/raid1/www/Hosts/bankrupt/TCR_Public/220306.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, March 6, 2022, Vol. 26, No. 64
Headlines
BANK 2017-BNK5: Fitch Affirms B- Rating on Class F Certs
BEECHWOOD PARK: S&P Withdraws 'BB- (sf)' Rating on Class E Notes
BENCHMARK 2018-B3: Fitch Affirms 'B-' Rating on Class H-RR Certs
BMO 2022-C1 MORTGAGE: S&P Assigns B- (sf) Rating on Class H Certs
BMO MORTGAGE 2022-C1: Fitch Gives Final 'BB+' Rating on 2 Tranches
CANYON CLO 2022-1: S&P Assigns Prelim 'BB-' Rating on Cl. E Notes
CD 2017-CD4: Fitch Affirms 'CCC' Rating on 2 Tranches
CIM TRUST 2022-R1: Fitch Rates Class B2 Debt 'B'
COMM 2014-CCRE18: Fitch Affirms B- Rating on Class E Certs
GOLDENTREE LOAN 6: S&P Assigns B- (sf) Rating on Class F-R Notes
GS MORTGAGE 2017-GS6: Fitch Affirms B- Rating on Class F Certs
GS MORTGAGE 2022-LTV1: Moody's Assigns B3 Rating to Class B-5 Certs
GS MORTGAGE 2022-PJ2: Moody's Assigns B3 Rating to Cl. B-5 Certs
GS MORTGAGE 2022-RPL1: Fitch Rates Class B-2 Certs 'B'
GULF STREAM 7: S&P Assigns Prelim BB- (sf) Rating on Class D Notes
IVY HILL IX-R: S&P Assigns Prelim BB-(sf) Rating on Cl. E-RR Notes
JP MORGAN 2012-C8: Fitch Affirms CC Rating on Class G Certs
JP MORGAN 2022-2: Fitch Gives Final 'B' Rating to Class B-5 Debt
JP MORGAN 2022-INV2: Fitch Gives Final 'B-' Rating to Cl. B-5 Debt
JP MORGAN 2022-LTV1: Fitch Gives Final 'B' Rating to Class B-2 Debt
JPMDB COMMERCIAL 2016-C2: Fitch Affirms CC Rating on F Certs
MORGAN STANLEY 2015-UBS8: Fitch Affirms 'C' Rating on 2 Tranches
MORGAN STANLEY 2017-C33: Fitch Affirms B- Rating on Class F Certs
MVW LLC 2021-1W: Fitch Affirms BB Rating on Class D Debt
NEW RESIDENTIAL 2022-INV1: S&P Assigns (P) 'B' on Class B5 Certs
OBX 2022-NQM2: S&P Assigns BB+ (sf) Rating on Class B-1 Notes
OCTAGON INVESTMENT 45: S&P Assigns Prelim 'BB-' Rating on E-R Notes
OHA CREDIT 7: S&P Assigns BB- (sf) Rating on Class E-R Notes
PALMER SQUARE 2022-1: Moody's Assigns Ba3 Rating to Class E Notes
SG RESIDENTIAL 2022-1: S&P Assigns Prelim 'B-' Rating on B-2 Certs
SPGN 2022-TFLM: Moody's Assigns Ba1 Rating to Cl. HRR Certificates
STARWOOD MORTGAGE 2022-2: Fitch Rates Class B-2 Debt 'B-'
UBS COMMERCIAL 2018-C10: Fitch Affirms B- Rating on Class F-RR Debt
UBS-BAMML TRUST 2012-WRM: Fitch Lowers Class C Certs to 'CCC'
VERTICAL BRIDGE 2022-1: Fitch Gives Final BB- Rating on Cl. F Debt
WELLS FARGO 2015-SG1: Fitch Lowers Ratings on 2 Tranches to 'CC'
WFRBS COMMERCIAL 2011-C4: Moody's Lowers X-B Certs Rating to Caa2
[*] Fitch Affirms 68 RMBS Classes From 3 Deals Issued Since 2019
[*] Fitch Took Various Actions on Distressed Bonds on 5 CMBS Deals
[*] S&P Affirms 84 Ratings on 16 US & Canada Credit Card ABS Trusts
[*] S&P Lowers Ratings on 24 Classes from 18 U.S. RMBS Transactions
[*] S&P Takes Various Actions on 102 iShares Fixed-Income ETFs
[*] S&P Takes Various Actions on 356 Classes from 17 US RMBS Deals
[*] S&P Takes Various Actions on 83 Classes from 12 US RMBS Deals
*********
BANK 2017-BNK5: Fitch Affirms B- Rating on Class F Certs
--------------------------------------------------------
Fitch Ratings has affirmed 14 classes of BANK 2017-BNK5 commercial
mortgage pass-through certificates. In addition, Fitch has revised
the Rating Outlook on one class to Stable from Negative.
DEBT RATING PRIOR
---- ------ -----
BANK 2017-BNK5
A-2 06541WAT9 LT AAAsf Affirmed AAAsf
A-3 06541WAV4 LT AAAsf Affirmed AAAsf
A-4 06541WAW2 LT AAAsf Affirmed AAAsf
A-5 06541WAX0 LT AAAsf Affirmed AAAsf
A-S 06541WBA9 LT AAAsf Affirmed AAAsf
A-SB 06541WAU6 LT AAAsf Affirmed AAAsf
B 06541WBB7 LT AA-sf Affirmed AA-sf
C 06541WBC5 LT A-sf Affirmed A-sf
D 06541WAC6 LT BBB-sf Affirmed BBB-sf
E 06541WAE2 LT BB-sf Affirmed BB-sf
F 06541WAG7 LT B-sf Affirmed B-sf
X-A 06541WAY8 LT AAAsf Affirmed AAAsf
X-B 06541WAZ5 LT AA-sf Affirmed AA-sf
X-D 06541WAA0 LT BBB-sf Affirmed BBB-sf
KEY RATING DRIVERS
Increasing Loss Expectations: The affirmations reflect increasing
loss expectations for the pool since Fitch's prior rating action.
There are eight Fitch Loans of Concern (FLOCs) representing 16.8%
of the pool, a majority of which are recovering from pandemic
related performance declines. Currently, zero loans are in special
servicing. Fitch's current ratings incorporate a base case loss of
3.7%. Losses are slightly higher when factoring additional stresses
on the Capital Bank Plaza loan (3.8%).
The largest contributor to losses and biggest FLOC in the pool,
Starwood Capital Group Hotel Portfolio (6.2% of the pool), which is
secured by a portfolio of 65 hotels totaling 6,370 keys located
across 21 states with 14 different franchises. Occupancy has
increased across the portfolio to 63.4% (TTM September 2021) from
53.7% (YE 2020), along with ADR $97.01 (TTM September 2021) from
$91.58 (YE 2020).
The borrower was granted pandemic-related relief through a
modification that closed in September 2020 with terms including
three months of deferred non-tax, non-insurance and non-ground rent
reserves and the ability to utilize non-tax, non-insurance and
non-ground rent reserve funds towards three months of debt service
payments. Repayment was to occur over the 12-month period starting
in February 2021. The loan has remained current since issuance.
Fitch's loss expectations of approximately 17% reflects a value of
approximately $60,000/key.
The second largest contributor to losses, Capital Bank Plaza, is
secured by a 148,142-sf office property located in the Raleigh, NC.
The largest tenant was previously Capital Bank (41.2% NRA, 3/2021
exp. with one five-year extension option). Capital Bank merged with
First Tennessee Bank in October 2019 and rebranded as First Horizon
Bank, the tenant's operations were consolidated and moved to
another building in Raleigh a few blocks away. As of December 2021,
occupancy has fallen to 53.2%. Clark Nexsen, the largest remaining
tenant represents 20% of NRA, LXD of June 2022 has two five-year
extensions remaining. Fitch performed a dark value analysis
resulting in a value of approximately $125 psf.
The second largest FLOC is Richmond Marriott Short Pump (2.0%),
secured by 243-key, full-service hotel, located in Glen Allen, VA.
The property was built in 2001 and renovated at a cost of
approximately $11 mm ($45,200/key) in 2015. The property is flagged
as a Marriott hotel with a franchise agreement that goes to 2037.
The property is the only full-service hotel within the park and
generated approximately 70% of RevPAR from corporate clients at
issuance. Per the December 2021 STR report, occupancy has increased
to 52.6% from 29.4% at YE 2020, this has helped drive the increase
in RevPar to $63.84 (YE 2021) from $36.15 (YE 2020).
The next largest FLOC is Charlotte Southpark Marriott (2.0%),
secured by 199-key, full-service hotel located in the Southpark
area of Charlotte, NC, approximately five miles south of the CBD
and adjacent to Southpark Mall. The property was built in 1984 and
the sponsor has spent $16 million on capital improvements since
purchasing it in 2007, $5 million of which occurred in 2017. For
the TTM ending in June 2021, NOI DSCR has decreased to -0.70x, down
from -0.09x at YE 2020, and 2.65x at YE 2019. Overall collateral
performance has increased in recent months, but still remains
suppressed relative to 2019.
Minimal Change to Credit Enhancement: The credit enhancement (CE)
has increased slightly since the prior rating action as a result of
continued amortization. As of the February 2022 distribution date,
the pool's aggregate principal balance has paid down by 4.6% to
$1.17 billion from $1.23 billion at issuance.
There are 84 of the original 87 loans still outstanding. Eighteen
loans representing 44.2% of the pool are interest-only for the full
term and 19 additional loans representing 29% of the pool were
structured with a partial interest-only component and have not yet
begun to amortize. Since issuance, three loans representing 1.3% of
the pool have been fully defeased.
Alternative Loss Scenario: The Capital Bank Plaza loan was stressed
and outsized losses were modeled in order to test the durability of
the ratings. In Fitch's sensitivity stress, the Capital Bank Plaza
loan was modeled with potential outsized loss of 20%, to reflect a
higher vulnerability to the social and market disruption of the
pandemic. The current ratings withstand this additional stress,
with the exception of class F which is already on Outlook
Negative.
RATING SENSITIVITIES
Factor that could, individually or collectively, lead to negative
rating action/downgrade:
-- An increase in pool level losses from underperforming loans.
Downgrades to the classes rated 'AAAsf' are not considered
likely due to the position in the capital structure, but may
occur at 'AAAsf' or 'AA-sf' should interest shortfalls occur.
Downgrades to classes C and D are possible should additional
defaults occur. Downgrades to classes E and F are possible
should the performance of FLOCs decline further or fail to
stabilize.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Stable to improved performance coupled with pay down and/or
defeasance. An upgrade to class B would occur with continued
paydown and be limited as concentrations increase. Upgrades of
classes C and D would only occur with significant improvement
in CE and stabilization of the FLOCs.
-- Classes would not be upgraded above 'Asf' if there is
likelihood for interest shortfalls. An upgrade to classes E
and F is not likely unless performance of the Starwood Capital
Group Hotel Portfolio continues stabilizes and if the
performance of the remaining FLOCs in the pool improve, said
upgrade would not likely occur until later years in the
transaction assuming losses were minimal.
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.
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.
BEECHWOOD PARK: S&P Withdraws 'BB- (sf)' Rating on Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, B-1-R,
B-2a-R, B-2b-R, C-1-R, C-2-R, and D-R replacement notes from
Beechwood Park CLO Ltd./Beechwood Park CLO LLC, a CLO originally
issued in December 2019 that is managed by Blackstone CLO
Management LLC. S&P did not rate the replacement class A-2-R and
E-R notes.
The replacement notes will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement notes.
According to the proposed supplemental indenture:
-- The replacement class A-1-R, A-2-R, B-1-R, B-2a-R, C-1-R,
C-2-R, D-R, and E-R notes were issued at a spread over the
three-month secured overnight financing rate (SOFR), and the
replacement class B-2b-R notes were issued at a fixed coupon.
Collectively, these notes will replace the original floating-rate
notes, which had a spread over three-month LIBOR, and the fixed
coupon notes.
-- The replacement class B-1-R notes include an early redemption
premium of 25.01% of the initial principal balance. The premium
will be reduced by the class B-1-R interest payments and any
amounts exceeding an internal rate of return of 6.00% on the
subordinated notes over time.
-- The replacement class A-2-R and C-2-R notes were issued at a
floating spread, replacing the current fixed coupon on class A-2
and C-2 notes, respectively.
-- The replacement class D-R notes were issued at a floating
spread, replacing the current floating spread on the class D-1 and
D-2 notes.
-- The original combination notes, which were backed by $36.4
million class C-1 notes, $8 million class C-2 notes, $13.3 million
class D-1 notes, and $8.9 million class E notes, were exchanged for
the underlying components on the March 3, 2022, refinancing date.
-- The stated maturity, reinvestment period, and noncall period
were extended by approximately two years.
S&P said, "Our review of this transaction included a cash flow
analysis to estimate future performance, based on the portfolio and
transaction data in the trustee report. In line with our criteria,
our cash flow scenarios applied forward-looking assumptions on the
expected timing and pattern of defaults and the recoveries upon
default under various interest rate and macroeconomic scenarios.
Our analysis also considered the transaction's ability to pay
timely interest and/or ultimate principal to each of the rated
tranches. The results of the cash flow analysis (and other
qualitative factors, as applicable) demonstrated, in our view, that
the outstanding rated classes all have adequate credit enhancement
available at the rating levels associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Beechwood Park CLO Ltd./Beechwood Park CLO LLC
Class A-1-R, $484.00 million: AAA (sf)
Class A-2-R, $36.00 million: NR
Class B-1-R, $44.30(i) million: AA (sf)
Class B-2a-R, $35.75 million: AA (sf)
Class B-2b-R, $7.95 million: AA (sf)
Class C-1-R (deferrable), $32.00 million: A+ (sf)
Class C-2-R (deferrable), $12.40 million: A (sf)
Class D-R (deferrable), $47.20 million: BBB- (sf)
Class E-R (deferrable), $36.40 million: NR
Subordinated notes, $80.00 million: NR
Ratings Withdrawn
Beechwood Park CLO Ltd./Beechwood Park CLO LLC
Class A-1 to NR from 'AAA (sf)'
Class A-2 to NR from 'AAA (sf)'
Class B-1 to NR from 'AA (sf)'
Class B-2a to NR from 'AA (sf)'
Class B-2b to NR from 'AA (sf)'
Class C-1 (deferrable) to NR from 'A (sf)'
Class C-2 (deferrable) to NR from 'A (sf)'
Class D-1 (deferrable) to NR from 'BBB- (sf)'
Class D-2 (deferrable) to NR from 'BBB- (sf)'
Class E (deferrable) to NR from 'BB- (sf)'
Combination notes to NR from 'A-p (sf)'
(i)Class B-1-R notes include an early redemption premium of 25.01%
of the initial principal balance.
NR--Not rated.
P--Principal only.
BENCHMARK 2018-B3: Fitch Affirms 'B-' Rating on Class H-RR Certs
----------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of Benchmark 2018-B3
commercial mortgage pass-through certificates. Fitch also revised
two Outlooks to Stable from Negative.
DEBT RATING PRIOR
---- ------ -----
BENCHMARK 2018-B3
A-2 08161BAV5 LT AAAsf Affirmed AAAsf
A-3 08161BAW3 LT AAAsf Affirmed AAAsf
A-4 08161BAX1 LT AAAsf Affirmed AAAsf
A-5 08161BAY9 LT AAAsf Affirmed AAAsf
A-AB 08161BAZ6 LT AAAsf Affirmed AAAsf
A-S 08161BBA0 LT AAAsf Affirmed AAAsf
B 08161BBB8 LT AA-sf Affirmed AA-sf
C 08161BBC6 LT A-sf Affirmed A-sf
D 08161BAA1 LT BBB-sf Affirmed BBB-sf
E-RR 08161BAC7 LT BBB-sf Affirmed BBB-sf
F-RR 08161BAE3 LT BB+sf Affirmed BB+sf
G-RR 08161BAG8 LT BB-sf Affirmed BB-sf
H-RR 08161BAJ2 LT B-sf Affirmed B-sf
X-A 08161BBD4 LT AAAsf Affirmed AAAsf
X-B 08161BBE2 LT AA-sf Affirmed AA-sf
X-D 08161BAN3 LT BBB-sf Affirmed BBB-sf
Classes X-A, X-B, and X-D are interest only.
KEY RATING DRIVERS
Decreased Loss Expectations: Overall loss expectations on the pool
have decreased slightly over the last year as loans began to
stabilize after the initial impact of the pandemic. Fitch's current
ratings incorporate a base case loss of 5.1%. The Negative Rating
Outlooks on classes G-RR and H-RR primarily reflect losses that
could reach 5.5% when factoring in an additional stress that
assumes a potential outsize loss on a property almost fully leased
to WeWork.
Fitch has designated 11 loans (36.6% of pool) as Fitch Loans of
Concern (FLOCs), including one specially serviced loan (0.4%).
Largest Contributors to Base Case Loss: The largest contributor to
loss is the 6420 Wilshire loan (6.1% of the pool), which is secured
by a 204,035-sf office building located in the Miracle Mile section
of Los Angeles, CA. The property was built in 1972 and last
renovated in 2010. The property is two blocks from the future
Wilshire/Fairfax Metro Purple Line station with an expected
completion of 2023.
Property occupancy has trended down since issuance. Per the June
2021 rent roll, the property was 68.4% leased compared to 78.2% in
September 2020, 83.2% leased in Sept. 2019, and 92.2% at issuance.
Average in place rent is above market at approximately $44.60psf.
Over the last year, at least four tenants appear to have vacated at
their respective lease expirations. Approximately 14% of NRA is
scheduled to roll in the next year.
Fitch applied a 15% haircut to YE 2020 NOI to account for the
upcoming schedule tenant roll as well as the decreased occupancy
year over year.
The next largest contributor to loss is the 315 West 36th Street
loan (2.9% of the pool), which is secured by a 143,479-sf office
building with some retail located in Midtown Manhattan. The
property, which was originally built in 1926 and last renovated in
2018, is situated proximate to both Penn Station and the Port
Authority. The borrower invested approximately $15 million in
tenant improvements and renovations since 2015.
The property has had low historical vacancy with minimal downtime
between tenants. Per the January 2022 rent roll, the property was
95.4% leased.
WeWork leases all the office space (93% of NRA) under two separate
leases, which expire in February 2032 and May 2031. WeWork, which
pays rent approximately 10% below market, received a $12.7 million
tenant allowance at lease execution in 2015. The WeWork leases are
guaranteed by WeWork Companies Inc. and have no termination
options. However, this location does not appear to be operating per
WeWork's website. Fitch requested an update from the servicer on
the status of the tenancy, but has not received a response to
date.
The loan continues to remain current. No reserves appear to be in
place, per the February 2022 servicer's reserve report.
Fitch's base case loss of 22% reflects a Fitch value of $377psf.
Fitch ran an additional sensitivity that assumed a 35% outsize loss
on the loan based on a dark value of approximately $355psf, which
contributes to the negative outlooks on classes G-RR and H-RR.
The third largest contributor to loss is the 599 Broadway loan
(3.4%), which is secured by a 42,000-sf mixed property located in
the SoHo area of New York City. The collateral consists of a
four-story retail and office condominium within a larger 12-story
building. As of the February 2021 rent roll, the property remained
100% NNN master leased to Jeff Sutton through February 2057 at a
below market rent.
The property is subleased at closer to market rents to American
Eagle Outfitters (30,000sf through 2024) and Wella Corporation
([Wella] 12,000sf through 2028), a German hair care company that is
owned by KKR and COTY. American Eagle subleases the sublevel, first
and second floors, and Wella subleases the third floor. No recent
tenant sales have been provided. Per its website, American Eagle is
still in place. However, this location does not currently appear on
the Wella website, and may have closed.
Based on the master lease payments, the interest only loan
continues to exhibit relatively stable performance; YE 2020 NOI
DSCR was at 1.72x, compared to YE 2019 NOI DSCR at 1.71x and YE
2018 at 1.75x. However, Fitch applied a 15% haircut to YE 2020 NOI
to account for the possible loss of the Wella subtenant.
Minimal Change to Credit Enhancement: As of the January 2022
distribution date, the pool's aggregate principal balance paid down
by 6.2% to $1.02 billion from $1.09 billion at issuance. At
issuance, the transaction had below average expected to pay down of
only 7.6%, based on scheduled loan maturity balances. However, in
the last year, two loans ($46.3 million) prepaid before their
scheduled 2023 loan maturities. Currently, 13 loans (46% of pool)
are full-term interest-only while only four loans (10.2%) remain in
their partial interest-only periods. Only one loan is defeased
(0.4%).
The majority of the pool matures in 2028 (75.1%); however, 4.2% of
the pool matures in 2022 with 6.5% in 2023, 5.9% in 2024, 0.7% in
2025, and 7.7% in 2027.
ADDITIONAL CONSIDERATIONS
High Hotel Exposure: Loans secured by hotel properties represent
19.1% of the pool, including four of the top 10 loans. The largest
property type concentration is office at approximately 37.7%.
Pari Passu Loans: 14 loans (52.2% of the pool), including 10 loans
in the top 15, have pari passu loan pieces contributed to other
transactions.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- An increase in pool-level losses from underperforming or
specially serviced loans/assets. Downgrades to classes A-2
through B are not likely due to the position in the capital
structure, but may occur should interest shortfalls affect
these classes or with a significant deterioration in pool
performance.
-- Downgrades to classes C through E-RR are possible should
expected losses for the pool increase significantly.
Downgrades to classes F-RR through H-RR would occur if
performance of the FLOCs do not continue to stabilize and/or
additional loans default and/or transfer to special servicing.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Stable to improved asset performance, particularly on the
FLOCs, coupled with additional paydown and/or defeasance.
Upgrades to classes B and C may occur with significant
improvement in credit enhancement (CE) and/or defeasance and
with the stabilization of performance on the FLOCs and/or the
properties affected by the coronavirus pandemic; however,
adverse selection and increased concentrations could cause
this trend to reverse.
-- Upgrades to classes D and E-RR would also consider these
factors, but would be limited based on sensitivity to
concentrations or the potential for future concentration.
Classes would not be upgraded above 'Asf' if interest
shortfalls are likely. Upgrades to classes F-RR through H-RR
are not likely until the later years in the transaction an
only if the performance of the remaining pool is stable and/or
properties vulnerable to the coronavirus return to pre
pandemic levels, and there is sufficient CE.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
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.
BMO 2022-C1 MORTGAGE: S&P Assigns B- (sf) Rating on Class H Certs
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to BMO 2022-C1 Mortgage
Trust's commercial mortgage pass-through certificates.
The certificate issuance is a U.S. CMBS securitization backed by 77
commercial mortgage loans with an aggregate principal balance of
$1.122 billion ($956.676 million of offered certificates), secured
by the fee and leasehold interests in 234 properties across 39 U.S.
states.
The ratings reflect S&P's view of the underlying collateral's
economics, the trustee-provided liquidity, the collateral pool's
relative diversity, and its overall qualitative assessment of the
transaction.
Ratings Assigned
BMO 2022-C1 Mortgage Trust(i)
Class A-1, $17,581,000: AAA (sf)
Class A-2, $150,154,000: AAA (sf)
Class A-3, $67,774,000: AAA (sf)
Class A-4, $191,001,000: AAA (sf)
Class A-5, $318,660,000: AAA (sf)
Class A-SB, $25,170,000: AAA (sf)
Class X-A, $863,881,000(ii): AAA (sf)
Class A-S, $93,541,000: AAA (sf)
Class B, $52,273,000: AA+ (sf)
Class C, $49,522,000: A+ (sf)
Class X-B(iii), $101,795,000(ii): A+ (sf)
Class X-D(iii), $55,024,000(ii): BBB- (sf)
Class X-F(iii), $13,756,000(ii): BB+ (sf)
Class X-G(iii), $17,883,000(ii): BB- (sf)
Class X-H(iii), $23,385,000(ii): B- (sf)
Class X-J(iii), $24,761,779(ii): NR
Class D(iii), $31,639,000: BBB+ (sf)
Class E(iii), $23,385,000: BBB- (sf)
Class F(iii), $13,756,000: BB+ (sf)
Class G(iii), $17,883,000: BB- (sf)
Class H(iii), $23,385,000: B- (sf)
Class J(iii), $24,761,779: NR
Class VRR(iv), $21,521,930: NR
Class 360A(v), $20,750,000: NR
Class 360X(v), $39,245,000(ii): NR
Class 360B(v), $18,495,000: NR
Class 360C(v), $18,650,000: NR
Class 360D(v), $17,919,000: NR
Class 360E(v), $18,838,000: NR
Class 360RR(v), $6,150,000: NR
Class 111A(v), $11,837,000: NR
Class 111B(v), $13,826,000: NR
Class 111C(v), $16,738,000: NR
Class 111D(v), $17,465,000: NR
Class 111E(v), $12,569,000: NR
Class 111RR(v), $3,815,000: NR
(i)The certificates will be issued to qualified institutional
buyers according to Rule 144A of the Securities Act of 1933.
(ii)Notional amount. The notional amount of the class X-A
certificates will be equal to the aggregate certificate balance of
the class A-1, A-2, A-3, A-4, A-5, A-AB, and A-S certificates. The
notional amount of the class X-B certificates will be equal to the
aggregate certificate balance of the class B and C certificates.
The notional amount of the class X-D certificates will be equal to
the aggregate certificate balance of the class D and E
certificates. The notional amount of the class X-F, X-G, X-H, and
X-J certificates will be equal to the certificate balance of the
class F, G, H, and J certificates, respectively. The notional
amount of the class 360X certificates will be equal to the
aggregate certificate balance of the class 360A and 360B
certificates.
(iii)Non-offered certificates.
(iv)Non-offered eligible vertical risk retention (VRR) interest.
(v)Non-offered loan-specific certificates. The class '360'
certificates are tied to the 360 Rosemary loan. The class '111'
certificates are tied to the 111 River Street loan.
NR--Not rated.
RR--Risk retention.
BMO MORTGAGE 2022-C1: Fitch Gives Final 'BB+' Rating on 2 Tranches
------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to BMO
2022-C1 Mortgage Trust, commercial mortgage pass-through
certificates, series 2022-C1 as follows:
-- $17,924,827e class A-1 'AAAsf'; Outlook Stable;
-- $153,090,525e class A-2 'AAAsf'; Outlook Stable;
-- $69,099,439e class A-3 'AAAsf'; Outlook Stable;
-- $194,736,360ae class A-4 'AAAsf'; Outlook Stable;
-- $324,891,955ae class A-5 'AAAsf'; Outlook Stable;
-- $25,662,244e class A-AB 'AAAsf'; Outlook Stable;
-- $880,775,708be class X-A 'AAAsf'; Outlook Stable;
-- $95,370,358e class A-S 'AAAsf'; Outlook Stable;
-- $53,295,290e class B 'AA-sf'; Outlook Stable;
-- $50,490,490e class C 'A-sf'; Outlook Stable;
-- $103,785,780bce class X-B 'A-sf'; Outlook Stable;
-- $56,100,091bce class X-D 'BBB-sf'; Outlook Stable;
-- $14,025,023bce class X-F 'BB+sf'; Outlook Stable;
-- $32,257,756ce class D 'BBBsf'; Outlook Stable;
-- $23,842,335ce class E 'BBB-sf'; Outlook Stable;
-- $14,025,023ce class F 'BB+sf'; Outlook Stable.
Fitch does not rate the following classes:
-- $18,232,733bce class X-G;
-- $23,842,335bce class X-H;
-- $25,246,039bce class X-J;
-- $18,232,733ce class G;
-- $23,842,335ce class H;
-- $25,246,039ce class J.
Fitch does not rate the following loan-specific classes:
-- $20,750,000cd class 360A;
-- $20,750,000bcd class 360X;
-- $18,495,000cd class 360B;
-- $18,650,000cd class 360C;
-- $17,919,000cd class 360D;
-- $18,838,000cd class 360E;
-- $6,150,000cde class 360RR;
-- $11,837,000cd class 111A;
-- $13,826,000cd class 111B;
-- $16,738,000cd class 111C;
-- $17,465,000cd class 111D;
-- $12,569,000cd class 111E;
-- $3,815,000cdf 111RR Interest.
(a) Since Fitch published its expected ratings on Feb. 2, 2022, the
balances for classes A-4 and A-5 were finalized. At the time the
expected ratings were published, the initial certificate balances
of classes A-4 and A-5 were expected to be $509,661,000 in the
aggregate ($519,628,315 including all allocated VRR interests),
subject to a 5% variance. The final class balances, including all
allocated VRR interests for classes A-4 and A-5, are $194,736,360
and $324,891,955, respectively.
(b) Notional amount and interest only.
(c) Privately placed and pursuant to Rule 144A.
(d) The transaction includes 12 classes of non-offered,
loan-specific certificates (non-pooled rake classes) related to the
companion loans of 111 River Street (five classes) and 360 Rosemary
(seven classes) and one uncertificated VRR interest related to 111
River Street.
(e) Represents the "eligible horizontal interest" representing 5.0%
of the non-offered, loan-specific certificates (non- pooled rake
classes) related to the companion loan of 360 Rosemary.
(f) Represents the "eligible vertical interest" representing 5.0%
of the sum of non-offered, loan-specific certificates (non-pooled
rake classes) and the 111 River Street VRR interest related to the
companion loans of 111 River Street.
(g) Includes non-offered uncertificated VRR Interest (vertical
credit risk retention interest) of approximately 5.0% of each class
of certificates.
After publishing its expected ratings on Feb. 2, 2022, Fitch was
informed that the borrower on the Broward County Industrial loan
(0.3% of the pool) received a complaint filed by one of the
minority owners of the prior owner of the Fort Lauderdale Small Bay
Warehouses property ("affected property"; 67.9% of the Broward
County Industrial allocated loan amount), seeking a rescission of
the sale of the affected property. The minority owner alleges that
its consent to the sale of the affected property was required for
the sale of the affected property to the borrower and that its
consent had not been granted.
KeyBank's mortgage loan purchase agreement (MLPA) has been amended
to require KeyBank National Association (A-/F1/Stable) to
repurchase the entire Broward County Industrial loan plus pay any
applicable prepayment or yield maintenance penalties in the event
of a material and adverse final and unappealable decision, a
monetary default (after an initial material and adverse decision
but prior to a final decision) or a non-monetary default (after an
initial material and adverse decision but prior to a final
decision) that results in the loan transferring to special
servicing. Additionally, KeyBank has indemnified the CMBS Trust
against any and all expenses, losses, claims, damages and other
liabilities related to the litigation involving the Fort Lauderdale
Small Bay Warehouses property or the subject matter thereof.
The classes above reflect the final ratings and deal structure.
TRANSACTION SUMMARY
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 77 fixed-rate loans secured by
234 commercial properties with an aggregate principal balance of
$1,122,007,709 as of the cut-off date. The loans were contributed
to the trust by Bank of Montreal, KeyBank National Association,
SSOF SCRE AIV, L.P, Starwood Mortgage Capital LLC and German
American Capital Corporation. The master servicer is KeyBank
National Association, and the special servicer is CWCapital Asset
Management LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 34.8% of the loans by
balance, cash flow analysis of 83.3% of the pool and asset summary
reviews on 100% of the pool.
KEY RATING DRIVERS
Higher Fitch Leverage: The pool's Fitch stressed loan to value
(LTV) ratio of 105.2% is higher than the 2021 and 2020 averages for
Fitch-rated U.S. private-label multiborrower transactions of 103.3%
and 99.6%, respectively. Fitch's stressed debt service coverage
ratio (DSCR) of 1.24x is lower than the 2021 and 2020 respective
averages of 1.38x and 1.32x. Nine loans, representing 25.2% of the
pool, have subordinate secured debt, mezzanine financing or
DST-related bridge preferred equity. The pool's Fitch total debt
LTV and DSCR of 118.4% and 1.10x, respectively, are worse that the
respective 2021 average of 110.6% and 1.29x.
Investment-Grade Credit Opinion Loans: Five loans representing
18.2% of the pool received an investment-grade credit opinion. 360
Rosemary (4.0% of pool), 601 Lexington Avenue (3.6%), Hudson
Commons (3.6%) and 111 River Street (3.3%) each received a
standalone credit opinion of 'BBB-sf'. Coleman Highline Phase IV,
representing 3.7% of the pool, received a standalone credit opinion
of 'BBBsf'. The investment-grade credit opinion loan concentration
is below the 2020 average of 24.5% and above the 2021 average of
13.3%.
Pool Diversity: The pool's 10 largest loans represent 38.0% of its
cut-off balance. This is significantly below the 2021 and 2020
average of 51.2% and 56.8%, respectively. The pool's Loan
Concentration Index (LCI) of 249 is below the 2021 and 2020
averages of 381 and 440, respectively.
Limited Amortization: The pool contains 48 loans, totaling 73.5% of
the cutoff balance, that are full-term IO. This concentration of
full-term IO loans is higher than the 2021 and 2020 averages of
70.5% and 67.7%, respectively. In addition, 17 loans totaling 14.5%
of the pool have a partial IO period. This results in a low
scheduled principal paydown of 4.2% of the pool balance by
maturity, compared with average pool paydowns of 4.8% and 5.3% for
2021 and 2020, respectively.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Declining cash flow decreases property value and capacity to meet
its debt service obligations. The table below indicates the model
implied rating sensitivity to changes in one variable, Fitch NCF:
-- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' /
'BBBsf' / 'B+sf';
-- 10% NCF Decline: 'A+sf' / 'BBB+sf' / 'BBB-sf' / 'BB+sf' /
'Bsf' / 'CCCsf'
-- 20% NCF Decline: 'BBB+sf' / 'BBB-sf' / 'BBsf' / 'CCCsf' /
'CCCsf' / 'CCCsf';
-- 30% NCF Decline: 'BBB-sf' / 'BBsf' / 'CCCsf' / 'CCCsf' /
'CCCsf' / 'CCCsf'.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Improvement in cash flow increases property value and capacity to
meet its debt service obligations. The table below indicates the
model implied rating sensitivity to changes to the same one
variable, Fitch NCF:
-- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-
sf' / 'BB+sf';
-- 20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'AA-sf' / 'A-
sf' / 'BBB+sf'.
This section provides insight into the sensitivity of ratings when
one assumption is modified, while holding others equal. For U.S.
CMBS, the sensitivity reflects the impact of changes to property
net cash flow (NCF) in up- and down-environments. The results below
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.
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.
CANYON CLO 2022-1: S&P Assigns Prelim 'BB-' Rating on Cl. E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Canyon CLO
2022-1 Ltd./Canyon CLO 2022-1 LLC's floating-rate notes.
The note issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Canyon CLO Advisors LLC.
The preliminary ratings are based on information as of March 1,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Canyon CLO 2022-1 Ltd./Canyon CLO 2022-1 LLC
Class A, $320.00 million: AAA (sf)
Class B, $60.00 million: AA (sf)
Class C (deferrable), $30.00 million: A (sf)
Class D (deferrable), $30.00 million: BBB- (sf)
Class E (deferrable), $20.00 million: BB- (sf)
Subordinated notes, $48.60 million: Not rated
CD 2017-CD4: Fitch Affirms 'CCC' Rating on 2 Tranches
-----------------------------------------------------
Fitch Ratings has affirmed 19 classes of CD 2017-CD4 Mortgage Trust
Commercial Mortgage Pass-Through Certificates Series 2017-CD4. In
addition, Fitch has revised the Rating Outlooks for two classes to
Stable from Negative.
DEBT RATING PRIOR
---- ------ -----
CD 2017-CD4
A-1 12515DAM6 LT AAAsf Affirmed AAAsf
A-2 12515DAN4 LT AAAsf Affirmed AAAsf
A-3 12515DAQ7 LT AAAsf Affirmed AAAsf
A-4 12515DAR5 LT AAAsf Affirmed AAAsf
A-M 12515DAT1 LT AAAsf Affirmed AAAsf
A-SB 12515DAP9 LT AAAsf Affirmed AAAsf
B 12515DAU8 LT AA-sf Affirmed AA-sf
C 12515DAV6 LT A-sf Affirmed A-sf
D 12515DAF1 LT BBB-sf Affirmed BBB-sf
E 12515DAG9 LT BB-sf Affirmed BB-sf
F 12515DAH7 LT CCCsf Affirmed CCCsf
V-A 12515DAW4 LT AAAsf Affirmed AAAsf
V-BC 12515DBU7 LT A-sf Affirmed A-sf
V-D 12515DAZ7 LT BBB-sf Affirmed BBB-sf
X-A 12515DAS3 LT AAAsf Affirmed AAAsf
X-B 12515DAA2 LT A-sf Affirmed A-sf
X-D 12515DAB0 LT BBB-sf Affirmed BBB-sf
X-E 12515DAC8 LT BB-sf Affirmed BB-sf
X-F 12515DAD6 LT CCCsf Affirmed CCCsf
KEY RATING DRIVERS
Improved Loss Expectations: Overall performance and base case loss
expectations for the pool have improved since the last rating
action. The Outlook revisions to Stable reflects the stable to
improving performance of loans impacted by the pandemic. Fitch's
current ratings incorporate a base case loss of 4.8%.
There are 13 Fitch Loans of Concern (FLOCs; 28.7% of pool)
including the five specially serviced loans (9.9%). These loans
were flagged due to high vacancy, low debt service coverage ratio
(DSCR), upcoming rollover concerns and/or pandemic-related
underperformance.
Largest Contributor to Base Case Loss: The largest contributor to
expected loss, and second largest specially serviced loan, is
Marriott Spartanburg (2.6%), secured by full-service hotel with 247
rooms located in Spartanburg, SC. The property is located near
several colleges, including Wofford College, Spartanburg Methodist
College, University of South Carolina Upstate and Converse College.
The loan transferred to the special servicer in July 2020 due to
payment default. Per the servicer, a short-term forbearance was
finalized and the loan is expected to return to the master
servicer.
The June 2020 NOI DSCR declined to 0.53x from 1.04x at YE 2019,
1.50x at YE 2018, and 1.89x at YE 2017. NOI dropped prior to the
pandemic mainly due to a decrease in room revenue, as a result of
competition from several new hotels that opened in the area in last
several years. One of the hotels is a 114-room AC Marriott Hotel
that opened in December 2017, within a few blocks of the Marriott
Spartanburg. Marriott provided a reduced 3% franchise fee from 2017
through April 2018 as an accommodation for the competition that
would negatively impact Marriott Spartanburg. Fitch's modeled loss
of approximately 30% reflects a value of $75,000 per key.
The second largest contributor to loss is the Midwest Embassy
Suites Portfolio loan (7.3% of the pool), which is secured by three
full-service hotels containing 782 rooms located in Columbus,
Cleveland and Cincinnati, Ohio. The loan received pandemic relief
in October 2020 without being transferred to the special servicer,
which included three months of deferred FF&E reserve deposits, and
was allowed to utilize the FF&E reserve funds to pay debt service
for three months.
September 2021 annualized NOI DSCR has increased to 1.02x after
dropping to -0.20 at YE 2020 from 1.70x at YE 2019 and 1.86x at YE
2018. Per the latest OSAR, Embassy Suites Cincinnati Rivercenter
Covington had a YTD September 2021 occupancy, ADR, and RevPar of
56%, $141, and $79 compared to TTM December 2020 at 33.5%, $119,
and $40, respectively. Embassy Suites Cleveland Rockside had a YTD
September 2021 Occupancy, ADR, and RevPar of 49%, $112, and $55
compared to TTM December 2020 at 31.3%, $103, and $32,
respectively. Embassy Suites Columbus Dublin had a YTD September
2021 occupancy, ADR, and RevPar of 46%, $121, and $55 compared to
TTM December 2020 at 34%, $109, and $37, respectively. Fitch's
modeled loss of approximately 6% reflects a value of $76,000 per
key.
Minimal Change to Credit Enhancement (CE): As of the February 2022
remittance, the pool's aggregate balance has been paid down by 3.2%
to $871.8 million from $900.5 million at issuance. All of the
original 47 loans remain in the pool. Ten loans (29% of the pool)
are interest only (IO) for the full loan term, including five loans
(24.9%) in the top 15. Four loans (5.3%) have remaining
partial-term IO periods and the remaining loans are amortizing
(69.8%). Based on the scheduled balance at maturity, the pool is
only expected to be reduced by 9.9%. No loans are defeased.
The majority of the pool matures in 2027 (80.6%); however, 10.9% of
the pool matures in 2022, 2.0% in 2025, and 6.5% in 2026.
ADDITIONAL CONSIDERATIONS
High Office and Hotel Loan Concentration: Loans backed by office
properties represent 42.5% of the pool, including 37.7% in the top
15. Hotel properties represent 20.8%, including 18.3% in the top
20.
Single-Tenant Concentration: Five loans among the largest 20 are
secured by single-tenant properties (15.7% of the pool). Moffett
Place Google (8.5%), Malibu Vista (2.0%), Alvogen Pharma US (2.0%),
SG360 (1.9%), and Malibu Office (1.3%; Regus vacated) are secured
by single-tenant properties.
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 'AAAsf' and 'AA-sf' classes are not likely due to their
high CE and continued amortization, but may occur should
interest shortfalls occur.
-- Downgrades to classes C, X-B, D, X-D, V-BC, and V-D could
occur if overall pool losses increase significantly and/or one
or more large loans had an outsized loss that eroded CE.
Downgrades to classes E, X-E, F, and X-F could occur if
performance of the FLOCs or loans susceptible to the pandemic
do not continue to stabilize and/or additional 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
coupled with pay down and/or defeasance. Upgrades of classes
B, X-B, C and V-BC may occur with significant improvement in
CE and/or defeasance; however, it is not likely unless the
performance of the FLOCs stabilize or improve. An upgrade to
classes D, X-D and V-D would also consider these factors but
would be limited based on sensitivity to concentrations, or
the potential for future concentration.
-- Classes would not be upgraded above 'Asf' if there were a
likelihood for interest shortfalls. An upgrade to classes E,
X-E, F, and X-F is not likely until the later years in a
transaction and only if the performance of the remaining pool
is stable and/or if there is sufficient CE, which would likely
occur when the senior classes pay off and if the non-rated
classes are not eroded.
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.
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.
CIM TRUST 2022-R1: Fitch Rates Class B2 Debt 'B'
------------------------------------------------
Fitch Ratings has assigned ratings to CIM Trust 2022-R1 (CIM
2022-R1).
DEBT RATING PRIOR
---- ------ -----
CIM 2022-R1
A-IO-S LT NRsf New Rating NR(EXP)sf
A1 LT AAAsf New Rating AAA(EXP)sf
A1-A LT AAAsf New Rating AAA(EXP)sf
A1-B LT AAAsf New Rating AAA(EXP)sf
B1 LT BBsf New Rating BB(EXP)sf
B2 LT Bsf New Rating B(EXP)sf
B3 LT NRsf New Rating NR(EXP)sf
M1 LT AAsf New Rating AA(EXP)sf
M2 LT Asf New Rating A(EXP)sf
M3 LT BBBsf New Rating BBB(EXP)sf
TRANSACTION SUMMARY
Fitch has rated the residential mortgage-backed notes to be issued
by CIM Trust 2022-R1 (CIM 2022-R1) as indicated above. The
transaction closed on Feb. 28, 2022. The notes are supported by one
collateral group that consists of 1,803 seasoned performing loans
(SPLs) and re-performing loans (RPLs) with a total balance of
approximately $328.2 million, which includes $20.5 million, or 6.3%
of the aggregate pool balance, in non-interest-bearing deferred
principal amounts as of the cutoff date.
Distributions of principal and interest (P&I) and loss allocations
are based on a traditional 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 10.6% above a long-term sustainable level (vs.
10.6% 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 19.7% yoy nationally as of September 2021.
Distressed Performance History (Negative): The collateral pool
consists primarily of peak-vintage, seasoned performing and RPLs.
Of the pool, 4.1% of loans were 30 days delinquent as of the cutoff
date and 34.9% are current but have had recent delinquencies or
incomplete pay strings. Approximately 54.3% of the loans have been
paying on time for at least the most recent 24 months. Roughly
61.2% have been modified.
Low Leverage (Positive): The pool consists of loans with a weighted
average (WA) original CLTV of 76.2%. All loans received an updated
broker price opinion (BPO) valuation, which translates to a WA
sustainable LTV (sLTV) of 56.4% at the base case. This reflects low
leverage borrowers and is stronger than recently rated RPL
transactions.
No Servicer P&I Advances (Mixed): The servicer will not be
advancing delinquent monthly payments of P&I, which reduces
liquidity to the trust. P&I advances made on behalf of loans that
become delinquent and eventually liquidate reduce liquidation
proceeds to the trust. Due to the lack of P&I advancing, the
loan-level loss severity (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.
Sequential-Pay Structure (Positive): The transaction's cash flow is
based on a sequential-pay structure whereby the subordinate classes
do not receive principal until the senior classes are repaid in
full. Losses are allocated in reverse-sequential order.
Furthermore, the provision to re-allocate principal to pay interest
on the 'AAAsf' and 'AAsf' rated notes prior to other principal
distributions is highly supportive of timely interest payments to
those classes in the absence of servicer advancing.
RATING SENSITIVITIES
Factor that could, individually or collectively, lead to negative
rating action/downgrade:
-- The defined negative rating sensitivity analysis demonstrates
how the ratings would react to steeper MVDs at the national
level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
addition to the model projected 41.9% at 'AAA'. The analysis
indicates 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'.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC. The third-party due diligence review was
completed on 100% of the loans in this transaction. The scope of
the due diligence review was consistent with Fitch criteria for RPL
collateral and also included a property valuation review in
addition to the regulatory compliance and pay history review. All
loans also received an updated tax and title search and review of
servicing comments.
Fitch considered this information in its analysis and, as a result,
made the following adjustments to its analysis: increased the loss
severity due to HUD-1 issues, increased liquidation timelines for
loans missing modification agreements, and increased the loss
severity due to outstanding delinquent property taxes or liens.
These adjustments resulted in an increase in the 'AAAsf' expected
loss of approximately 0.25%.
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.
COMM 2014-CCRE18: Fitch Affirms B- Rating on Class E Certs
----------------------------------------------------------
Fitch Ratings has affirmed 11 classes of Deutsche Bank Securities,
Inc.'s commercial mortgage pass-through certificates, series
2014-CCRE18 (COMM 2014-CCRE18). The Rating Outlooks on four classes
have been revised to Positive from Stable. The Outlooks on two
classes have been revised to Stable from Negative.
DEBT RATING PRIOR
---- ------ -----
COMM 2014-CCRE18
A-4 12632QAW3 LT AAAsf Affirmed AAAsf
A-5 12632QAX1 LT AAAsf Affirmed AAAsf
A-M 12632QAZ6 LT AAAsf Affirmed AAAsf
A-SB 12632QAU7 LT AAAsf Affirmed AAAsf
B 12632QBA0 LT AA-sf Affirmed AA-sf
C 12632QBC6 LT A-sf Affirmed A-sf
D 12632QAE3 LT BBsf Affirmed BBsf
E 12632QAG8 LT B-sf Affirmed B-sf
PEZ 12632QBB8 LT A-sf Affirmed A-sf
X-A 12632QAY9 LT AAAsf Affirmed AAAsf
X-B 12632QAA1 LT AA-sf Affirmed AA-sf
KEY RATING DRIVERS
Improved Loss Expectations: Overall performance and base case loss
expectations for the overall pool have improved since the last
rating action. The affirmations and Positive Outlooks reflect
significant defeasance and paydown, improved performance of the
underlying pool and potential for upgrades with continued stable
performance and resolution of the larger specially serviced loans.
The Outlook revisions to Stable reflect lower expected losses as
markets continue to improve and property cash flow stabilizes
following the closures from the pandemic.
Fitch's ratings reflect a base case loss of 3.3%
The largest specially serviced loan is the Westbrook Plaza (2%),
which is secured by a 97,727sf Neighborhood Center located in
Garden Grove, CA. The loan transferred to special servicing in
August 2020 as a result of the COVID-19 pandemic. According to
servicer updates, the special servicer is finalizing reserve
repayment and fee collection with the borrower and anticipates a
return to Master Servicer in the first half of 2022. The largest
tenant is Saigon Supermarket (59% NRA through May 2024).
Fitch's expected loss severity of 16% reflects a 20% haircut to the
YE 2019 NOI.
The second largest specially serviced loan and the largest
contributor to loss is the Candlewood Suites Syracuse loan (0.9%),
which is secured by a 124-key limited service hotel located in
North Syracuse, NY, near Syracuse Hancock International Airport.
The loan transferred to special servicing in December 2018 and
became REO in April 2021. According to servicer updates, the
property is under contract for sale.
Fitch modeled a loss of approximately 66% which reflects a value of
$24,000 per key.
Improved Performance: Performance has improved for the 399 Thornall
Street loan (4.5%), which is secured by a 335,000-sf office
building located in Edison, NJ. The servicer reported annualized
YTD September 2021 debt service coverage ratio (DSCR) was 2.1x
which is a significant increase from 0.73x at YE 2020. The increase
is attributed to a 57% increase in base rent as a result of
occupancy improvement.
Per the September 2021, the property was 53% occupied which is an
increase from 39% at YE 2019. The increase in occupancy is due to
Hackensack Meridian Health (14.4% NRA) lease commencing in October
2020 that will run through September 2028. Upcoming rollover at the
property includes 5.9% of the NRA in 2022, followed by 15.3% in
2023 and 7% in 2024.
Improved Credit Enhancement (CE): CE has improved since issuance
due to scheduled amortization, loan payoffs and defeasance. The
pool has paid down approximately 30% since issuance, and eight
loans totaling 20% of the pool are defeased. Since Fitch's last
rating action, one REO asset was disposed. The non-rated class G
has incurred $23.4 million in realized losses to date.
Three loans (26.5%) are full-term interest-only (IO), and no loans
remain in its partial IO period. The remainder of the pool matures
between May 2024 and July 2024.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- Downgrades to classes A-4 through A-M are not likely due to
their position in the capital structure and the high CE;
however, downgrades to these classes may occur if they incur
interest shortfalls. Downgrades to class B and C would occur
if loss expectations increase significantly and/or should CE
be eroded.
-- Downgrades to classes D, E and F would occur if the
performance of the FLOC continues to decline and/or fail to
stabilize, or should losses from specially serviced
loans/assets be larger than expected.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Upgrades to classes on Positive Outlook would likely occur
with continued stable performance and resolution of the larger
specially serviced loans; however, adverse selection and
increased concentrations, or the underperformance of the
FLOCs, could reverse this trend.
-- An upgrade to class D would be limited based on sensitivity to
concentrations or adverse selection. An upgrade to classes E
and F is not likely until the later years in the transaction
and only if the performance of the remaining pool is stable
and/or properties vulnerable to the coronavirus return to pre
pandemic levels, and if 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.
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.
GOLDENTREE LOAN 6: S&P Assigns B- (sf) Rating on Class F-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class X-R, A-R, B-R,
C-R, D-R, E-R, and F-R replacement notes from GoldenTree Loan
Management US CLO 6 Ltd./GoldenTree Loan Management US CLO 6 LLC, a
CLO originally issued in December 2019 that is managed by
GoldenTree Loan Management L.P., an affiliate of GoldenTree Asset
Management. At the same time, S&P withdrew its ratings on the
original class X, A, B-1, B-2, C, D, E, and F notes following
payment in full on the Feb. 24, 2022, refinancing date.
The replacement notes were issued via a supplemental indenture,
which outlines the terms of the replacement notes. According to the
supplemental indenture:
-- The non-call period will be extended by approximately two
years;
-- The reinvestment period will be by extended approximately 2.25
years;
-- The stated maturity date (for the replacement notes and the
existing subordinated notes) will be extended by approximately 2.25
years;
-- The required minimum overcollateralization and interest
coverage ratios will be amended;
-- No additional subordinated notes will be issued on the
refinancing date; and
-- The transaction has adopted benchmark replacement language and
made updates to conform to current rating agency methodology.
Replacement And Original Note Issuances
Replacement notes
Class X-R, $2.75 million: Three-month SOFR + 0.60%
Class A-R, $352.00 million: Three-month SOFR + 1.32%
Class B-R, $66.00 million: Three-month SOFR + 1.80%
Class C-R, $33.00 million: Three-month SOFR + 2.10%
Class D-R, $33.00 million: Three-month SOFR + 3.10%
Class E-R, $22.00 million: Three-month SOFR + 6.70%
Class F-R, $11.00 million: Three-month SOFR + 8.44%
Subordinated notes, $32.85 million: Residual
Original notes
Class X, $3.70 million: Three-month LIBOR + 0.60%
Class A, $352.00 million: Three-month LIBOR + 1.34%
Class B-1, $52.25 million: Three-month LIBOR + 1.90%
Class B-2, $13.75 million: 3.38%
Class C (deferrable), $33.00 million: Three-month LIBOR + 2.60%
Class D (deferrable), $30.25 million: Three-month LIBOR + 3.85%
Class E (deferrable), $26.00 million: Three-month LIBOR + 5.22%
Class F (deferrable), $9.75 million: Three-month LIBOR + 7.55%
Subordinated notes, $32.85 million: Residual
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
GoldenTree Loan Management US CLO 6 Ltd./
GoldenTree Loan Management US CLO 6 LLC
Class X-R, $2.75 million: AAA (sf)
Class A-R, $352.00 million: AAA (sf)
Class B-R, $66.00 million: AA (sf)
Class C-R, $33.00 million: A+ (sf)
Class D-R, $33.00 million: BBB (sf)
Class E-R, $22.00 million: BB- (sf)
Class F-R, $11.00 million: B- (sf)
Subordinated notes, $32.85 million: NR
Ratings Withdrawn
GoldenTree Loan Management US CLO 6 Ltd./
GoldenTree Loan Management US CLO 6 LLC
Class X: to NR from 'AAA (sf)'
Class A: to NR from 'AAA (sf)'
Class B-1: to NR from 'AA (sf)'
Class B-2: to NR from 'AA (sf)'
Class C (deferrable): to NR from 'A (sf)'
Class D (deferrable): to NR from 'BBB (sf)'
Class E (deferrable): to NR from 'BB- (sf)'
Class F (deferrable): to NR from 'B- (sf)'
NR--Not rated.
GS MORTGAGE 2017-GS6: Fitch Affirms B- Rating on Class F Certs
--------------------------------------------------------------
Fitch Ratings has affirmed 12 classes of GS Mortgage Securities
Trust, commercial mortgage pass-through certificates, series
2017-GS6 (GSMS 2017-GS6).
DEBT RATING PRIOR
---- ------ -----
GSMS 2017-GS6
A-2 36253PAB8 LT AAAsf Affirmed AAAsf
A-3 36253PAC6 LT AAAsf Affirmed AAAsf
A-AB 36253PAD4 LT AAAsf Affirmed AAAsf
A-S 36253PAG7 LT AAAsf Affirmed AAAsf
B 36253PAH5 LT AA-sf Affirmed AA-sf
C 36253PAJ1 LT A-sf Affirmed A-sf
D 36253PAK8 LT BBB-sf Affirmed BBB-sf
E 36253PAP7 LT BBsf Affirmed BBsf
F 36253PAR3 LT B-sf Affirmed B-sf
X-A 36253PAE2 LT AAAsf Affirmed AAAsf
X-B 36253PAF9 LT A-sf Affirmed A-sf
X-D 36253PAM4 LT BBB-sf Affirmed BBB-sf
KEY RATING DRIVERS
Overall Stable Loss Expectations Since Issuance: Overall pool
performance remains stable, but loss expectations on certain loans
in the top 15 have increased since the last rating action including
One West 34th Street (4.3% of the pool) and The Plaza (2.5%).
There have been no specially serviced loans since issuance. Three
loans (8.6% of pool) were flagged as Fitch Loans of Concern (FLOCs)
due to upcoming rollover concerns and/or declining performance.
Fitch's ratings assume a base case loss expectation of 4.1%. The
Negative Outlook for class F reflects the potential for a downgrade
due to long-term concerns about One West 34th Street.
The largest contributor to losses and FLOC, One West 34th Street,
is secured by a 210,358-sf office property located at the corner of
West 34th Street and Fifth Avenue in Manhattan, across the street
from the Empire State Building. The current largest tenants are CVS
(7.2% of NRA; through January 2034), Olivia Miller Inc (6.3%; July
2024) and International Inspiration (4.2%; November 2026). Upcoming
rollover includes 3.4% of NRA (five leases) in 2022, 5.3% (eight
leases) in 2023 and 18.0% (11 leases) in 2024. Pre-pandemic
occupancy and cash flow at the property had been trending downward
and declined further in 2020 and 2021. The property was 73%
occupied as of September 2021, down from 83% at YE 2020, 90% at YE
2019 and 95% at issuance. Tenants that have vacated between YE 2020
and September 2021 include TMX Group US (2.5% NRA), Lane Bryant
(2.4%), Tri-State Envelope (1.3%), Charak (0.4%), Resource
Innovative (0.4%) and M. S. Nestorov DDS (0.4%).
YE 2020 NOI fell 34.2% from 2019, primarily due to the lower
occupancy and reduced gross revenues. In addition, during 2Q20, a
significant amount of rent was not collected due to
pandemic-related hardships; the borrower continues to work with
tenants on rent collections, but some have reportedly vacated. The
loan is currently cash managed due to the declining debt service
coverage ratio (DSCR), with approximately $1.7 million in the
excess cash reserve as of December 2021. Fitch's base case loss of
29% reflects an 8% cap rate and gives credit to the property's
strong Manhattan location and excellent access to public and mass
transit.
The second largest contributor to losses and FLOC, The Plaza, is
secured by 96,960-sf retail property located in Buford, GA. The
property is anchored by LA Fitness (46.4% NRA; expires September
30, 2037). Despite maintaining occupancy at 100%, DSCR has steadily
declined: 2.36x (YE 2019), 1.59x (YE 2020) and 1.29x (September
2021). The loan converted from interest-only and began paying
principal in 2020. Approximately 21.6% NRA, representing 30% of
base rent, expires in 2022. Fitch has requested a leasing status
update. Fitch's analysis includes a 20% total stress to September
2021 NOI due to upcoming rollover concerns, resulting in a loss of
15%.
Minimal Change to Credit Enhancement: There has been minimal change
to credit enhancement since issuance. As of the February 2022
distribution date, the pool's aggregate balance has been paid down
by 2.1% to $939.1 million from $959.1 million at issuance. One loan
prepaid before its May 2027 maturity date. Based on the loans'
scheduled maturity balances, the pool is expected to amortize 5.3%
during the term. Thirteen loans (54.9% of pool) are full-term,
interest-only and 11 loans (28.2%) have a partial-term,
interest-only component of which eight (14.8%) have begun to
amortize.
Loan Concentration: The pool is concentrated with a total of 32
loans. The largest 10 loans comprise 67.3% of the pool. The largest
property-type concentration is office at 49.1% of the pool,
followed by mixed use at 18.9% and retail at 17%.
Pari Passu Loans: Nine of the top 10 loans (62.4%) have pari-passu
debt outside the trust.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- An increase in pool level losses from underperforming loans or
specially serviced loan transfers. Downgrades to classes A-1
through A-S (and interest only-classes X-A and) are less
likely due to the high credit enhancement but may occur should
interest shortfalls affect these classes.
-- Downgrades to classes B, C, X-B, D, X-D and E would occur
should loss expectations increase significantly and the
performance of the FLOCs fail to stabilize or decline further.
Downgrades to class F would occur should the FLOCs fail to
stabilize Including the One West 34th Street loan.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Upgrades to classes B, C and interest-only class X-B would
only occur with significant improvement in credit enhancement
(CE) and/or defeasance and/or with the stabilization of
performance on the FLOCs. Upgrades to classes D and X-D would
also consider these factors but would be limited based on
sensitivity to concentrations or the potential for future
concentrations.
-- Classes would not be upgraded above 'Asf' if interest
shortfalls are likely. Upgrades to classes E and F are not
likely until the later years of the transaction and only if
the performance of the remaining pool is stable with
significant performance improvement on the FLOCs 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.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
GS MORTGAGE 2022-LTV1: Moody's Assigns B3 Rating to Class B-5 Certs
-------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 38
classes of residential mortgage-backed securities (RMBS) issued by
GS Mortgage-Backed Securities Trust 2022-LTV1. The ratings range
from Aaa (sf) to B3 (sf).
GS Mortgage-Backed Securities Trust 2022-LTV1 (GSMBS 2022-LTV1) is
the fourth prime jumbo transaction in 2022 issued by Goldman Sachs
Mortgage Company (GSMC), the sponsor and the primary mortgage loan
seller. Overall, pool strengths include the high credit quality of
the underlying borrowers, indicated by high FICO scores, strong
reserves for prime jumbo borrowers, mortgage loans with fixed
interest rates and no interest-only loans. As of the cut-off date,
none of the mortgage loans are subject to a COVID-19 related
forbearance plan.
GSMC's general partner is Goldman Sachs Real Estate Funding Corp.
and its limited partner is Goldman Sachs Bank USA. The mortgage
loans for this transaction were acquired by GSMC, the sponsor and
the mortgage loan seller (100.0% by UPB), from certain of the
originators or the aggregator, MaxEx Clearing LLC (which aggregated
7.3% of the mortgage loans by UPB).
NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) will
service 68.6% (by loan balance) and United Wholesale Mortgage, LLC
(UWM) will service 31.4% (by loan balance) of the mortgage loans on
behalf of the issuing entity which will be subserviced by Cenlar
FSB (Cenlar), as subservicer. Computershare Trust Company, N.A.
(Computershare) will be the master servicer for this transaction.
Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model. In addition, Moody's
adjusted its 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.
Moody's coded the cash flow to each of the certificate classes
using Moody's proprietary cash flow tool.
The complete rating actions are as follows:
Issuer: GS Mortgage-Backed Securities Trust 2022-LTV1
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aa1 (sf)
Cl. A-4, Definitive Rating Assigned Aa1 (sf)
Cl. A-5, Definitive Rating Assigned Aaa (sf)
Cl. A-6, Definitive Rating Assigned Aaa (sf)
Cl. A-7, Definitive Rating Assigned Aaa (sf)
Cl. A-7-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-8, Definitive Rating Assigned Aaa (sf)
Cl. A-9, Definitive Rating Assigned Aaa (sf)
Cl. A-10, Definitive Rating Assigned Aaa (sf)
Cl. A-11, Definitive Rating Assigned Aaa (sf)
Cl. A-11-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-12, Definitive Rating Assigned Aaa (sf)
Cl. A-13, Definitive Rating Assigned Aaa (sf)
Cl. A-14, Definitive Rating Assigned Aaa (sf)
Cl. A-15, Definitive Rating Assigned Aaa (sf)
Cl. A-15-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-16, Definitive Rating Assigned Aaa (sf)
Cl. A-17, Definitive Rating Assigned Aaa (sf)
Cl. A-17-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-18, Definitive Rating Assigned Aaa (sf)
Cl. A-18-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-19, Definitive Rating Assigned Aaa (sf)
Cl. A-20, Definitive Rating Assigned Aaa (sf)
Cl. A-21, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-2*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-3*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-4*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-5*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-9*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-13*, Definitive Rating Assigned Aaa (sf)
Cl. B-1, Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Definitive Rating Assigned A3 (sf)
Cl. B-3, Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Definitive Rating Assigned Ba3 (sf)
Cl. B-5, Definitive Rating Assigned B3 (sf)
*Reflects Interest-Only Classes
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
expected loss for this pool in a baseline scenario-mean is 1.47% in
a baseline scenario-median is 1.10% and reaches 9.63% at stress
level consistent with Moody's Aaa rating.
Moody's base its ratings on the certificates on the credit quality
of the mortgage loans, the structural features of the transaction,
Moody's assessments of the origination quality and servicing
arrangement, strength of the TPR and the R&W framework of the
transaction.
Collateral Description
As of the February 1, 2022 cut-off date, the aggregate collateral
pool comprises 343 prime jumbo (non-conforming), 30-year loan-term,
fully-amortizing fixed-rate mortgage loans, with an aggregate
stated principal balance (UPB) $317,653,412 and a weighted average
(WA) mortgage rate of 3.5%. Top 10 MSAs comprise 56.2% of the pool,
by UPB. The high geographic concentration in high cost MSAs is
reflected in the high average balance of the pool ($926,103).
GSMBS 2022-LTV1 is the first GSMBS transaction with the LTV
designation. The WA loan-to-value (LTV) ratio of the mortgage pool
is 89.5%, which is higher than that of previous GSMBS transactions
which had WA LTVs of about 71% on average. All the loans have LTVs
greater than 80%, and about 91% of the loans by balance have LTVs
greater than 85%. Only one loan in the pool has mortgage insurance.
Consistent with previous GSMBS transactions, the borrowers in the
pool have a WA FICO score of 774 and a WA debt-to-income ratio of
36.9%.
All the mortgage loans in the aggregate pool are qualified
mortgages (QM) meeting the requirements of the QM-Safe Harbor rule
(Appendix Q) or the new General QM rule.
A portion of the loans purchased from various sellers into the pool
were originated pursuant to the new general QM rule (92.9% of the
pool by loan balance). The third-party review verified that the
loans' APRs met the QM rule's thresholds. Furthermore, these loans
were underwritten and documented pursuant to the QM rule's
verification safe harbor via a mix of the Fannie Mae Single Family
Selling Guide, the Freddie Mac Single-Family Seller/Servicer Guide,
and applicable program overlays. As part of the origination quality
review and in consideration of the detailed loan-level third-party
diligence reports, which included supplemental information with the
specific documentation received for each loan, Moody's concluded
that these loans were fully documented loans, and that the
underwriting of the loans is acceptable. Therefore, Moody's ran
these loans as "full documentation" loans in Moody's MILAN model,
but increased Moody's Aaa and expected loss assumptions due to the
lack of performance, track records and substantial overlays of the
AUS-underwritten loans.
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 (100.0% by UPB), from certain
of the originators or the aggregator, MaxEx Clearing LLC (which
aggregated 7.3% of the mortgage loans by UPB). The mortgage loans
in the pool are underwritten to either GSMC's underwriting
guidelines, or seller's applicable guidelines. The mortgage loan
sellers do not originate any mortgage loans, including the mortgage
loans included in the mortgage pool. Instead, the mortgage loan
sellers acquired the mortgage loans pursuant to contracts with the
originators or the aggregator.
Overall, Moody's consider 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. In
addition to reviewing GSMC's aggregation quality, Moody's have also
reviewed the origination quality of each of the originators which
contributed at least approximately 10% of the mortgage loans (by
UPB) to the transaction. For these originators, Moody's reviewed
their underwriting guidelines, performance history, and quality
control and audit processes and procedures (to the extent
available, respectively). Approximately 31.4%, 12.4% and 10.7% of
the mortgage loans, by UPB as of the cut-off date, were originated
by UWM, Fairway Independent Mortgage Corp and Guaranteed Rate
affiliates (including Guaranteed Rate, Inc. (GRI), Guaranteed Rate
Affinity, LLC (GRA) and Proper Rate, LLC) respectively. No other
originator or group of affiliated originators originated more than
approximately 10% of the mortgage loans in the aggregate.
Moody's increased its base case and Aaa loss expectations for
certain originators of non-conforming loans where Moody's do not
have clear insight into the underwriting practices, quality control
and credit risk management [except being neutral for Guaranteed
Rate, Inc. (including Guaranteed Rate Affinity, LLC and Proper
Rate, LLC), Caliber Home Loans, Inc. and NewRez LLC under the old
QM guidelines].
Servicing Arrangement
Moody's consider the overall servicing arrangement for this pool to
be adequate, and as a result Moody's did not make any adjustments
to Moody's base case and Aaa stress loss assumptions based on the
servicing arrangement.
Shellpoint and UWM will act as the servicers for this transaction.
Shellpoint will service 68.6% of the pool by balance and UWM will
service 31.4% of the pool by balance. Cenlar will act as the
subservicer for UWM. Furthermore, Computershare will act as the
master servicer.
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
The transaction benefits from TPR on 100% of the mortgage loans for
regulatory compliance, credit and property valuation. The TPR
results confirm compliance with the originator's underwriting
guidelines for the vast majority of loans, no material regulatory
compliance issues, and no material property valuation exceptions.
The loans that had exceptions to the originator's underwriting
guidelines had significant compensating factors that were
documented. However, weaknesses exist in the property valuation
review, where 169 non-conforming loans had a property valuation
review consisting of Fannie Mae's Collateral Underwriter score
and/or no other third-party valuation product such as a Collateral
Desktop Analysis (CDA) and field review or second full appraisal.
As a result, Moody's applied an adjustment to the collateral loss
to these 169 loans since the sample size of loans in the pool that
were reviewed using a third-party valuation product such as a CDA
was insufficient.
Representations & Warranties
GSMBS 2022-LTV1's R&W framework is in line with that of prior GSMBS
transactions Moody's have rated where an independent reviewer is
named at closing, and costs and manner of review are clearly
outlined at issuance. Moody's review of the R&W framework takes
into account the financial strength of the R&W providers, scope of
R&Ws (including qualifiers and sunsets) and the R&W enforcement
mechanism. The loan-level R&Ws meet or exceed the baseline set of
credit-neutral R&Ws Moody's 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 provider determines the probability
that the R&W provider will be available and have the financial
strength to repurchase defective loans upon identifying a breach.
An investment-grade rated R&W provider lends substantial strength
to its R&Ws. Moody's analyze the impact of less creditworthy R&W
providers case by case, in conjunction with other aspects of the
transaction. Here, because most of the R&W providers are unrated
and/or exhibit limited financial flexibility, Moody's applied an
adjustment to the mortgage loans for which these entities provided
R&Ws. In addition, a R&W breach will be deemed not to have occurred
if it arose as a result of a TPR exception disclosed in Appendix I
of the Private Placement Memorandum. There were a relatively high
number of B-grade exceptions in the TPR review, the disclosure of
which weakens the R&W framework.
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 1.25% of the cut-off date pool
balance, and as subordination lock-out amount of 1.25% 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.
Methodology
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in February 2022.
GS MORTGAGE 2022-PJ2: Moody's Assigns B3 Rating to Cl. B-5 Certs
----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 57
classes of residential mortgage-backed securities (RMBS) issued by
GS Mortgage-Backed Securities Trust 2022-PJ2. The ratings range
from Aaa (sf) to B3 (sf).
GS Mortgage-Backed Securities Trust 2022-PJ2 (GSMBS 2022-PJ2) is
the third prime jumbo transaction in 2022 issued by Goldman Sachs
Mortgage Company (GSMC), the sponsor and the primary mortgage loan
seller. Overall, pool strengths include the high credit quality of
the underlying borrowers, indicated by high FICO scores, strong
reserves for prime jumbo borrowers, mortgage loans with fixed
interest rates and no interest-only loans. As of the cut-off date,
none of the mortgage loans are subject to a COVID-19 related
forbearance plan.
GSMC is a wholly owned subsidiary of Goldman Sachs Bank USA and
Goldman Sachs. The mortgage loans for this transaction were
acquired by GSMC, the sponsor and the primary mortgage loan seller
(approximately 99.45% by UPB), and MCLP Asset Company, Inc. (MCLP)
(approximately 0.55% by UPB), the mortgage loan sellers, from
certain of the originators or the aggregator, MAXEX Clearing LLC
(which aggregated 3.9% of the mortgage loans by UPB).
NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) will
service all of the mortgage loans in the pool. Computershare Trust
Company, N.A. (Computershare) will be the master servicer,
securities administrator and the custodian for this transaction.
Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model. In addition, Moody's
adjusted its losses based on qualitative attributes such as the
origination quality and the strength of the R&W framework.
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.
Moody's coded the cash flow to each of the certificate classes
using Moody's proprietary cash flow tool.
The complete rating actions are as follows:
Issuer: GS Mortgage-Backed Securities Trust 2022-PJ2
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-1-X*, Definitive Rating Assigned Aa1 (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-4-A, Definitive Rating Assigned Aaa (sf)
Cl. A-4-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-5, Definitive Rating Assigned Aaa (sf)
Cl. A-6, Definitive Rating Assigned Aaa (sf)
Cl. A-6A, Definitive Rating Assigned Aaa (sf)
Cl. A-7, Definitive Rating Assigned Aaa (sf)
Cl. A-7-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-8, Definitive Rating Assigned Aaa (sf)
Cl. A-9, Definitive Rating Assigned Aaa (sf)
Cl. A-10, Definitive Rating Assigned Aaa (sf)
Cl. A-10-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-11, Definitive Rating Assigned Aaa (sf)
Cl. A-12, Definitive Rating Assigned Aaa (sf)
Cl. A-13, Definitive Rating Assigned Aaa (sf)
Cl. A-13-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-14, Definitive Rating Assigned Aaa (sf)
Cl. A-15, Definitive Rating Assigned Aaa (sf)
Cl. A-16, Definitive Rating Assigned Aaa (sf)
Cl. A-16-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-17, Definitive Rating Assigned Aaa (sf)
Cl. A-18, Definitive Rating Assigned Aaa (sf)
Cl. A-19, Definitive Rating Assigned Aaa (sf)
Cl. A-19-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-20, Definitive Rating Assigned Aaa (sf)
Cl. A-21, Definitive Rating Assigned Aaa (sf)
Cl. A-22, Definitive Rating Assigned Aaa (sf)
Cl. A-22-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-23, Definitive Rating Assigned Aaa (sf)
Cl. A-24, Definitive Rating Assigned Aaa (sf)
Cl. A-25, Definitive Rating Assigned Aaa (sf)
Cl. A-25-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-26, Definitive Rating Assigned Aaa (sf)
Cl. A-27, Definitive Rating Assigned Aaa (sf)
Cl. A-28, Definitive Rating Assigned Aaa (sf)
Cl. A-28-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-29, Definitive Rating Assigned Aaa (sf)
Cl. A-30, Definitive Rating Assigned Aaa (sf)
Cl. A-31, Definitive Rating Assigned Aaa (sf)
Cl. A-31-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-32, Definitive Rating Assigned Aaa (sf)
Cl. A-33, Definitive Rating Assigned Aaa (sf)
Cl. A-34, Definitive Rating Assigned Aa1 (sf)
Cl. A-34-X*, Definitive Rating Assigned Aa1 (sf)
Cl. A-35, Definitive Rating Assigned Aa1 (sf)
Cl. A-36, Definitive Rating Assigned Aa1 (sf)
Cl. A-X*, Definitive Rating Assigned Aa1 (sf)
Cl. B-1, Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Definitive Rating Assigned A3 (sf)
Cl. B-3, Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Definitive Rating Assigned Ba3 (sf)
Cl. B-5, Definitive Rating Assigned B3 (sf)
Cl. PT, Definitive Rating Assigned Aaa (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
0.50%, in a baseline scenario-median is 0.32% and reaches 3.91% at
stress level consistent with Moody's Aaa rating.
Moody's base its ratings on the certificates on the credit quality
of the mortgage loans, the structural features of the transaction,
Moody's assessments of the origination quality and servicing
arrangement, strength of the third-party review (TPR) and the R&W
framework of the transaction.
Collateral Description
As of the February 1, 2022 cut-off date, the aggregate collateral
pool comprises 622 (97.6% by UPB) prime jumbo (non-conforming) and
51 (2.4% by UPB) conforming, 30-year loan-term, fully-amortizing
fixed-rate mortgage loans, none of which have the benefit of
primary mortgage guaranty insurance, with an aggregate stated
principal balance (UPB) of approximately $703,669,816 and a
weighted average (WA) mortgage rate of 3.1%. The WA current FICO
score of the borrowers in the pool is 771. The WA Original LTV
ratio of the mortgage pool is 70.9%, which is in line with GSMBS
2022-PJ1 and also with other prime jumbo transactions. Top 10 MSAs
comprise 58.7% of the pool, by UPB. The high geographic
concentration in high cost MSAs is reflected in the high average
balance of the pool ($1,045,572).
All the mortgage loans in the aggregate pool are QM, with the prime
jumbo non-conforming mortgage loans meeting the requirements of the
QM-Safe Harbor rule (Appendix Q) or the new General QM rule, and
the GSE eligible mortgage loans meeting the temporary QM criteria
applicable to loans underwritten in accordance with GSE guidelines.
The other characteristics of the mortgage loans in the pool are
generally comparable to that of GSMBS 2022-PJ1 and recent prime
jumbo transactions.
A portion of the loans purchased from various sellers into the pool
were originated pursuant to the new general QM rule (89.8% by UPB).
The majority of these loans are UWM loans underwritten to GS AUS
underwriting guidelines. The third-party reviewer verified that the
loans' APRs met the QM rule's thresholds. Furthermore, these loans
were underwritten and documented pursuant to the QM rule's
verification safe harbor via a mix of the Fannie Mae Single Family
Selling Guide, the Freddie Mac Single-Family Seller/Servicer Guide,
and applicable program overlays. As part of the origination quality
review and in consideration of the detailed loan-level third-party
diligence reports, which included supplemental information with
specific documentation received, Moody's concluded that these loans
were fully documented loans, and that the underwriting of the loans
is acceptable. Therefore, Moody's ran these loans as "full
documentation" loans in Moody's MILAN model, but increased Moody's
Aaa and expected loss assumptions due to the lack of performance,
track records and substantial overlays of the AUS-underwritten
loans.
Aggregator/Origination Quality
GSMC is the loan aggregator and the primary 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 primary mortgage loan seller (99.45% by UPB), and
MCLP (0.55% by UPB), the mortgage loan sellers, from certain of the
originators or the aggregator, MAXEX Clearing LLC (which aggregated
4.3% of the mortgage loans by UPB). The mortgage loans in the pool
are underwritten to either GSMC's underwriting guidelines, or
seller's applicable guidelines. The mortgage loan sellers do not
originate any mortgage loans, including the mortgage loans included
in the mortgage pool. Instead, the mortgage loan sellers acquired
the mortgage loans pursuant to contracts with the originators or
the aggregator.
Overall, Moody's consider 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. In
addition to reviewing GSMC's aggregation quality, Moody's have also
reviewed the origination quality of each of the originators which
contributed at least approximately 10% of the mortgage loans (by
UPB) to the transaction. For such originators, Moody's reviewed
their underwriting guidelines, performance history, and quality
control and audit processes and procedures (to the extent
available, respectively). Approximately 49.4% of the mortgage
loans, by UPB as of the cut-off date, were originated by United
Wholesale Mortgage, LLC (UWM). No other originator or group of
affiliated originators originated more than 10% of the mortgage
loans. Moody's increased its base case and Aaa loss expectations
for certain originators of non-conforming loans where Moody's do
not have clear insight into the underwriting practices, quality
control and credit risk management (neutral for CrossCountry
Mortgage, Guaranteed Rate, loanDepot.com, LLC, NewRez LLC, Caliber
Homes and Proper Rate under the old QM guidelines). Moody's did not
make an adjustment for GSE-eligible loans, regardless of the
originator, since those loans were underwritten in accordance with
GSE guidelines. Moody's made an adjustment to Moody's losses for
loans originated by UWM primarily due to the fact that underwriting
prime jumbo loans mainly through DU is fairly new and no
performance history has been provided to Moody's on these types of
loans. More time is needed to assess UWM's ability to consistently
produce high-quality prime jumbo residential mortgage loans under
this program. Also, Moody's applied an adjustment for loanDepot
loans originated under the new QM rules as more time is needed to
fully evaluate this origination program.
Servicing Arrangement
Moody's consider the overall servicing arrangement for this pool to
be adequate, and as a result Moody's did not make any adjustments
to Moody's base case and Aaa stress loss assumptions based on the
servicing arrangement.
Shellpoint will act as the servicer for this transaction and will
service all the loans in the pool. Shellpoint is an approved
servicer in good standing with Ginnie Mae, Fannie Mae and Freddie
Mac. Shellpoint's primary servicing location is located in
Greenville, South Carolina. Shellpoint services residential
mortgage assets for investors that include banks, financial
services companies, GSEs and government agencies. Furthermore,
Computershare will be the master servicer, securities administrator
and the custodian.
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
The transaction benefits from TPR on 100% of the mortgage loans for
regulatory compliance, credit and property valuation. The TPR
results confirm compliance with the originator's underwriting
guidelines for the vast majority of loans, no material regulatory
compliance issues, and no material property valuation issues. The
loans that had exceptions to the originator's underwriting
guidelines had significant compensating factors that were
documented.
Similar to GSMBS 2022-PJ1, a relatively high number of the B graded
exceptions were related to title insurance, compared to those in
prime transactions we recently rated. While many of these may be
rectified in the future by the servicer or by subsequent
documentation, there is a risk that these exceptions could impair
the deal's insurance coverage if not rectified and because the R&Ws
specifically exclude these exceptions. Moody's have considered this
risk in Moody's analysis.
Representations & Warranties
GSMBS 2022-PJ2's R&W framework is in line with that of prior GSMBS
transactions Moody's have rated where an independent reviewer is
named at closing, and costs and manner of review are clearly
outlined at issuance. Moody's review of the R&W framework takes
into account the financial strength of the R&W providers, scope of
R&Ws (including qualifiers and sunsets) and the R&W enforcement
mechanism. The loan-level R&Ws meet or exceed the baseline set of
credit-neutral R&Ws Moody's 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 provider determines the probability
that the R&W provider will be available and have the financial
strength to repurchase defective loans upon identifying a breach.
An investment-grade rated R&W provider lends substantial strength
to its R&Ws. Moody's analyze the impact of less creditworthy R&W
providers case by case, in conjunction with other aspects of the
transaction. Here, because most of the R&W providers are unrated
and/or exhibit limited financial flexibility, Moody's applied an
adjustment to the mortgage loans for which these entities provided
R&Ws. In addition, a R&W breach will be deemed not to have occurred
if it arose as a result of a TPR exception disclosed in Appendix I
of the Private Placement Memorandum. There were a relatively high
number of B-grade exceptions in the TPR review, the disclosure of
which weakens the R&W framework.
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 0.90% of the cut-off date pool
balance, and as subordination lock-out amount of 0.90% 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.
Methodology
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in February 2022.
GS MORTGAGE 2022-RPL1: Fitch Rates Class B-2 Certs 'B'
------------------------------------------------------
Fitch Ratings has assigned ratings to the residential mortgage
backed certificates issued by GS Mortgage Backed Securities Trust
2022-RPL1 (GSMBS 2022-RPL1)
DEBT RATING
---- ------
GSMBS 2022-RPL1
A-1 LT AAAsf New Rating
A-2 LT AAsf New Rating
A-3 LT AAsf New Rating
M-1 LT Asf New Rating
A-4 LT Asf New Rating
M-2 LT BBBsf New Rating
A-5 LT BBBsf New Rating
B-1 LT BBsf New Rating
B-2 LT Bsf New Rating
B-3 LT NRsf New Rating
B-4 LT NRsf New Rating
B-5 LT NRsf New Rating
A-IOS LT NRsf New Rating
B LT NRsf New Rating
PT LT NRsf New Rating
RISKRETEN LT NRsf New Rating
SA LT NRsf New Rating
X LT NRsf New Rating
TRANSACTION SUMMARY
The notes are supported by one collateral group that consists of
2,870 seasoned performing loans and reperforming loans (RPLs) with
a total balance of approximately $286 million, which includes $6
million of the aggregate pool balance in non-interest-bearing
deferred principal amounts as of the cut-off date.
Distributions of P&I and loss allocations are based on a
traditional 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 10.7% above a long-term sustainable level (vs.
10.6% 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 19.7% yoy nationally as of September 2021.
RPL Credit Quality (Negative): The collateral consists of 2,870
seasoned performing and re-performing loans, totaling $286 million,
and seasoned approximately 196 months in aggregate. The pool is
98.6% current and 1.4% DQ. Over the last two years 70.1% of loans
have been clean current. Additionally, 58.8% of loans have a prior
modification. The borrowers have a moderate credit profile (690
Fitch model FICO and 45% DTI) and very low leverage (50 sLTV).
No Advancing (Mixed): The deal is structured to zero months of
servicer advances for delinquent principal and interest. The lack
of advancing reduces loss severities, as there is a lower amount
repaid to the servicer when a loan liquidates and liquidation
proceeds are prioritized to cover principal repayment over accrued
but unpaid interest. The downside to this is the additional stress
on the structure side, as there is limited liquidity in the event
of large and extended delinquencies.
Sequential Pay Structure (Positive): The transaction's cash flow is
based on a sequential-pay structure whereby the subordinate classes
do not receive principal until the senior classes are repaid in
full. Losses are allocated in reverse-sequential order.
Furthermore, the provision to re-allocate principal to pay interest
on the 'AAAsf' and 'AAsf' rated notes prior to other principal
distributions is highly supportive of timely interest payments to
those classes.
Representation Framework (Negative): The loan-level representations
and warranties (R&Ws) are consistent with a Tier 2 framework. The
tier assessment is based primarily on the inclusion of knowledge
qualifiers in the underlying reps, as well as a breach reserve
account that replaces the Sponsor's responsibility to cure any R&W
breaches following the established sunset period. Fitch increased
its loss expectations by 99bps at the 'AAAsf' rating category to
reflect both the limitations of the R&W framework as well as the
non-investment-grade counterparty risk of the provider.
ESG Impact (Negative): The transaction has an ESG Relevance Score
of '4' for Transaction Parties & Operational Risk as a result of
the transaction counterparties and operational considerations and
is relevant to the ratings in conjunction with other factors.
RATING SENSITIVITIES
Factor that could, individually or collectively, lead to negative
rating action/downgrade:
-- The defined negative rating sensitivity analysis demonstrates
how the ratings would react to steeper market value declines
(MVDs) at the national level. The analysis assumes MVDs of
10.0%, 20.0% and 30.0% in addition to the model projected 42%
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 multiple providers. The third-party due diligence
described in Form 15E focused on a regulatory compliance review
that covered applicable federal, state and local high-cost loan
and/or anti-predatory laws, as well as the Truth In Lending Act
(TILA) and Real Estate Settlement Procedures Act (RESPA). The scope
was consistent with published Fitch criteria for due diligence on
RPL RMBS. Fitch considered this information in its analysis and, as
a result, Fitch made the following adjustment(s) to its analysis:
-- Loans with an indeterminate HUD1 located in states that fall
under Freddie Mac's 'Do Not Purchase List' received a 100%
loss severity over-ride.
-- Loans with an indeterminate HUD1 but not located in states
that fall under Freddie Mac's 'Do Not Purchase List' received
a five point loss severity increase.
-- Loans with a missing modification agreement received a three
month liquidation timeline extension.
-- Unpaid taxes and lien amounts were added to the loss severity.
-- In total, these adjustments increased the 'AAAsf' loss by
approximately 25bps.
ESG CONSIDERATIONS
GSMBS 2022-RPL1 has an ESG Relevance Score of '4' for Transaction
Parties & Operational Risk due to the transaction counterparties
and operational considerations, which has a negative impact on the
credit profile, and is relevant to the rating[s] 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.
GULF STREAM 7: S&P Assigns Prelim BB- (sf) Rating on Class D Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Gulf Stream
Meridian 7 Ltd./Gulf Stream Meridian 7 LLC's floating-rate notes.
The note issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Meridian Credit Management LLC (doing
business as Gulf Stream Asset Management).
The preliminary ratings are based on information as of March 1,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Gulf Stream Meridian 7 Ltd./Gulf Stream Meridian 7 LLC
Class A-1, $305.00 million: AAA (sf)
Class A-2, $65.00 million: AA (sf)
Class B (deferrable), $40.00 million: A (sf)
Class C (deferrable), $30.00 million: BBB- (sf)
Class D (deferrable), $17.50 million: BB- (sf)
Subordinated notes, $47.20 million: Not rated
IVY HILL IX-R: S&P Assigns Prelim BB-(sf) Rating on Cl. E-RR Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
X-RR, A-1R-RR, A-1T-RR, A-2-RR, B-RR, C-RR, D-RR, and E-RR
replacement notes from Ivy Hill Middle Market Credit Fund IX-R LLC,
a CLO originally issued in October 2014 that is managed by Ivy Hill
Asset Management L.P.
The preliminary ratings are based on information as of Feb. 24,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the March 3, 2022, refinancing date, the proceeds from the
replacement notes will be used to redeem the original notes. At
that time, S&P expects to withdraw its ratings on the class A-R
notes and assign ratings to the replacement notes. However, if the
refinancing doesn't occur, S&P may affirm its ratings on the class
A-R notes and withdraw our preliminary ratings on the replacement
notes.
The replacement notes will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement notes.
According to the proposed supplemental indenture:
-- The replacement class X-RR, A-1R-RR, A-1T-RR, A-2-RR, B-RR,
C-RR, D-RR, and E-RR notes are expected to be issued at a floating
spread over three-month secured overnight financing rate (SOFR),
which will replace the spread over three-month LIBOR on the
original notes.
-- The original class A-R notes are expected to be split into the
replacement class A-1R-RR, A-1T-RR, and A-2-RR notes.
-- The class A-2-RR notes are expected to be issued at fixed
coupon and pro rata with the replacement class A-1R-RR and A-1T-RR
notes.
-- The class A-1R-RR notes are expected to be variable funding
notes that can be drawn, during the reinvestment period only, to
fund underlying delayed-draw or revolving loans.
-- The class A-1R-RR notes can experience increased costs
associated with taxes and changes in law; however, S&P's rating
only addresses the full and timely payment of principal and the
base interest amount. The stated interest rate includes both the
interest rate on the funded amounts and any commitment fees due on
the undrawn commitment. Any increased costs are subordinate to the
loan distributions in the waterfall and, therefore, do not affect
scheduled distributions to the rated notes.
-- The S&P Global Ratings' 'A-1' rating is required for the
variable funding notes holder and the replacement mechanism or
funding requirement is in place if the rating falls below 'A-1'.
-- The transaction is expected to upsize from a target initial par
amount of approximately $324 million to $450 million.
-- There is expected to be an additional $33.4 million in
subordinated notes issued in connection with the refinancing. The
subordinated notes' maturity date will be amended to match the
other replacement notes.
-- The transaction is amending its ability to purchase
workout-related assets and is also conforming to updated rating
agency methodology. In addition, the transaction is amending the
required minimums on the overcollateralization tests.
-- The stated maturity, reinvestment period, and non-call period
will be extended by approximately 4.25 years.
-- The class X-RR notes are expected to be paid down using
interest proceeds in equal quarterly installments, beginning with
the April 2022 payment date and ending with the April 2026 payment
date.
-- Of the identified underlying collateral obligations, 95.01%
have credit ratings assigned by S&P Global Ratings.
-- Of the identified underlying collateral obligations, 40.07%
have recovery ratings assigned by S&P Global Ratings.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
Ivy Hill Middle Market Credit Fund IX-R LLC
Class X-RR, $4.50 million: AAA (sf)
Class A-1R-RR(i), $15.00 million: AAA (sf)
Class A-1T-RR, $209.25 million: AAA (sf)
Class A-2-RR, $30.00 million: AAA (sf)
Class B-RR, $58.50 million: AA (sf)
Class C-RR (deferrable), $33.75 million: A- (sf)
Class D-RR (deferrable), $20.25 million: BBB- (sf)
Class E-RR (deferrable), $29.25 million: BB- (sf)
Subordinated notes, $76.26 million: Not rated
(i)The class A-1R-RR variable funding notes can be drawn during the
reinvestment period to fund underlying delayed-draw or revolving
loans.
JP MORGAN 2012-C8: Fitch Affirms CC Rating on Class G Certs
-----------------------------------------------------------
Fitch Ratings has upgraded two and affirmed nine classes of J.P.
Morgan Chase Commercial Mortgage Securities Trust 2012-C8
commercial pass-through certificates series 2012-C8 (JPMCC
2012-C8). The Rating Outlooks have been revised to Stable from
Negative on six classes that were affirmed, and one class that was
upgraded has been assigned a Stable Outlook.
DEBT RATING PRIOR
---- ------ -----
JPMCC 2012-C8
A-3 46638UAC0 LT AAAsf Affirmed AAAsf
A-S 46638UAH9 LT AAAsf Affirmed AAAsf
A-SB 46638UAD8 LT AAAsf Affirmed AAAsf
B 46638UAK2 LT AAsf Affirmed AAsf
C 46638UAM8 LT Asf Affirmed Asf
D 46638UAR7 LT BBB-sf Affirmed BBB-sf
E 46638UAT3 LT Bsf Upgrade CCCsf
EC 46638UAP1 LT Asf Affirmed Asf
F 46638UAV8 LT CCCsf Upgrade CCsf
G 46638UAX4 LT CCsf Affirmed CCsf
X-A 46638UAE6 LT AAAsf Affirmed AAAsf
KEY RATING DRIVERS
Lower Loss Expectations; Increase in Defeasance: The upgrades and
Stable Outlooks reflect lower loss expectations since Fitch's prior
rating action due to the recent defeasance of the largest loan in
the pool, Battlefield Mall (16.7% of pool). At Fitch's prior rating
action, Battlefield Mall was modeled with a 30% base case loss due
to refinance concerns at loan maturity in September 2022.
Fitch's current ratings reflect a base case loss of 8.10%. Fitch
also considered a sensitivity scenario with outsized losses on
Gallery at Harborplace and The Crossings, which would increase the
pool loss to 11.10%. This scenario includes the paydown of defeased
loans.
Fitch Loans of Concern: Eight loans (37.8%) were designated Fitch
Loans of Concern (FLOCs) due to underperformance and refinance
concerns at loan maturity in 2022. No loans are in special
servicing, and all loans remain current.
The largest contributor to loss expectations, Ashford Office
Complex (7.7%), is secured by a 570,045 sf suburban office complex
within the Energy Corridor of Houston, TX. The loan, which is
sponsored by Accesso Partners, was designated a FLOC due to several
tenant vacancies since issuance, low debt service coverage ratio
(DSCR) and the high Houston office submarket vacancy rate.
Occupancy and servicer-reported NOI DSCR were 47% and 0.90x as of
the YTD September 2021. Fitch's base case loss of 33% reflects a
10.50% cap rate and 5% haircut to the YE 2020 NOI. Fitch's analysis
reflects performance declines and refinance concerns at maturity in
August 2022.
The second largest contributor to loss expectations, Gallery at
Harborplace (10.4%), is secured by a 390,447-sf mixed-use
office/retail property located in the Inner Harbor in downtown
Baltimore. Per media reports and servicer updates, the sponsor,
Brookfield, is spending approximately $12 million on renovating the
office tower above the troubled mall portion. The mall tenants were
scheduled to vacate at the end of 2021. Fitch's request to the
servicer for additional details on the development remain
outstanding. Fitch's base case loss of 22% reflects refinance
concerns at loan maturity in May 2022 due to low DSCR but gives
credit for the sponsor redevelopment and equity contribution for
renovations.
Alternative Loss Considerations: Fitch's analysis included a
sensitivity scenario with higher losses on Gallery at Harborplace
(45% loss) and The Crossings (40% loss) on the maturity balances
should the loans fail to refinance and property performance
declines further. Fitch's analysis also included a paydown
scenario, which considered the paydown of the pool from defeased
loans and non-FLOCs and likelihood of repayment and/or losses from
FLOCs.
Increasing Credit Enhancement: As of the February 2022 distribution
date, the pool's aggregate balance has been paid down by 42.3% to
$655.7 million from $1.137 billion at issuance. Since Fitch's prior
rating action, two loans with a combined balance of $13.9 million
paid in full. Twenty-two loans (90.5%) are currently amortizing.
Seven loans (40.7%) are fully defeased. All remaining 27 loans
mature in 2022. Cumulative interest shortfalls of $4,885 are
currently affecting the NR class.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- Continued declining performance on the FLOCs, including a
significant number of loans failing to pay-off at maturity
would lead to downgrades for classes B through G and EC.
Should loans transfer to special servicing and workouts be
prolonged, fees and expenses could increase loan exposures and
loss expectations may increase;
-- Classes A-SB, A-3, A-S and X-A are not expected to be
downgraded due to the high defeasance and credit enhancement.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Stable to improved asset performance coupled with further
paydown and/or defeasance, as well as greater certainty of
repayment at maturity;
-- Classes would not be upgraded above 'Asf' given the likelihood
of interest shortfalls should loans transfer to special
servicing before or at maturity in 2022. Given the 2022
maturities for all loans in the pool, upgrades are not likely.
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.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
JP MORGAN 2022-2: Fitch Gives Final 'B' Rating to Class B-5 Debt
----------------------------------------------------------------
Fitch Ratings has assigned final ratings to J.P. Morgan Mortgage
Trust 2022-2.
DEBT RATING PRIOR
---- ------ -----
JPMMT 2022-2
A-1 LT AA+sf New Rating AA+(EXP)sf
A-2 LT AAAsf New Rating AAA(EXP)sf
A-3 LT AAAsf New Rating AAA(EXP)sf
A-4 LT AAAsf New Rating AAA(EXP)sf
A-4-A LT AAAsf New Rating AAA(EXP)sf
A-5 LT AAAsf New Rating AAA(EXP)sf
A-5-A LT AAAsf New Rating AAA(EXP)sf
A-5-B LT AAAsf New Rating AAA(EXP)sf
A-5-C LT AAAsf New Rating AAA(EXP)sf
A-6 LT AAAsf New Rating AAA(EXP)sf
A-6-A LT AAAsf New Rating AAA(EXP)sf
A-7 LT AAAsf New Rating AAA(EXP)sf
A-7-A LT AAAsf New Rating AAA(EXP)sf
A-7-B LT AAAsf New Rating AAA(EXP)sf
A-7-C LT AAAsf New Rating AAA(EXP)sf
A-8 LT AAAsf New Rating AAA(EXP)sf
A-8-A LT AAAsf New Rating AAA(EXP)sf
A-9-A LT AAAsf New Rating AAA(EXP)sf
A-10 LT AAAsf New Rating AAA(EXP)sf
A-11 LT AAAsf New Rating AAA(EXP)sf
A-11-X LT AAAsf New Rating AAA(EXP)sf
A-11-A LT AAAsf New Rating AAA(EXP)sf
A-11-AI LT AAAsf New Rating AAA(EXP)sf
A-11-B LT AAAsf New Rating AAA(EXP)sf
A-11-BI LT AAAsf New Rating AAA(EXP)sf
A-11-C LT AAAsf New Rating AAA(EXP)sf
A-11-CI LT AAAsf New Rating AAA(EXP)sf
A-12 LT AAAsf New Rating AAA(EXP)sf
A-12-A LT AAAsf New Rating AAA(EXP)sf
A-13 LT AAAsf New Rating AAA(EXP)sf
A-13-A LT AAAsf New Rating AAA(EXP)sf
A-14 LT AAAsf New Rating AAA(EXP)sf
A-14-A LT AAAsf New Rating AAA(EXP)sf
A-15-A LT AAAsf New Rating AAA(EXP)sf
A-16-A LT AAAsf New Rating AAA(EXP)sf
A-17 LT AAAsf New Rating AAA(EXP)sf
A-17-X LT AAAsf New Rating AAA(EXP)sf
A-18 LT AAAsf New Rating AAA(EXP)sf
A-18-X LT AAAsf New Rating AAA(EXP)sf
A-19 LT AAAsf New Rating AAA(EXP)sf
A-19-X LT AAAsf New Rating AAA(EXP)sf
A-20 LT AAAsf New Rating AAA(EXP)sf
A-20-X LT AAAsf New Rating AAA(EXP)sf
A-21 LT AAAsf New Rating AAA(EXP)sf
A-21-X LT AAAsf New Rating AAA(EXP)sf
A-22 LT AAAsf New Rating AAA(EXP)sf
A-22-X LT AAAsf New Rating AAA(EXP)sf
A-23 LT AAAsf New Rating AAA(EXP)sf
A-23-X LT AAAsf New Rating AAA(EXP)sf
A-24 LT AAAsf New Rating AAA(EXP)sf
A-24-X LT AAAsf New Rating AAA(EXP)sf
A-25 LT AA+sf New Rating AA+(EXP)sf
A-25-A LT AA+sf New Rating AA+(EXP)sf
A-26 LT AA+sf New Rating AA+(EXP)sf
A-26-A LT AA+sf New Rating AA+(EXP)sf
A-27 LT AA+sf New Rating AA+(EXP)sf
A-27-A LT AA+sf New Rating AA+(EXP)sf
A-27-B LT AA+sf New Rating AA+(EXP)sf
A-X-1 LT AA+sf New Rating AA+(EXP)sf
A-X-4 LT AA+sf New Rating AA+(EXP)sf
A-X-4-A LT AA+sf New Rating AA+(EXP)sf
A-X-4-B LT AA+sf New Rating AA+(EXP)sf
B-1 LT AA-sf New Rating AA-(EXP)sf
B-1-A LT AA-sf New Rating AA-(EXP)sf
B-1-X LT AA-sf New Rating AA-(EXP)sf
B-2 LT A-sf New Rating A-(EXP)sf
B-2-A LT A-sf New Rating A-(EXP)sf
B-2-X LT A-sf New Rating A-(EXP)sf
B-3 LT BBB-sf New Rating BBB-(EXP)sf
B-4 LT BB-sf New Rating BB-(EXP)sf
B-5 LT Bsf New Rating B(EXP)sf
B-6 LT NRsf New Rating NR(EXP)sf
FB LT NRsf New Rating NR(EXP)sf
TRANSACTION SUMMARY
Fitch Ratings has rated the residential mortgage-backed
certificates issued by J.P. Morgan Mortgage Trust 2022-2 (JPMMT
2022-2) as indicated. The certificates are supported by 1,226 loans
with a total balance of approximately $1.224 billion as of the
cutoff date. The pool consists of prime-quality fixed-rate
mortgages from various mortgage originators.
NewRez LLC f/k/a New Penn Financial, LLC d/b/a Shellpoint Mortgage
Servicing (Shellpoint) will act as interim servicer for
approximately 27.8% of the pool from the closing date until the
servicing transfer date, which is expected to occur on or about
April 1, 2022. After the servicing transfer date, these Mortgage
Loans will be serviced by JPMorgan Chase Bank, National Association
(JPMCB). Since JPMCB will be servicing these loans after the
transfer date, Fitch performed its analysis assuming JPMCB as the
servicer for these loans. Other servicers in the transaction
include United Wholesale Mortgage, LLC, and loanDepot.com, LLC.
Nationstar Mortgage LLC (Nationstar) will be the master servicer.
All the loans qualify as safe-harbor qualified mortgage (SHQM),
agency SHQM, or QM safe-harbor (average prime offer rate [APOR])
loans.
There is no exposure to Libor in this transaction. The collateral
comprises 100% fixed-rate loans, and the certificates are fixed
rate based off the net weighted average coupon (WAC) or
floating/inverse floating rate based off the SOFR index, and capped
at the net WAC. This is the 10th Fitch-rated JPMMT transaction
using SOFR as the index rate for floating/inverse floating-rate
certificates.
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 11.4% above a long-term sustainable level (versus
10.6% on a national level). Underlying fundamentals are not keeping
pace with the growth in prices, which is the 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 19.7% yoy nationally as of September 2021.
High-Quality Mortgage Pool (Positive): The pool consists of very
high-quality, fixed-rate fully amortizing loans with maturities of
up to 30 years. All the loans qualify as SHQM, agency SHQM or QM
safe-harbor (APOR) loans. The loans were made to borrowers with
strong credit profiles, relatively low leverage and large liquid
reserves. The loans are seasoned at an average of five months,
according to Fitch (three months per the transaction documents).
The pool has a weighted average (WA) original FICO score of 767 (as
determined by Fitch), which is indicative of very high
credit-quality borrowers. Approximately 72.6% (as determined by
Fitch) of the loans have a borrower with an original FICO score
equal to or above 750. In addition, the original WA combined loan
to value (CLTV) ratio of 71.5%, translating to a sustainable loan
to value (sLTV) ratio of 79.8%, represents substantial borrower
equity in the property and reduced default risk.
A 96.6% portion of the pool comprises non-conforming loans, while
the remaining 3.4% represents conforming loans. All the loans are
designated as QM loans, with 46.8% of the pool being originated by
a retail and correspondent channel.
The pool comprises approximately 88.7% of loans where the borrower
maintains a primary residence, while 11.3% of the loans represent
second homes. Single-family homes and planned unit developments
(PUDs) constitute 93.3% of the pool, condominiums make up 5.3% and
multifamily homes make up 1.4%. The pool is comprised of loans with
the following loan purpose: purchases (approximately 56.8%),
cash-out refinances (approximately 25.7%) and rate-term refinances
(approximately 17.6%).
A total of 543 loans in the pool are over $1 million, and the
largest loan is $3.00 million. Fitch determined that 20 of the
loans were made to nonpermanent residents.
Geographic Concentration (Negative): Approximately 49.5% of the
pool is concentrated in California. The largest MSA concentration
is in the Los Angeles-Long Beach-Santa Ana, CA MSA (18.8%),
followed by the San Francisco-Oakland-Fremont, CA MSA (9.7%) and
the San Diego-Carlsbad-San Marcos, CA MSA (5.4%). The top three
MSAs account for 34% of the pool. As a result, there was a 0.02%
penalty for geographic concentration.
Shifting-Interest Structure with Full Advancing (Mixed): The
mortgage cash flow and loss allocation are based on a
senior-subordinate, shifting-interest structure whereby the
subordinate classes receive only scheduled principal and are locked
out from receiving unscheduled principal or prepayments for five
years. The lockout feature helps 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.
The servicers will provide full advancing for the life of the
transaction (each servicer is expected to advance delinquent P&I on
loans that enter into a coronavirus forbearance plan). Although
full P&I advancing will provide liquidity to the certificates, it
will also increase the loan-level loss severity (LS) since the
servicer looks to recoup P&I advances from liquidation proceeds,
which results in less recoveries.
Nationstar is the master servicer and will advance if the servicer
is unable to do so. If the master servicer is unable to advance,
then the securities administrator (Citibank) will advance.
CE Floor (Positive): A CE or senior subordination floor of 0.65%
has been considered to mitigate potential tail-end risk and loss
exposure for senior tranches as the pool size declines and
performance volatility increases due to adverse loan selection and
small loan count concentration. Additionally, a junior
subordination floor of 0.45% has been considered to mitigate
potential tail-end risk and loss exposure for subordinate tranches
as the pool size declines and performance volatility increases due
to adverse loan selection and small loan count concentration.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- Fitch incorporates a sensitivity analysis to demonstrate how
the ratings would react to steeper market value declines
(MVDs) than assumed at the MSA level. Sensitivity analyses was
conducted at the state and national levels to assess the
effect of higher MVDs for the subject pool as well as lower
MVDs, illustrated by a gain in home prices.
-- This defined negative rating sensitivity analysis demonstrates
how the ratings would react to steeper MVDs at the national
level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
addition to the model-projected 42.2% at 'AAA'. The analysis
indicates that there is some potential rating migration with
higher MVDs for all rated classes, compared with the model
projection. Specifically, a 10% additional decline in home
prices would lower all rated classes by one full category.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Fitch incorporates a sensitivity analysis to demonstrate how
the ratings would react to steeper MVDs than assumed at the
MSA level. Sensitivity analyses was conducted at the state and
national levels to assess the effect of higher MVDs for the
subject pool as well as lower MVDs, illustrated by a gain in
home prices.
-- This defined positive rating sensitivity analysis demonstrates
how the ratings would react to positive home price growth of
10% with no assumed overvaluation. Excluding the senior class,
which is already rated 'AAAsf', the analysis indicates there
is potential positive rating migration for all of the rated
classes. Specifically, a 10% gain in home prices would result
in a full category upgrade for the rated class excluding those
being assigned ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up- and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review
performed on 100% of the pool. The third-party due diligence was
generally consistent with Fitch's "U.S. RMBS Rating Criteria."
SitusAMC, Clayton, Digital Risk, Consolidated Analytics, Inglet
Blair and Opus 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 for more detail.
Fitch also utilized data files provided by the issuer on its SEC
Rule 17g-5 designated website. Fitch received loan level
information based on the ResiPLS data layout format, and the data
are considered comprehensive. The data contained in the ResiPLS
layout data tape were reviewed by the due diligence companies, and
no material discrepancies were noted.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
JP MORGAN 2022-INV2: Fitch Gives Final 'B-' Rating to Cl. B-5 Debt
------------------------------------------------------------------
Fitch Ratings has assigned final ratings to J.P. Morgan Mortgage
Trust 2022-INV2.
DEBT RATING PRIOR
---- ------ -----
JPMMT 2022-INV2
A-1 LT AA+sf New Rating AA+(EXP)sf
A-1-A LT AA+sf New Rating AA+(EXP)sf
A-1-X LT AA+sf New Rating AA+(EXP)sf
A-2 LT AAAsf New Rating AAA(EXP)sf
A-2-A LT AAAsf New Rating AAA(EXP)sf
A-2-X LT AAAsf New Rating AAA(EXP)sf
A-3 LT AAAsf New Rating AAA(EXP)sf
A-3-A LT AAAsf New Rating AAA(EXP)sf
A-3-X LT AAAsf New Rating AAA(EXP)sf
A-4 LT AAAsf New Rating AAA(EXP)sf
A-4-A LT AAAsf New Rating AAA(EXP)sf
A-4-X LT AAAsf New Rating AAA(EXP)sf
A-5 LT AA+sf New Rating AA+(EXP)sf
A-5-A LT AA+sf New Rating AA+(EXP)sf
A-5-X LT AA+sf New Rating AA+(EXP)sf
A-X-1 LT AA+sf New Rating AA+(EXP)sf
B-1 LT AA-sf New Rating AA-(EXP)sf
B-2 LT A-sf New Rating A-(EXP)sf
B-3 LT BBB-sf New Rating BBB-(EXP)sf
B-4 LT BB-sf New Rating BB-(EXP)sf
B-5 LT B-sf New Rating B-(EXP)sf
B-6 LT NRsf New Rating NR(EXP)sf
TRANSACTION SUMMARY
Fitch Ratings has assigned final ratings to the residential
mortgage-backed certificates issued by J.P. Morgan Mortgage Trust
2022-INV2 (JPMMT 2022-INV2) as indicated. The certificates are
supported by 456 loans with a total balance of approximately $371.2
million as of the cutoff date. The pool consists of prime-quality
fixed-rate mortgages (FRMs) on investor properties that were
originated by various mortgage originators.
NewRez LLC f/k/a New Penn Financial, LLC d/b/a Shellpoint Mortgage
Servicing (Shellpoint) will act as interim servicer for
approximately 52.1% of the pool from the closing date until the
servicing transfer date, which is expected to occur on or about
April 1, 2022. After the servicing transfer date, these Mortgage
Loans will be serviced by JPMorgan Chase Bank, National Association
(JPMCB).
Since JPMCB will be servicing these loans after the transfer date,
Fitch performed its analysis assuming JPMCB as the servicer for
these loans. Other servicers in the transaction include
loanDepot.com, LLC and United Wholesale Mortgage, LLC. Nationstar
Mortgage LLC (Nationstar) will be the master servicer.
The majority of the loans (85.0%) are exempt from the qualified
mortgage (QM) rule standards as they are investment property
mortgage loans that are for business purposes. The remaining 15.0%
are able to qualify as safe-harbor qualified mortgage (SHQM),
agency SHQM, Qualified Mortgage -- Agency Rebuttable Presumption,
or QM safe-harbor (Average Prime Offer Rate [APOR]) loans.
There is no exposure to LIBOR in this transaction. The collateral
comprises 100.0% fixed-rate loans, and the certificates are either
fixed rate or based off the net weighted average coupon (WAC).
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 11.8% above a long-term sustainable level (versus
10.6% on a national level). Underlying fundamentals are not keeping
pace with the growth in prices, which is the 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 19.7% yoy nationally as of September 2021.
High-Quality Mortgage Pool (Positive): The pool consists of
high-quality, fixed-rate fully amortizing loans with maturities of
up to 30 years. All (100%) of the loans are on non-owner-occupied
properties. The loans were made to borrowers with strong credit
profiles, relatively low leverage and large liquid reserves. The
loans are seasoned at an average of six months, according to Fitch
(four months per the transaction documents).
The pool has a weighted average (WA) original FICO score of 768 (as
determined by Fitch), which is indicative of very high
credit-quality borrowers. Approximately 74.4% (as determined by
Fitch) of the loans have a borrower with an original FICO score
equal to or above 750. In addition, the original WA combined loan
to value (CLTV) ratio of approximately 65.7%, translating to a
sustainable loan to value (sLTV) ratio of 73.3%, represents
substantial borrower equity in the property and reduced default
risk.
An 81.3% portion of the pool comprises non-conforming loans, while
the remaining 18.7% represents conforming loans. The majority of
the loans (85.0%) are exempt from the QM rule standards as they are
investment property mortgage loans that are for business purposes.
The remaining 15.0% are able to qualify as SHQM, agency SHQM,
Qualified Mortgage -- Agency Rebuttable Presumption, or QM
safe-harbor (APOR) loans. The majority of the loans, 64.0% of the
pool were originated by a retail and correspondent channel.
The pool consists of 100% investor properties. Single-family homes
and planned unit developments (PUDs) constitute 76.2% of the pool,
condominiums make up 9.7%, and multifamily homes make up 13.9% of
the pool. The pool consists of purchase loans (53.4%), cash-out
refinance loans (27.4%) and rate-term refinance loans (19.2%).
A total of 120 loans in the pool are over $1 million, and the
largest loan is $2.24 million. Fitch determined that nine of the
loans were made to nonpermanent residents.
Non-Owner-Occupied Loans (Negative): All (100%) of the loans in the
pool are investment property mortgage loans and 18.7% of the loans
in the pool are conforming loans, that were underwritten to Fannie
Mae's and Freddie Mac's guidelines and were approved per Desktop
Underwriter (DU) or Loan Product Advisor (LPA), Fannie Mae's and
Freddie Mac's automated underwriting systems, respectively.
The remaining 81.3% of the loans were underwritten to the
underlying sellers' guidelines and were full documentation loans.
All loans were underwritten to the borrower's credit risk, unlike
investor cash flow loans, which are underwritten to the property's
income. Additionally, eight borrowers in the pool have multiple
loans in the pool. Fitch applies a 1.25x PD hit for agency investor
loans and a 1.60x pd hit for investor loans underwritten to the
borrower's credit risk.
Multifamily Loans (Negative): Approximately 24.8% of the loans in
the pool are multifamily homes, which Fitch views as riskier than
single-family homes, since the borrower may be relying on the
rental income to cover the mortgage payment on the property. To
account for this risk, Fitch adjusts the PD upward by 25% from the
baseline for multifamily homes.
Geographic Concentration (Negative): Roughly 51.1% of the pool is
concentrated in California. The largest MSA concentration is in the
Los Angeles-Long Beach-Santa Ana, CA MSA (16.8%), followed by the
San Francisco-Oakland-Fremont, CA MSA (10.6%) and the San
Jose-Sunnyvale-Santa Clara, CA MSA (10.6%). The top three MSAs
account for 38% of the pool. As a result, there was a 1.01x PD
penalty for geographic concentration, which resulted in the 'AAAsf'
being increased by 0.09%.
Shifting-Interest Structure with Full Advancing (Mixed): The
mortgage cash flow and loss allocation are based on a
senior-subordinate, shifting-interest structure whereby the
subordinate classes receive only scheduled principal and are locked
out from receiving unscheduled principal or prepayments for five
years. The lockout feature helps 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. Due to the
leakage to the subordinate bonds, the shifting interest structure
requires more CE.
The servicers will provide full advancing for the life of the
transaction. While this helps the liquidity of the structure, it
also increases the expected loss due to unpaid servicer advances.
If the servicers are unable to advance, the master servicer will
provide advancing. If the master servicer is unable to advance, the
securities administrator will ultimately be responsible for
advancing.
CE Floor (Positive): A CE or senior subordination floor of 2.10%
has been considered to mitigate potential tail-end risk and loss
exposure for senior tranches as the pool size declines and
performance volatility increases due to adverse loan selection and
small loan count concentration. Additionally, a junior
subordination floor of 1.45% has been considered to mitigate
potential tail-end risk and loss exposure for subordinate tranches
as the pool size declines and performance volatility increases due
to adverse loan selection and small loan count concentration.
For the loss analysis of this pool, Fitch used a customized version
of the U.S. RMBS Loan Loss model that has a 1.25x PD penalty for
agency investor loans and a 1.60x PD penalty for investor loans
underwritten to the borrower's credit risk. The 1.25x PD penalty
was used only for the agency eligible loans (18.7%) with the
remaining loans receiving a 1.60x PD penalty for being investor
occupied.
Post-crisis performance indicates that loans underwritten to DU/LP
guidelines have relatively lower default rates compared with normal
investor loans used in regression data with all other attributes
controlled. The implied penalty has been reduced to approximately
25% for investor agency loans in the customized model from
approximately 60% for regular investor loans in production model.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- Fitch incorporates a sensitivity analysis to demonstrate how
the ratings would react to steeper market value declines
(MVDs) than assumed at the MSA level. Sensitivity analyses was
conducted at the state and national levels to assess the
effect of higher MVDs for the subject pool as well as lower
MVDs, illustrated by a gain in home prices.
-- This defined negative rating sensitivity analysis demonstrates
how the ratings would react to steeper MVDs at the national
level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
addition to the model-projected 42.7% at 'AAA'. The analysis
indicates that there is some potential rating migration with
higher MVDs for all rated classes, compared with the model
projection. Specifically, a 10% additional decline in home
prices would lower all rated classes by one full category.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Fitch incorporates a sensitivity analysis to demonstrate how
the ratings would react to steeper MVDs than assumed at the
MSA level. Sensitivity analyses was conducted at the state and
national levels to assess the effect of higher MVDs for the
subject pool as well as lower MVDs, illustrated by a gain in
home prices.
-- This defined positive rating sensitivity analysis demonstrates
how the ratings would react to positive home price growth of
10% with no assumed overvaluation. Excluding the senior class,
which is already rated 'AAAsf', the analysis indicates there
is potential positive rating migration for all of the rated
classes. Specifically, a 10% gain in home prices would result
in a full category upgrade for the rated class excluding those
being assigned ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up- and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review
performed on 100% of the pool. The third-party due diligence was
generally consistent with Fitch's "U.S. RMBS Rating Criteria."
SitusAMC, Clayton, Digital Risk and Opus 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 for more detail.
Fitch also utilized data files provided by the issuer on its SEC
Rule 17g-5 designated website. Fitch received loan level
information based on the ResiPLS data layout format, and the data
are considered comprehensive. The data contained in the ResiPLS
layout data tape were reviewed by the due diligence companies, and
no material discrepancies were noted.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
JP MORGAN 2022-LTV1: Fitch Gives Final 'B' Rating to Class B-2 Debt
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings to J.P. Morgan Mortgage
Trust 2022-LTV1.
DEBT RATING PRIOR
---- ------ -----
JPMMT 2022-LTV1
A-1 LT AAAsf New Rating AAA(EXP)sf
A-2 LT AA-sf New Rating AA-(EXP)sf
A-3 LT A-sf New Rating A-(EXP)sf
M-1 LT BBB-sf New Rating BBB-(EXP)sf
B-1 LT BB-sf New Rating BB-(EXP)sf
B-2 LT Bsf New Rating B(EXP)sf
B-3 LT NRsf New Rating NR(EXP)sf
XS LT NRsf New Rating NR(EXP)sf
TRANSACTION SUMMARY
Fitch Ratings has assigned final ratings to the residential
mortgage-backed certificates issued by J.P. Morgan Mortgage Trust
2022-LTV1 (JPMMT 2022-LTV1) as indicated. The certificates are
supported by 558 loans with a total balance of approximately $535.2
million as of the cutoff date. The pool consists of prime-quality,
high loan to value (LTV) fixed-rate mortgages (FRMs) from various
mortgage originators.
Servicers in the transaction include United Wholesale Mortgage,
LLC, JPMorgan Chase Bank (JPMCB), loanDepot.com. LLC and various
others that will provide interim servicing until the April 1, 2022
servicing transfer date. JPMCB will take over the servicing after
the servicing transfer date; as such, Fitch considered JPMCB as the
servicer for these loans. Nationstar Mortgage LLC (Nationstar) will
be the master servicer.
All the loans qualify as safe-harbor qualified mortgage (SHQM),
agency SHQM, rebuttable presumption QM, QM safe-harbor (average
prime offer rate [APOR]) or rebuttable presumption QM (APOR)
loans.
There is no exposure to Libor in this transaction. The collateral
comprises 100% fixed-rate loans, and the certificates are fixed
rate or based on the net WAC.
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 (versus
10.6% 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 19.7% yoy nationally as of September 2021.
High-Quality Mortgage Pool (Positive): The pool consists of
high-quality, fixed-rate fully amortizing loans with maturities of
up to 30 years. All the loans qualify as SHQM, agency SHQM,
rebuttable presumption QM, QM safe-harbor (APOR) or rebuttable
presumption QM (APOR) loans. The loans were made to borrowers with
high LTVs, strong credit profiles, relatively low debt to income
(DTI) ratios and moderate liquid reserves.
The loans are seasoned at an average of six months, according to
Fitch (four months per the transaction documents). The pool has a
weighted average (WA) original FICO score of 758 (as determined by
Fitch), which is indicative of very high credit-quality borrowers.
Approximately 63.7% (as determined by Fitch) of the loans have a
borrower with an original FICO score equal to or above 750. In
addition, the original WA combined loan to value (CLTV) ratio of
88.0%, that translates to a sustainable loan to value (sLTV) ratio
of 97.1%.
A 99.6% portion of the pool comprises nonconforming loans, while
the remaining 0.4% represents conforming loans and 64.8% of the
pool has been originated by a retail and correspondent channel.
The pool consists of 86.0% of loans where the borrower maintains a
primary residence, while 14.0% comprise second homes. Single-family
homes and planned unit developments (PUDs) constitute 89.2% of the
pool, condominiums make up 10.3%, and multifamily homes make up
0.5%. Of the pool, cash-out refinances constitute 5.5%, purchases
88.3% and rate-term refinances 6.1%.
A total of 207 loans in the pool are over $1 million, and the
largest loan is $2.88 million. Fitch determined that eight of the
loans were made to nonpermanent residents.
Approximately 47.2% of the pool is concentrated in California. The
largest MSA concentration is in the Los Angeles-Long Beach-Santa
Ana, CA MSA (17.0%), followed by the San Francisco-Oakland-Fremont,
CA MSA (8.7%) and the San Diego-Carlsbad-San Marcos, CA MSA (6.3%).
The top three MSAs account for 32% of the pool. As a result, there
was no probability of default (PD) penalty for geographic
concentration.
High LTVs (Negative): The pool's original LTV is 88.0%, which
translates into an sLTV of 97.1%. 92.9% of the pool had an original
LTV over 80%, and the MTM CLTV over 80% is 87.2%. As a result, a
majority of loans in the pool are highly leveraged, and the
borrowers have limited equity in the home. Fitch increased both the
PD and loss severity (LS) for loans with higher LTVs.
Mitigating the high LTVs, is the relatively high FICOs of borrowers
have in the pool. The weighted average (WA) FICO according to Fitch
is 758, with over 63.7% of borrowers have a FICO equal to or above
750. In addition, the WA DTI ratio is 35.4%, which is in line with
DTIs seen in non-high LTV loans.
Full Advancing (Mixed): The servicers will provide full advancing
for the life of the transaction (each servicer is expected to
advance delinquent P&I on loans that enter into a coronavirus
forbearance plan). Although full P&I advancing will provide
liquidity to the certificates, it will also increase the loan-level
LS since the servicer looks to recoup P&I advances from liquidation
proceeds, which results in less recoveries.
Nationstar is the master servicer and will advance if the servicer
is unable to advance. If the master servicer is unable to advance,
then the securities administrator (Citibank) will advance.
Modified Sequential-Payment Structure (Neutral): The structure
distributes collected principal pro rata among the class A notes
while excluding the subordinate and mezzanine bonds from principal
until all three classes are reduced to zero. Should either a
cumulative loss trigger event, or delinquency trigger event occurs
in a given period, principal will be distributed sequentially to
class A-1, A-2 and A-3 bonds until they are reduced to zero.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- Fitch incorporates a sensitivity analysis to demonstrate how
the ratings would react to steeper market value declines
(MVDs) than assumed at the MSA level. Sensitivity analyses was
conducted at the state and national levels to assess the
effect of higher MVDs for the subject pool as well as lower
MVDs, illustrated by a gain in home prices.
-- This defined negative rating sensitivity analysis demonstrates
how the ratings would react to steeper MVDs at the national
level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
addition to the model-projected 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.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Fitch incorporates a sensitivity analysis to demonstrate how
the ratings would react to steeper MVDs than assumed at the
MSA level. Sensitivity analyses was conducted at the state and
national levels to assess the effect of higher MVDs for the
subject pool as well as lower MVDs, illustrated by a gain in
home prices.
-- This defined positive rating sensitivity analysis demonstrates
how the ratings would react to positive home price growth of
10% with no assumed overvaluation. Excluding the senior class,
which is already rated 'AAAsf', the analysis indicates there
is potential positive rating migration for all of the rated
classes. Specifically, a 10% gain in home prices would result
in a full category upgrade for the rated class excluding those
being assigned ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up- and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review
performed on 100% of the pool. The third-party due diligence was
generally consistent with Fitch's "U.S. RMBS Rating Criteria."
SitusAMC, Clayton, Digital Risk, Consolidated Analytics, Inglet
Blair and Opus 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 for more detail.
Fitch also utilized data files provided by the issuer on its SEC
Rule 17g-5 designated website. Fitch received loan level
information based on the ResiPLS data layout format, and the data
are considered comprehensive. The data contained in the ResiPLS
layout data tape were reviewed by the due diligence companies, and
no material discrepancies were noted.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
JPMDB COMMERCIAL 2016-C2: Fitch Affirms CC Rating on F Certs
------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of JPMDB Commercial Mortgage
Securities Trust 2016-C2 commercial mortgage pass-through
certificates. Fitch has also revised the Outlook to Stable from
Negative on five classes.
DEBT RATING PRIOR
---- ------ -----
JPMDB 2016-C2
A-2 46590LAR3 LT AAAsf Affirmed AAAsf
A-3A 46590LAS1 LT AAAsf Affirmed AAAsf
A-3B 46590LAA0 LT AAAsf Affirmed AAAsf
A-4 46590LAT9 LT AAAsf Affirmed AAAsf
A-S 46590LAX0 LT AAAsf Affirmed AAAsf
A-SB 46590LAU6 LT AAAsf Affirmed AAAsf
B 46590LAY8 LT AA-sf Affirmed AA-sf
C 46590LAZ5 LT A-sf Affirmed A-sf
D 46590LAE2 LT BBsf Affirmed BBsf
E 46590LAG7 LT CCCsf Affirmed CCCsf
F 46590LAJ1 LT CCsf Affirmed CCsf
X-A 46590LAV4 LT AAAsf Affirmed AAAsf
X-B 46590LAW2 LT AA-sf Affirmed AA-sf
X-C 46590LAC6 LT BBsf Affirmed BBsf
KEY RATING DRIVERS
Decreased Loss Expectations: Fitch's base case loss expectations
have decreased since Fitch's prior rating action. The majority of
the pool has experienced better than expected performance in 2020
and/or 2021 during the pandemic. Fitch's loss expectations have
decreased for several Fitch Loans of Concern (FLOCs). Nine loans
(44.7% of the pool), including two (6.4%) in special servicing,
were designated FLOCs. Two loans previously in Special Servicing
(15.2%) have been brought current and were returned to the Master
Servicer.
Fitch's current ratings reflect a base case loss of 6.8%. The
Negative Outlooks reflect losses that could reach 8.2% after
factoring in a potential outsized loss on the Quaker Bridge Mall
loan (11.2%) to reflect the potential for the loan to have
difficulty refinancing and the historically low recovery values for
regional malls. The revision to Stable Outlooks reflects
stabilization of many of the FLOC's that experienced pandemic
related declines along with sufficient credit enhancement (CE) and
the expectation of paydown from continued amortization.
Fitch Loans of Concern; Regional Mall Exposure: The largest
contributor to Fitch's loss expectations, DoubleTree Houston
Intercontinental Airport (5.5% of the pool), is secured by a
seven-story, 313-room, full service hotel located in Houston, TX.
The loan transferred to special servicing in June 2020 due to
imminent default. In July 2020, the borrower consented to
appointment of a receiver, the receiver has taken over management
of the hotel and is working to address operational and capital
needs prior to marketing the property for sale.
The second largest contributor to Fitch's loss expectations, Quaker
Bridge Mall (11.2%), is secured by a 357,221-sf regional mall
located in Lawrenceville, NJ that transferred to special servicing
in November 2020 as a result of the impact of the coronavirus
pandemic. Between 2018 and 2021, anchor tenants Sears
(non-collateral) and Lord & Taylor (non-collateral) vacated the
property. Several collateral tenants at the mall closed following
bankruptcy filings in 2020 including Justice, Sur la Table, and
Lane Bryant.
Performance metrics have declined yoy since YE 2018 due to
continuous occupancy declines; occupancy as of June 2021 was 77%
compared with 78% as of YE 2020, 83% as of YE 2019, and 83% as of
YE 2018. Property performance has showed signs of stabilization and
the loan has been returned to the master servicer. The NOI DSCR for
the full-term interest only loan as of June 2021 was 2.26x compared
with 2.33x as of YE 2020, 2.41x as of YE 2019, and 2.51x as of YE
2018. Simon is the loan's sponsor.
The third largest contributor to Fitch's loss expectations,
Palisades Center (4.0%) is secured by a 1.9 million-sf
super-regional mall located in West Nyack, NY that transferred to
special servicing in April 2020. Between 2017 and 2020, anchor
tenants JC Penney (collateral), Bed Bath & Beyond (collateral), and
Lord & Taylor (non-collateral) have vacated the property.
Performance metrics have declined yoy since issuance with the NOI
DSCR falling to 1.56x as of September 2021, an increase from 1.03x
as of YE 2020 but still well below 2.20x at YE 2019, 2.41x at YE
2018, and 2.58x at YE 2017. Similarly, occupancy declined to 75% as
of September 2021 compared with 75% at YE 2020, 82% as of YE 2019,
84% as of YE 2018, and 93% at YE 2017.
Pyramid Management Group, the mall's owner, saw several of their
loans transfer to special servicing due to delinquencies during the
pandemic and reappraisals triggered by the delinquencies reduced
values by an average of 59% for eight of their 14 malls. While the
property does appear to be stabilizing and the loan has been
returned to the master servicer, Fitch remains concerned as the
sponsor still faces significant distress at many of its
properties.
Increased Credit Enhancement: As of the February 2022 distribution
date, the pool's aggregate principal balance was paid down by 16.2%
to $748 million from $893 million at issuance. Three loans (6.9% of
the pool) are fully defeased, two of which (5.1%) have defeased
since Fitch's last rating action. One loan (issuance balance of
$29.1 million) was repaid in full prior to maturity since Fitch's
last rating action. There have been no realized losses since
issuance. Interest shortfalls of approximately $664,000 are
currently contained to the unrated class NR certificate.
Four loans (32.1%) are full term interest only, and one loan (6.0%)
originally structured with a partial interest-only period has not
yet begun to amortize. Of the non-defeased loans, two loans (10.7%
of the pool) matures in 2022 and the remainder of the pool matures
in 2026.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- An increase in pool-level losses from underperforming or
specially serviced loans/assets. Downgrades to classes rated
'AAAsf' and 'AA-sf' are not likely due to the position in the
capital structure but may occur should interest shortfalls
affect these classes or additional loans become FLOCs.
-- Downgrades to class C are possible should additional loans
become FLOCs or should the FLOCs decline further. Downgrades
to class X-C and D are possible should performance decline at
Quaker Bridge Mall, or if the current FLOCs fail to stabilize
post-pandemic. Classes E and F may be downgraded further as
losses are realized, as losses from the specially serviced
loans become more certain or as additional loans become
specially serviced.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Stable to improved asset performance, particularly on the
FLOCs, coupled with additional paydown and/or defeasance.
Upgrades to classes B and C would only occur with significant
improvement in CE and/or defeasance and with the stabilization
of performance on the FLOCs. Classes would not be upgraded
above 'Asf' if there is a likelihood of interest shortfalls.
-- An upgrade of class D is not likely until the later years in
the transaction and only if performance of Quaker Bridge Mall
has improved, the remaining FLOCs have stabilized, and the
performance of the remaining pool is stable. Classes E and F
are unlikely to be upgraded, absent significant performance
improvement for the FLOCs and higher recoveries than expected
on the specially serviced loans.
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.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
MORGAN STANLEY 2015-UBS8: Fitch Affirms 'C' Rating on 2 Tranches
----------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of Morgan Stanley Capital
(MSCI) Trust 2015-UBS8 Commercial Mortgage Pass-Through
certificates. The Rating Outlooks for four classes have been
revised to Stable from Negative.
DEBT RATING PRIOR
---- ------ -----
MSCI 2015-UBS8
A-3 61691ABK8 LT AAAsf Affirmed AAAsf
A-4 61691ABL6 LT AAAsf Affirmed AAAsf
A-S 61691ABN2 LT AA-sf Affirmed AA-sf
A-SB 61691ABJ1 LT AAAsf Affirmed AAAsf
B 61691ABP7 LT A-sf Affirmed A-sf
C 61691ABQ5 LT BBBsf Affirmed BBBsf
D 61691AAQ6 LT B-sf Affirmed B-sf
E 61691AAS2 LT CCCsf Affirmed CCCsf
F 61691AAU7 LT CCsf Affirmed CCsf
G 61691AAW3 LT Csf Affirmed Csf
X-A 61691ABM4 LT AAAsf Affirmed AAAsf
X-B 61691AAA1 LT A-sf Affirmed A-sf
X-D 61691AAC7 LT CCCsf Affirmed CCCsf
X-F 61691AAG8 LT CCsf Affirmed CCsf
X-G 61691AAJ2 LT Csf Affirmed Csf
KEY RATING DRIVERS
Stable Loss Expectations: The affirmations reflect the relatively
stable loss expectations for the pool since Fitch's prior rating
action. The Outlook revision to Stable from Negative on the four
'AAAsf' rated classes reflects the defeasance of the Meridian
Office Complex loan (6.7% of the current pool balance), which had a
modeled loss of 29% at Fitch's last rating action, in addition to
better than expected pandemic performance on several loans across
the pool. Fitch has identified 22 loans (53.3% of the pool) as
Fitch Loans of Concern (FLOCs), including seven loans (11.6%) in
special servicing.
Loss expectations remain high due to the continued underperformance
of several large retail loans in the pool. Fitch's current ratings
reflect a base case loss of 11.3%. The Negative Outlooks on classes
A-S, B, C, D and X-B reflect losses could reach as high as 13.70%
when factoring in potential outsized losses on the Mall de las
Aguilas, Grove City Premium Outlets and Gulfport Premium Outlets
loans.
Largest Contributor to Losses: The largest overall contributor to
losses is the REO WPC Department Store Portfolio loan (2.6%), which
is secured by four (originally six) single-tenant retail properties
located in Wisconsin, Illinois, and North Dakota. The locations
were 100% leased and operated by various brands of Bon-Ton, who
declared bankruptcy and liquidated in February 2018. The loan
subsequently transferred to special servicing in August 2018 and
became REO in October 2019.
The Bay Park, WI property sold for $3.0 million in November 2020
and the Southridge, WI property sold for $3.3 million in July 2021,
with proceeds from both sales applied to outstanding servicer
advances. Fitch modeled a 100% loss due to the fully vacant nature
of the remaining four properties in the portfolio, negative retail
outlook and increasing loan exposure.
The next largest contributor to losses is the specially serviced
Mall de las Aguilas loan (3.1%), which is secured by a 356,877
square foot (sf) enclosed mall located in Eagle Pass, TX. The loan
transferred to special servicing in October 2020 due to imminent
monetary default caused by the pandemic, and the property became
REO in August 2021.
Occupancy has declined to 73% as of July 2021 from 95.5% at
year-end (YE) 2019 after Beall's (17.5% of the NRA) and other
smaller tenants vacated their space. The largest collateral tenants
are JCPenney (22.5% of NRA; through November 2022), Ross Dress for
Less (8.5%; January 2026) and a seven-screen Cinemark Theatre
(6.5%, renewed through September 2025). Ross Dress for Less has a
termination option if JCPenney and Bealls vacate.
Fitch's current base case loss of 81% is based off a discount to
the most recent servicer provided appraised value, which is
significantly below the outstanding debt amount and 80% below the
appraised value at issuance. Fitch also performed an additional
sensitivity analysis that assumed a full loss on the loan. Fitch
noted at issuance that 60% of the demand at the subject comes from
Mexican nationals from Piedras Negras, a Mexican city just across
the Rio Grande to the west.
The third largest contributor to losses is the Grove City Premium
Outlets (5.4%), which is secured by a 531,200-sf outlet center
located in Grove City, PA, approximately 50 miles north of
Pittsburgh. Occupancy fell to 72% as of June 2021 from 79.6% in
June 2020 and 82.1% at YE 2019, due to 11 tenants totaling 9% of
the NRA vacating at or prior to lease expiration between 2020 and
2021, including Gap Outlet, Bass Shoes, Van Heusen and New York &
Company.
The largest tenants include Lee Wrangler Clearance (5.1% of NRA
leased through November 2022), Old Navy (3.8%; January 2026) and
Nike Factory Store (3.1%; June 2023). Of the 71,000-sf of leases
that expired in the first half of 2021, 29,000-sf (41%) vacated.
The remaining tenants that expired in 1H-2021 executed short-term
renewals with substantial reductions in base rent. Approximately
23% of leases expire in 2022 and an additional 14% in 2023. The
2022 rollover is mostly concentrated in the November 2022
expiration of largest tenant Lee Wrangler Clearance.
Inline sales were $275 psf as of YTD September 2021, compared with
$272 psf as of YTD September 2020 and down significantly from $363
psf as of TTM November 2018.
Fitch's base case loss of 24% is based on a 15% cap rate and 20%
haircut to the YE 2020 NOI to reflect upcoming rollover and
downward-trending occupancy and cash flow. Fitch's analysis
included an additional sensitivity scenario whereby a potential
outsized loss of 50% was applied to the current balance of the loan
to reflect refinance concerns.
Alternative Loss Considerations: Fitch applied an additional
sensitivity scenario that assumed potential outsized loss on three
mall/outlet property types due to tertiary market locations and
sustained occupancy and sales declines. Sensitivity losses include;
Grove City Premium Outlets (50% sensitivity loss), Gulfport Premium
Outlets (30%), and Mall de las Aguilas (100%). The Negative
Outlooks reflect this analysis.
Increased Credit Enhancement: As of the February 2022 distribution
date, the pool's principal balance has paid down by 7.4% to $745.6
million from $805 million. Fifty-five of the original 57 loans
remain. Since Fitch's last rating action, one loan (0.9% of the
prior pool balance) had prepaid with yield maintenance. Eight loans
(31.6%) are full-term, interest-only; 29 loans (30.7%) are fully
amortizing; and 18 loans are (37.7%) are still in their
interest-only periods. Four loans (9.1% of the pool) have been
defeased, including the fourth largest loan, Meridian Office
Complex loan (6.7% of the pool). All loans mature between August
2025 and December of 2025.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- An increase in pool level losses from underperforming or
specially serviced loans. Downgrades of classes A-SB, A-3, A-
4, A-S, B, X-A and X-B would occur should expected losses for
the pool increase substantially, all of the loans susceptible
to the coronavirus pandemic suffer losses, all of the retail
mall/outlet loans incur outsized losses and/or if interest
shortfalls occur.
-- A downgrade of the 'BBBsf' category would occur if overall
pool losses increase substantially, performance of the FLOCs
further deteriorates, properties vulnerable to the coronavirus
fail to stabilize to pre-pandemic levels and/or losses on the
specially serviced loans are higher than expected.
-- A downgrade of the 'B-sf' rated class would occur should loss
expectations increase and if performance of the FLOCs or loans
vulnerable to the coronavirus pandemic fail to stabilize or
additional loans default and/or transfer to the special
servicer.
-- Further downgrades of the 'Csf', 'CCsf' and 'CCCsf' rated
classes would occur with increased certainty of losses or as
losses are realized.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Stable to improved asset performance coupled with pay down
and/or defeasance. Upgrades of the 'Asf' and 'AAsf' categories
would only occur with significant improvement in credit
enhancement (CE) and/or defeasance and with the stabilization
of performance on the FLOCs, particularly Mall de las Aguilas
and WPC Department Store Portfolio.
-- An upgrade to the 'BBBsf' category also would consider these
factors but would be limited based on sensitivity to
concentrations or the potential for future concentration.
Classes would not be upgraded above 'Asf' if there is
likelihood for interest shortfalls.
-- An upgrade to the 'Bsf' category is not likely until the later
years in a transaction and only if the performance of the
remaining pool is stable and/or properties vulnerable to the
coronavirus return to pre-pandemic levels, and there is
sufficient CE to the classes.
-- Upgrades to the 'Csf', 'CCsf' and 'CCCsf' categories are
unlikely absent significant performance improvement on the
FLOCs and substantially higher recoveries than expected on the
specially serviced loans.
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. =
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
MORGAN STANLEY 2017-C33: Fitch Affirms B- Rating on Class F Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed Morgan Stanley Bank of America Merrill
Lynch Trust Series 2017-C33 commercial mortgage pass-through
certificates. The Rating Outlooks for four classes have been
revised to Stable from Negative Outlook.
DEBT RATING PRIOR
---- ------ -----
MSBAM 2017-C33
Class A-2 61767CAR9 LT AAAsf Affirmed AAAsf
Class A-3 61767CAT5 LT AAAsf Affirmed AAAsf
Class A-4 61767CAU2 LT AAAsf Affirmed AAAsf
Class A-5 61767CAV0 LT AAAsf Affirmed AAAsf
Class A-S 61767CAY4 LT AAAsf Affirmed AAAsf
Class A-SB 61767CAS7 LT AAAsf Affirmed AAAsf
Class B 61767CAZ1 LT AA-sf Affirmed AA-sf
Class C 61767CBA5 LT A-sf Affirmed A-sf
Class D 61767CAC2 LT BBB-sf Affirmed BBB-sf
Class E 61767CAE8 LT BB-sf Affirmed BB-sf
Class F 61767CAG3 LT B-sf Affirmed B-sf
Class X-A 61767CAW8 LT AAAsf Affirmed AAAsf
Class X-B 61767CAX6 LT A-sf Affirmed A-sf
Class X-D 61767CAA6 LT BBB-sf Affirmed BBB-sf
KEY RATING DRIVERS
Stable Performance: Overall pool performance and loss expectations
remain stable from the prior review and since issuance. Fitch's
current ratings incorporate a base case loss of 4.00%. Fitch has
identified eight Fitch Loans of Concerns (24% of the pool balance),
including two loans in special servicing (7.2%), one of which is in
the top 15.
The Outlook revisions to Stable from Negative reflect the reduction
in FLOCs (from 36.9%) since the last rating action, as well as the
performance stabilization of the majority of properties impacted by
the pandemic, and progress toward recovery of loans in special
servicing.
Fitch Loans of Concern: The largest contributor to loss is the 141
Fifth Avenue loan (4.1%), which is secured by a 4,425-sf
single-tenant retail condominium located in the Flatiron District
of Manhattan on the southeast corner of 5th Avenue and East 21st
Street. The property is comprised of 3,500 sf of ground floor space
and 925 sf of basement storage space, and is located at the base of
a 12-story mixed-use condominium building.
The single tenant, HSBC (rated A+ by Fitch), has an upcoming lease
expiration in October 2022, and has given notice that they will
vacate the space. A cash flow sweep has been triggered and the
sponsor is currently marketing the space. The loan remains current
as of the February 2022 remittance.
Fitch's base case analysis includes a 20% stress to YE 2020 NOI to
reflect concerns with the vacated space coupled with a sharp
decline in market rents from issuance and high leverage. An
additional sensitivity was applied reflecting losses that could
reach 30% to account for the potential that the loan transfers to
special should the space not be successfully re-leased.
The next largest contributor to loss is the MVP Midwest Portfolio
loan (2.0%), which is secured by a portfolio of two parking garages
and four surface parking lots. The subject properties are located
within the Saint Paul, Cleveland, Milwaukee, St. Louis, and Denver
CBDs. The MVP Midwest Portfolio properties located in proximity to
major CBD demand drivers, including the Xcel Energy Stadium where
the Minnesota Wild NHL team plays and the BMO Harris Bradley
Center, which is home to the Milwaukee Bucks NBA team.
Performance of the collateral has been significantly impacted by
the effects of the pandemic with a 60% decline in gross receipts in
2020 resulting in cashflow insufficient to service the debt. The
collateral has continued to underperform into 2021. In August 2021,
alternative investment management firm, Bombe Asset Management,
acquired a majority stake in the parent company of the sponsor
resulting in a change in control of ownership. Fitch's analysis
reflects a 25% stress to YE 2019 NOI resulting in a 32% loss
severity. Given the recent capital investment and commitment by new
ownership, the assets are expected to be stabilized over time.
The third largest contributor to loss is the D.C. Office Portfolio
loan (5.7%), which is secured by a portfolio of three office
buildings totaling 328,319 sf located in the Golden Triangle of
Washington, D.C. The tenancy within the portfolio is granular as
the buildings are leased to over 100 tenants, none of which is
greater than 4.2% of the NRA. Portfolio occupancy declined to a
trough of 73% at YE 2020 from 87% at YE 2019 due to the impact of
the pandemic, but has improved to 76% as of YE 2021. Cash flow
remains challenged with a reported September 2021 NOI DSCR of 1.02x
which has declined from 1.40x at YE 2020.
Fitch's analysis reflects a 10% loss severity resulting in a
stressed value of $251 psf. Cash flow is anticipated to improve as
the annualized portfolio GPR as of the December 2021 rent roll is
approximately 31% above YE 2020 EGI and 17% above YE 2019 EGI..
Increasing Credit Enhancement (CE): CE has increased since issuance
due to amortization and loan repayments, with 14.24% of the
original pool balance repaid. The transaction has not realized any
losses to date. Additionally, 10.1% of the pool has been defeased.
Interest shortfalls are currently affecting the non-rated class G.
Five loans (21.0%) are full-term IO, five loans (12.7%) remains in
their partial IO periods and the remaining 31 loans (66.3%) are
amortizing.
Alternative Loss Consideration: Fitch applied an additional
sensitivity scenario that accounted for potential outsized losses
on the 141 Fifth Avenue loan when considering the upcoming loss of
the single tenant and significant reduction in market rents. The
sensitivity reflects the potential that the loan may transfer to
special should the space not be successfully re-leased. However,
the additional sensitivity losses did not impact the overall
stabilization of pool performance and Outlook revisions to Stable.
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 'AA-sf' and 'AAAsf' categories are not likely due to
the position in the capital structure, but may occur should
interest shortfalls affect the classes;
-- Downgrades to the 'BBB-sf' and A-sf' category would occur
should overall pool losses increase significantly and/or one
or more large loans have an outsized loss, which would erode
CE. Downgrades to the 'B-sf' and 'BB-sf' categories would
occur should loss expectations increase and if performance of
the FLOCs fail to stabilize or additional loans default and/or
transfer to the special servicer.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Stable to improved asset performance coupled with pay down
and/or defeasance. Upgrades of the 'A-sf' and 'AA-sf'
categories would likely occur with significant improvement in
CE and/or defeasance; however, adverse selection, increased
concentrations and further underperformance of the FLOCs could
cause this trend to reverse.
-- Upgrades to the 'BBB-sf' category would be limited based on
sensitivity to concentrations or the potential for future
concentration. Classes would not be upgraded above 'Asf' if
there is likelihood for interest shortfalls. Upgrades to the
'B-sf' and 'BB-sf' categories are not likely until the later
years in a transaction and only if the performance of the
remaining pool is stable 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.
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.
MVW LLC 2021-1W: Fitch Affirms BB Rating on Class D Debt
--------------------------------------------------------
Fitch Ratings upgrades MVW Owner Trust 2016-1 (2016-1) class A
notes to 'AAsf'/Outlook Stable from 'Asf'/Outlook Stable given
strong performance to date, credit enhancement (CE) growth since
closing and available loss coverage. The 2016-1 class B notes are
affirmed at 'BBBsf' and the Outlook is revised to Positive from
Stable. Additionally, Fitch affirms all outstanding ratings of MVW
Owner Trust 2017-1 (2017-1), MVW Owner Trust 2018-1 (2018-1), MVW
2019-1 LLC (2019-1), MVW 2019-2 LLC (2019-2), MVW 2020-1 LLC
(2020-1) and MVW 2021-1W (2021-1W) with Stable Outlooks.
DEBT RATING PRIOR
---- ------ -----
MVW 2019-2 LLC
A 55400DAA9 LT AAAsf Affirmed AAAsf
B 55400DAB7 LT Asf Affirmed Asf
C 55400DAC5 LT BBBsf Affirmed BBBsf
MVW 2019-1 LLC
A 55389PAA7 LT AAAsf Affirmed AAAsf
B 55389PAB5 LT Asf Affirmed Asf
C 55389PAC3 LT BBBsf Affirmed BBBsf
MVW Owner Trust 2016-1
A 553894AA4 LT AAsf Upgrade Asf
B 553894AB2 LT BBBsf Affirmed BBBsf
MVW Owner Trust 2017-1
A 553896AA9 LT AAAsf Affirmed AAAsf
B 553896AB7 LT Asf Affirmed Asf
C 553896AC5 LT BBBsf Affirmed BBBsf
MVW 2020-1
Class A 55400EAA7 LT AAAsf Affirmed AAAsf
Class B 55400EAB5 LT Asf Affirmed Asf
Class C 55400EAC3 LT BBBsf Affirmed BBBsf
Class D 55400EAD1 LT BBsf Affirmed BBsf
MVW 2021-1W LLC
A 55389TAA9 LT AAAsf Affirmed AAAsf
B 55389TAB7 LT Asf Affirmed Asf
C 55389TAC5 LT BBBsf Affirmed BBBsf
D 55389TAD3 LT BBsf Affirmed BBsf
MVW Owner Trust 2018-1
A 62848BAA9 LTAAAsf Affirmed AAAsf
B 62848BAB7 LTAsf Affirmed Asf
C 62848BAC5 LTBBBsf Affirmed BBBsf
KEY RATING DRIVERS
The upgrade of class A notes to 'AAsf' from 'Asf' for 2016-1
reflects strong performance, CE growth since closing and available
loss coverage. The affirmation of the class B notes reflects loss
coverage levels consistent with the current rating and the outlook
revision reflects the potential for a positive rating action over
the next one to two years. The affirmations of the class A, B, C
and D notes for the remaining transactions reflect loss coverage
levels consistent with their current ratings. The Stable Outlook of
notes reflects Fitch's expectation that loss coverage levels will
remain supportive of these ratings.
As of the February 2022 collection period, the 61+ day delinquency
rates for 2016-1, 2017-1, 2018-1, 2019-1, 2019-2, 2020-1 and
2021-1W are 2.24%, 1.75%, 1.80%, 1.75%, 2.09%, 1.69% and 1.84%,
respectively. Cumulative gross defaults (CGDs) are currently at
11.11%, 8.56%, 8.51%, 9.78%, 9.35%, 6.36% and 2.22%, respectively.
The transactions are tracking above their initial base case proxies
to date, however, as a result of optional repurchases and
substitutions by the seller, none of the transactions have
experienced a net loss to date. Overall asset performance within
the MVW portfolio have demonstrated stable to improving trends over
the past several months as the U.S. economy has improved and demand
for travel/tourism has rebounded back to pre-pandemic levels.
To account for the recent performance, Fitch revised the lifetime
CGD proxy to 12.25%, 10.75%, 12.35%, 14.75%, 15.00%, 15.25% and
17.25% for 2016-1, 2017-1, 2018-1, 2019-1, 2019-2, 2020-1 and
2021-1W, respectively. The updated base case default proxies were
lowered from the prior review given the stabilizing performance
trends within each transaction.
Under Fitch's stressed cash flow assumptions, loss coverage for the
2016-1 class A and class B notes are able to support multiples in
excess of 3.00x for 'AAsf' and 1.75x for 'BBBsf'.
For 2017-1, the class A and class B loss coverages are slightly
short of the 3.50x and 2.50x multiples for 'AAAsf' and 'Asf,' but
the class C loss coverages are able to support it's multiple of
1.75x for 'BBBsf'. For 2018-1 and 2019-1, the class A, class B and
class C loss coverage are slightly short of the 3.50x, 2.50x and
1.75x multiples for 'AAAsf', 'Asf' and 'BBBsf'. The shortfalls are
considered marginal and are still within the range of the multiples
for their current rating. Additionally, Fitch also accounted for
the issuer's optional repurchase and substitution activities across
all these transactions, resulting in zero net losses to date. For
2019-2, loss coverage for the class A, class B and class C notes
are able to support multiples in excess of 3.50x, 2.50x and 1.75x
for 'AAAsf', 'Asf' and 'BBBsf'.
For 2020-1, the loss coverages for class C and class D notes are
able to support multiples in excess of 1.75x and 1.25x for 'BBBsf'
and 'BBsf'. However, for 2020-1 class A and class B notes, loss
coverages are slightly short of the 3.50x and 2.50x multiple, but
the shortfalls are considered marginal and still within range of
the multiples for their current rating. For 2021-1, the class A,
class B, class C and class D loss coverages are within range and
able to support multiples in excess of 3.50x, 2.50x, 1.75x and
1.25x for 'AAAsf', 'Asf', 'BBBsf' and 'BBsf'.
The ratings also reflect the quality of Marriot Vacations Worldwide
Corporation timeshare receivable originations, the sound financial
and legal structure of the transaction, and the strength of the
servicing provided by Marriott Ownership Resorts, Inc. Fitch will
continue to monitor economic conditions and their impact as they
relate to timeshare ABS and the trust level performance variables
and update the ratings accordingly.
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.
Conversely, stable to improved asset performance driven by
stable delinquencies and defaults would lead to increasing CE
levels and consideration for potential upgrades. Fitch
utilizes the break-even loss coverage to solve for the CGD
level required to reduce each rating by one full category, to
non-investment grade (BBsf) and to 'CCCsf'.
-- Fitch ran a down sensitivity for each transaction that would
raise the CGD proxy by 2.0x the current proxy. This is
extremely stressful to the transactions and could result in
downgrades by up to four categories.
Factor that could, individually or collectively, lead to positive
rating action/upgrade:
-- Fitch applied an up sensitivity, by reducing the base case
proxy by 20%. The impact of reducing the proxies by 20% from
the recommended proxies could result in up to three category
upgrades or affirmations of ratings with stronger multiples.
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.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
NEW RESIDENTIAL 2022-INV1: S&P Assigns (P) 'B' on Class B5 Certs
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to New
Residential Mortgage Loan Trust 2022-INV1's mortgage pass-through
certificates.
The issuance is an RMBS transaction backed by first-lien,
fixed-rate, fully amortizing investment property mortgage loans
secured by one-to four-family residential properties, townhouses,
planned-unit developments, and condominiums to primarily prime
borrowers.
The preliminary ratings are based on information as of March 2,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- High-quality collateral in the pool;
-- Available credit enhancement;
-- The transaction's associated structural mechanics;
-- Representation and warranty framework for this transaction;
-- Geographic concentration;
-- Originators; and
-- 30% sampled due diligence results, which were consistent with
represented loan characteristics.
Preliminary Ratings Assigned
New Residential Mortgage Loan Trust 2022-INV1
Class A1, $236,569,375: AAA (sf)
Class A2, $236,569,375: AAA (sf)
Class A3, $12,407,000: AA+ (sf)
Class A4, $12,407,000: AA+ (sf)
Class A5, $12,407,000: AA+ (sf)
Class A6, $177,427,000: AAA (sf)
Class A7, $177,427,000: AAA (sf)
Class A8, $59,142,375: AAA (sf)
Class A9, $59,142,375: AA (sf)
Class A10, $282,772,000: AA+ (sf)
Class A11, $33,795,625: AAA (sf)
Class A11X, $33,795,625(vi): AAA (sf)
Class A12, $33,795,625: AAA (sf)
Class A13, $33,795,625: AAA (sf)
Class A14, $33,795,625: AAA (sf)
Class AX1, $282,772,000(vi): AA+ (sf)
Class AX2, $236,569,375(vi): AAA (sf)
Class AX3, $12,407,000(vi): AA+ (sf)
Class AX4, $12,407,000(vi): AA+ (sf)
Class AX6, $177,427,000(vi): AAA (sf)
Class AX8, $59,142,375(vi): AAA (sf)
Class AX12, $33,795,625(vi): AAA (sf)
Class AX13, $33,795,625(vi): AAA (sf)
Class B1, $10,814,000: AA- (sf)
Class B1A, $10,814,000: AA- (sf)
Class BX1, $10,814,000(vi): AA- (sf)
Class B2, $6,521,000: A (sf)
Class B2A, $6,521,000: A (sf)
Class BX2, $6,521,000(vi): A (sf)
Class B3, $7,634,000: BBB (sf)
Class B4, $4,612,000: BB (sf)
Class B5, $3,022,000: B (sf)
Class B6, $2,703,815: NR
Class BX, $17,335,000(vi): A (sf)
Class B, $17,335,000: A (sf)
Class R, N/A: NR
(i)Coupons are subject to the net WAC rate.
(ii)The least of (a) 2.50000% and (b) the product of (1) the net
WAC divided by 3.25000% and (2) 3.00000%.
(iii)The least of (a) 3.00000% and (b) the product of (i) the net
WAC divided by 3.25000% and (ii) 3.00000%.
(iv)The least of 3.25000% and the net WAC.
(v)The least of (a) the SOFR rate plus [], (b) 5.00000%, and (c)
the class A11 net WAC cap. The class A11 net WAC cap is an annual
rate equal to the product of (a) the net WAC rate divided by
3.25000% and (b) the least of (i) 5.00000% and (ii) the SOFR rate
plus []%.
(vi)Notional balance.
(vii)Excess of (a) the least of (i) 5.00000% and (ii) the product
of (x) the net WAC Rate divided by 3.25000% and (y) 5.00000% over
(b) the certificate interest rate for the class A11 certificates.
(viii)The least of (a) 2.50000% and (b) the product of (i) the net
WAC rate for such distribution date divided by 3.25000% and (ii)
2.50000%.
(ix)Least of (a) 5.00000% and (b) the product of (i) the net WAC
divided by 3.25000% and (ii) 5.00000%.
(x)The excess, if any, of the net WAC for that distribution date
over 3.2500%.
(xi)The excess of (a) the least of (i) the product of (x) the net
WAC rate divided by 3.25000% and (y) 3.00000% and (ii) 3.00000%
over (b) the least of (i) the product of (x) the net WAC rate
divided by 3.25000% and (y) 3.00000% and (ii) 2.50000%.
(xii)The excess of (a) 3.25000% over (b) 3.00000%.
(xiii)The lesser of (a) the product of (i) the net WAC divided by
3.25000% and (ii) 2.00000% and (b) 2.00000%.
(xiv)The net WAC for that distribution date.
(xv)The lesser of 3.0000% and the net WAC.
(xvi)The excess of (a) the net WAC over (b) 3.00000%.
WAC--Weighted average coupon.
P&I--Principal and interest.
IO--Interest only.
N/A--Not applicable.
NR--Not rated.
OBX 2022-NQM2: S&P Assigns BB+ (sf) Rating on Class B-1 Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to OBX 2022-NQM2 Trust's
mortgage-backed notes.
The note issuance is an RMBS transaction backed by newly originated
first-lien, fixed-rate, and adjustable-rate residential mortgage
loans to prime and nonprime borrowers, including mortgage loans
with initial interest-only periods. The loans are primarily secured
by single-family residential properties, planned-unit developments,
condominiums, townhouses, and two- to four-family residential
properties. The pool has 649 loans, which are primarily
nonqualified mortgage/ability-to-repay (ATR)-compliant and
ATR-exempt loans.
The ratings reflect S&P's view of:
-- The pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, representation and warranty framework, and geographic
concentration;
-- The mortgage aggregator, Onslow Bay Financial LLC, and the
originators, which include AmWest Funding Corp. and Sprout Mortgage
LLC; and
-- The impact that the COVID-19 pandemic will likely have on the
performance of the mortgage borrowers in the pool.
Ratings Assigned(i)
OBX 2022-NQM2 Trust
Class A-1A, $270,408,000.00: AAA (sf)
Class A-1B, $90,136,000.00: AAA (sf)
Class A-1, $360,544,000.00: AAA (sf)
Class A-2, $18,896,000.00: AA (sf)
Class A-3, $19,114,000.00: A (sf)
Class M-1, $13,403,000.00: BBB (sf)
Class B-1, $7,909,000.00: BB+ (sf)
Class B-2, $11,425,000.00: B (sf)
Class B-3, $8,130,072.00: NR
Class A-IO-S, notional(ii): NR
Class XS, notional(iii): NR
Class R: NR
(i)The ratings address the ultimate payment of interest and
principal.
(ii)For the class A-IO-S notes, the notional amount equals the
loans' stated principal balance for loans serviced by SPS and SLS.
(iii)The notional amount equals the loans' stated principal
balance.
SPS--Select Portfolio Servicing Inc.
SLS--Specialized Loan Servicing LLC.
NR--Not rated.
OCTAGON INVESTMENT 45: S&P Assigns Prelim 'BB-' Rating on E-R Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R, A-2-R, C-1-R, C-2-R, D-R, and E-R notes from Octagon
Investment Partners 45 Ltd., a CLO originally issued in November
2019 that is managed by Octagon Credit Investors LLC, which is
majority owned by Conning & Co.
The preliminary ratings are based on information as of Feb. 25,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Feb. 25, 2022, refinancing date, the proceeds from the
replacement notes will be used to redeem the original notes. At
that time, S&P expects to withdraw its ratings on the original
notes and assign ratings to the replacement notes. However, if the
refinancing doesn't occur, S&P may affirm its ratings on the
original notes and withdraw our preliminary ratings on the
replacement notes.
The replacement notes will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement notes.
According to the proposed supplemental indenture:
-- The replacement class A-1-R, A-2-R, B-R, C-1-R, C-2-R, D-R, and
E-R notes are expected to be issued at a spread over three-month
Secured Overnight Financing Rate (SOFR), which will replace the
spread over three-month LIBOR on the original class A, B-1, C, D-1,
D-2, and E notes.
-- The replacement class A-1-R, A-2-R, C-1-R, C-2-R, D-R, and E-R
notes are expected to be issued at a floating spread, replacing the
current floating spread.
-- The replacement class B-R notes are expected to be issued at a
floating spread, replacing both the floating spread on the original
class B-1 notes and the fixed coupon on the original class B-2
notes.
-- The stated maturity and reinvestment period will be extended
approximately 2.5 years.
-- The non-call period will be re-established through April 2024.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
Octagon Investment Partners 45 Ltd.
Class A-1-R, $416.00 million: AAA (sf)
Class A-2-R, $6.50 million: Not rated
Class B-R, $71.50 million: AA (sf)
Class C-1-R (deferrable), $26.00 million: A+ (sf)
Class C-2-R (deferrable), $13.00 million: A (sf)
Class D-R (deferrable), $39.00 million: BBB- (sf)
Class E-R (deferrable), $26.00 million: BB- (sf)
Subordinated notes, $61.50 million: Not rated
OHA CREDIT 7: S&P Assigns BB- (sf) Rating on Class E-R Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class X-R, A-R, B-R,
C-R, D-R, and E-R replacement notes from OHA Credit Funding 7
Ltd./OHA Credit Funding 7 LLC, a CLO originally issued in November
2020 that is managed by Oak Hill Advisors L.P.
The replacement notes were issued via a supplemental indenture,
which outlines the terms of the replacement notes. According to the
supplemental indenture:
-- The replacement class X-R, A-R, and B-R notes were issued at a
higher spread over three-month secured overnight financing rate
(SOFR) than the original notes.
-- The replacement class C-R, D-R, and E-R notes were issued at a
lower spread over three-month SOFR than the original notes.
-- The stated maturity was extended by 4.3 years, the non-call
period was extended by 2.4 years, and the reinvestment period was
extended by 3.5 years.
-- The class X-R notes issued in connection with this refinancing
are to be paid down using interest proceeds during the first 10
payment dates beginning with the payment date in April 2022.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
OHA Credit Funding 7 Ltd./OHA Credit Funding 7 LLC
Class X-R, $1.25 million: AAA (sf)
Class A-R, $335.50 million: AAA (sf)
Class B-R, $82.50 million: AA (sf)
Class C-R (deferrable), $33.00 million: A (sf)
Class D-R (deferrable), $33.00 million: BBB- (sf)
Class E-R (deferrable), $22.00 million: BB- (sf)
Ratings Withdrawn
OHA Credit Funding 7 Ltd./OHA Credit Funding 7 LLC
Class X to not rated from 'AAA (sf)'
Class A to not rated from 'AAA (sf)'
Class B to not rated from 'AA (sf)'
Class C to not rated from 'A (sf)'
Class D to not rated from 'BBB- (sf)'
Class E to not rated from 'BB- (sf)'
PALMER SQUARE 2022-1: Moody's Assigns Ba3 Rating to Class E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Palmer Square Loan Funding 2022-1, Ltd. (the
"Issuer" or "Palmer Square 2022-1").
Moody's rating action is as follows:
US$510,000,000 Class A-1 Senior Secured Floating Rate Notes due
2030, Assigned Aaa (sf)
US$90,000,000 Class A-2 Senior Secured Floating Rate Notes due
2030, Assigned Aa1 (sf)
US$45,000,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2030, Assigned A1 (sf)
US$26,250,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2030, Assigned Baa2 (sf)
US$26,250,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2030, Assigned Ba2 (sf)
US$7,500,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2030, Assigned Ba3 (sf)
The notes listed are referred to herein, collectively, as the
"Rated Notes."
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.
Palmer Square 2022-1 is a static cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated senior
secured corporate loans. The portfolio is 100% ramped as of the
closing date.
Palmer Square Capital Management LLC (the "Servicer") may engage in
disposition of the assets on behalf of the Issuer during the life
of the transaction. Reinvestment is not permitted and all sale and
unscheduled principal proceeds received will be used to amortize
the notes in sequential order.
In addition to the Rated Notes, the Issuer issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2021.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $750,000,000
Diversity Score: 83
Weighted Average Rating Factor (WARF): 2510
Weighted Average Spread (WAS): 3.21% (LIBOR loans) and 3.52% (SOFR
loans) (modeled as two separate groups and using actual spread
vectors of the portfolio)
Weighted Average Recovery Rate (WARR): 48.0%
Weighted Average Life (WAL): 5.4 years (actual amortization vectors
of the portfolio)
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2021.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
SG RESIDENTIAL 2022-1: S&P Assigns Prelim 'B-' Rating on B-2 Certs
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to SG
Residential Mortgage Trust 2022-1's residential mortgage
pass-through certificates.
The certificate issuance is an RMBS securitization backed by a pool
of first-lien, fixed- and adjustable-rate, fully amortizing
residential mortgage loans secured primarily by single-family
residential properties, planned-unit developments, condominiums,
and two- to four-family residential properties to both prime and
nonprime borrowers. The pool has 579 loans, which are primarily
non-qualified mortgage loans.
The preliminary ratings are based on information as of Feb. 25,
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 pool's collateral composition;
-- The credit enhancement provided for this transaction;
-- The transaction's associated structural mechanics;
-- The transaction's representation and warranty framework; and
-- The mortgage aggregator, SG Capital Partners LLC, and the
mortgage originator, SG Capital doing business as ClearEdge
Lending; and
-- The impact the COVID-19 pandemic will likely have on the
performance of the mortgage borrowers in the pool.
Preliminary Ratings Assigned(i)
SG Residential Mortgage Trust 2022-1
Class A-1, $216,219,000: AAA (sf)
Class A-2, $24,862,000: AA (sf)
Class A-3, $33,042,000: A (sf)
Class M-1, $17,163,000: BBB (sf)
Class B-1, $11,388,000: BB (sf)
Class B-2, $10,587,000: B- (sf)
Class B-3, $7,538,525: NR
Class B-3-C, $7,538,525: NR
Class A-IO-S, Notional(ii): NR
Class C, $1,000 (notional): NR
Class XS, Notional(iii): NR
Class XS-1, Notional(iii): NR
Class XS-2, Notional(iii): NR
Class XS-2-C, Notional(iii): NR
Class P, $1,000 (notional): NR
Class R, Not applicable: NR
Class LT-R, Not applicable: NR
(i)The preliminary ratings address the ultimate payment of interest
and principal.
(ii)The notional amount will be equal to the aggregate scheduled
principal balance of the mortgage loans as of the first day of the
related due period.
(iii)The notional amount will be equal to the aggregate certificate
principal balance of the class A-1, A-2, A-3, M-1, B-1, B-2, and
B-3 or B-3-C certificates (immediately before that distribution
date).
NR--Not rated.
SPGN 2022-TFLM: Moody's Assigns Ba1 Rating to Cl. HRR Certificates
------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to five
classes of CMBS securities, issued by SPGN 2022-TFLM Mortgage
Trust, Commercial Mortgage Pass-Through Certificates, Series
2022-TFLM:
Cl. A, Definitive Rating Assigned Aaa (sf)
Cl. B, Definitive Rating Assigned Aa3 (sf)
Cl. C, Definitive Rating Assigned A3 (sf)
Cl. D, Definitive Rating Assigned Baa3 (sf)
Cl. HRR, Definitive Rating Assigned Ba1 (sf)
Note: Moody's previously assigned a provisional rating to Class
X-CP of (P) Aaa (sf), described in the prior press release, dated
February 8, 2022. Subsequent to the release of the provisional
ratings for this transaction, Class X-CP was no longer included.
Therefore, Moody's has withdrawn its provisional rating on Class
X-CP.
RATINGS RATIONALE
The certificates are collateralized by the borrower's fee simple
interest in The Florida Mall, a regional shopping center located in
Orlando FL. The collateral consists of a 1.10 million square foot
("SF") component of a 1.72 million SF one-story mall built on a
159.2-acre parcel of land. Moody's ratings are based on the credit
quality of the loans and the strength of the securitization
structure.
Moody's approach to rating this transaction involved the
application of Moody's Large Loan and Single Asset/Single Borrower
Commercial Mortgage-Backed Securitization methodology. The rating
approach for securities backed by a single loan compares the credit
risk inherent in the underlying collateral with the credit
protection offered by the structure. The structure's credit
enhancement is quantified by the maximum deterioration in property
value that the securities are able to withstand under various
stress scenarios without causing an increase in the expected loss
for various rating levels. In assigning single borrower ratings,
Moody's also consider a range of qualitative issues as well as the
transaction's structural and legal aspects.
The Florida Mall is located approximately eight miles south of the
Orlando, Florida central business district. Orlando's tourist
destinations. It is 11 miles northeast of Disney World, six miles
southwest of Universal Studios, and seven miles northeast of Sea
World, and is a leading retail destination for Orlando's leading
tourist destinations. The Mall also serves the Orlando MSA, a
densely-populated metropolitan area (1,511,811 people in a 15-mile
radius) that is ranked by Moody's Analytics within the top quintile
for job growth going forward.
The property was built in 1986. Since 2010, the sponsor has
invested approximately $105.2 million in capital improvements, most
recently including $18.0 million ($16 PSF across the collateral
area) in a general renovation. Previously, the borrower had
invested funds in successful re-purposing of space formerly
occupied by vacating anchor tenants and adding outdoor lifestyle
and dining components and new tenants to adapt to shifting trends
in retail demand.
The Florida Mall's non-collateral anchors include Dillard's
(252,300 SF), Macy's (200,000 SF), and Sears (169,926 SF).
Collateral anchors include JC Penney (196,931 SF, 11.4% of NRA,
1.1% of base rent), Crayola Experience (79,089 SF, 4.6% of NRA,
1.7% of base rent), and Dick's Sporting Goods (63,150 SF, 3.7% of
NRA, 2.0% of base rent).
Tenants at the property greater than 10,000 SF include XXI Forever,
Zara, H&M, Old Navy, American Girl, Victoria' Secret, Apple, JD
Sports, Steps New York, Uniqlo, Footaction USA, and Gap/Gap Kids.
The property also includes over 180 in-line retailers. Some notable
in-line tenants include Banana Republic (9,965 SF, 0.6% of total
NRA, 1.7% of base rent), Foot Locker (9,425 SF, 0.5% of total NRA,
1.9% of base rent), Champs Sports (9,210 SF, 0.5%of total NRA, 1.3%
of base rent); ), Hollister (8,322 SF, 0.5% of total NRA, 2.1% of
base rent); Pink (6,864 SF, 0.4% of total NRA, 1.1% of base rent);
Sephora (6,207 SF, 0.4% of total NRA, 1.0% of base rent); Adidas
(5,549 SF, 0.3% of total NRA, 1.0% of base rent); and Tesla (2,997
SF, 0.2% of total NRA, 0.5% of base rent). The Florida Mall
reported relatively strong average in-line sales pre-pandemic, with
sales from in-line retailers (ex. Apple, Tesla, jewelry, food court
and kiosk) of $656PSF as of year-end 2019.
As of December 9, 2021, the collateral was 98.0% occupied. The
property maintained average collateral occupancy of 98.0% during
the five-year period before the onset of the pandemic.
The coronavirus pandemic dramatically reduced property tenant
traffic and revenues. The mall was closed from March 18, 2020
through May 14, 2020 under State-mandated closures. Approximately
30 tenants (9.7% of net rentable area, 15.7% of base rent) were
granted rental relief. Average in-line tenant sales (ex. Apple,
Tesla, jewelry, food court and kiosk) declined from $656PSF as of
year-end 2019 to $422 PSF for 2020. However, the property rebounded
strongly during 2021, with comparable in line sales (ex. Apple,
Tesla, jewelry, food court and kiosk) recovering to $628 PSF.
The property also has increased the amount of space leased to
temporary tenants (tenants with lease terms below one year) from
84,114 SF as of year-end 2019 to132,984 Sf as of TTM November 2021.
Available data suggests that temporary tenants pay rents below
those achieved with long-term tenants.
The Mall has traditionally had strong traffic from tourists,
benefitting from the unique strength of the Orlando market.
Pre-pandemic, an estimated 60-70% of sales were to tourists, with a
significant share of foreign visitors, many of whom reportedly
choose Orlando as a shopping destination. With the closing of
borders, foreign tourism declined sharply. Now that borders are
reopening, tourist traffic is expected to rebound; however, foreign
arrivals at Orlando International Airport continue to be
approximately 70% below 2019 levels according to airport authority
data.
The property is owned by a joint venture between Simon Property
Group, L.P. (SPG, A3 senior unsecured) and Teacher's Insurance and
Annuity Association of America (TIAA, Aa2, issuer rating). SPG is
one of the leading owners and operators of retail and entertainment
assets in the world, owning 234 properties across North America and
others through ownership interests in other entities., and thus
bring significant market strength and expertise to property
management. TIAA is a dominant provider of retirement benefits to
academic and non-profit institutions with assets of approximately
$341.25 billion at year-end 2020.
The credit risk of loans is determined primarily by two factors: 1)
Moody's assessment of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessment of the
severity of loss upon a default, which is largely driven by each
loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV.
As described in the CMBS methodology used to rate this transaction,
Moody's make various adjustments to the MLTV. Moody's adjust the
MLTV for each loan using a value that reflects capitalization (cap)
rates that are between Moody's sustainable cap rates and market cap
rates. Moody's also use an adjusted loan balance that reflects each
loan's amortization profile.
The Moody's first-mortgage DSCR is 4.02x and Moody's first-mortgage
stressed DSCR at a 9.25% constant is 1.06x. Moody's DSCR is based
on Moody's stabilized net cash flow.
Moody's LTV ratio for the first mortgage balance of $600.0 million
is 86.5%. Moody's LTV Ratio is based on Moody's Value. Moody's did
not adjust Moody's value to reflect the current interest rate
environment as part of Moody's analysis for this transaction.
Moody's also grades properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The property's quality
grade is 1.75.
Notable strengths of the transaction include: the property's
position as dominant mall in a major tourist destination combined
with a strong, high-density local trade area; strong accessibility
to Orlando's world-renowned theme parks; a high level of capital
investment and success in repurposing vacant anchor spaces to meet
the demands of the evolving retail landscape; strong pre-pandemic
occupancy and sales; and investment-grade sponsorship with very
high expertise in owning and operating retail properties.
Notable concerns of the transaction include: the effects of the
coronavirus pandemic and the resulting decline in revenues and
sales in 2020, mitigated by a partial recovery in 2021; high
occupancy cost ratios; increased reliance on temporary tenants;
uncertain pace of rebound in foreign tourist traffic; tenant
rollover, lack of asset diversification and floating-rate profile.
The principal methodology used in these ratings was "Large Loan and
Single Asset/Single Borrower Commercial Mortgage-Backed
Securitizations Methodology" published in November 2021.
Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from Moody's
loan level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.
Factors that would lead to an upgrade or downgrade of the ratings:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
STARWOOD MORTGAGE 2022-2: Fitch Rates Class B-2 Debt 'B-'
---------------------------------------------------------
Fitch Ratings has assigned expected ratings to Starwood Mortgage
Residential Trust 2022-2.
DEBT RATING
---- ------
STAR 2022-2
A-1A LT AAA(EXP)sf Expected Rating
A-1B LT AAA(EXP)sf Expected Rating
A-1 LT AAA(EXP)sf Expected Rating
A-2 LT AA(EXP)sf Expected Rating
A-3 LT A(EXP)sf Expected Rating
M-1 LT BBB(EXP)sf Expected Rating
B-1 LT BB(EXP)sf Expected Rating
B-2 LT B-(EXP)sf Expected Rating
B-3 LT NR(EXP)sf Expected Rating
XS LT NR(EXP)sf Expected Rating
A-IO-S LT NR(EXP)sf Expected Rating
TRANSACTION SUMMARY
Fitch expects to rate the residential mortgage-backed certificates
to be issued by Starwood Mortgage Residential Trust 2022-2, series
2022-2 (STAR 2022-2), as indicated above. The certificates are
supported by 832 loans with a balance of approximately $515.9
million as of the cutoff date. This is the second Fitch-rated STAR
transaction in 2022 and eighth STAR transaction that Fitch has
rated since 2020.
The certificates are secured primarily by mortgage loans originated
by third-party originators, with Luxury Mortgage Corporation,
HomeBridge Financial Services, Inc. and CrossCountry Mortgage LLC
sourcing 90.8% of the pool. The remaining 9.2% of the mortgage
loans were originated by various originators that contributed less
than 7% each to the pool. Fitch assessed Luxury Mortgage
Corporation, HomeBridge Financial Services, Inc. and CrossCountry
Mortgage LLC as 'Average' originators.
Of the loans in the pool, 65.3 % are designated as non-qualified
mortgages (non-QMs, or NQMs), and 34.7% are not subject to the
Consumer Finance Protection Bureau's (CFPB) Ability to Repay Rule
(ATR Rule, or the rule).
There is LIBOR exposure in this transaction. The collateral
consists of one adjustable-rate loan, which reference one-year
Libor, while the remaining adjustable-rate loans reference
one-month SOFR Secured Overnight Financing Rate (SOFR). The
certificates are fixed rate and capped at the net weighted average
coupon (WAC) or based on the net WAC.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 10.6% above a long-term sustainable level, versus
10.6% on a national level. Underlying fundamentals are not keeping
pace with 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
19.7% yoy nationally as of September 2021.
Nonprime Credit Quality (Mixed): The collateral consists mainly of
30-year, fixed-rate fully amortizing loans (75.4%), 13.4%
fixed-rate loans with an initial IO term, 5.0% 7/1 ARMs with an
initial IO term and 2.7% 10/1 ARMs with an initial IO term. The
pool is seasoned at approximately four months in aggregate, as
determined by Fitch.
Borrowers in this pool have relatively strong credit profiles, with
a 741 weighted average (WA) FICO score and a 40% debt to income
(DTI) ratio, as determined by Fitch, and relatively high leverage
with an original combined loan to value (CLTV) ratio of 71.7% that
translates to a Fitch-calculated sustainable loan to value (sLTV)
ratio of 79.8%.
The Fitch DTI is higher than the DTI in the transaction documents
(DTI is 28.4% in the transaction documents) due to Fitch assuming a
55% DTI for asset depletion loans and converting the debt service
coverage ratio (DSCR) to a DTI for the DSCR loans.
Of the pool, 59.9% consist of loans where the borrower maintains a
primary residence, while 35.1% comprise an investor property or
second home; 46.9% of the loans were originated through a retail
channel. Additionally, 65.3% are designated as non-QM and 34.7% are
exempt from QMs.
The pool contains 134 loans over $1 million, with the largest being
$3.5 million. Self-employed non-DSCR borrowers make up 60.2% of the
pool, 3.5% are asset depletion loans and 28.2% are investor cash
flow DSCR loans.
Approximately 35% of the pool comprise loans on investor properties
(7% underwritten to the borrowers' credit profile and 28%
comprising investor cash flow loans). A 0.7% portion of the loans
has subordinate financing and there are no second lien loans.
Four loans in the pool were underwritten to foreign nationals.
Fitch treated these loans as being investor occupied and having no
documentation for income and employment. Fitch assumed a FICO of
650 for foreign nationals without a credit score.
Although the credit quality of the borrowers is higher than in
prior NQM transactions, the pool characteristics resemble nonprime
collateral; therefore, the pool was analyzed using Fitch's nonprime
model.
Geographic Concentration (Negative): Approximately 41.5% of the
pool are concentrated in California. The largest MSA concentration
is in the Los Angeles-Long Beach-Santa Ana, CA MSA (19.9%),
followed by the New York-Northern New Jersey-Long Island, NY-NJ-PA
MSA (17.7%) and the San Francisco-Oakland-Fremont MSA (6.5%). The
top three MSAs account for 44.2% of the pool. As a result, there
was a 1.04x probability of default (PD) penalty for geographic
concentration, which increased the 'AAA' loss by 0.47%.
Loan Documentation (Negative): Approximately 91.4% of the pool were
underwritten to less than full documentation, and 57.7% were
underwritten to a 12- or 24-month bank statement program for
verifying income, which is not consistent with Appendix Q standards
and Fitch's view of a full documentation program. A key distinction
between this pool and legacy Alt-A loans is that these loans adhere
to underwriting and documentation standards required under the
CFPB's ATR Rule, which reduces the risk of borrower default arising
from lack of affordability, misrepresentation or other operational
quality risks due to the rigor of the rule's mandates with respect
to the underwriting and documentation of the borrower's ATR.
Additionally, 3.5% of loans in the pool are an asset depletion
product, 0% are a CPA or PnL product and 28.2% are a DSCR product.
Limited Advancing (Mixed): The deal is structured to six months of
servicer advances for delinquent principal and interest (P&I). The
limited advancing reduces loss severities, as there is a lower
amount repaid to the servicer when a loan liquidates and
liquidation proceeds are prioritized to cover principal repayment
over accrued but unpaid interest. The downside is the additional
stress on the structure side, as there is limited liquidity in the
event of large and extended delinquencies.
Sequential Payment Structure (Positive): The transaction's cash
flow is based on a sequential-pay structure whereby the subordinate
classes do not receive principal until the senior classes are
repaid in full. Losses are allocated in reverse-sequential order.
Furthermore, the provision to re-allocate principal to pay interest
on the 'AAAsf' and 'AAsf' rated notes prior to other principal
distributions is highly supportive of timely interest payments to
that class with limited advancing.
There is excess spread in the transaction which will be used to
absorb realized losses if needed.
Fitch used a customized version of the U.S. RMBS Loan Loss Model in
the loss analysis for this transaction. A customized model was used
in order to accommodate loans that were originated in 2022.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- Fitch incorporates a sensitivity analysis to demonstrate how
the ratings would react to steeper market value declines
(MVDs) than assumed at the MSA level. Sensitivity analyses was
conducted at the state and national levels to assess the
effect of higher MVDs for the subject pool as well as lower
MVDs, illustrated by a gain in home prices.
-- This defined negative rating sensitivity analysis demonstrates
how the ratings would react to steeper MVDs at the national
level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
addition to the model-projected 41.9% at 'AAA'. The analysis
indicates that there is some potential rating migration with
higher MVDs for all rated classes, compared with the model
projection. Specifically, a 10% additional decline in home
prices would lower all rated classes by one full category.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Fitch incorporates a sensitivity analysis to demonstrate how
the ratings would react to steeper MVDs than assumed at the
MSA level. Sensitivity analyses was conducted at the state and
national levels to assess the effect of higher MVDs for the
subject pool as well as lower MVDs, illustrated by a gain in
home prices.
-- This defined positive rating sensitivity analysis demonstrates
how the ratings would react to positive home price growth of
10% with no assumed overvaluation. Excluding the senior class,
which is already rated 'AAAsf', the analysis indicates there
is potential positive rating migration for all of the rated
classes. Specifically, a 10% gain in home prices would result
in a full category upgrade for the rated class excluding those
being assigned ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC and Recovco Mortgage Management, LLC. The
third-party due diligence described in Form 15E focused on
compliance review, credit review and valuation review. Fitch
considered this information in its analysis and, as a result, Fitch
did not make any adjustments to its analysis due to the due
diligence findings. Based on the results of the 100% due diligence
performed on the pool, the overall expected loss was reduced by
0.45%.
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review
performed on 100% of the loans. The third-party due diligence was
consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor,
Starwood Non-Agency Lending, LLC, engaged SitusAMC and Recovco
Mortgage Management, LLC to perform the review. Loans reviewed
under these engagements were given compliance, credit, and
valuation grades and assigned initial grades for each subcategory.
An exception and waiver report was provided to Fitch, indicating
the pool of reviewed loans has a number of exceptions and waivers.
Fitch determined that the exceptions and waivers do not materially
affect the overall credit risk of the loans due to the presence of
compensating factors such as having liquid reserves or FICO above
guideline requirements or LTV or DTI lower than guideline
requirement. Therefore, no adjustments were needed to compensate
for these occurrences.
Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. The loan-level
information Fitch received was provided in the American
Securitization Forum's (ASF) data layout format. The ASF data tape
layout was established with input from various industry
participants, including rating agencies, issuers, originators,
investors and others, to produce an industry standard for the
pool-level data in support of the U.S. RMBS securitization market.
The data contained in the data tape layout was populated by the due
diligence company and no material discrepancies were noted.
ESG CONSIDERATIONS
STAR 2022-2 has an ESG Relevance Score of '4' [+] for Transaction
Parties & Operational Risk due to operational risk being well
controlled for in STAR 2022-2, strong transaction due diligence as
well as a 'RPS1-' Fitch-rated servicer, which has a positive impact
on the credit profile, and is relevant to the ratings in
conjunction with other factors.
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
UBS COMMERCIAL 2018-C10: Fitch Affirms B- Rating on Class F-RR Debt
-------------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of UBS Commercial Mortgage
Trust 2018-C10. In addition, Fitch has revised the Rating Outlook
for one class to Stable from Negative.
DEBT RATING PRIOR
---- ------ -----
UBS 2018-C10
A-1 90276FAS3 LT AAAsf Affirmed AAAsf
A-2 90276FAT1 LT AAAsf Affirmed AAAsf
A-3 90276FAV6 LT AAAsf Affirmed AAAsf
A-4 90276FAW4 LT AAAsf Affirmed AAAsf
A-S 90276FAZ7 LT AAAsf Affirmed AAAsf
A-SB 90276FAU8 LT AAAsf Affirmed AAAsf
B 90276FBA1 LT AA-sf Affirmed AA-sf
C 90276FBB9 LT A-sf Affirmed A-sf
D 90276FAC8 LT BBB-sf Affirmed BBB-sf
D-RR 90276FAE4 LT BBB-sf Affirmed BBB-sf
E-RR 90276FAG9 LT BB-sf Affirmed BB-sf
F-RR 90276FAJ3 LT B-sf Affirmed B-sf
X-A 90276FAX2 LT AAAsf Affirmed AAAsf
X-B 90276FAY0 LT AA-sf Affirmed AA-sf
X-D 90276FAA2 LT BBB-sf Affirmed BBB-sf
KEY RATING DRIVERS
Improved Loss Expectations: Overall performance and base case loss
expectations for the pool have improved since the last rating
action. The Outlook revision to Stable reflects the stable to
improving performance of loans impacted by the pandemic. The
Negative Rating Outlook on Class F-RR will be revised to Stable if
the remaining specially serviced loans continue to stabilize and
transfer back to the master servicer.
Fitch's current ratings incorporate a base case loss of 5.1%. There
are nine Fitch Loans of Concern (FLOCs; 9.3% of pool) including the
five specially serviced loans (7.2%). These loans were flagged due
to high vacancy, low debt service coverage ratio (DSCR), upcoming
rollover concerns and/or pandemic-related underperformance.
Specially Serviced Loans/FLOCs: The largest specially serviced loan
and largest decline in expected loss since the last rating action,
Port Atwater Parking (3.1%) is secured by a 1,086 space parking
garage located in Detroit, MI. The garage is adjacent to the
Renaissance Center, which houses the GM corporate headquarters. The
loan was transferred to special servicing in January 2021 due to
monetary default.
The parking garage remains open, but performance has been
negatively impacted due to employees working from home during the
pandemic. The property NOI DSCR is negative as of Sept 2021 from
0.55x at YE 2020 and 1.62x at YE 2019. As of February 2022, the
loan is 90+ days delinquent, and the Special Servicer has recently
approved a forbearance agreement. Fitch's base case loss of
approximately 15% reflects a haircut to a recent appraisal.
The second largest specially serviced loan and second largest
decline in expected loss since the last rating action, Sleep Inn
SeaTac Airport (1.6%), is secured by a 105-room limited-service
hotel adjacent to the Seattle-Tacoma International Airport. The
loan was transferred to special servicing in June 2020 due to a
monetary default stemming from the impact of the pandemic. The
borrower brought the loan current in Sept. 2021 and continues to
perform within the terms of a settlement agreement. The improved
loss expectation reflects a recent appraisal and improved
performance coupled with an expectation for continued recovery.
The other FLOCs include two specially serviced hotel loans
(Homewood Suites - Port St. Lucie and La Quinta Inn & Suites
Duluth; combined 2%), one performing hotel loan (Baymont Inn &
Suites Midland Center; 0.6%), two office loans (Westpark Hudson;
0.6%, 3721 Briarpark Drive; 0.4%) one mixed use loan (93 Grand
Street; 0.5%) and one specially serviced retail loan (CVS Goshen;
0.4%). One loan, Home2 Suites Salt Lake City East (1.5%) returned
back to the master servicer following the last rating action.
Limited Change to Credit Enhancement: As of the February 2022
remittance, the pool's aggregate principal balance has been reduced
by 2.0% to $715.4 million from $730.4 million at issuance. One loan
(3.6% of pool) is fully defeased. Seventeen loans (46.4% of the
pool) are IO for the full loan term. Sixteen loans (25.8% of the
pool) have partial IO payments. Of the loans with partial IO
payments, eleven (17.4% of the pool) have entered their respective
amortization periods. The remainder of the loans (27.8% of the
pool) in the pool are amortizing.
Property Type Concentration: Approximately 21.9% of the loans in
the pool are secured by retail properties followed by office at
31.1%, hotel at 14.1%, mixed use at 13.4% and multi-family at
4.1%.
Pari Passu Loans: Eight loans comprising 30.5% of the pool are part
of a pari passu loan combination: HTI Medical Office Portfolio (7%
of the pool), 175 Park Avenue (5.6% of the pool), Re/Max Plaza (5%
of the pool), Premier Rochester Office Portfolio (4.2% of the
pool), Eastmont Town Center (3.6% of the pool), Manchester
Highlands (3.5% of the pool), Hilton Branson Convention Center
(0.9% of the pool), and Hilton Branson Promenade (0.7% of the
pool).
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/assets.
Downgrades to classes A-1 through B and interest only-classes
X-A and X-B are not considered likely due to high CE and
amortization, but may occur should interest shortfalls affect
these classes.
-- Downgrades to classes C, D, D-RR, E-RR and interest only-class
X-D would occur should loss expectations increase
significantly and the performance of the FLOCs fail to
stabilize or decline further. Downgrades to class F-RR would
occur should the loans vulnerable to the pandemic fail to
stabilize or additional loans default and/or transfer to the
special servicer.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Upgrades would occur with stable to improved asset performance
coupled with pay down and/or defeasance. Upgrades to classes
B, C and interest-only class X-B would only occur with
significant improvement in credit enhancement (CE) and/or
defeasance; however, adverse selection, increased
concentrations and further underperformance of the FLOCs could
cause this trend to reverse.
-- Upgrades to classes D, D-RR and X-D would also consider these
factors, but would be limited as pool concentrations increase.
Classes would not be upgraded above 'Asf' if interest
shortfalls are likely.
-- Upgrades to classes E-RR and F-RR are not likely until the
later years of the transaction and only if the performance of
the remaining pool is stable with significant performance
improvement on the FLOCs and/or properties vulnerable to the
coronavirus 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.
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.
UBS-BAMML TRUST 2012-WRM: Fitch Lowers Class C Certs to 'CCC'
-------------------------------------------------------------
Fitch Ratings has downgraded and removed from Rating Watch Negative
three classes of UBS-BAMLL Trust 2012-WRM commercial mortgage
pass-through certificates, series 2012-WRM. Additionally, Fitch
assigned Negative Outlooks to two classes and also affirmed four
classes.
DEBT RATING PRIOR
---- ------ -----
UBS-BAMLL Trust 2012-WRM
A 90269PAA9 LT AAAsf Affirmed AAAsf
B 90269PAG6 LT BBsf Downgrade BBB-sf
C 90269PAJ0 LT CCCsf Downgrade Bsf
D 90269PAL5 LT CCCsf Affirmed CCCsf
E 90269PAN1 LT CCCsf Affirmed CCCsf
X-A 90269PAC5 LT AAAsf Affirmed AAAsf
X-B 90269PAE1 LT BBsf Downgrade BBB-sf
TRANSACTION SUMMARY
The transaction is comprised of two mortgage loans, each securing a
regional mall. The Galleria at Roseville loan is secured by
approximately 677,000 sf of inline space in a 1.3 million
super-regional mall in Roseville, CA (northeast of Sacramento). At
issuance, the mall was considered the dominant property in the
market by Fitch. Non-collateral anchors include Macy's, JCPenney
and Nordstrom.
The MainPlace Mall loan is secured by approximately 759,000 sf of a
1.1 million-sf super-regional mall located in Santa Ana (Orange
County), CA. Non-collateral anchors include Macy's, JCPenney and
Open Market OC, which took over the former Nordstrom space. The
mall underwent a $55 million renovation completed in 2015 which
transformed the former Macy's Men's & Home space into new
restaurants, a 24-Hour Fitness (opened June 2015), which includes a
rooftop pool, balcony, and rooftop basketball court and Round 1
Bowling & Amusement (opened May 2015).
KEY RATING DRIVERS
MainPlace Mall Performance: The downgrades and Negative Outlooks
reflect further performance deterioration and continued lack of
updates on the progress of the proposed redevelopment of the
MainPlace Mall; the combination of these factors will negatively
affect the ability of the loan to refinance at its upcoming June
2022 maturity.
MainPlace Mall has experienced sustained declines in performance,
including lower net cash flow and occupancy and weakening sales,
since issuance. The most recent servicer-reported annualized net
cash flow (NCF) as of September 2021 fell 35% from YE 2020.
Occupancy dropped further to 77.9% as of September 2021, from 81%
in March 2021 and 82% at YE 2019. Approximately 21% of the total
occupied square footage rolls over the next six months, including
the Picture Show Theatre (lease expired January 2022 and no leasing
update was provided by the servicer).
For the fiscal year 2020, inline sales were $126 psf, down from
$245 psf in 2019 and $360 psf at issuance. Sales for the Picture
Show Theatre were $840,905 per screen in 2019, $723,749 per screen
in 2018 and $487,686 per screen in 2017. The theater is currently
open but was closed for much of the pandemic.
A $300 million redevelopment plan of the mall was approved in 2019
but delayed by the pandemic. The current plan consists of 1 million
sf of commercial retail space, 140,000 sf of office space and a
4,000-person capacity concert venue and 656 multifamily units. Per
recent media articles, construction is underway on the west side
parking lot of the mall which will house a 309-unit multifamily
apartment complex. Fitch requested updates on the progress of the
redevelopment from the master servicer, but none were provided.
Galleria at Roseville: The affirmation of classes A and X-A
reflects the expectation that the Westfield Galleria Mall loan will
refinance at its upcoming June 2022 maturity given the mall's
stabilizing and strong performance metrics, experienced sponsorship
and property location. The mall's current performance metrics are
inline with recent mall comparables that have been refinanced in
the current market.
Annualized September 2021 inline sales, excluding Apple and Tesla,
improved to $776 psf from $590 psf in September 2020 and $640 psf
in September 2019. The most recent servicer-reported annualized NCF
as of September 2021 declined slightly by 2% from YE 2020.
Occupancy was stable at 89% as of September 2021 and at YE 2020,
but below the 94% reported at YE 2019. Major tenants include Crate
& Barrel (lease expires in March 2026), Forever 21 (January 2023),
Pottery Barn (January 2025) and Zara (June 2025).
Approximately 11% of the total occupied square footage rolls over
the next six months. Fitch requested a leasing update on the Sears
space and upcoming rollover, as well as an expected opening date of
Round One, but has not received a response.
Vacant Non-Collateral Anchors: Prior to the pandemic, both
properties lost non-collateral anchors and the pandemic delayed the
opening of some of the replacement tenants. Sears, owned by
Seritage, vacated the Galleria at Roseville in August 2018; Round
One Bowling & Entertainment and Cinemark Theatres were expected to
replace Sears. The Cinemark theater opened in November 2021, but
the Round One has yet to open. Nordstrom vacated the MainPlace Mall
in 2017, which triggered several co-tenancy clauses. The Nordstrom
space is currently leased to Open Market, an indoor boutique
market, whose lease expired in September 2021. Fitch has requested
a leasing update on this tenant from the master servicer, but it
was not provided.
Experienced Sponsorship and Management: The loan sponsor for
Galleria at Roseville is Westfield America, Inc. Westfield has
announced its intention to sell all of its US based malls starting
in 2022; no specific plans have been announced for the Galleria at
Roseville. At issuance, Westfield was also the sponsor for
MainPlace Mall; however, in 2015, the mall was sold as part of a
$1.1 billion deal that included four other Westfield Corp. retail
centers to a partnership composed of Centennial Real Estate
Company, USAA Real Estate Company and Montgomery Street Partners.
RATING SENSITIVITIES
Factor that could, individually or collectively, lead to negative
rating action/downgrade:
-- Downgrades to classes A and X-A are possible if performance at
one or both of the malls deteriorate significantly and the
loans fail to refinance at maturity, and/or if interest
shortfalls are considered likely. Downgrades to classes B
through E are possible should the value of MainPlace Mall
continue to erode, should the loan transfer to special
servicing and begin to accrue significant fees and expenses
and with a greater certainty of losses.
Factor that could, individually or collectively, lead to positive
rating action/upgrade:
-- While considered unlikely, if the Mainplace Mall loan is
extended and demonstrates significant performance improvement,
future upgrades to classes B through E are possible.
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.
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.
VERTICAL BRIDGE 2022-1: Fitch Gives Final BB- Rating on Cl. F Debt
------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks as
follows:
-- $80,000,000a series 2022-1, class C-1, 'Asf'; Outlook Stable;
-- $462,000,000 series 2022-1, class C-2-I, 'Asf'; Outlook
Stable;
-- $462,000,000 series 2022-1, class C-2-II, 'Asf'; Outlook
Stable;
-- $202,000,000 series 2022-1, class D, 'BBB-sf'; Outlook Stable;
-- $242,000,000 series 2022-1, class F, 'BB-sf'; Outlook Stable.
The following class is not expected to be rated:
-- $51,900,000 series 2022-1, class R (horizontal credit risk
retention interest with a balance representing 5% of the fair
value of the notes at the time of closing).
(a) This note has a maximum commitment of $80 million, contingent
on leverage consistent with the class C notes. This class will
reflect a zero balance at issuance.
TRANSACTION SUMMARY
The transaction is an issuance of notes backed by mortgages
representing 90.0% of the annualized run rate net cash flow
(ARRNCF) on the tower sites and guaranteed by the direct parent of
the borrower issuer. This guarantee is secured by a pledge and
first-priority-perfected security interest in 100% of the equity
interest of the issuer, direct subsidiaries of which own or lease
3,526 wireless communication sites, which include 3,721 towers and
other structures. The new notes will be issued pursuant to a
supplement to the third amended and restated indenture dated as of
the expected closing of the series 2022-1 transaction.
At closing, note proceeds will be used to fund upfront reserves,
refinance existing debt and for general corporate purposes.
The ratings reflect a structured finance analysis of the cash flows
from the ownership interest in cellular sites, not an assessment of
the corporate default risk of the ultimate parent, Vertical
Bridge.
KEY RATING DRIVERS
Trust Leverage: Fitch's net cash flow (NCF) on the pool is $112.9
million, implying a Fitch stressed debt service coverage ratio
(DSCR) of 0.99x, and Fitch leverage (expressed as the multiple of
rating specific debt to Fitch's NCF) of 12.6x. Based on the
outstanding balances at issuance, leverage on the senior notes is
8.2x and 12.1x on the rated notes, which excludes the non-offered
risk retention class R notes.
Technology-Dependent Credit: Due to the specialized nature of the
collateral and potential for changes in technology to affect
long-term demand for tower space, similar to most wireless tower
transactions, the senior classes of this transaction do not achieve
ratings above 'Asf'. The securities have a rated final payment date
30 years after closing, and the long-term tenor of the securities
increases the risk that an alternative technology -- rendering
obsolete the current transmission of wireless signals through
cellular sites -- will be developed. Wireless service providers
(WSPs) currently depend on towers to transmit their signals and
continue to invest in this technology.
Diversified Pool: There are 3,526 wireless sites (3,721 towers and
other structures) and 5,772 tenant leases spanning 50 states,
Washington, D.C. and Puerto Rico. The largest state (Texas)
represents approximately 9.0% of ARRNCF.
Leases to Strong Tower Tenants: There are 5,772 tenant leases.
Telephony tenants represent approximately 86.3% of the annualized
run rate revenue (ARRR), and 72.3% of the ARRR is from
investment-grade tenants. The tenant leases have weighted average
annual escalators of approximately 2.6% and a weighted average
final remaining term, including renewals, of 23.3 years. The
largest tenant, T-Mobile USA, Inc. (BBB-/Stable; 29.4% of ARRR), is
rated investment grade by Fitch.
Broadcast Concentration: Broadcast tenants represent approximately
9.5% of the ARRR. Broadcast has limited growth prospects given the
ability for one or a few towers to cover a MSA, the low levels of
consumption of over-the-air television and competing mediums for
distributing local advertising.
Additional Securities: The transaction allows for the issuance of
additional notes. Such additional notes may rank pari passu with or
subordinate to the 2022 notes. Any additional notes will be pari
passu with any class of notes bearing the same alphabetical class
designation. Additional notes may be issued without the benefit of
additional collateral, provided the post-issuance DSCR is not less
than 2.0x. The possibility of upgrades may be limited due to this
provision.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- Declining cash flow as a result of higher site expenses or
lease churn, and the development of an alternative technology
for the transmission of wireless signal could lead to
downgrades;
-- Fitch's NCF was 2.3% below the issuer's underwritten cash
flow. A further 10% decline in Fitch's NCF indicates the
following model-implied rating sensitivities: Class C from
'Asf' to 'BBBsf'; class D from 'BBB-sf' to 'BBsf'; class F
from 'BB-sf' to 'Bsf'.
-- The presale report includes a detailed explanation of
additional stresses and sensitivities on pages 11 and 12.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Increasing cash flow without an increase in corresponding
debt, from contractual lease escalators, new tenant leases, or
lease amendments could lead to upgrades;
-- A 10% increase in Fitch's NCF indicates the following model
implied rating sensitivities: Class C-1 from 'Asf' to 'Asf';
class D from 'BBB-sf' to 'BBBsf'; class F from 'BB-sf' to
'BB+sf'.
-- Upgrades are unlikely for these transactions given the
provision for the issuer to issue additional notes, which rank
pari passu or subordinate to existing notes, without the
benefit of additional collateral. In addition, the transaction
is capped in the 'Asf' category, given the risk of
technological obsolescence;
-- Upgrades are further constrained by the Variable Funding
Notes, which will likely offset any improvements in cash flow
with a corresponding increase in debt, keeping leverage levels
relatively flat.
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.
ESG CONSIDERATIONS
Vertical Bridge 2022-1 has an ESG Relevance Score of '4' for
Transaction & Collateral Structure due to due to several factors,
including the issuer's ability to issue additional notes, which has
a negative 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.
WELLS FARGO 2015-SG1: Fitch Lowers Ratings on 2 Tranches to 'CC'
----------------------------------------------------------------
Fitch Ratings has downgraded seven classes and affirmed five
classes of Wells Fargo Commercial Mortgage Trust 2015-SG1 (WFCM
2015-SG1). Rating Outlooks for two classes have been revised to
Stable from Negative, while three classes have been assigned Stable
Outlooks following downgrades of those classes.
DEBT RATING PRIOR
---- ------ -----
WFCM 2015-SG1
A-4 94989QAV2 LT AAAsf Affirmed AAAsf
A-S 94989QAX8 LT AAAsf Affirmed AAAsf
A-SB 94989QAW0 LT AAAsf Affirmed AAAsf
B 94989QBA7 LT Asf Downgrade AA-sf
C 94989QBB5 LT BBBsf Downgrade A-sf
D 94989QBD1 LT BB-sf Affirmed BB-sf
E 94989QAL4 LT CCCsf Downgrade B-sf
F 94989QAN0 LT CCsf Downgrade CCCsf
PEX 94989QBC3 LT BBBsf Downgrade A-sf
X-A 94989QAY6 LT AAAsf Affirmed AAAsf
X-E 94989QAA8 LT CCCsf Downgrade B-sf
X-F 94989QAC4 LT CCsf Downgrade CCCsf
KEY RATING DRIVERS
Increased Loss Expectations: Loss expectations have increased
slightly compared to Fitch's prior review. However, classes B, C,
E, F, PEX and IO classes X-E and X-F have been downgraded due to
lack of progress with resolving the specially serviced loans and
continued underperformance of the largest loan in the pool, Patrick
Henry Mall (9.7%). Fitch has identified 13 loans as Fitch Loans of
Concerns (FLOCs; 42% of the pool), including the seven loans
(34.2%) in the top 15. Fitch's current ratings incorporated a base
case loss of 7.7%.
The largest contributor to expected losses is the Boca Park
Marketplace loan, which transferred to special servicing in June
2020 for imminent default. The loan is secured by a 148,095-sf
shopping center located in Las Vegas, NV. Major tenants include
Ross Dress for Less (20.7% NRA), Lamps Plus (7.5% NRA), Petland
(5.6% NRA), and Tilly's (5.4% NRA). The property is part of a
larger retail development and is shadow anchored by Target, REI,
Total Wine & More, Office Max. Due to co-tenancy clauses associated
with a non-collateral Von's grocery store that has been vacant
since 2016, three of the major tenants at the subject property
(Ross, Tilly's and Famous Footwear) are paying percentage rent that
is on-average 70% below the tenant's base rent. Occupancy reported
at September 2021 remains in line with issuance at 94%, however,
the subject's value and NOI has been negatively impacted by the
co-tenancy clauses and reduced rent. The servicer reports that it
is dual tracking foreclosure and continued discussions with the
borrower. Fitch's loss expectations reflect an 11.4% cap rate on
the annualized September 2021 NOI.
The largest FLOC and largest loan in the pool is the Patrick Henry
Mall. It is secured by a 716,558-sf (432,401 sf collateral)
regional mall built in 1988 and renovated in 2005, located in
Newport News, VA in the Hampton Roads metro. The largest tenant is
JCPenney (19.7% NRA expiration October 2025); the tenant recently
renewed for five years, and there are four renewal options
remaining, as the tenant exercised first option in 2015. Other
major tenants include Dick's Sporting Goods (11.6% NRA), and
Forever 21 (4.9% NRA). Macy's and Dillard's are non-collateral
anchors with lease expirations in 2063. The mall is 95% occupied as
of September 2021. In-line tenant sales (under 10,000 sf) were
reported to be $406 psf as of June 2020 compared to $426 psf as of
YE 2019 and $405 psf at issuance. The loan is sponsored by
Pennsylvania Real Estate Investment Trust (PREIT), which filed for
bankruptcy in November 2020, but emerged in December 2020. Fitch's
loss expectations of approximately 15% reflects a 15% cap rate
applied to the annualized September 2021 NOI. Fitch also assumed an
outsized loss of 25% in the sensitivity scenario to reflect
concerns with refinancing in 2025; the outsized loss reflects an
implied cap rate of 17.4%.
The third largest loan in the pool, Fifth Third Center, has also
been designated as a FLOC. It is secured by a 160,565-sf office
building located in Naples, FL. Occupancy declined to 55% as of
September 2020 from 87% at issuance. Fifth Third Bank, the largest
tenant at issuance, accounted for 64.9% of NRA but downsized and
now accounts for only 11.5% of NRA. However, the borrower has been
successful in leasing the majority of the vacant space and
occupancy has increased to 85% according to the September 2021 rent
roll. The servicer reported debt service coverage ratio (DSCR) was
reported to be 0.71x. The loan remains a FLOC until performance
stabilizes. Fitch's loss expectations of approximately 10.5% are
based on a haircut to the YE 2019 NOI and a 9% cap rate.
Limited Change to Credit Enhancement (CE): As of the February 2022
distribution date, the pool's aggregate principal balance paid down
by 11.8% to $631.5 million from $716.3 million at issuance.
Interest shortfalls are currently impacting classes F and G. Six
loans (4.2% of pool) are fully defeased. Eleven loans (12.1%) are
full-term and the remaining 56 loans (87.9%) are amortizing. Loan
maturities include one loan (1.2%) in 2022; one loan (0.7%) in
2024; and 66 loans (98.3%) in 2025.
Alternative Loss Considerations: In addition to a base case loss,
Fitch applied a 25% loss severity on the Patrick Henry Mall loan to
reflect the potential for outsized losses given the asset type and
concerns with the sponsor and refinanceability at the loan's 2025
maturity; this outsized loss contributed to the downgrades.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:
-- An increase in pool-level losses from underperforming or
specially serviced loans/assets. Downgrades to classes A-4 and
A-SB are not likely due to the position in the capital
structure, but may occur should interest shortfalls affect
these classes.
-- Downgrades to classes A-S, B, C, X-A and PEX are possible
should expected losses for the pool increase significantly
and/or a significant number of the FLOCs suffer further
declines in performance. Downgrades to classes D, E, F, and X-
E and X-F are possible if losses from Boca Park Marketplace
are higher than expected and/or the Patrick Henry Mall loan
experiences an outsized loss. Further downgrades to classes
the distressed classes would occur as losses are realized
and/or become more certain.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Stable to improved asset performance, particularly on the
FLOCs, coupled with additional paydown and/or defeasance.
Upgrades to classes B and X-A would only occur with
significant improvement in CE and/or defeasance and with the
stabilization of performance on the FLOCs, particularly the
Patrick Henry Mall loan and/or a better than expected recovery
for the Boca Park Marketplace loan.
-- Upgrades to classes C, D, PEX and X-B are not likely until the
later years in the transaction and only if the performance of
the remaining pool is stable and/or properties vulnerable to
the coronavirus return to pre-pandemic levels, and there is
sufficient CE to the class. Classes would not be upgraded
above 'Asf' if there is a likelihood of interest shortfalls.
Classes E, F, X-E and X-F are unlikely to be upgraded absent
significant performance improvement on the FLOCs and
substantially higher recoveries than expected on the specially
serviced loans/assets.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
WFRBS COMMERCIAL 2011-C4: Moody's Lowers X-B Certs Rating to Caa2
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on five classes
and downgraded the rating on one class in WFRBS Commercial Mortgage
Trust 2011-C4, Commercial Mortgage Pass-Through Certificates,
Series 2011-C4, as follows:
Cl. C, Affirmed A2 (sf); previously on Jun 24, 2020 Affirmed A2
(sf)
Cl. D, Affirmed Baa2 (sf); previously on Apr 23, 2021 Downgraded to
Baa2 (sf)
Cl. E, Affirmed B2 (sf); previously on Apr 23, 2021 Downgraded to
B2 (sf)
Cl. F, Affirmed Caa2 (sf); previously on Apr 23, 2021 Downgraded to
Caa2 (sf)
Cl. G, Affirmed Ca (sf); previously on Jun 24, 2020 Downgraded to
Ca (sf)
Cl. X-B*, Downgraded to Caa2 (sf); previously on Jun 24, 2020
Confirmed at Caa1 (sf)
* Reflects Interest Only Classes
RATINGS RATIONALE
The ratings on the P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The rating on the IO Class (Class X-B) was downgraded due to the
decline in the credit quality of its reference classes resulting
from principal paydowns of higher quality reference classes.
The action has considered how the coronavirus pandemic has reshaped
the United States' economic environment and the way its aftershocks
will continue to reverberate and influence the performance of CMBS.
Moody's expect the public health situation to improve as
vaccinations against COVID-19 increase and societies continue to
adapt to new protocols. Still, the exit from the pandemic will
likely be bumpy and unpredictable and economic prospects will
vary.
Moody's regard the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.
Moody's rating action reflects a base expected loss of 32.0% of the
current pooled balance. Moody's base expected loss plus realized
losses is now 4.8% of the original pooled balance, compared to 4.7%
at the prior review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected. Additionally, significant
changes in the 5-year rolling average of 10-year US Treasury rates
will impact the magnitude of the interest rate adjustment and may
lead to future rating actions.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, an increase in realized and
expected losses from specially serviced and troubled loans or
interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating all classes except
interest-only classes was "Large Loan and Single Asset/Single
Borrower Commercial Mortgage-Backed Securitizations Methodology"
published in November 2021.
DEAL PERFORMANCE
As of the February 15, 2022 distribution date, the transaction's
aggregate certificate balance has decreased by 88% to $175.5
million from $1.48 billion at securitization. The certificates are
collateralized by four mortgage loans ranging in size from 4.4% to
77.9% of the pool.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of two, compared to six at Moody's last review.
Zero loans are on the master servicer's watchlist. One loan has
been liquidated from the pool, resulting in an aggregate realized
loss of $15.6 million (for a loss severity of 100%). Three loans,
constituting 22.1% of the pool, are currently in special
servicing.
The largest specially serviced loan is the Eastgate Mall ($22.4
million -- 12.7% of the pool), which is secured by a 545,000 square
foot (SF) portion of a 1.09 million SF regional mall. The property
is located in Glen Este, Ohio, a suburb of Cincinnati, located
twenty miles east of Cincinnati's central business district. CBL &
Associates Properties, Inc. ("CBL") was the sponsor and manager of
the property at securitization. The property is currently anchored
by Dillard's, J.C. Penney and Kohl's, all of which are
non-collateral. The property has several large vacant spaces
including an anchor space previously occupied by Sears (141,000 SF)
and a former Toys R' Us space (42,000 SF). The Sears space was
reportedly purchased by Kroger in July 2021 for $5.5 million. As of
June 2021, the property was 76% leased, compared to 90% as of March
2020. The property's net operating income (NOI) has declined
annually since 2016 as a result of declining rental revenue. The
loan has amortized 26% since securitization, however, the reported
2018 and 2020 NOI were down 7% and 53% from 2011, respectively. The
loan transferred to special servicing in April 2020 due to monetary
default as a result of the COVID-19 pandemic. CBL announced they
are working with the servicer to return the property to the lender.
Foreclosure and a motion to appoint receiver has been filed.
Moody's anticipates a significant loss on this loan.
The second largest specially serviced loan is the Park Place
Student Housing Loan ($8.7 million -- 4.9% of the pool), which is
secured by a 252 room student housing complex located in Fredonia,
New York, approximately 50 miles south of Buffalo, New York. The
property is situated adjacent to the State University of New York
at Fredonia campus. As of March 2021, the property was 50%
occupied. The loan transferred to special servicing for imminent
monetary default in November 2014. The borrower did not report
financials in 2017 or 2018 and failed to payoff the loan at
maturity in July 2021. The loan was last paid through June 2021.
The lender is evaluating litigation timing, including receivership.
Moody's anticipates a significant loss on this loan.
The third largest specially serviced loan is the Hamilton Crossing
& Expansion loan ($7.8 million -- 4.4% of the pool), which is
secured by approximately 98,000 SF of shadow anchored retail space
in Chattanooga, Tennessee. The property consists of two buildings;
the original Hamilton Crossing center built in 1987, and the
expansion building completed in 2006. The property is
shadow-anchored by HomeGoods and Michaels, as well as the adjacent
Hamilton Place Mall, a CBL-owned regional mall featuring anchors
Dillards, Belk, JCPenney, Dave & Busters and Dick's Sporting Goods.
Collateral tenants include TJ Maxx (32% of the net rentable area
(NRA)), Cost Plus Inc (18%), Guitar Center (10%), Rock Creek
Outfitters (7.6%) and Kirklands (7%). The loan has amortized 25.7%
since securitization. The loan transferred to special servicing due
to the borrower's parent company, CBL, filing for Chapter 11
bankruptcy. The special servicer is reviewing options with counsel
and the borrower. The borrower has requested the special servicer
to explore a possible extension of the maturity which is being
considered.
Moody's estimates an aggregate $19.0 million loss for two of the
specially serviced loans, Eastgate Mall and Park Place Student
Housing (61% expected loss on average).
The largest loan is the Fox River Mall Loan ($136.7 million --
77.9% of the pool), which is secured by a 649,000 SF portion of a
1.2 million SF super-regional mall in Appleton, Wisconsin. The mall
is currently anchored by Macy's, JC Penney, Target, and Scheel's.
Scheel's is the only anchor that is part of the collateral. The
mall has two vacant anchors; Younkers, which closed in May 2018,
and Sears, which closed in March 2019. Major tenants at the
property include Bob's Discount Furniture (4.8% of NRA), DSW
(3.9%;), and H&M (3.0%). As of June 2021, collateral occupancy was
approximately 86%. The in-line space (including temporary tenants)
was 87% leased as of September 2021, compared to 90% at March 2020
and September 2019. The property benefits from a large trade area
with its closest competition located approximately 30 miles away
and is sponsored by Brookfield Properties. The property's NOI
generally improved since securitization through 2018, however, the
property's 2019 revenue dropped approximately 9% year over year
causing a decline in NOI. The downward trend continued with the
onset of the coronavirus pandemic, which forced the property to
close for several months in 2020, leading to an 11% decline in NOI
in 2020. The loan had previously transferred to the special
servicer in September 2020 for imminent default due to the
coronavirus pandemic. The loan was returned to the master servicer
in March 2021 following a loan modification which included a
conversion of payments to interest-only, a three-year extension to
June 2024, and execution of cash management and excess cashflow
trap and held by the lender. The combination of vacant anchors and
recent declines in revenue may lead to increased refinance risks at
its future maturity date. The loan has amortized 15.5% since
securitization. Moody's LTV and stressed DSCR are 145% and 1.12X,
respectively, compared to 143% and 1.14X at the prior review.
[*] Fitch Affirms 68 RMBS Classes From 3 Deals Issued Since 2019
----------------------------------------------------------------
Fitch Ratings, on Feb. 25, 2022, affirmed 68 classes from Towd
Point Mortgage Trust 2019-MH1, Towd Point Mortgage Trust 2020-MH1,
and Cascade MH Asset Trust 2021-MH1 RMBS transactions.
DEBT RATING PRIOR
---- ------ -----
Cascade MH Asset Trust 2021-MH1
A-1 14731QAA7 LT AAAsf Affirmed AAAsf
A-2 14731QAB5 LT AA-sf Affirmed AA-sf
B-1 14731QAE9 LT BB-sf Affirmed BB-sf
B-2 14731QAF6 LT B-sf Affirmed B-sf
M-1 14731QAC3 LT A-sf Affirmed A-sf
M-2 14731QAD1 LT BBB-sf Affirmed BBB-sf
TPMT 2020-MH1
A1 89178YAA2 LT AAAsf Affirmed AAAsf
A1A 89178YAH7 LT AAAsf Affirmed AAAsf
A1AX 89178YAJ3 LT AAAsf Affirmed AAAsf
A2 89178YAB0 LT AAsf Affirmed AAsf
A2A 89178YAK0 LT AAsf Affirmed AAsf
A2AX 89178YAL8 LT AAsf Affirmed AAsf
A2B 89178YAM6 LT AAsf Affirmed AAsf
A2BX 89178YAN4 LT AAsf Affirmed AAsf
A3 89178YAP9 LT AAsf Affirmed AAsf
A4 89178YAQ7 LT Asf Affirmed Asf
A5 89178YAR5 LT BBBsf Affirmed BBBsf
B1 89178YAE4 LT BBsf Affirmed BBsf
B1A 89178YAY0 LT BBsf Affirmed BBsf
B1AX 89178YAZ7 LT BBsf Affirmed BBsf
B1B 89178YBA1 LT BBsf Affirmed BBsf
B1BX 89178YBB9 LT BBsf Affirmed BBsf
B2 89178YAF1 LT Bsf Affirmed Bsf
B2A 89178YBC7 LT Bsf Affirmed Bsf
B2AX 89178YBD5 LT Bsf Affirmed Bsf
B2B 89178YBE3 LT Bsf Affirmed Bsf
B2BX 89178YBF0 LT Bsf Affirmed Bsf
M1 89178YAC8 LT Asf Affirmed Asf
M1A 89178YAS3 LT Asf Affirmed Asf
M1AX 89178YAT1 LT Asf Affirmed Asf
M1B 89178YAU8 LT Asf Affirmed Asf
M1BX 89178YAV6 LT Asf Affirmed Asf
M2 89178YAD6 LT BBBsf Affirmed BBBsf
M2A 89178YBX1 LT BBBsf Affirmed BBBsf
M2AX 89178YBY9 LT BBBsf Affirmed BBBsf
M2B 89178YAW4 LT BBBsf Affirmed BBBsf
M2BX 89178YAX2 LT BBBsf Affirmed BBBsf
TPMT 2019-MH1
A1 89177WAA7 LT AAAsf Affirmed AAAsf
A1A 89177WAT6 LT AAAsf Affirmed AAAsf
A1AX 89177WAU3 LT AAAsf Affirmed AAAsf
A2 89177WAB5 LT AAsf Affirmed AAsf
A2A 89177WAV1 LT AAsf Affirmed AAsf
A2AX 89177WAX7 LT AAsf Affirmed AAsf
A2B 89177WAW9 LT AAsf Affirmed AAsf
A2BX 89177WAY5 LT AAsf Affirmed AAsf
A3 89177WAK5 LT AAsf Affirmed AAsf
A4 89177WAL3 LT Asf Affirmed Asf
A5 89177WAM1 LT BBBsf Affirmed BBBsf
B1 89177WAE9 LT BBsf Affirmed BBsf
B1A 89177WBH1 LT BBsf Affirmed BBsf
B1AX 89177WBK4 LT BBsf Affirmed BBsf
B1B 89177WBJ7 LT BBsf Affirmed BBsf
B1BX 89177WBL2 LT BBsf Affirmed BBsf
B2 89177WAF6 LT Bsf Affirmed Bsf
B2A 89177WBM0 LT Bsf Affirmed Bsf
B2AX 89177WBP3 LT Bsf Affirmed Bsf
B2B 89177WBN8 LT Bsf Affirmed Bsf
B2BX 89177WBQ1 LT Bsf Affirmed Bsf
M1 89177WAC3 LT Asf Affirmed Asf
M1A 89177WAZ2 LT Asf Affirmed Asf
M1AX 89177WBB4 LT Asf Affirmed Asf
M1B 89177WBA6 LT Asf Affirmed Asf
M1BX 89177WBC2 LT Asf Affirmed Asf
M2 89177WAD1 LT BBBsf Affirmed BBBsf
M2A 89177WBD0 LT BBBsf Affirmed BBBsf
M2AX 89177WBF5 LT BBBsf Affirmed BBBsf
M2B 89177WBE8 LT BBBsf Affirmed BBBsf
M2BX 89177WBG3 LT BBBsf Affirmed BBBsf
TRANSACTION SUMMARY
The transactions have benefited from their sequential-pay structure
as bonds have paid down due to amortization, and in the case of the
FirstKey transactions use of excess spread to pay down principal on
the bonds. This has allowed the deals to delever and build up
credit enhancement (CE) for the subordinated bonds. The higher CE
offsets the weaker credit profile of manufactured housing (MH)
collateral, elevated delinquencies and the higher loss severities
applied in Fitch's model. For the FirstKey transactions, all
non-'AAAsf' classes have a Positive Outlook.
-- 68 classes affirmed;
-- 56 classes have a Positive Outlook; 12 classes have a Stable
Outlook.
KEY RATING DRIVERS
Sequential-Pay Structure (Positive): The transactions' cash flow is
based on a sequential-pay structure where the subordinate classes
do not receive principal until the senior classes are repaid in
full. Losses are allocated in reverse-sequential order. The
FirstKey transactions have experienced increased CE due to
deleveraging from excess spread paying down the senior bonds and
amortization. Amortization has been slower in the Cascade
transaction, and does not use excess spread to pay down bonds,
which has led to slower delevering and CE build-up. For example:
-- TPMT 2019-MH1 A1 bond CE increased to 60.7% from 37.7% in
September 2019;
-- TPMT 2020-MH1 A1 bond CE increased to 23.8% from 13.3% in
March 2020;
-- CMHAT 2021-MH1 A1 bond CE increased to 39.4% from 36.8% in
March 2021;
Expected Pool Losses (Mixed): Since March 2021, when these
transactions were last reviewed, the expected losses for TPMT
2019-MH1 was 37.7% in the 'AAAsf' stress scenario and is now down
96bps, while the expected losses for TPMT 2020-MH1 was 26.9% in the
'AAAsf' stress scenario and is now down 179bps. CMHAT 2021-MH1
showed a 304bp increase in the 'AAAsf' expected losses to 53.3%.
The higher losses for the Cascade transaction are due to the
increased delinquencies.
Elevated Delinquencies Since Issuance (Negative): The FirstKey
transactions showed an improvement in their 60- and 90-day
delinquencies since March 2021, while the Cascade transaction had
negative delinquency migration across all buckets.
-- TPMT 2019-MH1 peaked at 30+ DQ of 3.22% in January 2020 and is
at 1.67% as of January 2022;
-- TPMT 2020-MH1 peaked at 30+ DQ of 5.06% in July 2020 and is at
1.66% as of January 2022;
-- CMHAT 2021-MH1 30+ DQ has peaked in January 2022 at 4.49%.
Manufactured Housing Loans (Negative): The two FirstKey
transactions are backed by 100% seasoned MH loans, while the
Cascade transaction is back by 100% newly originated MH loans. MH
loans typically experience higher default rates and lower
recoveries than site-built residential homes. Fitch applied a
loan-level loss model developed specifically for MH loans based on
the historical observations of more than one million MH loans
originated from 1993-2002, with performance tracked through 2018.
Weaker Borrower Credit Profile (Negative): MH loans typically have
weaker credit attributes such as lower FICO scores, high DTI
ratios, and prior credit events. As a result, Fitch has concerns
over inflationary pressure and low wage borrowers' ability to make
timely mortgage payments. These modest changes in borrower expenses
could impair their ability to make MH payments thus affecting the
cash flow to the transaction.
High Loss Severities (Negative): Fitch applies elevated loss
severities for MH transactions due to the collateral
underperforming site-built residential homes. Due to the
transactions' high loss severities, which are near 100%, small
changes to the delinquencies can have a significant effect on
Fitch's probability of default, and the transactions' expected
losses.
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 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% and 30.0% in
addition to the model projected 41.3% 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.
Factors that could, individually or collectively, lead to positive
rating action/upgrade:
-- Fitch's incorporates a sensitivity analysis to demonstrate how
the ratings would react to steeper MVDs than assumed at the
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 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.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.
[*] Fitch Took Various Actions on Distressed Bonds on 5 CMBS Deals
------------------------------------------------------------------
Fitch Ratings, on Feb. 25, 2022, took various actions on already
distressed bonds across five U.S. commercial mortgage-backed
securities (CMBS) transactions.
DEBT RATING PRIOR
---- ------ -----
Credit Suisse First Boston Mortgage Securities Corp. 2004-C3
E 22541SWQ7 LT Dsf Affirmed Dsf
F 22541SWR5 LT Dsf Affirmed Dsf
G 22541SWS3 LT Dsf Affirmed Dsf
H 22541SWT1 LT Dsf Affirmed Dsf
J 22541SWU8 LT Dsf Affirmed Dsf
K 22541SWV6 LT Dsf Affirmed Dsf
L 22541SWW4 LT Dsf Affirmed Dsf
M 22541SWX2 LT Dsf Affirmed Dsf
O 22541SWZ7 LT Dsf Affirmed Dsf
WFRBS Commercial Mortgage Trust 2011-C3
F 92935VAW8 LT Dsf Downgrade Csf
Credit Suisse First Boston Mortgage Securities Corp. 2005-C5
H 225470BC6 LT Dsf Downgrade Csf
H 225470BC6 LT WDsf Withdrawn Dsf
J 225470BE2 LT Dsf Affirmed Dsf
J 225470BE2 LT WDsf Withdrawn Dsf
K 225470BG7 LT Dsf Affirmed Dsf
K 225470BG7 LT WDsf Withdrawn Dsf
L 225470BJ1 LT Dsf Affirmed Dsf
L 225470BJ1 LT WDsf Withdrawn Dsf
M 225470BL6 LT Dsf Affirmed Dsf
M 225470BL6 LT WDsf Withdrawn Dsf
N 225470BN2 LT Dsf Affirmed Dsf
N 225470BN2 LT WDsf Withdrawn Dsf
O 225470BQ5 LT Dsf Affirmed Dsf
O 225470BQ5 LT WDsf Withdrawn Dsf
P 225470BS1 LT Dsf Affirmed Dsf
P 225470BS1 LT WDsf Withdrawn Dsf
Q 225470DQ3 LT Dsf Affirmed Dsf
Q 225470DQ3 LT WDsf Withdrawn Dsf
Morgan Stanley Capital I Trust 2006-TOP23
F 61749MAF6 LT Dsf Downgrade Csf
F 61749MAF6 LT WDsf Withdrawn Dsf
G 61749MAG4 LT Dsf Affirmed Dsf
G 61749MAG4 LT WDsf Withdrawn Dsf
H 61749MAH2 LT Dsf Affirmed Dsf
H 61749MAH2 LT WDsf Withdrawn Dsf
J 61749MAJ8 LT Dsf Affirmed Dsf
J 61749MAJ8 LT WDsf Withdrawn Dsf
K 61749MAK5 LT Dsf Affirmed Dsf
K 61749MAK5 LT WDsf Withdrawn Dsf
L 61749MAL3 LT Dsf Affirmed Dsf
L 61749MAL3 LT WDsf Withdrawn Dsf
M 61749MAM1 LT Dsf Affirmed Dsf
M 61749MAM1 LT WDsf Withdrawn Dsf
N 61749MAN9 LT Dsf Affirmed Dsf
N 61749MAN9 LT WDsf Withdrawn Dsf
O 61749MAP4 LT Dsf Affirmed Dsf
O 61749MAP4 LT WDsf Withdrawn Dsf
ML-CFC Commercial Mortgage Trust 2006-3
D 60687VAL9 LT Dsf Affirmed Dsf
E 60687VAM7 LT Dsf Affirmed Dsf
F 60687VAN5 LT Dsf Affirmed Dsf
G 60687VAP0 LT Dsf Affirmed Dsf
H 60687VAQ8 LT Dsf Affirmed Dsf
J 60687VAR6 LT Dsf Affirmed Dsf
K 60687VAS4 LT Dsf Affirmed Dsf
L 60687VAT2 LT Dsf Affirmed Dsf
M 60687VAU9 LT Dsf Affirmed Dsf
N 60687VAV7 LT Dsf Affirmed Dsf
P 60687VAW5 LT Dsf Affirmed Dsf
Fitch has withdrawn all nine ratings in Credit Suisse First Boston
Mortgage Securities Corp. 2005-C5 and all nine ratings in Morgan
Stanley Capital I Trust 2006-TOP23 as there is no remaining
collateral and the trust balances have been reduced to zero; the
two transactions are 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 Credit Suisse First Boston
Mortgage Securities Corp. 2005-C5 to 'Dsf' as the class took its
first dollar loss following the disposition of the Gallery at South
Dekalb loan. Per the February 2022 remittance report, class H
received $5.2 million in principal paydown and realized $16.6
million in losses. The class was previously rated 'Csf,' indicating
default was inevitable. Fitch has also affirmed eight classes of
Credit Suisse First Boston Mortgage Securities Corp. 2005-C5 at
'Dsf' as a result of previously incurred losses.
Fitch has downgraded one class of Morgan Stanley Capital I Trust
2006-TOP23 to 'Dsf' as the class took its first dollar loss
following the disposition of the 111 Century Plaza LLC loan. Per
the February 2022 remittance report, class F received $1.2 million
in principal paydown and realized $10.9 million in losses. The
class was previously rated 'Csf,' indicating default was
inevitable. Fitch has also affirmed eight classes of Morgan Stanley
Capital I Trust 2006-TOP23 at 'Dsf' as a result of previously
incurred losses.
Fitch has downgraded one class of WFRBS Commercial Mortgage Trust
2011-C3 to 'Dsf' as the class took its first dollar loss following
the disposition of the REO Oakdale Mall asset. Per the February
2022 remittance report, class F received no principal paydown and
realized $17.8 million in losses. The class was previously rated
'Csf,' indicating default was inevitable.
Fitch has affirmed nine classes of Credit Suisse First Boston
Mortgage Securities Corp. 2004-C3 and 11 classes of ML-CFC
Commercial Mortgage Trust 2006-3 at 'Dsf' as a result of previously
incurred losses.
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.
-- The actions are limited to the bonds that have incurred
losses. Any remaining bonds in WFRBS Commercial Mortgage Trust
2011-C3 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
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.
[*] S&P Affirms 84 Ratings on 16 US & Canada Credit Card ABS Trusts
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S&P Global Ratings affirmed its ratings on 84 classes of ABS issued
out of 16 trusts collateralized by credit card receivables from 12
U.S. and four Canada bank originators.
A list of Affected Ratings can be viewed at:
https://bit.ly/34bLyAg
S&P said, "Our rating action reflects our views regarding each
trust's collateral performance, which has remained stable and
mirrors the credit characteristics of its credit card receivables,
and each series' structure and credit enhancement, among other
factors. Our forward-looking view is for stable collateral
performance and stable rating trends over the next 12 months.
"Our review of U.S. and Canada credit card trusts assessed what we
considered were risks associated with revolving unsecured consumer
credit cards receivables that collateralize the ABS issued by these
trusts and we rate. Our base-case and stress assumptions for each
trust, calibrated against major economic stress, continue to
adequately capture the expected performance risks of the
receivables; our updated macroeconomic forecast for the U.S. and
Canada; and our forward-looking view of the U.S. and Canada banking
sectors."
[*] S&P Lowers Ratings on 24 Classes from 18 U.S. RMBS Transactions
-------------------------------------------------------------------
S&P Global Ratings completed its review of 24 classes from 18 U.S.
RMBS transactions. The review yielded 19 downgrades due to observed
principal write-downs and five downgrades due to observed interest
shortfalls/missed interest payments. In addition, S&P subsequently
discontinued one rating that was lowered to 'D (sf)' because of
principal write-downs, as the bond balance is zero.
A list of Affected Ratings can be viewed at:
https://bit.ly/3vjuwLD
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes.
Some of these considerations may include:
-- Factors related to the COVID-19 pandemic;
-- Historical and/or outstanding interest shortfalls/missed
interest payments; and
-- Available and/or insufficient subordination and/or
overcollateralization.
Rating Actions
The rating changes reflect S&P's view of the associated
transaction-specific collateral performance, the structural
characteristics, or the application of criteria relevant to these
classes.
The lowered ratings due to interest shortfalls are consistent with
"S&P Global Ratings Definitions," published Nov. 10, 2021, which
imposes a maximum rating threshold on classes that have incurred
missed interest payments resulting from credit or liquidity
erosion. In applying its ratings definitions, S&P looked to see if
the applicable class received additional compensation beyond the
imputed interest due as direct economic compensation for the delay
in interest payments (e.g., interest on interest) and if the missed
interest payments will be repaid by the maturity date.
S&P said, "In instances where the class does receive additional
compensation for outstanding interest shortfalls, our analysis
considers the likelihood that the missed interest payments,
including the capitalized interest, would be reimbursed under our
various rating scenarios. Four classes from three transactions were
affected in this review.
"In instances where the class does not receive additional
compensation for outstanding interest shortfalls, our analysis
focuses on our expectations regarding the length of the interest
payment interruptions to assign the rating on the class. One class
from one transaction was affected in this review.
"The lowered ratings due to outstanding principal write-downs
reflect our assessment of the write-downs' impact on the affected
classes during recent remittance periods. All of these classes were
rated 'CCC (sf)' or 'CC (sf)' before the rating actions."
[*] S&P Takes Various Actions on 102 iShares Fixed-Income ETFs
--------------------------------------------------------------
S&P Global Ratings has taken various actions on its fund credit
quality ratings (FCQRs) and fund volatility ratings (FVRs) on 102
iShares fixed-income exchange-traded funds (ETFs).
A list of Affected Ratings can be viewed at:
https://bit.ly/3vth6Nj
Following S&P's review of the FCQRs on the iShares ETFs, we raised
seven ratings, lowered one, and affirmed 94. In general, the
upgrades and downgrades stemmed from changes in the constituents of
the underlying indices and, consequently, gradual changes in the
weighted average credit risk of the ETFs' portfolios of
investments. The components of the underlying indices typically
change over time depending on market conditions and issuance
trends.
S&P said, "We raised our FCQRs on four iShares iBonds ETFs that are
term maturity bond funds that hold diversified portfolios of bonds
with similar maturity dates and have final payouts in their
maturity years. As these term portfolios move toward their
expiration dates, credit quality typically improves since credit
factors within our fund credit quality matrix, applied to the
aggregated percentage of the fund's investments, are differentiated
by rating level and remaining maturity.
"We also raised the FCQRs on iShares 1-3 Year International
Treasury Bond ETF, iShares International Treasury Bond ETF, and
iShares Short-Term National Muni Bond ETF. The upgrades of the
International Treasury Funds are attributed to a decreased
weighting in lower-rated countries due to the change in the
underlying indices the funds track. The upgrade of the Short-Term
National Muni Bond ETF is due to upgrades in the underlying state
municipal paper.
"Following our review of the FVRs on the iShares funds, we raised
11 ratings, lowered one, and affirmed 90. For funds with short or
no track records, we evaluated available information, including a
comparable (proxy) fund, designated benchmark, or reference index
performance. We raised the FVRs on 10 iBonds ETFs, reflecting the
declining volatility of monthly returns. We also raised the FVR on
the iShares 0-5 Year High Yield Corporate Bond ETF given the
volatility of monthly returns diminished. In contrast, we lowered
the FVR on the iShares Yield Optimized Bond ETF owing to the
upsurge in the monthly return volatility.
"For the FCQR on each fund, we first determined a preliminary FCQR
through our quantitative assessment of the fund's portfolio credit
risk using our fund credit quality matrix. The assessment reflects
the weighted average credit risk of the portfolios of investments.
We then conducted a qualitative assessment that entailed a review
of the investment manager's management and organization, risk
management and compliance, credit culture, and credit research. We
view BlackRock Fund Advisors as strong in these categories. We do
not assess credit culture or credit research of funds that are
passively managed against an index.
"For each ETF, we conducted a portfolio risk assessment focusing on
counterparty risk, concentration risk, liquidity, and the fund
credit score cushion (the proximity of the preliminary FCQR to a
fund rating threshold). The rating sensitivity tests assess the
degree to which a fund's asset portfolio exposure to the fund's
largest obligor and lowest-credit-quality obligor, as well as
exposure to assets on CreditWatch with negative implications, could
lead to a fund downgrade. In the case of the iShares California
Muni Bond ETF, we affirmed the rating after a one-notch downward
adjustment given the ETF's concentration in California muni bonds.
"For the FVR on each fund, we first determined a preliminary FVR by
assessing the historical volatility and dispersion of fund returns
relative to reference indices. Next, we evaluated portfolio risk,
taking into account duration, credit exposures, liquidity,
derivatives, leverage, foreign currency, and investment
concentration. Our assessment of portfolio risk ultimately resulted
in an intermediate FVR one category stronger than the preliminary
FVR for 13 funds in the iBonds Term Series and in an intermediate
FVR one category weaker than the preliminary FVR for one fund. The
majority of FVRs we raised were on iBonds ETFs, indicating
declining volatility of returns due to decreasing duration as these
funds move toward maturity.
"In determining the final FCQRs and FVRs, we also compared each ETF
with other funds that have similar portfolio strategies and
compositions. We focused on a holistic view of each fund's
portfolio credit quality and characteristics relative to its peers.
The comparative rating analysis adjustments were made on five funds
but did not lead to any rating changes.
"We placed our 'A-f/S2' ratings on the iShares Global Green Bond
ETF on CreditWatch with developing implications pending the change
of the underlying index of the fund from a global green bond index
to a USD green bond index. The fund's investment objective will
also change. The changes are expected to take effect on or around
March 1, 2022. The CreditWatch developing placement reflects our
view that the FCQR and FVR may change given the amended investment
objective, which is tied to the anticipated change to the
underlying index. We expect to resolve the CreditWatch placement
upon review of information after the changes become effective."
The investment manager, BlackRock Fund Advisors, is a wholly owned
subsidiary of BlackRock Inc. (AA-/Stable/A-1+). As of Dec. 31,
2021, BlackRock Inc. had assets under management of $10.0 trillion
across equity, fixed-income, cash management, alternative
investment, real estate, and advisory strategies.
Most funds are part of the more than 300 investment portfolios of
the iShares Trust. The trust was organized as a Delaware statutory
trust on Dec. 16, 1999, and is authorized to have multiple series
or portfolios. The trust is an open-end management investment
company registered under the Investment Company Act of 1940 as
amended. The offering of the trust's shares is registered under the
Securities Act of 1933 as amended. The shares of the trust are
listed and traded at market prices on national securities
exchanges. State Street Bank & Trust Co. is the administrator,
custodian, and transfer agent for the funds. BlackRock Investments
LLC, a subsidiary of BlackRock Inc., is the funds' distributor.
An S&P Global Ratings FCQR, also known as a "bond fund rating," is
a forward-looking opinion about the overall credit quality of a
fixed-income investment fund. FCQRs, identified by the 'f' suffix,
are assigned to fixed-income funds, actively or passively managed,
typically exhibiting variable net asset values. The ratings reflect
the credit risks of the portfolio investments, the level of the
fund's counterparty risk, and the risk of the fund's management
ability and willingness to maintain current fund credit quality.
Unlike traditional credit ratings (e.g., issuer credit ratings), an
FCQR does not address a fund's ability to meet payment obligations
and is not a commentary on yield levels.
An S&P Global Ratings FVR is a forward-looking opinion about a
fixed-income investment fund's volatility of returns relative to
that of a "reference index" denominated in the base currency of the
fund. A reference index is composed of government securities
associated with the fund's base currency. FVRs are not globally
comparable. FVRs reflect our expectation of a fund's future
volatility of returns to remain consistent with its historical
volatility of returns. S&P said, "FVRs reflect our view of a fund's
sensitivity to interest rate risk, credit risk, and liquidity risk,
as well as other factors that may affect returns such as use of
derivatives, use of leverage, exposure to foreign currency risk,
and investment concentration and fund management. We use different
symbology to distinguish FVRs from our traditional issue or issuer
credit ratings. We do so because FVRs do not reflect
creditworthiness but rather our view of a fund's volatility of
returns."
S&P reviews pertinent fund information and portfolio reports
monthly as part of its surveillance process of our fund credit
quality and volatility ratings.
[*] S&P Takes Various Actions on 356 Classes from 17 US RMBS Deals
------------------------------------------------------------------
S&P Global Ratings completed its review of 356 classes from 17 U.S.
RMBS credit-risk transfer transactions issued in 2019 by both
Fannie Mae and Freddie Mac. The transactions are primarily backed
by prime conforming collateral. The review yielded 346 upgrades and
10 affirmations.
A list of Affected Ratings can be viewed at:
https://bit.ly/3t4VzHT
For each mortgage reference pool, S&P performed credit analysis
using updated loan-level information from which it determined
foreclosure frequency, loss severity, and loss coverage amounts
commensurate for each rating level.
S&P used a mortgage operational assessment (MOA) factor of 0.80x
for both Fannie Mae and Freddie Mac, except for one transaction
backed by seasoned originations, Connecticut Avenue Securities
Trust 2019-HRP1, for which the MOA factor was 1.0x.
The upgrades primarily reflect deleveraging as each respective
transaction seasons and lowers its default expectations for the
remaining collateral as its combined loan-to-value ratio decrease.
The transactions benefit from low accumulated losses to date, high
prepayment speeds, sequential payment to the rated classes, and a
growing percentage of credit support to the rated classes. Although
the transactions' delinquency percentages remain elevated compared
with pre-COVID-19 levels due to extended forbearances and declining
pool balances from high prepayments, they have generally been
leveling off or declining in the reviewed transactions. Current
delinquency levels have caused several of the reviewed
transactions' delinquency triggers to fail, locking out some
classes from principal payments. Some of the upgraded classes would
likely pay off soon after delinquency triggers pass, given current
prepayment speeds. In addition, several transactions also allow for
the distribution of principal to the subordinate notes, despite the
failure of the delinquency trigger, if a certain percentage of
available subordination is met.
The upgrades also reflect an average rating movement of 2.4
notches. Of the 346 upgraded classes, 311 were related modifiable
and exchangeable certificates (MACRs). Excluding the MACRs, the
upgrades reflect an average rating movement of 2.6 notches.
The affirmations reflect S&P's view that the projected collateral
performance relative to our projected credit support on these
classes remain relatively consistent with our prior projections.
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by the application of its criteria. These
considerations are based on transaction-specific performance or
structural characteristics (or both) and their potential effects on
certain classes. Some of these considerations include:
-- Factors related to the COVID-19 pandemic;
-- Collateral performance or delinquency trends;
-- Priority of principal payments;
-- Priority of loss allocation;
-- Expected short duration; and
-- Available subordination and credit enhancement floors.
The recent rapid spread of the omicron variant highlights the
inherent uncertainties of the pandemic as well as the importance
and benefits of vaccines. While the risk of new, more severe
variants displacing omicron and evading existing immunity cannot be
ruled out, S&P's current base case assumes that existing vaccines
can continue to provide significant protection against severe
illness. Furthermore, many governments, businesses and households
around the world are tailoring policies to limit the adverse
economic impact of recurring COVID-19 waves. Consequently, S&P does
not expect a repeat of the sharp global economic contraction of
second-quarter 2020. Meanwhile, it continues to assess how well
each issuer adapts to new waves in its geography or industry.
[*] S&P Takes Various Actions on 83 Classes from 12 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 83 classes from 12 U.S.
RMBS transactions issued between 1998 and 2005. The transactions
are backed by alternative-A, prime jumbo, and second-lien high
loan-to-value collateral. The review yielded five upgrades, four
downgrades, 69 affirmations, four withdrawals, and one
discontinuance.
A list of Affected Ratings can be viewed at:
https://bit.ly/3hyftpm
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by our projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations may include:
-- Factors related to the COVID-19 pandemic;
-- Collateral performance or delinquency trends;
-- Historical and/or outstanding missed interest payments;
-- Available subordination and/or overcollateralization;
-- Erosion of or increases in credit support;
-- Payment priority;
-- Principal-only criteria; and
-- Small loan counts.
Rating Actions
S&P said, "The rating changes reflect our opinion regarding the
associated transaction-specific collateral performance and/or
structural characteristics, as well as the application of specific
criteria applicable to these classes.
"The rating affirmations reflect our opinion that our projected
credit support, collateral performance, and credit-related
reductions in interest on these classes has remained relatively
consistent with our prior projections.
"We withdrew our ratings on four classes from Empire Funding Home
Loan Owner Trust 1998-2 due to the small number of loans remaining
in the transaction. Once a pool has declined to a de minimis
amount, their future performance becomes more difficult to project.
As such, we believe there is a high degree of credit instability
that is incompatible with any rating level. Additionally, we
applied our principal-only criteria, "Methodology For Surveilling
U.S. RMBS Principal-Only Strip Securities For Pre-2009
Originations," published Oct. 11, 2016, on class A-P from Credit
Suisse First Boston Mortgage Securities Corp. Mortgage-Backed P/T
Certificates Series 2003-27, which resulted in a rating upgrade."
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
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then-ending.
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*********
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