust
balance of $66.8 million, representing collateral reduction of
76.2% as a result of scheduled loan amortization and loan payoffs.
The transaction is concentrated by property type as three loans,
representing 44.0% of the current trust balance, are secured by
retail assets while another three loans, representing 39.0% of the
current trust balance, are secured by self-storage properties. The
pool is also concentrated by loan size as the three largest loans
represent 54.9% of the remaining trust balance. One loan,
representing 11.4% of the current trust balance, has been fully
defeased. All loans remaining in the pool benefit from some level
of material recourse to the loan's sponsor. The remaining eight
loans all mature in 2024.
According to the December 2021 remittance report, no loans are
delinquent or in special servicing, but three loans, representing
24.8% of the current trust balance, are on the servicer's
watchlist.
The largest loan in the pool, 1015 Golf Links Road (Prospectus
ID#2; 24.8% of the pool), is secured by an 89,236-square foot
anchored retail property in Ancaster, Ontario. The borrower fell
delinquent on payments between April 2020 and June 2020, but
subsequently negotiated a short-term forbearance agreement allowing
deferral of those principal payments with repayment to be made over
the following six months. A second deferral was subsequently
granted, extending the principal deferral to include the payments
for July 2020 through September 2020. The cumulative six months of
deferrals were repaid between October 2020 and June 2021. The
property was 100% occupied as of the April 2021 rent roll. The loan
had a debt service coverage ratio (DSCR) of 1.33 times, based on
the most recent YE2019 reporting. The loan is full recourse to the
borrower and 50% recourse to the loan sponsor, Ron McCowan. The
subject is part of a six-property portfolio held by McCowan and
Associates Ltd. and is cross-collateralized and cross-defaulted
with 320 Yonge Street (Prospectus ID#20) in this pool. At issuance,
the collateral for the loan had an appraised value of $27.9
million, equating to a loan-to-value ratio of 69%.
The largest loan on the watchlist is Newmarket Plaza (Prospectus
ID#12; 12.1% of the pool), secured by a 69,236-square foot anchored
retail property in Newmarket, Ontario. The loan was added to
servicer's watchlist in June 2020 because of a drop in DSCR at
YE2019. The cause of the drop in cash flow is unclear as both
occupancy and rental rates have remained in line with issuance. The
property was 93% occupied as of the March 2021 rent roll with an
average rental rate of $20.61 per square foot. The loan is also
being monitored for outdated financials. The loan is full recourse
to the sponsors, Samuel F. Investments Limited and 275057 Ontario
Limited.
Notes: All figures are in Canadian dollars unless otherwise noted.
REALT 2015-1: DBRS Confirms B Rating on Class G Certs
-----------------------------------------------------
DBRS Limited confirmed the ratings on all classes of Commercial
Mortgage Pass-Through Certificates, Series 2015-1 issued by Real
Estate Asset Liquidity Trust (REALT) Series 2015-1 as follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at AA (sf)
-- Class D at A (low) (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
-- Class G at B (sf)
-- Class X at AA (sf)
All trends are Stable.
The rating confirmations and Stable trends reflect the overall
consistent performance of the transaction. As of the December 2021
remittance, 33 of the original 46 loans remained in the pool, with
an aggregate principal balance of $222.2 million, representing a
collateral reduction of 33.6% since issuance as a result of loan
amortization and repayment. Additionally, one loan, representing
10.7% of the current pool balance, is fully defeased. Over half the
pool benefits from some level of material recourse to the
respective loan sponsors. By property type, the pool is most
heavily concentrated in retail, lodging, and industrial properties,
representing 30.1%, 21.2%, and 14.6% of the current pool,
respectively. There are seven loans (33.0% of the current pool) on
the servicer's watchlist.
The largest loan on the watchlist and in the deal, Alta Vista Manor
Retirement Ottawa (Prospectus ID#1, 11.0% of the current pool
balance) is secured by a 174-unit, luxury senior housing retirement
residence in Ottawa. The property comprises a mix of independent
living and assisted living units and is located near the Ottawa
Hospital. The loan has been on the servicer's watchlist since May
2018 because of declining revenue and a low debt service coverage
ratio (DSCR). According to the YE2020 financials, the loan reported
a net cash flow (NCF) of only $0.3 million (a DSCR of 0.07x), down
from the YE2019 figure of $1.03 million (a DSCR of 0.56x) and well
below the issuer's NCF figure of $2.5 million (a DSCR of 1.40x).
Occupancy dropped to 65.9% as of December 2020, down from 77.3% in
YE2019 and 88.0% at issuance. According the servicer, the reason
for the decline in performance has been multifaceted, including
increased competition, delayed move-in dates, and restrictions put
in place for new residents as a result of the coronavirus pandemic.
The property has also incurred higher expenses from infection
control measures, which have further strained cash flows, with the
YE2020 operating expense ratio reported at 96.0%. The loan has full
recourse to Regal Lifestyle Communities, which was purchased by
Welltower (formerly known as Health Care REIT Inc.) and Revera,
Inc. Welltower is the largest healthcare real estate investment
trust in the United States, reporting cash equivalents of USD 2.1
billion as of Q3 2021, with significant financial wherewithal to
weather the performance decline recently observed.
DBRS Morningstar is also monitoring the Hilton Mississauga
Meadowvale loan (Prospectus ID#7, 5.1% of the current pool
balance), a 374-key full-service hotel in the Meadowvale Business
Park in Mississauga, Ontario. The trust loan is a pari passu
participation in a $27.0 million whole loan, which is split into
two notes held in the subject transaction and in IMSCI 2016-7 (also
rated by DRBS Morningstar). The servicer added this loan to the
watchlist in September 2020 after significant performance declines
stemming from the restrictions brought on by the coronavirus. At
issuance, demand segmentation was 49% meeting and group, largely
driven by conferences held at the property, given its 46,518 square
feet of meeting space. The borrower requested financial relief
which was granted via a deferral of P&I payments for three months
between September and November 2020 with repayment over six months
beginning December 2020. The loan has consistently been current on
payments since April 2021. Property financials show a decline in
the DSCR from 3.74x in 2019 to well below breakeven as of YE2020.
Occupancy trailed the subject's competitive set between September
2020 and August 2021; however ADR metrics were superior, and RevPAR
penetration was well above 100%. The sponsor, Manjis Holdings, is a
real estate investment group with interests in Hilton Toronto and
the senior living company, Amica Mature Lifestyles. The sponsorship
group provides partial recourse of $10 million.
At issuance, DBRS Morningstar shadow-rated the U-Haul SAC 3
Portfolio loan as investment grade. The loan is secured by a
portfolio of 10 individual loans backed by self-storage properties
across Ontario. With this review, DBRS Morningstar has confirmed
that the performance of the loan remains consistent with
investment-grade loan characteristics.
Notes: All figures are in Canadian dollars unless otherwise noted.
SANTANDER CONSUMER 2021-A: Fitch Affirms B Rating on Class F Notes
------------------------------------------------------------------
Fitch Ratings has affirmed the class A, D, E, and F notes and
upgraded the class B and C notes of Santander Consumer Auto
Receivables Trust (SCART) 2021-A. Fitch has also revised the Rating
Outlooks on the class C, D and E notes to Positive from Stable.
DEBT RATING PRIOR
---- ------ -----
Santander Consumer Auto Receivables Trust 2021-A
A-2 80282YAB2 LT AAAsf Affirmed AAAsf
A-3 80282YAC0 LT AAAsf Affirmed AAAsf
A-4 80282YAD8 LT AAAsf Affirmed AAAsf
B 80282YAE6 LT AAAsf Upgrade AAsf
C 80282YAF3 LT AAsf Upgrade Asf
D 80282YAG1 LT BBBsf Affirmed BBBsf
E 80282YAH9 LT BBsf Affirmed BBsf
F 80282YAJ5 LT Bsf Affirmed Bsf
KEY RATING DRIVERS
The rating actions are based on available credit enhancement (CE)
and cumulative net losses (CNL) performance to date. The collateral
pool continues to perform well within Fitch's initial expectations,
and hard CE is building for the notes. The notes are able to
withstand stress scenarios consistent with the recommended ratings,
and make full payments to investors in accordance with the terms of
the documents.
The Outlooks of Stable on the class A, B and F notes reflect
Fitch's expectation that the notes have sufficient levels of credit
protection to withstand potential deterioration in credit quality
of the portfolio in stress scenarios and that loss coverage will
continue to increase as the transactions amortize. The Outlooks of
Positive on the class C, D and E notes reflect the potential for
upgrades in the next one to two years.
The revised lifetime CNL proxy considers the transaction's
remaining pool factor and pool composition. Further, the proxy
considers current and future macro-economic conditions which drive
loss frequency, along with the state of wholesale vehicle values,
which impact recovery rates and ultimately transaction losses.
As of the December 2021 servicer report, 61+ day delinquencies
total 0.35%, and CNLs are 0.24%, tracking well within Fitch's
initial CNL proxy at close of 3.25%. Hard CE (of the current pool
balance) has increased to 23.13%, 18.62% 14.48%, 10.35%, 7.39% and
4.14% for the class A, B, C, D, E and F notes, respectively. Based
on transaction specific performance to date and future projections,
Fitch lowered the lifetime CNL loss proxy to 2.00% of the initial
pool from 3.25% at close.
Under the revised lifetime CNL loss proxy of 2.00%, cash flow
modelling was able to support multiples in excess of the requisite
multiples for all classes.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- Unanticipated increases in the frequency of defaults could
produce default levels higher than the current projected base
case default proxy, and impact available loss coverage and
multiples levels for the transaction. Weakening asset
performance is strongly correlated to increasing levels of
delinquencies and defaults that could negatively impact CE
levels. Lower loss coverage could impact ratings and Outlooks,
depending on the extent of the decline in coverage.
-- In Fitch's initial review, the notes were found to have some
sensitivity to a 1.5x and 2.0x increase of Fitch's base case
loss expectation. However, considering the growth in loss
coverage, downgrades are unlikely.
Factor that could, individually or collectively, lead to positive
rating action/upgrade:
-- Stable to improved asset performance driven by stable
delinquencies and defaults would lead to increasing CE levels
and consideration for potential upgrades. If CNL is 20% less
than projected CNL proxy, the ratings could be upgraded by one
or more rating categories.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
SEQUOIA MORTGAGE 2022-1: Fitch Gives 'BB-(EXP)' Rating to B4 Certs
-------------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates issued by Sequoia Mortgage Trust 2022-1 (SEMT
2022-1).
DEBT RATING
---- ------
SEMT 2022-1
A1 LT AAA(EXP)sf Expected Rating
A2 LT AAA(EXP)sf Expected Rating
A3 LT AAA(EXP)sf Expected Rating
A4 LT AAA(EXP)sf Expected Rating
A5 LT AAA(EXP)sf Expected Rating
A6 LT AAA(EXP)sf Expected Rating
A7 LT AAA(EXP)sf Expected Rating
A8 LT AAA(EXP)sf Expected Rating
A9 LT AAA(EXP)sf Expected Rating
A10 LT AAA(EXP)sf Expected Rating
A11 LT AAA(EXP)sf Expected Rating
A12 LT AAA(EXP)sf Expected Rating
A13 LT AAA(EXP)sf Expected Rating
A14 LT AAA(EXP)sf Expected Rating
A15 LT AAA(EXP)sf Expected Rating
A16 LT AAA(EXP)sf Expected Rating
A17 LT AAA(EXP)sf Expected Rating
A18 LT AAA(EXP)sf Expected Rating
A19 LT AAA(EXP)sf Expected Rating
A20 LT AAA(EXP)sf Expected Rating
A21 LT AAA(EXP)sf Expected Rating
A22 LT AAA(EXP)sf Expected Rating
A23 LT AAA(EXP)sf Expected Rating
A24 LT AAA(EXP)sf Expected Rating
A25 LT AAA(EXP)sf Expected Rating
AIO1 LT AAA(EXP)sf Expected Rating
AIO10 LT AAA(EXP)sf Expected Rating
AIO11 LT AAA(EXP)sf Expected Rating
AIO12 LT AAA(EXP)sf Expected Rating
AIO13 LT AAA(EXP)sf Expected Rating
AIO14 LT AAA(EXP)sf Expected Rating
AIO15 LT AAA(EXP)sf Expected Rating
AIO16 LT AAA(EXP)sf Expected Rating
AIO17 LT AAA(EXP)sf Expected Rating
AIO18 LT AAA(EXP)sf Expected Rating
AIO19 LT AAA(EXP)sf Expected Rating
AIO2 LT AAA(EXP)sf Expected Rating
AIO20 LT AAA(EXP)sf Expected Rating
AIO21 LT AAA(EXP)sf Expected Rating
AIO22 LT AAA(EXP)sf Expected Rating
AIO23 LT AAA(EXP)sf Expected Rating
AIO24 LT AAA(EXP)sf Expected Rating
AIO25 LT AAA(EXP)sf Expected Rating
AIO26 LT AAA(EXP)sf Expected Rating
AIO3 LT AAA(EXP)sf Expected Rating
AIO4 LT AAA(EXP)sf Expected Rating
AIO5 LT AAA(EXP)sf Expected Rating
AIO6 LT AAA(EXP)sf Expected Rating
AIO7 LT AAA(EXP)sf Expected Rating
AIO8 LT AAA(EXP)sf Expected Rating
AIO9 LT AAA(EXP)sf Expected Rating
B1 LT AA-(EXP)sf Expected Rating
B2 LT A-(EXP)sf Expected Rating
B3 LT BBB-(EXP)sf Expected Rating
B4 LT BB-(EXP)sf Expected Rating
B5 LT NR(EXP)sf Expected Rating
AIOS LTN R(EXP)sf Expected Rating
TRANSACTION SUMMARY
The certificates are supported by 751 loans with a total balance of
approximately $687 million as of the cutoff date. The pool consists
of prime fixed-rate mortgages (FRMs) acquired by Redwood
Residential Acquisition Corp. (Redwood) from various mortgage
originators. Distributions of principal and interest (P&I) and loss
allocations are based on a senior-subordinate, shifting-interest
structure.
KEY RATING DRIVERS
High-Quality Mortgage Pool (Positive): The collateral consists of
751 loans totaling $687 million and seasoned approximately one
month in aggregate. The borrowers have a strong credit profile (773
FICO and 33% DTI) and moderate leverage (79% sLTV, 70% cLTV). The
pool consists of 90% of loans where the borrower maintains a
primary residence, while 10% are a second home. 93% of the loans
were originated through a retail channel. Additionally, 100% are
designated as QM loans.
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 11.5% above a long-term sustainable level versus
10.5% 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 19.1% yoy nationally as of October 2021.
Shifting-Interest Structure (Negative): The mortgage cash flow and
loss allocation are based on a senior-subordinate,
shifting-interest structure, whereby the subordinate classes
receive only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The lockout
feature helps to maintain subordination for a longer period should
losses occur later in the life of the deal. The applicable credit
support percentage feature redirects subordinate principal to
classes of higher seniority if specified credit enhancement (CE)
levels are not maintained.
Interest Reduction Risk (Negative): The transaction incorporates a
structural feature most commonly used by Redwood's program for
loans more than 120 days delinquent (a stop-advance loan). Unpaid
interest on stop-advance loans reduces the amount of interest that
is contractually due to bondholders in reverse-sequential order.
While this feature helps to limit cash flow leakage to subordinate
bonds, it can result in interest reductions to rated bonds in high
stress scenarios.
120-Day Stop Advance (Mixed): The deal is structured to four months
of servicer advances for delinquent P&I. The limited advancing
reduces loss severities, as a lower amount is repaid to the
servicer when a loan liquidates.
CE Floor (Positive): To mitigate tail risk, which arises as the
pool seasons and fewer loans are outstanding, a subordination floor
of 0.85% of the original balance will be maintained for the
certificates.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- Fitch incorporates a sensitivity analysis to demonstrate how
the ratings would react to steeper market value declines
(MVDs) than assumed at the metropolitan statistical area (MSA)
level. Sensitivity analysis was conducted at the state and
national level to assess the effect of higher MVDs for the
subject pool as well as lower MVDs, illustrated by a gain in
home prices.
-- The defined negative rating sensitivity analysis demonstrates
how the ratings would react to steeper MVDs at the national
level. The analysis assumes MVDs of 10.0%, 20.0% and30.0% in
addition to the model projected 42.5% at 'AAA'. The analysis
indicates that there is some potential rating migration with
higher MVDs for all rated classes, compared with the model
projection. Specifically, a 10% additional decline in home
prices would lower all rated classes by one full category.
Factor 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% with no assumed overvaluation. Excluding the senior class,
which is already rated 'AAAsf', the analysis indicates there
is potential positive rating migration for all of the rated
classes. Specifically, a 10% gain in home prices would result
in a full rating tick upgrade for the rated class excluding
those being assigned ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up- and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC, Clayton, and EdgeMac. The third-party due
diligence described in Form 15E focused on credit, compliance and
property valuation. Fitch considered this information in its
analysis and, as a result, Fitch made the following adjustment(s)
to its analysis: a 5% reduction in its analysis. This adjustment
resulted in a 13bps reduction to the 'AAAsf' expected loss.
DATA ADEQUACY
Fitch relied in its analysis on an independent third-party due
diligence review performed on about 80% of the pool. The
third-party due diligence was consistent with Fitch's "U.S. RMBS
Rating Criteria." AMC, Clayton and EdgeMac were engaged to perform
the review. Loans reviewed under this engagement were given
compliance, credit and valuation grades and assigned initial grades
for each subcategory. Minimal exceptions and waivers were noted in
the due diligence reports. Refer to the Third-Party Due Diligence
section of the presale report for further details.
Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5-designated website. Fitch received
loan-level information based on the American Securitization Forum's
(ASF) data layout format, and the data are considered
comprehensive. The ASF data tape layout was established with input
from various industry participants, including rating agencies,
issuers, originators, investors and others, to produce an industry
standard for the pool-level data in support of the U.S. RMBS
securitization market. The data contained in the ASF layout data
tape were reviewed by the due diligence companies, and no material
discrepancies were noted.
ESG CONSIDERATIONS
SEMT 2022-1 has an ESG Relevance Score of '4'[+] for Transaction
Parties & Operational Risk. Operational risk is well controlled for
in SEMT 2022-1 and includes strong R&W and transaction due
diligence as well as a strong aggregator, which resulted in a
reduction in expected losses. This 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.
SUTHERLAND COMMERCIAL 2019-SBC8: DBRS Confirms B Rating on G Certs
------------------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2019-SBC8 issued by Sutherland
Commercial Mortgage Trust 2019-SBC8 as follows:
-- Class A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (high) (sf)
-- Class F at BB (sf)
-- Class G at B (sf)
All trends are Stable.
The transaction is composed of individual fixed- and floating-rate
small-balance loans secured by commercial and multifamily
properties with an average loan balance of approximately $234,000.
As of the November 2021 remittance, 830 of the original 1,223 loans
remained in the pool with an aggregate principal balance of $187.1
million, representing a collateral reduction of 38.5% since
issuance. Most of the loans that have been repaid were paid in
advance of their respective maturity dates. There are currently 34
loans, representing 4.3% of the current pool balance, that are 30+
days delinquent. This represents a decline from 9.8% in November
2020 and when delinquency peaked to 26.0% in June 2020.
The pool has a high concentration of properties in the states of
New York (42.9% of the current pool balance), California (18.9% of
the current pool balance), and Massachusetts (8.7% of the current
pool balance); however, the pool is otherwise geographically
diverse with an average DBRS Morningstar Market Rank of 4.9. By
property type, the pool has concentrations of loans secured by
mixed-use (41.1% of the current pool balance), multifamily (29.7%
of the current pool balance), and unanchored retail (16.6% of the
current pool balance) properties. The pool benefits from a high
percentage of well-located properties as well as loans that
initially had low leverage and were fully amortizing; however, DBRS
Morningstar received limited borrower and property-level
information at issuance and considered the property qualities to be
Average –/Below Average for 35.3% of the sampled pool at
issuance. DBRS Morningstar modelled any uninspected loans as
Average –, which has a slightly increased probability of default
level.
The transaction is configured with a modified pro rata pay
pass-through structure.
Notes: All figures are in U.S. dollars unless otherwise noted.
TABERNA PREFERRED IV: Fitch Hikes Class A-2 Debt Rating to B-
-------------------------------------------------------------
Fitch Ratings has affirmed its ratings on 46 classes, upgraded 12
classes and assigned Rating Outlooks to nine classes from six
collateralized debt obligations (CDOs). Fitch has also removed five
notes from Under Criteria Observation.
DEBT RATING PRIOR
---- ------ -----
Taberna Preferred Funding IV, Ltd./Inc.
A-1 87330YAB9 LT BBsf Upgrade CCCsf
A-2 87330YAC7 LT B-sf Upgrade CCsf
A-3 87330YAD5 LT CCsf Affirmed CCsf
B-1 87330YAE3 LT Dsf Affirmed Dsf
B-2 87330YAK9 LT Dsf Affirmed Dsf
C-1 87330YAF0 LT Csf Affirmed Csf
C-2 87330YAG8 LT Csf Affirmed Csf
C-3 87330YAH6 LT Csf Affirmed Csf
D-1 87330YAJ2 LT Csf Affirmed Csf
D-2 87330YAL7 LT Csf Affirmed Csf
E 87330XAA3 LT Csf Affirmed Csf
Taberna Preferred Funding VII, Ltd./Inc.
Class A-1LA 873315AA3 LT BBB+sf Upgrade BBBsf
Class A-1LB 873315AB1 LT Dsf Affirmed Dsf
Class A-2LA 873315AC9 LT Dsf Affirmed Dsf
Class A-2LB 873315AD7 LT Csf Affirmed Csf
Class A-3L 873315AE5 LT Csf Affirmed Csf
Class B-1L 873315AF2 LT Csf Affirmed Csf
Class B-2L 873314AA6 LT Csf Affirmed Csf
Taberna Preferred Funding IX, Ltd./Inc.
Class A-1LA 87331XAA2 LT A-sf Upgrade BBBsf
Class A-1LAD 87331XAB0 LT A-sf Upgrade BBBsf
Class A-1LB 87331XAH7 LT Dsf Affirmed Dsf
Class A-2LA 87331XAJ3 LT Dsf Affirmed Dsf
Class A-2LB 87331XAK0 LT Csf Affirmed Csf
Class A-3LA 87331XAL8 LT Csf Affirmed Csf
Class A-3LB 87331XAM6 LT Csf Affirmed Csf
Class B-1L 87331XAN4 LT Csf Affirmed Csf
Class B-2L 87331WAA4 LT Csf Affirmed Csf
Taberna Preferred Funding V, Ltd./Inc.
A-1LA 87331BAA0 LT BB-sf Upgrade CCCsf
A-1LAD 87331BAB8 LT BB-sf Upgrade CCCsf
A-1LB 87331BAC6 LT Dsf Affirmed Dsf
A-2L 87331BAD4 LT Csf Affirmed Csf
A-3FV 87331BAF9 LT Csf Affirmed Csf
A-3FX 87331BAG7 LT Csf Affirmed Csf
A-3L 87331BAE2 LT Csf Affirmed Csf
B-1L 87331BAH5 LT Csf Affirmed Csf
B-2FX 87331CAB6 LT Csf Affirmed Csf
B-2L 87331CAA8 LT Csf Affirmed Csf
Taberna Preferred Funding VI, Ltd./Inc.
A-1A 87331AAA2 LT Bsf Upgrade CCCsf
A-1B 87331AAB0 LT Bsf Upgrade CCCsf
A-2 87331AAD6 LT CCsf Affirmed CCsf
B 87331AAE4 LT Dsf Affirmed Dsf
C 87331AAF1 LT Dsf Affirmed Dsf
D-1 87331AAG9 LT Csf Affirmed Csf
D-2 87331AAH7 LT Csf Affirmed Csf
E-1 87331AAJ3 LT Csf Affirmed Csf
E-2 87331AAK0 LT Csf Affirmed Csf
F-1 87331AAL8 LT Csf Affirmed Csf
F-2 87331AAM6 LT Csf Affirmed Csf
Taberna Preferred Funding III, Ltd./Inc.
A-1A 87330WAA5 LT BB-sf Upgrade CCCsf
A-1C 87330WAC1 LT BB-sf Upgrade CCCsf
A-2A 87330WAD9 LT B-sf Upgrade CCCsf
A-2B 87330WAL1 LT CCCsf Affirmed CCCsf
B-1 87330WAE7 LT Dsf Affirmed Dsf
B-2 87330WAF4 LT Dsf Affirmed Dsf
C-1 87330WAG2 LT Csf Affirmed Csf
C-2 87330WAH0 LT Csf Affirmed Csf
D 87330WAJ6 LT Csf Affirmed Csf
E 87330WAK3 LT Csf Affirmed Csf
TRANSACTION SUMMARY
The CDOs are collateralized by trust preferred securities (TruPS),
senior and subordinated debt issued by REITs, corporate issuers,
tranches of structured finance CDOs and commercial mortgage-backed
securities.
KEY RATING DRIVERS
All of the transactions experienced moderate deleveraging from
collateral redemptions and excess spread, which led to the senior
classes of notes receiving paydowns ranging from 1% to 11% of their
last review note balances. Such deleveraging in conjunction with
the impact of Fitch's recently updated U.S. Trust Preferred CDOs
Surveillance Rating Criteria (TruPS CDO Criteria) and CLOs and
Corporate CDOs Rating Criteria led to the upgrades.
Upgrades were mainly limited by the outcome of the sector wide
migration sensitivity analysis described in the TruPS CDO Criteria
for most notes. For the classes A-1LA and A-1LAD notes in Taberna
Preferred Funding IX, Ltd./Inc., ratings were driven by the results
of the interest shortfall risk analysis.
The Stable Outlooks on 12 tranches in this review reflect Fitch's
expectation that the classes have sufficient levels of credit
protection to withstand potential deterioration in the credit
quality of the portfolios in stress scenarios commensurate with
such classes' rating.
All six transactions are in acceleration, which diverts excess
spread to the most senior classes outstanding while cutting off
interest due on certain junior timely classes that are currently
rated 'Dsf'.
RATING SENSITIVITIES
Factor that could, individually or collectively, lead to negative
rating action/downgrade:
-- Downgrades to the rated notes may occur if a significant share
of the portfolio issuers default and/or experience negative
credit migration, which would cause a deterioration in rating
default rates.
Factor that could, individually or collectively, lead to positive
rating action/upgrade:
-- Future upgrades to the rated notes may occur if a transaction
experiences improvement in credit enhancement through
deleveraging from collateral redemptions and/or interest
proceeds being used for principal repayment.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
securities and markets authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information or information on the risk-presenting entities.
Overall, Fitch's assessment of the information relied upon for the
agency's rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
UBS-CITIGROUP 2011-C1: DBRS Lowers Class E Certs Rating to C
------------------------------------------------------------
DBRS Limited downgraded its ratings on three classes of the
Commercial Mortgage Pass-Through Certificates, Series 2011-C1 (the
Certificates) issued by UBS-Citigroup Commercial Mortgage Trust,
Series 2011-C1, as follows:
-- Class C to BB (high) (sf) from A (low) (sf)
-- Class D to B (sf) from BB (high) (sf)
-- Class E to C (sf) from CCC (sf)
The trends for Classes C and D remain Negative and Class E has a
rating that does not carry a trend. DBRS Morningstar placed
Interest in Arrears designations for Classes C and D.
DBRS Morningstar also confirmed the ratings on the following
classes as follows:
-- Class B at AAA (sf)
-- Class F at C (sf)
-- Class G at C (sf)
DBRS Morningstar also discontinued the ratings on Classes A-S and
X-A as both certificates were repaid as of the December 2021
remittance.
The trend for Class B remains Stable, while Classes F and G both
have a rating that does not carry a trend. DBRS Morningstar
maintained the Interest in Arrears designations on Classes E, F,
and G. As of the December 2021 remittance, five of the original 32
loans remain in the pool, representing a collateral reduction of
81.9% since issuance with a current trust balance of $121.8
million. Four of the remaining five loans, representing just over
95% of the pool balance, are in special servicing. Value declines
from issuance for the two largest are the primary contributors to
the continued build of interest shortfalls over the last year.
The rating downgrades generally reflect DBRS Morningstar's loss
expectations for the two largest loans in special servicing:
Poughkeepsie Galleria (Prospectus ID#2, 50.2% of the pool) and
Marriott Buffalo Niagara (Prospectus ID#9, 17.5% of the pool). Both
loans have been on the DBRS Morningstar Hotlist because of cash
flow declines and both were transferred to special servicing in
April 2020 because of imminent monetary default.
The Poughkeepsie Galleria loan is secured by the borrower's fee
simple interest in a regional mall in Poughkeepsie, New York. The
pari passu loan transferred to special servicing in April 2020
following years of precipitous cash flow declines that were
exacerbated amid the pandemic. The subject lost two anchors in 2020
and the collateral occupancy rate is currently over 25% below the
issuance figure. The loan sponsor is an affiliate of the Pyramid
Companies and the special servicer reports negotiations remain
ongoing. The most recent valuation of $68.6 million is down sharply
from the issuane appraisal of $237.0 million and suggests a
significant loss will be realized at resolution.
The Marriott Buffalo Niagara loan is secured by a full-service
hotel in Amherst, New York. The loan transferred to special
servicing in April 2020 and the borrower has since expressed a
desire to turn the property over to the trust. A foreclosure is
expected to be initiated as soon as the statewide moratorium
expires and based on the March 2021 valuation of $14.0 million,
which is down sharply from the issuance figure of $57.2 million, a
very high loss severity is expected at resolution.
Notes: All figures are in U.S. dollars unless otherwise noted.
VERUS SECURITIZATION 2021-8: DBRS Finalizes B Rating on B-2 Notes
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgaged-Backed Notes, Series 2021-8 issued by Verus
Securitization Trust 2021-8 (the Trust):
-- $293.1 million Class A-1 at AAA (sf)
-- $28.3 million Class A-2 at AA (high) (sf)
-- $45.6 million Class A-3 at A (high) (sf)
-- $21.6 million Class M-1 at BBB (sf)
-- $16.2 million Class B-1 at BB (high) (sf)
-- $16.2 million Class B-2 at B (sf)
Other than the specified classes above, DBRS Morningstar does not
rate any other classes in this transaction.
The AAA (sf) rating on the Class A-1 Notes reflects 32.25% of
credit enhancement provided by subordinate notes. The AA (high)
(sf), A (high) (sf), BBB (sf), BB (high) (sf), and B (sf) ratings
reflect 25.70%, 15.15%, 10.15%, 6.40%, and 2.65% of credit
enhancement, respectively.
This transaction is a securitization of a portfolio of primarily
fixed- and adjustable-rate, expanded prime and nonprime, first-lien
residential mortgages funded by the issuance of the Notes. The
Notes are backed by 836 mortgage loans with a total principal
balance of $432,619,746 as of the Cut-Off Date (December 1, 2021).
The top originator for the mortgage pool is Athas Capital Group,
Inc. (14.2%). The remaining originators each comprise less than
10.0% of the mortgage loans. Within the pool, 94.4% loans within
the pool are serviced by Shellpoint Mortgage Servicing.
Approximately 3.7% of the loans are serviced by Fay Servicing, LLC
and the remaining 1.9% are serviced by Specialized Loan Servicing
LLC (SLS).
Although the mortgage loans were originated to satisfy the Consumer
Financial Protection Bureau's Ability-to-Repay (ATR) rules, they
were made to borrowers who generally do not qualify for agency,
government, or private-label nonagency prime jumbo products for
various reasons. In accordance with the Qualified Mortgage (QM)/ATR
rules, 52.2% of the loans are designated as non-QM, and 0.3% are
designated as QM Rebuttable Presumption. Approximately 47.5% of the
loans are made to investors for business purposes and, hence, are
not subject to the QM/ATR rules.
Approximately 38.1% of the loans were originated under a Property
Focused Investor Loan Debt Service Coverage Ratio (DSCR) program
and 3.1% were originated under a Property Focused Investor Loan
program. Both programs allow for property cash flow/rental income
to qualify borrowers for income.
The Sponsor, directly or indirectly through a majority-owned
affiliate, will retain an eligible vertical interest, representing
at least 5% of the Notes, to satisfy the credit risk-retention
requirements under Section 15G of the Securities Exchange Act of
1934 and the regulations promulgated thereunder.
On or after the earlier of (1) the Payment Date occurring in
December 2024 or (2) the date when the aggregate stated principal
balance of the mortgage loans is reduced to 30% of the Cut-Off Date
balance, the Administrator, at the Issuer's option, may redeem all
of the outstanding Notes at a price equal to the greater of (a) the
class balances of the related Notes plus accrued and unpaid
interest, including any cap carryover amounts and (b) the class
balances of the related Notes less than 90 days delinquent with
accrued unpaid interest plus fair market value of the loans 90 days
or more delinquent and real estate-owned properties. After such
purchase, the Depositor must complete a qualified liquidation,
which requires (1) a complete liquidation of assets within the
Trust and (2) proceeds to be distributed to the appropriate holders
of regular or residual interests.
The Principal and Interest (P&I) Advancing Party or Servicer (for
loans serviced by SLS) will fund advances of delinquent P&I on any
mortgage until such loan becomes 90 days delinquent. The P&I
Advancing Party or Servicer has no obligation to advance P&I on a
mortgage approved for a forbearance plan during its related
forbearance period. The Servicers, however, are obligated to make
advances in respect of taxes, insurance premiums, and reasonable
costs incurred in the course of servicing and disposing
properties.
This transaction incorporates a sequential-pay cash flow structure
with a pro rata feature among the senior tranches. Principal
proceeds can be used to cover interest shortfalls on the Class A-1
and A-2 Certificates sequentially after a Trigger Event. For more
subordinated Notes, principal proceeds can be used to cover
interest shortfalls as the more senior Notes are paid in full.
Furthermore, excess spread can be used to cover realized losses and
prior period bond writedown amounts first before being allocated to
unpaid cap carryover amounts to Class A-1 down to B-2.
CORONAVIRUS IMPACT
The Coronavirus Disease (COVID-19) pandemic and the resulting
isolation measures have caused an immediate economic contraction,
leading to sharp increases in unemployment rates and income
reductions for many consumers. Shortly after the onset of the
coronavirus pandemic, DBRS Morningstar saw an increase in the
delinquencies for many residential mortgage-backed securities
(RMBS) asset classes.
Such mortgage delinquencies were mostly in the form of
forbearances, which are generally short-term periods of payment
relief that may perform very differently from traditional
delinquencies. At the onset of the pandemic, the option to forebear
mortgage payments was widely available, driving forbearances to an
elevated level. When the dust settled, loans with
coronavirus-induced forbearance in 2020 performed better than
expected, thanks to government aid, low loan-to-value (LTV) ratios,
and acceptable underwriting in the mortgage market in general.
Across nearly all RMBS asset classes in recent months,
delinquencies have been gradually trending downward as forbearance
periods come to an end for many borrowers.
Notes: All figures are in U.S. dollars unless otherwise noted.
WELLS FARGO 2022-1: S&P Assigns Prelim B (sf) Rating on B-5 Certs
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Wells Fargo
Mortgage-Backed Securities 2022-1 Trust's mortgage pass-through
certificates.
The note issuance is an RMBS transaction backed by residential
mortgage loans.
The preliminary ratings are based on information as of Jan. 7,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The high-quality collateral in the pool;
-- The available credit enhancement;
-- The transaction's associated structural mechanics;
-- The representation and warranty framework;
-- The geographic concentration;
-- The experienced originator;
-- The statistically significant sample of due diligence results
consistent with represented loan characteristics; and
-- The impact that the economic stress brought on by the COVID-19
pandemic is likely to have on the performance of the mortgage
borrowers in the pool.
Preliminary Ratings Assigned
Wells Fargo Mortgage Backed Securities 2022-1 Trust
Class A-1, $393,520,000: AAA (sf)
Class A-2, $393,520,000: AAA (sf)
Class A-3, $295,140,000: AAA (sf)
Class A-4, $295,140,000: AAA (sf)
Class A-5, $98,380,000: AAA (sf)
Class A-6, $98,380,000: AAA (sf)
Class A-7, $236,112,000: AAA (sf)
Class A-8, $236,112,000: AAA (sf)
Class A-9, $157,408,000: AAA (sf)
Class A-10, $157,408,000: AAA (sf)
Class A-11, $59,028,000: AAA (sf)
Class A-12, $59,028,000: AAA (sf)
Class A-13, $63,947,000: AAA (sf)
Class A-14, $63,947,000: AAA (sf)
Class A-15, $34,433,000: AAA (sf)
Class A-16, $34,433,000: AAA (sf)
Class A-17, $46,327,000: AAA (sf)
Class A-18, $46,327,000: AAA (sf)
Class A-19, $439,847,000: AAA (sf)
Class A-20, $439,847,000: AAA (sf)
Class A-IO1, $439,847,000(i): AAA (sf)
Class A-IO2, $393,520,000(i): AAA (sf)
Class A-IO3, $295,140,000(i): AAA (sf)
Class A-IO4, $98,380,000 (i): AAA (sf)
Class A-IO5, $236,112,000(i): AAA (sf)
Class A-IO6, $157,408,000(i): AAA (sf)
Class A-IO7, $59,028,000(i): AAA (sf)
Class A-IO8, $63,947,000(i): AAA (sf)
Class A-IO9, $34,433,000(i): AAA (sf)
Class A-IO10, $46,327,000(i): AAA (sf)
Class A-IO11, $439,847,000(i): AAA (sf)
Class B-1, $10,417,000: AA- (sf)
Class B-2, $4,862,000: A- (sf)
Class B-3, $3,241,000: BBB- (sf)
Class B-4, $1,620,000: BB- (sf)
Class B-5, $1,158,000: B (sf)
Class B-6, $1,852,327: Not rated
Class R, not applicable: Not rated
(i)Notional balance.
WILLIS ENGINE V: Fitch Affirms BB Rating on Series C Notes
----------------------------------------------------------
Fitch Ratings has affirmed the ratings on the outstanding series A
and B notes issued by each of Willis Engine Structured Trust III
(WEST III) and Willis Engine Structured Trust IV (WEST IV), and the
series A, B and C notes issued by Willis Engine Structured Trust V
(WEST V). The Rating Outlook remains Negative for all series of
notes.
DEBT RATING PRIOR
---- ------ -----
Willis Engine Structured Trust IV
Series A 97064EAA6 LT Asf Affirmed Asf
Series B 97064EAC2 LT BBBsf Affirmed BBBsf
Willis Engine Securitization Trust V
Series A 97064FAA3 LT Asf Affirmed Asf
Series B 97064FAB1 LT BBBsf Affirmed BBBsf
Series C 97064FAC9 LT BBsf Affirmed BBsf
Willis Engine Structured Trust III
Series A 2017-A 97063QAA0 LT A-sf Affirmed A-sf
Series B 2017-A 97063QAB8 LT BBB-sf Affirmed BBB-sf
TRANSACTION SUMMARY
The rating actions reflect ongoing stress and pressure on lessee
credits backing the leases in each transaction pool, downward
pressure on certain engine values, Fitch's updated assumptions and
stresses and ongoing performance of the transactions since the
prior review in January 2021.
The Outlook remains Negative on all series of notes, reflecting
Fitch's base case expectation for the structure to withstand
immediate and near-term stresses at the updated assumptions, and
stressed scenarios commensurate with their respective ratings.
Continued global travel restrictions driven by the pandemic,
including ongoing regional flareups and potential for and
occurrence of new virus variants, have resulted in continued delays
in recovery of the airline industry.
This remains a credit negative for these aircraft engine ABS
transactions and airlines and other engine lessees globally remain
under pressure, despite the recent opening up of borders regionally
and a pick-up in air travel across many regions. This could lead to
additional near-term lease deferrals, airline defaults and
bankruptcies, along with lower engine demand and value impairments.
These negative factors could manifest in the transactions,
resulting in lower cash flows and pressure on ratings in the near
term.
Fitch did not conduct cash flow modeling for the transactions as
performance has been within expectations, and each transaction was
modeled within the past 18 months and were consistent with
criteria.
Willis Lease Finance Corp. (WLFC, not rated [NR] by Fitch) acts as
sponsor, servicer and administrative agent to the aircraft engine
ABS transactions. Fitch believes WLFC is an adequate servicer to
service these transactions based on its experience as a lessor, and
overall servicing capabilities of its owned and managed portfolio
including prior ABS transactions.
KEY RATING DRIVERS
Stable-to-Improving Airline Lessee Credit
The credit profiles of the airline and other engine lessees in the
pools remained stable or improved since the prior review but remain
under stress due to the ongoing coronavirus-related impact on all
global airlines in early 2022. The proportion of the lessees
assumed at a 'CCC' Issuer Default Rating and below in WEST III
improved to 35% from 49% and in WEST IV remained stable at 46%
versus 47%. While the 'CCC' and below exposure for WEST V increased
to 41% from 34%, the rating composition shifted away from 'D'
credits so the overall pool credit quality remains consistent since
the prior review.
The assumptions reflect the airlines' ongoing credit profiles and
fleets in the current operating environment, due to the continued
pandemic-related impact on the sector. Any publicly rated airlines
in the pool whose ratings have shifted have been updated.
Asset Quality and Appraised Pool Value
WEST III, IV and V each feature mostly in-demand engines that
support narrowbody (NB) airframes representing 83%, 69% and 65% of
their respective pools. The remaining portion of each pool is split
between widebody (WB) and regional jet (RJ) airframes, where the
former totals 10%, 24% and 27% of each respective pool, and the
latter 7%, 7% and 5% in each pool. WEST V also is backed by three
NB airframes totaling 2% of the pool.
Off-lease assets for WEST III and V total 26% and 20%, which are
relatively consistent with the prior review which totaled 26% and
17%. Off-lease assets in WEST IV declined to 19% from 29% from the
prior review.
The appraisers for all transactions include IBA Group Limited (IBA)
and AVITAS, Inc. (Avitas), while WEST III and IV include BK
Associates Inc. (BK), and WEST V utilizes morten beyer & agnew Inc.
(mba). The transaction document values are currently $340.6 million
for WEST III, $407.4 million for WEST IV and $417.9 million for
WEST V, based on December 2020 appraisals. When controlling for
asset sales that occurred since the prior review, the pool values
declined by approximately 3.1%, 1.2% and 0.8% for each of WEST III,
IV and V, versus values over a year ago, which was within Fitch's
expectations. In the prior review, these values were $351.4 million
for WEST III, $418.5 million for WEST IV (prior to experiencing
approximately $6.4 million of engine sales), and $421.5 million for
WEST V.
Transaction Performance
Lease collections have fluctuated in 2021 but have remained
rangebound since the prior review, albeit slightly declining for
WEST III and IV. Based on the December 2021 servicer report
(November collection period), WEST III, IV and V received $2.3
million, $2.2 million and $2.8 million in basic rent collections,
respectively, which were higher for all transactions compared to
their LTM average monthly receipts of $1.5 million, $2.0 million,
and $2.6 million, respectively.
Loan-to-values (LTVs) on WEST III series A and B notes have
increased from the prior review, as collections were not sufficient
to amortize the notes since Q2 2021. LTVs on WEST IV and V
outstanding notes improved from the prior review as note
amortization was larger than collateral value declines.
All series A and B notes in each transaction continue to receive
interest payments through the November collection period. Series C
note interest payments for WEST V have been sporadic since
inception, but were fully paid in recent periods. Available
cashflow for WEST III has not been sufficient to pay the series A
and B note principal since May 2021. WEST IV series A notes have
continued to receive a portion of principal since the last review
in every period, albeit declining in recent periods due to lower
collections, while its series B notes have not received principal
payments since June 2021. WEST V continues to generate sufficient
cashflow to amortize the series A and B notes on schedule, while
the series C notes received principal in six of the prior twelve
months and amortized close to schedule.
The debt-service coverage ratios (DSCR) for WEST III and IV are
currently at 0.83x and 1.01x, remaining below the cash trap (1.15x)
and rapid amortization event (1.10x) trigger levels. WEST V has a
reported DSCR of 1.55x, above its trigger levels.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- The Negative Outlooks on all series of notes reflect the
potential for further negative rating actions due to concerns
over the ultimate impact of the coronavirus pandemic, the
resulting concerns associated with airline and other lessee
performance and engine values and other assumptions across the
aviation industry due to the severe decline in travel and
grounding of airlines. Due to the correlation between global
economic conditions and the airline industry, the ratings can
be affected by the strength of the macro-environment over the
remaining terms of these transactions.
-- Softening in engine values could lead to downward rating
action. Fitch explored the potential cash flow decline if all
asset values declined further by 5% from Fitch's modeled
values for this review across all three transactions at the
prior review.
-- Net cash flow declined by approximately $20 million-$25
million across rating stress levels. Under this scenario, WEST
III and IV could experience further category downgrades for
each series of notes. For WEST V, this scenario does not
suggest downward rating migration but could result in negative
rating action in conjunction with other factors in a weaker
environment.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- The aviation ABS sector has a rating cap of 'Asf'. All
subordinate tranches carry one category of ratings lower than
the senior tranche and remain at or below the initial ratings
at close. At this point, future upgrades would not be
considered due to a combination of the sector rating cap,
industry cyclicality, weaker lessee mix present in ABS pools
and uncertainty around future lessee mix, along with the
continued negative impact due to the coronavirus on the global
travel.
-- At the prior review, Fitch explored a scenario in which the
transactions received higher residual proceeds at the time of
sale. For WEST III, strong residual values alone would not be
sufficient to improve the ratings. However, if the transaction
experiences stronger residual value realization than what was
modeled by Fitch, coupled with stronger asset values, this
results in improved modeling scenarios.
-- For this scenario in WEST IV and V, net cash flows improve
across rating stress levels but would not result in a rating
impact.
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.
[*] DBRS Reviews 453 Classes from 41 U.S. RMBS Transactions
-----------------------------------------------------------
DBRS, Inc. reviewed 453 classes from 41 U.S. residential
mortgage-backed security (RMBS) transactions. Of the 453 classes
reviewed, DBRS Morningstar upgraded 32 ratings, confirmed 403
ratings, downgraded 13 ratings, and discontinued five ratings.
The Affected Ratings are available at https://bit.ly/347vG15
The rating upgrades reflect positive performance trends and
increases in credit support sufficient to withstand stresses at
their new rating levels. The rating confirmations reflect asset
performance and credit-support levels that are consistent with the
current ratings. The rating downgrades reflect the unlikely
recovery of the bonds' accumulated interest shortfall amount. The
discontinued ratings reflect the full repayment of principal to
bondholders.
The pools backing the reviewed RMBS transactions consist of Prime,
Alt-A, Option-Adjustable-Rate-Mortgage, Scratch and Dent,
Second-Lien, Reperforming, and Subprime collateral.
The ratings assigned to the securities listed below differ from the
ratings implied by the quantitative model. DBRS Morningstar
considers these differences material deviations; however, in these
cases, the ratings on the subject securities may reflect additional
seasoning being warranted to substantiate a further upgrade or that
the actual deal or tranche performance is not fully reflected in
the projected cash flows/model output.
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable
Rate Mortgage Trust 2005-5, Adjustable Rate Mortgage-Backed
Pass-Through Certificates, Series 2005-5, Class 6-M-1
-- C-BASS 2004-CB5 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2004-CB5, Class M-2
-- C-BASS 2004-CB6 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2004-CB6, Class M-1
-- C-BASS 2004-CB6 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2004-CB6, Class M-2
-- C-BASS 2004-CB6 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2004-CB6, Class M-3
-- C-BASS 2004-CB6 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2004-CB6, Class B-1
-- C-BASS 2004-CB6 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2004-CB6, Class B-2
-- C-BASS 2004-CB8 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2004-CB8, Class M-1
-- C-BASS 2004-CB8 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2004-CB8, Class M-2
-- C-BASS 2004-CB8 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2004-CB8, Class M-3
-- C-BASS 2004-CB8 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2004-CB8, Class B-1
-- C-BASS 2005-CB5 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2005-CB5, Class M-1
-- C-BASS 2005-CB5 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2005-CB5, Class M-2
-- C-BASS 2005-CB5 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2005-CB5, Class M-3
-- C-BASS 2005-CB7 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2005-CB7, Class M-2
-- C-BASS 2005-CB8 Trust, C-Bass Mortgage Loan Asset-Backed
Certificates, Series 2005-CB8, Class AF-3
-- C-BASS 2005-CB8 Trust, C-Bass Mortgage Loan Asset-Backed
Certificates, Series 2005-CB8, Class AF-4
-- C-BASS 2005-CB8 Trust, C-Bass Mortgage Loan Asset-Backed
Certificates, Series 2005-CB8, Class AF-5
-- C-BASS 2005-CB8 Trust, C-Bass Mortgage Loan Asset-Backed
Certificates, Series 2005-CB8, Class M-1
-- C-BASS 2006-CB1 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2006-CB1, Class AF-2
-- C-BASS 2006-CB1 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2006-CB1, Class AF-3
-- C-BASS 2006-CB1 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2006-CB1, Class AF-4
-- C-BASS 2006-CB2 TRUST, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2006-CB2, Class AV
-- C-BASS 2006-CB2 TRUST, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2006-CB2, Class AF-2
-- C-BASS 2006-CB2 TRUST, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2006-CB2, Class AF-3
-- C-BASS 2006-CB2 TRUST, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2006-CB2, Class AF-4
-- C-BASS 2006-CB3 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2006-CB3, Class AV-4
-- C-BASS 2006-CB6 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2006-CB6, Class A-I
-- C-BASS 2006-CB6 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2006-CB6, Class A-II-3
-- C-BASS 2006-CB6 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2006-CB6, Class A-II-4
-- C-BASS 2006-CB6 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2006-CB6, Class M-1
-- C-BASS 2006-CB8 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2006-CB8, Class A-1
-- C-BASS 2006-RP1 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2006-RP1, Class M-2
-- C-BASS 2006-RP1 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2006-RP1, Class M-3
-- C-BASS 2006-RP1 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2006-RP1, Class B-1
-- C-BASS 2006-RP1 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2006-RP1, Class B-2
-- C-BASS 2006-RP1 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2006-RP1, Class B-3
-- C-BASS 2006-RP1 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2006-RP1, Class B-4
-- C-BASS 2007-MX1 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2007-MX1, Class A-4
-- Citigroup Mortgage Loan Trust 2014-A, Mortgage Backed-Notes,
Series 2014-A, Class B-4
-- Citigroup Mortgage Loan Trust 2006-WFHE3, Asset-Backed
Pass-Through Certificates, Series 2006-WFHE3, Class M-2
-- Citigroup Mortgage Loan Trust 2006-WFHE3, Asset-Backed
Pass-Through Certificates, Series 2006-WFHE3, Class M-3
-- CWABS Asset-Backed Certificates Trust 2004-AB2, Asset-Backed
Certificates, Series 2004-AB2, Class M-3
-- First Franklin Mortgage Loan Trust 2005-FFH3, Asset-Backed
Certificates, Series 2005-FFH3, Class M-3
-- First Franklin Mortgage Loan Trust 2005-FFH3, Asset-Backed
Certificates, Series 2005-FFH3, Class M-4
-- Fremont Home Loan Trust 2005-D, Mortgage-Backed Certificates,
Series 2005-D, Class 2-A-4
-- Fremont Home Loan Trust 2005-D, Mortgage-Backed Certificates,
Series 2005-D, Class M1
-- GSAMP Trust 2005-HE3, Mortgage Pass-Through Certificates,
Series 2005-HE3, Class M-4
-- Credit Suisse First Boston Mortgage Securities Corp. Home
Equity Asset Trust 2005-8, Home Equity Pass-Through Certificates,
Series 2005-8, Class M-2
-- Credit Suisse First Boston Mortgage Securities Corp. Home
Equity Asset Trust 2006-2, Home Equity Pass-Through Certificates,
Series 2006-2, Class M-1
-- Credit Suisse First Boston Mortgage Securities Corp. Home
Equity Asset Trust 2006-4, Home Equity Pass-Through Certificates,
Series 2006-4, Class 1-A-1
-- Credit Suisse First Boston Mortgage Securities Corp. Home
Equity Asset Trust 2006-4, Home Equity Pass-Through Certificates,
Series 2006-4, Class 2-A-4
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through
Certificates, Series 2005-A2, Class 1-A-1
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through
Certificates, Series 2005-A2, Class 1-A-2
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through
Certificates, Series 2005-A2, Class 2-A-1
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through
Certificates, Series 2005-A2, Class 2-A-2
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through
Certificates, Series 2005-A2, Class 3-A-2
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through
Certificates, Series 2005-A2, Class 3-A-3
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through
Certificates, Series 2005-A2, Class 3-A-4
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through
Certificates, Series 2005-A2, Class 4-A-1
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through
Certificates, Series 2005-A2, Class 5-A-2
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through
Certificates, Series 2005-A2, Class 5-A-3
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through
Certificates, Series 2005-A2, Class 7CB1
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through
Certificates, Series 2005-A2, Class 7CB2
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through
Certificates, Series 2005-A2, Class 8-A-1
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through
Certificates, Series 2005-A2, Class 9-A-1
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through
Certificates, Series 2005-A2, Class B-1
-- Merrill Lynch Mortgage Investors Trust, Series 2005-SL1,
Mortgage Loan Asset-Backed Certificates, Series 2005-SL1, Class
B-3
-- Meritage Mortgage Loan Trust 2005-2, Asset-Backed Certificates,
Series 2005-2, Class M-3
-- Morgan Stanley ABS Capital I Inc. Trust 2005-WMC6, Mortgage
Pass-Through Certificates, Series 2005-WMC6, Class M-4
-- Morgan Stanley Capital I Inc. Trust 2006-NC2, Mortgage
Pass-Through Certificates, Series 2006-NC2, Class A-1
-- Morgan Stanley Capital I Inc. Trust 2006-NC2, Mortgage
Pass-Through Certificates, Series 2006-NC2, Class A-2d
-- New Century Home Equity Loan Trust 2004-3, Asset-Backed Notes,
Series 2004-3, Class M-2
-- New Century Home Equity Loan Trust 2004-3, Asset-Backed Notes,
Series 2004-3, Class M-3
-- New Century Home Equity Loan Trust 2004-3, Asset-Backed Notes,
Series 2004-3, Class M-4
-- New Century Home Equity Loan Trust 2004-4, Asset-Backed Notes,
Series 2004-4, Class M-1
-- New Century Home Equity Loan Trust 2004-4, Asset-Backed Notes,
Series 2004-4, Class M-2
-- New Century Home Equity Loan Trust 2004-4, Asset-Backed Notes,
Series 2004-4, Class M-3
-- New Century Home Equity Loan Trust 2004-4, Asset-Backed Notes,
Series 2004-4, Class M-4
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series
2006-HE3, Asset-Backed Certificates, Series 2006-HE3, Class I-A-1
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series
2006-HE3, Asset-Backed Certificates, Series 2006-HE3, Class II-A-3
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series
2006-HE3, Asset-Backed Certificates, Series 2006-HE3, Class II-A-4
-- Park Place Securities Inc., Series 2004-WHQ2, Asset-Backed
Pass-Through Certificates, Series 2004-WHQ2, Class M-4
-- Park Place Securities Inc., Series 2004-WHQ2, Asset-Backed
Pass-Through Certificates, Series 2004-WHQ2, Class M-5
-- Park Place Securities Inc., Series 2005-WCH1, Asset-Backed
Pass-Through Certificates, Series 2005-WCH1, Class M-5
-- Securitized Asset Backed Receivables LLC Trust 2005-OP2,
Mortgage Pass-Through Certificates, Series 2005-OP2, Class M-1
-- Securitized Asset Backed Receivables LLC Trust 2005-OP2,
Mortgage Pass-Through Certificates, Series 2005-OP2, Class M-2
-- Securitized Asset Backed Receivables LLC Trust 2005-OP2,
Mortgage Pass-Through Certificates, Series 2005-OP2, Class M-3
-- Securitized Asset Backed Receivables LLC Trust 2005-OP2,
Mortgage Pass-Through Certificates, Series 2005-OP2, Class M-4
-- Structured Asset Securities Corporation Mortgage Loan Trust
2005-S3, Mortgage Pass-Through Certificates, Series 2005-S3, Class
M5
CORONAVIRUS DISEASE (COVID-19) IMPACT
The coronavirus pandemic and the resulting isolation measures have
caused an immediate economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
consumers. DBRS Morningstar saw increases in delinquencies for many
RMBS asset classes shortly after the onset of coronavirus.
Such mortgage delinquencies were mostly in the form of forbearance,
which are generally short-term payment reliefs that may perform
very differently from traditional delinquencies. At the onset of
coronavirus, because the option to forbear mortgage payments was so
widely available, it drove forbearance to a very high level. When
the dust settled, coronavirus-induced forbearance in 2020 performed
better than expected, thanks to government aid and good
underwriting in the mortgage market in general. Across nearly all
RMBS asset classes, delinquencies have been gradually trending down
in recent months as the forbearance period comes to an end for many
borrowers.
[*] DBRS Takes Rating Actions on 7 American Credit Transactions
---------------------------------------------------------------
DBRS, Inc., on Dec. 22, 2021, upgraded 21 ratings, confirmed eight
ratings, and discontinued six ratings as a result of repayment from
seven American Credit Acceptance Receivables Trust transactions.
The Affected Rating are available at https://bit.ly/32YbyOq
The rating actions are based on the following analytical
considerations:
-- The transaction assumptions consider DBRS Morningstar's
baseline macroeconomic scenarios for rated sovereign economies,
available in its commentary "Baseline Macroeconomic Scenarios For
Rated Sovereigns December 2021 Update", published on December 9,
2021. These baseline macroeconomic scenarios replace DBRS
Morningstar' moderate and adverse COVID-19 pandemic scenarios,
which were first published in April 2020. The baseline
macroeconomic scenarios reflect the view that recent COVID-19
developments, particularly the new Omicron variant with subsequent
restrictions, combined with rising inflation pressures in some
regions, may dampen near-term growth expectations in coming months.
However, DBRS Morningstar expects the baseline projections will
continue to point to an ongoing, gradual recovery.
-- The collateral performance to date and DBRS Morningstar's
assessment of future performance, including upward revisions to the
expected cumulative net loss (CNL) assumptions.
-- The transaction parties' capabilities with regard to
origination, underwriting, and servicing.
-- The transactions' capital structure and form and sufficiency of
available credit enhancement. The current level of hard credit
enhancement and estimated excess spread are sufficient to support
the DBRS Morningstar-projected remaining CNL assumption at a
multiple of coverage commensurate with the ratings.
*********
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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Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and
Peter A. Chapman, Editors.
Copyright 2022. All rights reserved. ISSN: 1520-9474.
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