/raid1/www/Hosts/bankrupt/TCR_Public/240519.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, May 19, 2024, Vol. 28, No. 139
Headlines
280 PARK AVENUE 2017-280P: Fitch Affirms 'B-sf' Rating on HRR Certs
AIMCO CLO 21: Moody's Assigns (P)B3 Rating to $3MM Class F Notes
AMERICAN CREDIT 2023-2: S&P Affirms BB- (sf) Rating on Cl. E Notes
APIDOS LOAN 2024-1: Moody's Assigns B3 Rating to $500,000 F Notes
APOGEM SRL 3: S&P Assigns BB- (sf) Rating on Class B Loans
ARES XXVIIIR: S&P Affirms B- (sf) Rating on Class F Notes
BAIN CAPITAL 2024-2: Fitch Assigns 'BB-sf' Rating on Class E Notes
BALLYROCK CLO 22: S&P Assigns BB- (sf) Rating on Class D Notes
BARROW HANLEY III: S&P Assigns BB- (sf) Rating on Class E Notes
BENEFIT STREET XXXV: S&P Assigns Prelim BB- (sf) Rating on E Notes
BLACKROCK SHASTA XIII: S&P Assigns BB- (sf) Rating on Cl. E Notes
BRAVO RESIDENTIAL 2024-CES1: Fitch Assigns B Rating on B-2 Notes
BRYANT PARK 2024-23: S&P Assigns Prelim BB- (sf) Rating on E Notes
BX COMMERCIAL 2024-MDHS: Moody's Assigns Ba1 Rating to Cl. E Certs
CANYON CLO 2023-2: S&P Assigns BB- (sf) Rating on Class E Notes
CITIGROUP 2017-P7: Fitch Lowers Rating on Four Tranches to 'B-sf'
CROWN CITY V: S&P Assigns BB- (sf) Rating on Class DR Notes
DIAMOND INFRASTRUCTURE 2021-1: Fitch Affirms BB- Rating on C Certs
ELEVATION 2021-12: S&P Assigns Prelim 'BB-' Rating on E-R Notes
ELEVATION CLO 2021-12: S&P Assigns BB- (sf) Rating on Cl. E Notes
ELMWOOD CLO 28: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
ELMWOOD CLO 29: S&P Assigns BB- (sf) Rating on Class E-R Notes
ELMWOOD CLO IV: S&P Assigns Prelim B- (sf) Rating on Cl. F-R Notes
EXETER 2024-3: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
FORTRESS CREDIT XXI: S&P Assigns BB- (sf) Rating on Class E Notes
GENERATE CLO 15: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
GENERATE CLO 5: Moody's Assigns B3 Rating to $5.625MM F-R Notes
GLS AUTO 2024-2: S&P Assigns BB (sf) Rating on Class E Notes
GS MORTGAGE 2014-GC20: Moody's Cuts Rating on Cl. C Certs to Caa2
ICG US 2024-1: S&P Assigns BB- (sf) Rating on $15MM Class E Notes
JP MORGAN 2021-1: Moody's Upgrades Rating on Cl. B-5 Certs to Ba1
KKR CLO 29: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes
MCF CLO VIII: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes
MED COMMERCIAL 2024-MOB: Moody's Assigns Ba2 Rating to HRR Certs
MOUNTAIN VIEW XV: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
NEUBERGER BERMAN II: Moody's Assigns B3 Rating to $1MM Cl. F Notes
NORTHWOODS CAPITAL XIV-B: Moody's Cuts $6MM F Notes Rating to Caa3
OAKTREE CLO 2024-26: S&P Assigns Prelim BB- (sf) Rating on E Notes
OBX TRUST 2019-INV1: Moody's Ups Rating on Cl. B-5 Certs From B1
OCP CLO 2023-27: Fitch Assigns 'BB+sf' Rating on Class E-R Notes
OFSI BSL XIII: S&P Assigns BB- (sf) Rating on Class E Notes
OHA CREDIT XI: S&P Assigns Prelim BB- (sf) Rating on E-R2 Notes
OHA LOAN 2013-1: S&P Assigns Prelim BB- (sf) Rating on E-R3 Notes
OZLM LTD XVIII: Moody's Cuts Rating on $10MM Class F Notes to Caa2
PALMER SQUARE 2014-1: S&P Assigns BB-(sf) Rating on Cl. D-R2 Notes
PENNANTPARK CLO II: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
PRKCM 2024-HOME1: S&P Assigns Prelim B (sf) Rating on B-2 Notes
RCKT MORTGAGE 2024-CES4: Fitch Gives 'B(EXP)sf' Rating on B-2 Notes
RR 5 LTD: S&P Assigns BB- (sf) Rating on $14.90MM Class D-R Notes
STEELE CREEK 2014-1R: Moody's Cuts Rating on $18.9MM E Notes to B1
SYMPHONY CLO XVI: Moody's Lowers Rating on $8MM F-R Notes to Caa3
TRINITAS CLO XXVIII: S&P Assigns Prelim BB- (sf) Rating on E Notes
WELLS FARGO 2020-2: Moody's Hikes Rating on Cl. B-5 Certs From Ba3
[*] Moody's Upgrades Rating on $278MM of US RMBS Issued 2002-2007
[*] Moody's Ups Ratings on $105.7MM of US RMBS Issued 2003-2007
[*] S&P Takes Various Actions on 64 Classes from 19 US RMBS Deals
*********
280 PARK AVENUE 2017-280P: Fitch Affirms 'B-sf' Rating on HRR Certs
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Fitch Ratings has affirmed the ratings of seven classes of 280 Park
Avenue 2017-280P Mortgage Trust Commercial Mortgage Pass-Through
Certificates. The Rating Outlooks for classes C, D, E, F, and HRR
remain Negative.
Entity/Debt Rating Prior
----------- ------ -----
280 Park Avenue
Trust 2017-280P
A 90205FAA8 LT AAAsf Affirmed AAAsf
B 90205FAG5 LT AA-sf Affirmed AA-sf
C 90205FAJ9 LT A-sf Affirmed A-sf
D 90205FAL4 LT BBB-sf Affirmed BBB-sf
E 90205FAN0 LT BB-sf Affirmed BB-sf
F 90205FAQ3 LT Bsf Affirmed Bsf
HRR 90205FAS9 LT B-sf Affirmed B-sf
KEY RATING DRIVERS
The affirmations reflect the positive leasing momentum since
Fitch's last rating action, as well as the high quality and prime
location of the collateral, institutional sponsorship and property
management, and historically strong performance and quality
tenancy.
The Negative Outlooks reflect the potential for downgrades of up to
one category should net cash flow (NCF) deteriorate beyond Fitch's
view of sustainable performance. This could occur with limited to
no leasing progress or if new leasing occurs at rates significantly
below recent property activity. As the property is currently in a
state of transition, Fitch will continue to monitor leasing
activity.
Decline in Occupancy: In 2024 occupancy declined to approximately
86.5% from 93.4% as of the December 2023 rent roll. Tenants
vacating include Cohen & Steers, Promontory Financial and Blue
Mountain Realty which account for approximately 18% of the NRA. New
leases have been signed for approximately 11% of the NRA with PJT
Partners and Antares Capital expanding within the building.
Occupancy at the property has been historically strong at 93.4% as
of the December 2023, 94.6% as of the December 2022, and 94% as of
December 2021 and December 2020.
Fitch Net Cash Flow: The Fitch sustainable NCF of $70.5 million
used leases in place as of the December 2023 rent roll, removed
tenants that vacated in 2024, with credit given to tenants with
signed leases occupying in the near term, and tenants in a rent
abatement period. Fitch marked-to-market the rents on two tenants
with lease expirations in 2024 that are expected to vacate or are
paying above market, giving consideration for tenants on higher
floors.
Average in-place rents for these tenants are $123 psf and have been
reduced to $110 psf. Fitch's sustainable long-term occupancy
assumption of 90%, which is above the submarket occupancy, reflects
the strong collateral quality and position in the market. According
to Costar, the submarket vacancy and availability rates and average
asking rents were 14.1%, 14.7% and $91.20 psf, respectively.
The updated Fitch sustainable property NCF of $70.5 million is in
line with Fitch's last rating action in 2023 and 1.9% below Fitch's
issuance NCF of $71.9 million.
Fitch incorporated a higher Fitch-stressed capitalization rate of
7.50%, up from 7.25% at the last rating action and 7.0% at
issuance, to reflect increased office sector concerns.
The servicer-reported YE 2023 NCF has been relatively stable at
$78.4 million compared with $75.2 million at YE 2022 and $75.7
million at YE 2021. The YE 2023 NCF debt service coverage ratio
(DSCR) declined to 1.10x from 2.36x at YE 2022 and 4.37x at YE 2021
due to an increase in debt service by $39.3 million, solely from
increases in LIBOR/SOFR.
Upcoming Loan Maturity/Loan Modification/Extension: The loan was
transferred to the special servicer in December 2023 due to the
upcoming loan maturity in September 2024. In April, a modification
and extension agreement were executed that included an extension of
the maturity date from September 2024 to September 2026 with a
required $100 million equity contribution to cover operating,
leasing and capital expenditures shortfalls.
There are two additional one-year extension options until September
2027 and September 2028 which each require additional capital
contributions. Guarantors also delivered a recourse guaranty to the
lender which includes standard bankruptcy carve-outs (which was not
included at origination). The loan will be transferred back to the
master servicer after three payments.
Creditworthy Tenancy: Over 20% of the NRA is leased to creditworthy
tenants, including Franklin Templeton, GIC, Orix USA, Wells Fargo
Advisors (Wells Fargo & Company is rated A+/F1/Outlook Stable).
Institutional Sponsorship: The loan is sponsored by SL Green
(BB+/Negative) and Vornado (BB+/Stable), both of which are major
New York City landlords.
High Fitch Leverage: The $ 1.075 billion mortgage loan ($827 psf)
has a Fitch stressed DSCR and loan-to-value of 0.77x and 114.4%,
respectively, compared to 0.84x and 104.7% at issuance and 0.79x
and 110.6% at the last rating action in June 2023.
High-Quality Asset in Strong Location: The collateral consists of a
fee simple interest in a 1.3 million-sf, LEED Gold certified, class
A office building located on Park Avenue between 48th and 49th
Streets in the Plaza office submarket of Midtown Manhattan. The
collateral consists of a 33-story east tower, a 43-story west tower
and a 17-story base building that connects the east and west
towers. The east tower was initially built in 1961, while the west
tower was completed in 1968. The property was formerly known as the
Bankers Trust Building. At issuance, Fitch assigned a property
quality grade of 'A'. The building holds a LEED-Gold designation,
which has a positive impact on the ESG score for Waste & Hazardous
Materials Management; Ecological Impacts.
The largest tenants are PJT Partners (20.7% of NRA through June
2041), Franklin Templeton Investments (9.9% through October 2031),
Investcorp International (5.8% through May 2035), and Antares
Capital LP. (5.8%, through 2034). The street-level retail space at
issuance was fully leased to Starbucks, Four Seasons Restaurant,
and Scottrade, which have all vacated. The Four Seasons space was
re-leased to Fasano Restaurant through 2030 with percentage rent
lease terms. The restaurant opened in February 2022 and Baretto
(bar and lounge space on the 2nd floor) opened in July 2022.
Capital Improvements: The sponsor acquired the property in 2011 and
has spent $142.5 million ($113 psf) on the redevelopment of the
building. The redevelopment included a complete redesigning of the
lobby and exterior plaza, installing a new breezeway, redeveloping
the public plazas, repositioning the retail space, upgrading the
elevators, electrical and plumbing systems, and installing a modern
HVAC system.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades may occur should property NCF, occupancy, and/or market
conditions deteriorate beyond Fitch's view of sustainable
performance. Should leasing momentum slow or reverse course, new
leasing on vacant floors occurs at rates well-below current leasing
activity of approximately $100 psf on average and/or occupancy on
the office portion does not recover to Fitch's sustainable level of
90%, downgrades and Negative Outlooks are possible.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades are not considered likely given the single-event risk and
the current ratings reflect Fitch's view of sustainable
performance, but is possible with significant and sustained leasing
that contributes to stabilized performance, including occupancy
well in excess of 90% and new leasing on vacant floors well above
the average building rate of $100 psf, and the prospect for
refinance/payoff is more certain.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG CONSIDERATIONS
280 Park Avenue Trust 2017-280P has an ESG Relevance Score of '4'
[+] for Waste & Hazardous Materials Management; Ecological Impacts
due to the collateral's sustainable building practices including
Green building certificate credentials, which has a positive impact
on the credit profile, and is relevant to the ratings in
conjunction with other factors.
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' 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's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
AIMCO CLO 21: Moody's Assigns (P)B3 Rating to $3MM Class F Notes
----------------------------------------------------------------
Moody's Ratings has assigned provisional ratings to two classes of
notes to be issued by AIMCO CLO 21, Ltd. (the "Issuer" or "AIMCO
21").
Moody's rating action is as follows:
US$256,000,000 Class A-1 Senior Secured Floating Rate Notes due
2037, Assigned (P)Aaa (sf)
US$3,000,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2037, Assigned (P)B3 (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.
AIMCO 21 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90% of the portfolio must consist of
first lien senior secured loans, cash, and eligible investments,
and up to 10% of the portfolio may consist of second lien loans,
unsecured loans and bonds. Moody's expect the portfolio to be
approximately 95% ramped as of the closing date.
Allstate Investment Management Company (the "Manager") will direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.
In addition to the Rated Notes, the Issuer will issue six other
classes of secured notes and one class of subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in May 2024.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $400,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2875
Weighted Average Spread (WAS): 3.30%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 46.00%
Weighted Average Life (WAL): 8.0 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2024.
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.
AMERICAN CREDIT 2023-2: S&P Affirms BB- (sf) Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings raised its ratings on 16 classes and affirmed
its ratings on nine classes of notes from six American Credit
Acceptance Receivables Trust (ACAR) transactions. These ABS
transactions are backed by subprime retail auto loan receivables
originated and serviced by American Credit Acceptance LLC (ACA).
The rating actions reflect:
-- Each transaction's collateral performance to date and its
expectations regarding future collateral performance;
-- S&P's remaining cumulative net loss (CNL) expectations for each
transaction, and the transactions' structures and credit
enhancement levels; and
-- Other credit factors, including credit stability, payment
priorities under various scenarios, and sector- and issuer-specific
analyses, including S&P's most recent macroeconomic outlook that
incorporates a baseline forecast for U.S. GDP and unemployment.
Considering all these factors, S&P believes the notes'
creditworthiness is consistent with the raised and affirmed
ratings.
S&P said, "The ACAR 2022-1, 2023-1, and 2023-2 transactions are
performing in line with our previously revised or original CNL
expectations. Delinquencies are increasing, but extensions are
within historical norms. As such, we maintained our ECNLs for these
series.
"ACAR 2022-2, 2022-3, and 2022-4 are performing worse than our
expectations. Cumulative gross losses were significantly higher
than recent prior transactions, which, coupled with lower
cumulative recoveries, resulted in elevated CNLs. Excess spread has
largely been used to cover net losses, causing ACA to forgo all or
part of its servicing fees in some months to aid the series in
maintaining the overcollateralization target. Given the series'
relative weaker performances and prevailing adverse economic head
winds, we revised and raised our expected CNLs for these series."
As of the April 2024 distribution date, each transaction is at its
specified target overcollateralization level and specified reserve
level, except for the ACAR 2022-2 transaction. In April 2023, ACA
made a one-time cash infusion of approximately 2.44% of the initial
collateral balance, to series 2022-2's reserve account to make up
the difference between the actual and target overcollateralization
amounts as of the March 2023 collection month. The contribution
will be available to cover interest or principal shortfalls, if
needed. As the transaction continues to build overcollateralization
in subsequent collection periods, the contribution will be released
to ACA, the certificateholder, in the amount by which the
difference between the target overcollateralization amount and
actual overcollateralization amount decreased in that collection
period. Once the target overcollateralization is reached, the
reserve account will remain at its original target of 1.00% of
original pool balance for the remainder of the transaction. As of
the March 2024 collection period, the contribution amount has been
reduced to approximately 1.51% of the initial collateral balance
from 2.44% as the overcollateralization target amount in dollar
terms declines as the collateral pool amortizes. In addition, ACA
has foregone the ACAR 2022-2 servicing fee since November 2022.
Table 1
Collateral performance (%) (i)
Pool Current 60+ day
Series Mo. factor CNL Extensions delinq.
2022-1 26 32.96 24.36 2.54 8.81
2022-2 23 36.19 25.29 2.39 8.36
2022-3 20 44.60 19.37 1.99 8.36
2022-4 17 53.72 16.98 2.25 8.08
2023-1 14 62.55 12.85 1.83 7.14
2023-2 11 70.55 10.09 1.68 6.69
(i)As of the April 2024 distribution date.
Mo.--Month.
Delinq.--Delinquencies.
CNL--Cumulative net loss.
Table 2
CNL expectations (%)
Original Previous Revised
lifetime lifetime lifetime
Series CNL exp. CNL exp.(i) CNL exp.(ii)
2022-1 25.50-26.50 30.00 30.00
2022-2 25.50-26.50 31.50 32.50
2022-3 26.00-27.00 26.00 28.25
2022-4 27.25 N/A 29.25
2023-1 27.25 N/A 27.25
2023-2 27.25 N/A 27.25
(i)Revised in April 2023 (ACAR 2022-1 and 2022-2) and September
2023 (ACAR 2022-3).
(ii)As of April 2024.
CNL exp.--Cumulative net loss expectations.
N/A–-Not applicable.
Each transaction has a sequential principal payment structure--in
which the notes are paid principal by seniority--that will increase
the credit enhancement for the senior notes as the pool amortizes.
Each transaction also has credit enhancement consisting of
overcollateralization, a non-amortizing reserve account,
subordination for the more senior classes, and excess spread.
The raised and affirmed ratings reflect S&P's view that the total
credit support as a percentage of the amortizing pool balance as of
the collection period ended March 31, 2024, compared with its
expected remaining losses, is commensurate with each rating.
Table 3
Hard credit support(i)(ii)
Total hard Current total hard
credit support credit support
Series Class at issuance (%) (% of current)
2022-1 C 31.60 89.67
2022-1 D 19.70 53.58
2022-1 E 10.35 25.21
2022-1 F 6.50 13.53
2022-2 C 31.75 82.27
2022-2 D 19.90 49.53
2022-2 E 10.70 24.10
2022-2 F 7.50 15.26
2022-3 C 36.50 76.04
2022-3 D 22.25 44.09
2022-3 E 16.25 30.63
2022-3 F 10.50 17.74
2022-4 C 40.95 66.52
2022-4 D 27.75 41.95
2022-4 E 17.60 23.06
2023-1 A 62.85 95.80
2023-1 B 54.10 81.81
2023-1 C 38.10 56.23
2023-1 D 23.65 33.13
2023-1 E 18.00 24.10
2023-2 A 63.90 87.47
2023-2 B 55.50 75.56
2023-2 C 40.15 53.80
2023-2 D 26.40 34.32
2023-2 E 17.30 21.42
(i)As of the April 2024 distribution date.
(ii)Calculated as a percentage of the total gross receivable pool
balance, consisting of a reserve account, overcollateralization,
and, if applicable, subordination. Excludes excess spread that can
also provide additional enhancement.
S&P said, "We analyzed the current hard credit enhancement compared
to the remaining expected CNL for those classes where hard credit
enhancement alone--without credit to the expected excess
spread--was sufficient, in our view, to raise the ratings or affirm
them at 'AAA (sf)'. For other classes, we incorporated a cash flow
analysis to assess the loss coverage levels, giving credit to
stressed excess spread. Our various cash flow scenarios included
forward-looking assumptions on recoveries, the timing of losses,
and voluntary absolute prepayment speeds that we believe are
appropriate given each transaction's performance to date.
"In addition to our break-even cash flow analysis, we also
conducted a sensitivity analysis for the series to determine the
impact that a moderate ('BBB') stress scenario would have on our
ratings if losses began trending higher than our revised loss
expectation.
"In our view, the results demonstrated that all of the classes have
adequate credit enhancement at their respective raised and affirmed
rating levels, which is based on our analysis as of the collection
period ended March 31, 2024 (the April 2024 distribution date).
"We will continue to monitor the performance of all the outstanding
transactions to ensure credit enhancement remains sufficient, in
our view, to cover our CNL expectations under our stress scenarios
for each of the rated classes."
RATINGS RAISED
American Credit Acceptance Receivables Trust
Rating
Series Class To From
2022-1 C AAA (sf) AA (sf)
2022-1 D AAA (sf) A (sf)
2022-1 E A- (sf) BB+ (sf)
2022-1 F BBB (sf) BB- (sf)
2022-2 C AAA (sf) AA- (sf)
2022-2 D AA (sf) A- (sf)
2022-2 E BB+ (sf) BB- (sf)
2022-3 C AAA (sf) AA+ (sf)
2022-3 D AA- (sf) A+ (sf)
2022-4 C AAA (sf) A (sf)
2022-4 D A (sf) BBB (sf)
2022-4 E BB+ (sf) BB- (sf)
2023-1 B AAA (sf) AA (sf)
2023-1 C AA+ (sf) A (sf)
2023-2 B AAA (sf) AA (sf)
2023-2 C AA (sf) A (sf)
RATINGS AFFIRMED
American Credit Acceptance Receivables Trust
Series Class Rating
2022-2 F B (sf)
2022-3 E BBB+ (sf)
2022-3 F BB+ (sf)
2023-1 A AAA (sf)
2023-1 D BBB (sf)
2023-1 E BB- (sf)
2023-2 A AAA (sf)
2023-2 D BBB (sf)
2023-2 E BB- (sf)
APIDOS LOAN 2024-1: Moody's Assigns B3 Rating to $500,000 F Notes
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Moody's Ratings has assigned ratings to two classes of notes issued
by Apidos Loan Fund 2024-1 Ltd (the "Issuer" or "Apidos Loan Fund
2024-1").
Moody's rating action is as follows:
US$288,000,000 Class A-1 Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)
US$500,000 Class F Mezzanine Deferrable Floating Rate Notes due
2035, Assigned B3 (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.
Apidos Loan Fund 2024-1 Ltd is a managed cash flow CLO. The issued
notes will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 90% of the portfolio must consist
of first lien senior secured loans, cash, and eligible investments,
and up to 10% of the portfolio may consist of second lien loans,
unsecured loans, first lien last out loans and permitted non-loan
assets. The portfolio is approximately 95% ramped as of the closing
date.
CVC Credit Partners, LLC (the "Manager") will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's approximately two year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.
In addition to the Rated Notes, the Issuer issued five other
classes of secured notes and one class of subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in May 2024.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $450,000,000
Diversity Score: 75
Weighted Average Rating Factor (WARF): 3227
Weighted Average Spread (WAS): 3.317%
Weighted Average Coupon (WAC): 5.60%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 6.0 years
Methodology Underlying the Rating Action
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2024.
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.
APOGEM SRL 3: S&P Assigns BB- (sf) Rating on Class B Loans
----------------------------------------------------------
S&P Global Ratings assigned its ratings to Apogem SRL 3 LLC's
floating-rate debt.
The debt issuance is a $300 million middle-market loan facility
managed by Apogem Capital LLC, a wholly owned subsidiary of New
York Life that was formed through the combination of Madison
Capital Funding, GoldPoint Partners, and PA Capital.
The ratings reflect S&P's view of:
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization.
-- The coverage tests, which consider S&P Global Ratings' criteria
as it relates to the required level of credit support.
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Apogem SRL 3 LLC
Class A loans, $217.50 million: A- (sf)
Class B loans (deferrable), $45.00 million: BB- (sf)
Subordinated loans, $37.50 million: Not rated
ARES XXVIIIR: S&P Affirms B- (sf) Rating on Class F Notes
---------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R,
B-R, and C-R replacement debt from Ares XXVIIIR CLO Ltd./Ares
XXVIIIR CLO LLC, a CLO originally issued in September 2018 that is
managed by Ares CLO Management LLC. At the same time, S&P withdrew
its ratings on the original class A-1, B, and C debt following
payment in full on the May 13, 2024, refinancing date (S&P did not
rate the original class A-2 debt). S&P also affirmed its ratings on
the class D, E, and F debt, which was not refinanced.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
conformed indenture, the non-call period for the newly issued debt
was set to Nov. 13, 2024.
Replacement And Outstanding Debt Issuances
Replacement debt
-- Class A-1-R, $196.29 million: Three-month term SOFR + 1.15%
-- Class A-2-R, $20.00 million: Three-month term SOFR + 1.40%
-- Class B-R, $42.00 million: Three-month term SOFR + 1.70%
-- Class C-R, $30.00 million: Three-month term SOFR + 2.10%
Outstanding debt
-- Class A-1, $196.29 million: Three-month term SOFR + 1.38%
-- Class A-2, $20.00 million: Three-month term SOFR + 1.66%
-- Class B, $42.00 million: Three-month term SOFR + 1.91%
-- Class C, $30.00 million: Three-month term SOFR + 2.40%
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.
"On a standalone basis, the results of the cash flow analysis
indicated a lower rating on the class F debt. Given the overall
credit quality of the portfolio and the passing coverage tests, we
affirmed our rating on the class F debt.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them, and we will take rating actions as we
deem necessary."
Ratings Assigned
Ares XXVIIIR CLO Ltd./Ares XXVIIIR CLO LLC
Class A-1-R, $196.29 million: AAA (sf)
Class A-2-R, $20.00 million: AAA (sf)
Class B-R, $42.00 million: AA (sf)
Class C-R, $30.00 million: A (sf)
Ratings Withdrawn
Ares XXVIIIR CLO Ltd./Ares XXVIIIR CLO LLC
Class A-1 to NR from 'AAA (sf)'
Class B to NR from 'AA (sf)'
Class C to NR from 'A (sf)'
Ratings Affirmed
Ares XXVIIIR CLO Ltd./Ares XXVIIIR CLO LLC
Class D: BBB- (sf)
Class E: BB- (sf)
Class F: B- (sf)
Other Debt
Ares XXVIIIR CLO Ltd./Ares XXVIIIR CLO LLC
Subordinated notes: NR
Class A-2: NR
NR--Not rated.
BAIN CAPITAL 2024-2: Fitch Assigns 'BB-sf' Rating on Class E Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Bain
Capital Credit CLO 2024-2, Limited.
Entity/Debt Rating
----------- ------
Bain Capital Credit
CLO 2024-2, Limited
A-1 LT NRsf New Rating
A-2 LT AAAsf New Rating
B LT AAsf New Rating
C LT Asf New Rating
D-1 LT BBBsf New Rating
D-2 LT BBB-sf New Rating
E LT BB-sf New Rating
Subordinated LT NRsf New Rating
TRANSACTION SUMMARY
Bain Capital Credit CLO 2024-2, Limited (the issuer) is an
arbitrage cash flow collateralized loan obligation (CLO) that will
be managed by Bain Capital Credit U.S. CLO Manager II, LP. Net
proceeds from the issuance of the secured and subordinated notes
will provide financing on a portfolio of approximately $400 million
of primarily first lien senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 23.98, versus a maximum covenant, in accordance with
the initial expected matrix point of 25.0. Issuers rated in the 'B'
rating category denote a highly speculative credit quality;
however, the notes benefit from appropriate credit enhancement and
standard U.S. CLO structural features.
Asset Security (Positive): The indicative portfolio consists of
98.59% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 74.3% versus a
minimum covenant, in accordance with the initial expected matrix
point of 73.3%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 42.5% of the portfolio balance in aggregate while
the top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a 5.0-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting to the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings. The WAL used for the transaction stress portfolio
and matrices analysis is 12 months less than the WAL covenant to
account for structural and reinvestment conditions after the
reinvestment period. In Fitch's opinion, these conditions would
reduce the effective risk horizon of the portfolio during stress
periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2, between
'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for
class C, between less than 'B-sf' and 'BB+sf' for class D-1,
between less than 'B-sf' and 'BB+sf' for class D-2, and between
less than 'B-sf' and 'B+sf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2 notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for
class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.
ESG CONSIDERATIONS
Fitch does not provide ESG relevance scores for Bain Capital Credit
CLO 2024-2, Limited. In cases where Fitch does not provide ESG
relevance scores in connection with the credit rating of a
transaction, program, instrument or issuer, Fitch will disclose in
the key rating drivers any ESG factor which has a significant
impact on the rating on an individual basis.
BALLYROCK CLO 22: S&P Assigns BB- (sf) Rating on Class D Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to Ballyrock CLO 22
Ltd./Ballyrock CLO 22 LLC's floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Ballyrock Investment Advisors LLC,
which will engage Fidelity Management & Research Company LLC as a
subadvisor.
The ratings reflect:
-- S&P's view of the collateral pool's diversification;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Ballyrock CLO 22 Ltd./Ballyrock CLO 22 LLC
Class A-1a, $299.25 million: AAA (sf)
Class A-1b, $19.00 million: AAA (sf)
Class A-2, $42.75 million: AA (sf)
Class B (deferrable), $28.50 million: A (sf)
Class C (deferrable), $28.50 million: BBB- (sf)
Class D (deferrable), $19.00 million: BB- (sf)
Subordinated notes, $46.52 million: Not rated
BARROW HANLEY III: S&P Assigns BB- (sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to Barrow Hanley CLO III
Ltd./Barrow Hanley CLO III LLC's floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by BH Credit Management LLC.
The ratings reflect S&P's view of:
-- The collateral pool's diversification;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Barrow Hanley CLO III Ltd./Barrow Hanley CLO III LLC
Class A-1, $240.0 million: AAA (sf)
Class A-2, $16.0 million: AAA (sf)
Class B, $48.0 million: AA (sf)
Class C (deferrable), $24.0 million: A (sf)
Class D (deferrable), $24.0 million: BBB- (sf)
Class E (deferrable), $14.0 million: BB- (sf)
Subordinated notes, $37.2 million: Not rated
BENEFIT STREET XXXV: S&P Assigns Prelim BB- (sf) Rating on E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Benefit
Street Partners CLO XXXV Ltd./Benefit Street Partners CLO XXXV
LLC's floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Benefit Street Partners LLC.
The preliminary ratings are based on information as of May 16,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through 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
Benefit Street Partners CLO XXXV Ltd./
Benefit Street Partners CLO XXXV LLC
Class A, $349.25 million: AAA (sf)
Class B, $68.75 million: AA (sf)
Class C (deferrable), $33.00 million: A (sf)
Class D (deferrable), $33.00 million: BBB- (sf)
Class E (deferrable), $22.00 million: BB- (sf)
Subordinated notes, $47.75 million: Not rated
BLACKROCK SHASTA XIII: S&P Assigns BB- (sf) Rating on Cl. E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to BlackRock Shasta CLO
XIII LLC's floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by middle market speculative-grade
(rated 'BB+' or lower) senior secured term loans. The transaction
is managed by BlackRock Capital Investment Advisors LLC, a
subsidiary of BlackRock.
The ratings reflect:
-- S&P views of the collateral pool's diversification;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
BlackRock Shasta CLO XIII LLC
Class A-1, $190.000 million: AAA (sf)
Class A-1L, $100.000 million: AAA (sf)
Class A-2, $20.000 million: AAA (sf)
Class B, $30.000 million: AA (sf)
Class C (deferrable), $40.000 million: A (sf)
Class D (deferrable), $30.000 million: BBB- (sf)
Class E (deferrable), $30.000 million: BB- (sf)
Subordinated notes, $55.745 million: Not rated
BRAVO RESIDENTIAL 2024-CES1: Fitch Assigns B Rating on B-2 Notes
----------------------------------------------------------------
Fitch Ratings has assigned final ratings to BRAVO Residential
Funding Trust 2024-CES1 (BRAVO 2024-CES1).
Entity/Debt Rating Prior
----------- ------ -----
BRAVO 2024-CES1
A-1 LT AAAsf New Rating AAA(EXP)sf
A-1A LT AAAsf New Rating AAA(EXP)sf
A-1B LT AAAsf New Rating AAA(EXP)sf
A-2 LT AAsf New Rating AA(EXP)sf
A-3 LT Asf New Rating A(EXP)sf
AIOS LT NRsf New Rating NR(EXP)sf
B-1 LT BBsf New Rating BB(EXP)sf
B-2 LT Bsf New Rating B(EXP)sf
B-3 LT NRsf New Rating NR(EXP)sf
M-1 LT BBBsf New Rating BBB(EXP)sf
XS LT NRsf New Rating NR(EXP)sf
TRANSACTION SUMMARY
Fitch has assigned final ratings to the residential mortgage-backed
notes issued by BRAVO Residential Funding Trust 2024-CES1 (BRAVO
2024-CES1) as indicated above. The notes are supported by one
collateral group that consists of 5,118 newly originated,
closed-end second (CES) lien loans with a total balance of $365
million, as of the cut-off. PennyMac Loan Services, LLC (PennyMac);
Nationstar Mortgage LLC dba Mr. Cooper (Nationstar); NewRez LLC
(NewRez); and Rocket Mortgage, LLC (Rocket) originated
approximately 49%, 22%, 14%, and 12% of the loans, respectively.
New Rez, Rocket, PennyMac, and Nationstar Mortgage LLC d/b/a
Rushmore Servicing (Rushmore) will service the loans. The servicers
will not advance delinquent monthly payments of P&I.
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;
classes A-1A and A-1B are paid pro rata. In addition, excess cash
flow can be used to repay losses or net weighted average coupon
(WAC) shortfalls.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Due to an updated view
on sustainable home prices, Fitch views the home price values of
this pool as 11.6% above a long-term sustainable level, compared
with 11.1% on a national level, as of 3Q23, up1.68% since the prior
quarter. Housing affordability is the worst it has been in decades,
driven by high interest rates and elevated home prices. Home prices
increased 5.5% yoy nationally as of December 2023, despite modest
regional declines, but are still being supported by limited
inventory.
Closed-End Second Liens (Negative): The entirety of the collateral
pool is composed of newly originated CES mortgages. Fitch assumed
no recovery and 100% loss severity (LS) on second lien loans based
on the historical behavior of second lien loans in economic stress
scenarios. Fitch assumes second lien loans default at a rate
comparable to first lien loans; after controlling for credit
attributes, no additional penalty was applied.
Strong Credit Quality (Positive): The pool consists of
new-origination CES loans, seasoned approximately seven months (as
calculated by Fitch), with a relatively strong credit profile —
weighted average (WA) model credit score of 737, a 38%
debt-to-income ratio (DTI) and a moderate sustainable loan-to-value
ratio (sLTV) of 76%.
Roughly 95.4% of the loans were treated as full documentation in
Fitch's analysis. None of the loans have experienced any
modifications since origination.
Sequential-Pay Structure with Realized Loss and Writedown Feature
(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;
classes A-1A and A-1B are paid pro rata. Losses are allocated in
reverse-sequential order. Furthermore, the provision to reallocate
principal to pay interest on the 'AAAsf' rated notes prior to other
principal distributions is highly supportive of timely interest
payments to those notes in the absence of servicer advancing.
Second-lien loans that are delinquent (DQ) for 180 days or more
under the MBA method will be subject to an equity analysis and may
be charged off, and, therefore, will cause the most subordinated
class to be written down. Despite the 100% LS assumed for each
defaulted second-lien loan, Fitch views the writedown feature
positively, as there will be more excess interest to repay and
protect against losses if writedowns occur earlier. In addition,
subsequent recoveries realized after the writedown (excluding
active forbearance or loss mitigation loans) will be passed on to
bondholders as principal.
Unlike some other CES deals, excess interest is only available to
repay current or prior losses and not to turbo down the bonds. This
has resulted in a higher amount of CE compared to structures with a
partial turbo feature.
Given the significant amount of excess spread, Fitch ran an
additional analysis that incorporated a WAC deterioration scenario.
Fitch applied a 2.5% WAC cut (based on the most common historical
modification rate) on 40% (historical Alt A modification %) of the
performing loans.
No Servicer P&I Advances (Neutral): The servicers will not advance
DQ monthly payments of P&I. Structural provisions and cash flow
priorities, together with increased subordination, provide for
timely payments of interest to the 'AAAsf'-rated class. Fitch is
indifferent to the advancing framework, as given its projected 100%
LS, no credit would be given to advances on the structure side and
no additional adjustment would be made as it relates to LS.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
This defined negative rating sensitivity analysis shows how 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 42.6%, at 'AAAsf'. The analysis
indicates there is some potential rating migration, with higher
MVDs for all rated classes compared with model projections.
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
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 rated classes. Specifically, a
10% gain in home prices would result in a full category upgrade for
the rated classes, excluding those being assigned ratings of
'AAAsf'.
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 third-party review firms. The third-party due
diligence described in Form 15E focused on credit, compliance, and
property valuation review. Fitch considered this information in its
analysis and, as a result, Fitch made the following adjustments to
its analysis:
- A 5% PD credit was applied at the loan level for all loans graded
either 'A' or 'B';
- Fitch lowered its loss expectations by approximately 80bps as a
result of the diligence review.
ESG CONSIDERATIONS
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' 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's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
BRYANT PARK 2024-23: S&P Assigns Prelim BB- (sf) Rating on E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Bryant Park
Funding 2024-23 Ltd./Bryant Park Funding 2024-23 LLC's fixed- and
floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Marathon Asset Management L.P.
The preliminary ratings are based on information as of May 13,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through 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
Bryant Park Funding 2024-23 Ltd./
Bryant Park Funding 2024-23 LLC
Class A-1 loans, $126.50 million: AAA (sf)
Class A-1A, $121.50 million: AAA (sf)
Class A-1B(i), $0.00 million: AAA (sf)
Class A-2, $10.00 million: AAA (sf)
Class B, $46.00 million: AA (sf)
Class C-1 (deferrable), $14.00 million: A (sf)
Class C-2 (deferrable), $10.00 million: A (sf)
Class D-1 (deferrable), $20.00 million: BBB (sf)
Class D-1 (deferrable), $8.00 million: BBB- (sf)
Class E (deferrable), $10.00 million: BB- (sf)
Subordinated notes, $38.30 million: Not rated
(i)Class A-1B to be funded in the event of conversion of all or a
portion of class A-1 loans. In that case, class A-1B will increase
by the amount converted from the class A-1 loan balance. Once a
conversion is exercised, class A-1B notes cannot be converted to
class A-1 loans.
BX COMMERCIAL 2024-MDHS: Moody's Assigns Ba1 Rating to Cl. E Certs
------------------------------------------------------------------
Moody's Ratings has assigned definitive ratings to six classes of
CMBS securities, issued by BX Commercial Mortgage Trust 2024-MDHS,
Commercial Mortgage Pass-Through Certificates, Series 2024-MDHS:
Cl. A, Definitive Rating Assigned Aaa (sf)
Cl. B, Definitive Rating Assigned Aa2 (sf)
Cl. C, Definitive Rating Assigned A3 (sf)
Cl. D, Definitive Rating Assigned Baa3 (sf)
Cl. E, Definitive Rating Assigned Ba1 (sf)
Cl. HRR, Definitive Rating Assigned Ba2 (sf)
RATINGS RATIONALE
The certificates are collateralized by a single loan backed by
first lien mortgages on the borrowers' fee simple interests in a
portfolio of 142 primarily industrial properties encompassing
approximately 17,129,207 SF. Moody's ratings are based on the
credit quality of the loan and the strength of the securitization
structure.
The collateral portfolio consists of 142 industrial properties
located across fifteen states and 22 markets. The largest
concentrations are in Atlanta (25.4% of UW NOI), Dallas-Fort Worth
(8.7% of UW NOI), Jacksonville (6.4% of UW NOI), Miami (6.0% of UW
NOI) and Memphis (5.8% of UW NOI). The portfolio is highly diverse,
with no single asset contributing more than 5.5% of UW NOI. The
portfolio's property-level Herfindahl score is 60.4 based on
allocated loan amount (the "ALA"). The properties are leased to 300
unique tenants, none of which comprises more than 4.5% of
underwritten base rent.
The collateral properties contain a total of 17,129,207 SF of NRA
and includes warehouse (49.1% of NRA, 43.9% of UW NOI), bulk
warehouse (27.6% of NRA, 29.7% of UW NOI), and light industrial
(20.3% of NRA, 22.0% of UW NOI) properties. Property size ranges
between 10,200 SF and 730,688 SF, and averages 120,628 SF. Clear
heights for properties range between 17 feet and 40 feet, and
average approximately 26.9 feet. The properties were built between
1964 and 2024 with an average year built of 1995.
Moody's approach to rating this transaction involved the
application of Moody's Large Loan and Single Asset/Single Borrower
Commercial Mortgage-Backed Securitizations methodology. The rating
approach for securities backed by a single loan compares the credit
risk inherent in the underlying collateral with the credit
protection offered by the structure. The structure's credit
enhancement is quantified by the maximum deterioration in property
value that the securities are able to withstand under various
stress scenarios without causing an increase in the expected loss
for various rating levels. In assigning single borrower ratings,
Moody's also consider a range of qualitative issues as well as the
transaction's structural and legal aspects.
The credit risk of loans is determined primarily by two factors: 1)
Moody's assessment of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessment of the
severity of loss upon a default, which is largely driven by each
loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV.
As described in the CMBS methodology used to rate this transaction,
Moody's make various adjustments to the MLTV. Moody's adjust the
MLTV for each loan using a value that reflects capitalization (cap)
rates that are between Moody's sustainable cap rates and market cap
rates. Moody's also use an adjusted loan balance that reflects each
loan's amortization profile.
The Moody's first mortgage actual DSCR is 0.97x and Moody's first
mortgage actual stressed DSCR is 0.77x. Moody's DSCR is based on
Moody's stabilized net cash flow.
The loan first mortgage balance of $1,380,000,00 represents a
Moody's LTV ratio of 108.2% based on Moody's value. Adjusted
Moody's LTV ratio for the first mortgage balance is 97.4%, compared
to 97.1% issued at Moody's provisional rating, based on Moody's
Value using a cap rate adjusted for the current interest rate
environment.
With respect to loan level diversity, the pool's loan level
Herfindahl score is 60.4. The ten largest loans properties
represent 30.5% of the pool balance.
Moody's also grades properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The pool's quality
grade is 0.75.
Notable strengths of the transaction include: proximity to global
gateway markets, infill locations, strong occupancy, geographic
diversity, tenant granularity and economic diversity, multiple
property pooling and experienced sponsorship.
Notable concerns of the transaction include: rollover risk,
property age, floating-rate interest-only loan profile,
non-sequential prepayment provision, and credit negative legal
features.
Moody's rating approach considers sequential pay in connection with
a collateral release as a credit neutral benchmark. Although the
loans' release premium mitigates the risk of a ratings downgrade
due to adverse selection, the pro rata payment structure limits
ratings upgrade potential as mezzanine classes are prevented from
building enhancement. The benefit received from pooling through
cross-collateralization is also reduced.
The principal methodology used in these ratings was "Large Loan and
Single Asset/Single Borrower Commercial Mortgage-Backed
Securitizations Methodology" published in July 2022.
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.
CANYON CLO 2023-2: S&P Assigns BB- (sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to Canyon CLO 2023-2
Ltd./Canyon CLO 2023-2 LLC's floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Canyon CLO Advisors L.P., a
subsidiary of Canyon Partners LLC.
The ratings reflect:
-- S&P's view of the collateral pool's diversification;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Canyon CLO 2023-2 Ltd./Canyon CLO 2023-2 LLC
Class A-1, $315.00 million: AAA (sf)
Class A-2, $15.00 million: AAA (sf)
Class B, $50.00 million: AA (sf)
Class C, $30.00 million: A (sf)
Class D, $30.00 million: BBB- (sf)
Class E, $20.00 million: BB- (sf)
Subordinated notes, $40.35 million: Not rated
CITIGROUP 2017-P7: Fitch Lowers Rating on Four Tranches to 'B-sf'
-----------------------------------------------------------------
Fitch Ratings has downgraded two and affirmed 13 classes of
Citigroup Commercial Mortgage Trust series 2018-B2 commercial
mortgage pass-through certificates (CGCMT 2018-B2). Fitch has
assigned Negative Rating Outlooks to the two downgraded classes.
The Rating Outlook for one of the affirmed classes was revised to
Negative from Stable.
Fitch has also downgraded four and affirmed 16 classes of Citigroup
Commercial Mortgage Trust series 2017-P7 commercial mortgage
pass-through certificates (CGCMT 2017-P7). Fitch has assigned
Negative Outlooks to four of the downgraded classes. The Rating
Outlooks for eight of the affirmed classes were revised to Negative
from Stable.
Entity/Debt Rating Prior
----------- ------ -----
CGCMT 2017-P7
A-3 17325HBN3 LT AAAsf Affirmed AAAsf
A-4 17325HBP8 LT AAAsf Affirmed AAAsf
A-AB 17325HBQ6 LT AAAsf Affirmed AAAsf
A-S 17325HBR4 LT AAAsf Affirmed AAAsf
B 17325HBS2 LT AA-sf Affirmed AA-sf
C 17325HBT0 LT A-sf Affirmed A-sf
D 17325HAA2 LT B-sf Downgrade BB-sf
E 17325HAC8 LT CCCsf Affirmed CCCsf
F 17325HAE4 LT CCsf Affirmed CCsf
V-2A 17325HAN4 LT AAAsf Affirmed AAAsf
V-2B 17325HAQ7 LT AA-sf Affirmed AA-sf
V-2C 17325HAS3 LT A-sf Affirmed A-sf
V-2D 17325HAU8 LT B-sf Downgrade BB-sf
V-3AB 17325HAY0 LT AA-sf Affirmed AA-sf
V-3C 17325HBA1 LT A-sf Affirmed A-sf
V-3D 17325HBC7 LT B-sf Downgrade BB-sf
X-A 17325HBU7 LT AAAsf Affirmed AAAsf
X-B 17325HBV5 LT AA-sf Affirmed AA-sf
X-C 17325HBW3 LT A-sf Affirmed A-sf
X-D 17325HAJ3 LT B-sf Downgrade BB-sf
CGCMT 2018-B2
A-2 17327FAB2 LT AAAsf Affirmed AAAsf
A-3 17327FAC0 LT AAAsf Affirmed AAAsf
A-4 17327FAD8 LT AAAsf Affirmed AAAsf
A-AB 17327FAE6 LT AAAsf Affirmed AAAsf
A-S 17327FAF3 LT AAAsf Affirmed AAAsf
B 17327FAG1 LT AAsf Affirmed AAsf
C 17327FAH9 LT A-sf Affirmed A-sf
D 17327FAJ5 LT BBsf Downgrade BBB-sf
E 17327FAL0 LT CCCsf Affirmed CCCsf
F 17327FAN6 LT CCCsf Affirmed CCCsf
X-A 17327FBG0 LT AAAsf Affirmed AAAsf
X-B 17327FBH8 LT AAsf Affirmed AAsf
X-D 17327FBJ4 LT BBsf Downgrade BBB-sf
X-E 17327FBK1 LT CCCsf Affirmed CCCsf
X-F 17327FAY2 LT CCCsf Affirmed CCCsf
KEY RATING DRIVERS
Increased 'Bsf' Loss Expectations: The deal-level 'Bsf' rating case
loss has increased since Fitch's prior rating action to 6.3% in
CGCMT 2018-B2 and 9.2% in CGCMT 2017-P7. The CGCMT 2018-B2
transaction has nine Fitch Loans of Concern (FLOCs; 29.8% of the
pool), including one loan (3.7%) in special servicing. The CGCMT
2017-P7 transaction has 12 FLOCs (38.4% of the pool), including six
loans (17.8%) in special servicing.
CGCMT 2018-B2: The downgrades on classes D and X-D reflect higher
pool loss expectations since Fitch's prior rating action, driven
primarily by further performance declines on FLOCs, Park Place East
and Park Place West (5.2%), 3rd & Pine Seattle Retail & Parking
(3.6%), and One Newark Center (3.1%). The Negative Outlook on
classes C, D and X-D reflect the continued occupancy and cashflow
deterioration among these FLOCs.
CGCMT 2017-P7: The downgrades on classes D, X-D, V-2D, and V-3D
reflect higher pool loss expectations since Fitch's prior rating
action, driven primarily by further performance declines and
prolonged workouts on FLOCs, 229 West 43rd Street Retail Condo
(3.5%), 111 Livingston Street (3.4%), and Hamilton Crossing
(3.6%).
The Negative Outlook on classes B, C, D, X-B, X-C, X-D, V-2B, V-2C,
V-2D, V-3AB, V-3C, and V-3D reflect the pool's high exposure to
office loans, as 52% of the pool is secured by office properties
(with 34% of office properties being FLOCs), continued occupancy
and cashflow deterioration, along with the lack of performance
stabilization and/or a prolonged workout of specially serviced
loans.
The largest contributor to overall loss expectations in CGCMT
2018-B2 is the Park Place East and Park Place West loan, secured by
two office properties totaling 398,968-sf in St. Louis Park, MN.
Major tenants at the property include US Administrative Services
(11.0% of NRA, through March 2025), Minnesota Medical Scanning
(9.1%; December 2033), and Metropolitan Council (5.5%; December
2025). Fitch received an update rent roll for Park Place East,
which reported the building's occupancy rate at72%, as of March
2024. An updated rent roll was not provided for Park Place West.
The most recent consolidated occupancy figure received was from YE
2022, where the combined occupancy rate for the properties was 67%,
compared with 78% at YE 2021, 82% at YE 2020, 84% at YE 2019, and
88% at YE 2018.
The servicer reported YE 2022 NOI DSCR was 1.38x, compared with
1.53x at YE 2021, 1.95x at YE 2020, 1.82x at YE 2019, and 1.65x at
YE 2018.
Fitch's 'Bsf' rating case loss of 20.3% (prior to concentration
add-ons) reflects a 10.5% cap rate, and a 15% stress to the YE 2022
NOI.
The second largest contributor to overall loss expectations in
CGCMT 2018-B2 is the 3rd & Pine Seattle Retail & Parking loan,
which is secured by a leasehold interest in a parking lot/retail
property located in an urban infill location within downtown
Seattle, WA.
The loan has seen a substantial decline in cash flow since the
largest retail tenant (94% of the retail space) vacated in
September 2020. According to servicer updates, the retail space is
still vacant.
The decrease in parking income was attributed to lower demand for
transient parking as a result of the pandemic, however, over the
past year there has been an uptick in demand with more return to
office mandates. A mitigant to the transient parking is that 58.8%
of parking spaces (496 out of 844 total spaces) have been leased on
a long-term basis for 10 years or more.
The YE 2023 NOI DSCR was 1.06x, compared to 0.30x at YE 2022, 0.01x
at YE 2021, 1.27x at YE 2020, 1.77x at YE 2019, and 2.41x at YE
2018.
Fitch's 'Bsf' rating case loss of 25.9% (prior to concentration
add-ons) reflects a 10.5% cap rate, and no additional stress to the
YE 2023 NOI.
The third largest contributor to overall loss expectations in CGCMT
2018-B2 is the One Newark Center loan, secured by a portion of a
418,000-sf office property located in the Newark CBD. The loan's
collateral consists of floors 6-22 of an office building and an
attached parking garage. Floors 1-5 are owned and occupied by Seton
Hall Law School.
Occupancy declined to 68.8% as of December 2023 from 94% in
December 2020 due to a number of tenants vacating in 2021 and 2022.
Global Crossing (8% of NRA) vacated upon its 2021 lease expiration,
while Sedgwick (6%) vacated prior to its 2025 lease expiration.
Additionally, K&L Gates reduced its space to 26,074 sf (6.2%) from
52,148 sf (12.5%).
The largest tenants include US Government IRS (10.8%; June 2028
LXD), K&L Gates (6.2%; August 2032), and Littler Mendelson P.C.
(5.8%; May 2027). There is limited rollover scheduled through
2026.
The NOI DSCR dropped at YE 2021 as the loan started amortizing in
January 2021. The annualized Q3 2023 NOI DSCR was 1.36x, compared
with 1.10x at YE 2022, 1.33x at YE 2021, 2.30x at YE 2020, 2.87x at
YE 2019, and 2.75x at YE 2018.
Fitch's 'Bsf' rating case loss of 30.1% (prior to concentration
add-ons) reflects a 10% cap rate, 10% stress to the YE 2022 NOI and
factors a higher probability of default due to the sustained lower
occupancy.
The largest contributor to overall loss expectations in CGCMT
2017-B7 is the 229 West 43rd Street Retail Condo loan, which
represents approximately one-third of Fitch's total expected loss
for the pool. The loan is secured by a 245,132-sf retail
condominium located in Manhattan's Time Square district. The loan
transferred to special servicing in December 2019 for imminent
monetary default.
The property had already been experiencing tenancy issues prior to
the pandemic. With tenants operating in the entertainment and
tourism industries, the property sustained further declines due to
the onset of the pandemic. A receiver was appointed in March 2021
and then a foreclosure action was filed. According to servicer
commentary and news articles, the New York City court has scheduled
the foreclosure sale of the asset for May 29, 2024.
According to the April 2023 rent roll, the property was 40.9%
occupied. The largest remaining tenants include Bowlmor (31.2%;
July 2034), The Ribbon (6.4%, February 2034), and Haru (2.2%,
December 2028).
Fitch's 'Bsf' rating case loss of 91.4% (prior to concentration
add-ons) reflects a stressed value of $270 psf which is based on a
discount to the most recent May 2023 appraisal value.
The second largest contributor to overall loss expectations in
CGCMT 2017-B7 is the 111 Livingston Street loan, secured by a
407,861-sf office building located in Downtown Brooklyn, NY.
Major tenants at the property include Office of Temporary and
Disability Assistance (OTDA) (29.8%; May 2024), Legal Aid (28.7%;
October 2037) and C.U.N.Y. (11%; August 2027). Occupancy started to
decline after the NYS Worker's Compensation Board (12.3% of NRA)
vacated their space in August 2020.
Per the February 2024 rent roll, the property was 79.7% occupied,
compared to 85.6% in March 2023, 86% at YE 2021, 98.6% in June
2020, and 100% at issuance. Per the rent roll, there were four new
leases executed totaling 7.6% of NRA, however, start dates were not
listed. The largest tenant (29.8% of NRA) is scheduled to roll in
May 2024, but an extension has yet to be executed. Additionally,
the loan has been delinquent twice in the past 12 months.
Fitch's 'Bsf' rating case loss of 31.0% (prior to concentration
add-ons) reflects a 9.5% cap rate and a 20% stress to the
annualized T9 September 2023 NOI due to high upcoming rollover.
The third largest contributor to overall loss expectations in CGCMT
2017-B7 is the Hamilton Crossing loan, secured by a six-building
office complex totaling 590,917 sf located in Carmel, IN. The loan
transferred to special servicing in June 2019 for imminent monetary
default.
As of June 2023, the property was 71% occupied, compared with 73%
at YE 2022, 67.7% at YE 2021, and 53.8% at YE 2020. Although a more
recent rent roll was not provided, servicer commentary noted that
the second largest tenant, Byrider Franchising (formerly 11.8% of
the NRA) was planning on downsizing its space to 4.6% of the NRA.
Other major tenants include American Specialty Health Inc. (14.4;
December 2024), Little Star Center (5.5%; May 2027); and State
Automobile Insurance Company (5.1%; December 2024). 32.2% of the
NRA is scheduled to roll in 2024.
Fitch's 'Bsf' rating case loss of 27.1% (prior to concentration
add-ons) reflects a 10.75% cap rate, 15% stress to the YE 2022 NOI
and factors a high probability of default due to the sustained
lower occupancy and high upcoming rollover.
Increased CE: As of the April 2024 distribution date, the pool's
aggregate balance for CGCMT 2018-B2 has been reduced by 7.2% to
$986.0 million from $1.1 billion at issuance. Five loans (4.9% of
pool) have been defeased. Twenty loans (47%) are full-term
interest-only (IO), and the remaining 53% of the pool is
amortizing.
As of the April 2024 distribution date, the pool's aggregate
balance for CGCMT 2017-P7 has been reduced by 16.3% to $857.8
million from $1.0 billion at issuance. Three loans (11.5% of pool)
have been defeased. Fourteen loans (46%) are full-term
interest-only (IO), and the remaining 54% of the pool is
amortizing.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to classes rated 'AAAsf' are not expected due to the
position in the capital structure and expected continued
amortization and loan repayments but may occur if deal-level losses
increase significantly and/or interest shortfalls occur.
Downgrades to classes rated in the 'AAsf','AA-sf', and 'A-sf'
categories could occur if deal-level losses increase significantly
from outsized losses on larger FLOCs and/or more loans than
expected experience performance deterioration.
Downgrades to in the 'BBsf' and 'B-sf' categories are possible with
higher than expected losses from continued underperformance of the
FLOCs and/or lack of resolution and increased exposures on the
specially serviced loans.
Downgrades to 'CCCsf' and 'CCsf' rated classes would occur should
additional loans transfer to special servicing and/or default, or
as losses become realized or more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to classes rated in the 'AAsf' and 'AA-sf' category may be
possible with significantly increased CE, coupled with
stable-to-improved pool-level loss expectations and improved
performance on the FLOCs.
Upgrades to the 'A-sf' category rated classes would be limited
based on sensitivity to concentrations or the potential for future
concentration. Classes would not be upgraded above 'AA+sf' if there
is likelihood for interest shortfalls.
Upgrades to 'BBsf' and 'B-sf' category rated classes could occur
only if the performance of the remaining pool is stable, recoveries
on the specially serviced loans are better than expected, and there
is sufficient CE to the classes.
Upgrades to 'CCCsf' and 'CCsf' are not likely, but may be possible
with better than expected recoveries on specially serviced loans
and/or significantly higher values on FLOCs.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG CONSIDERATIONS
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' 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's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
CROWN CITY V: S&P Assigns BB- (sf) Rating on Class DR Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1R, A-2R,
BR, C-1aR, C-1bR, C-2R, and DR replacement debt and the new class X
debt from Crown City CLO V/Crown City CLO V LLC, a CLO originally
issued in April 2023 that is managed by Western Asset Management
Co. LLC. At the same time, S&P withdrew its ratings on the original
class A-1, A-2, B, C, and D debt following payment in full on the
May 9, 2024, refinancing date.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The replacement class A-1R, A-2R, BR, C-1aR, C-1bR, C-2R, and
DR debt was issued at a lower weighted average cost of debt than
the original debt.
-- The replacement class A-1R, A-2R, BR, C-1aR, C-2R, and DR debt
was issued at a floating spread; and the class C-1bR debt was
issued at a fixed coupon.
-- The class C-1aR, C-1bR, and C-2R debt replaced the existing
class C debt.
-- The stated maturity and reinvestment period were extended by
three years.
-- A new non-call period was established, which will expire on,
but excluding the payment date in, April 2026.
-- The new class X debt issued in connection with this refinancing
is expected to be paid down beginning with the payment date in July
2024.
-- The target par amount will be increased to $400.00 million from
$350.00 million.
Replacement And Original Debt Issuances
Replacement debt
-- Class X, $2.50 million: Three-month CME term SOFR + 1.15%
-- Class A-1R, $248.00 million: Three-month CME term SOFR + 1.60%
-- Class A-2R, $56.00 million: Three-month CME term SOFR + 2.10%
-- Class BR (deferrable), $24.00 million: Three-month CME term
SOFR + 2.60%
-- Class C-1aR (deferrable), $17.00 million: Three-month CME term
SOFR + 4.10%
-- Class C-1bR (deferrable), $3.00 million: 8.43%
-- Class C-2R (deferrable), $8.00 million: Three-month CME term
SOFR + 5.15%
-- Class DR (deferrable), $10.00 million: Three-month CME term
SOFR + 7.49%
Original debt
-- Class A-1, $217.00 million: Three-month CME term SOFR + 2.02%
-- Class A-2, $49.00 million: Three-month CME term SOFR + 2.50%
-- Class B (deferrable), $21.00 million: Three-month CME term SOFR
+ 3.60%
-- Class C (deferrable), $17.50 million: Three-month CME term SOFR
+ 5.65%
-- Class D (deferrable), $12.25 million: Three-month CME term SOFR
+ 8.37%
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 debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Crown City CLO V/Crown City CLO V LLC
Class X, $2.50 million: AAA (sf)
Class A-1R, $248.00 million: AAA (sf)
Class A-2R, $56.00 million: AA (sf)
Class BR (deferrable), $24.00 million: A (sf)
Class C-1aR (deferrable), $17.00 million: BBB+ (sf)
Class C-1bR (deferrable), $3.00 million: BBB+ (sf)
Class C-2R (deferrable), $8.00 million: BBB- (sf)
Class DR (deferrable), $10.00 million: BB- (sf)
Ratings Withdrawn
Crown City CLO V/Crown City CLO V LLC
Class A-1 to NR from 'AAA (sf)'
Class A-2 to NR from 'AA (sf)'
Class B (deferrable) to NR from 'A+ (sf)'
Class C (deferrable) to NR from 'BBB- (sf)'
Class D (deferrable) to NR from 'BB- (sf)'
Other Debt
Crown City CLO V/Crown City CLO V LLC
Subordinated notes, $31.70 million: NR
NR--Not rated.
DIAMOND INFRASTRUCTURE 2021-1: Fitch Affirms BB- Rating on C Certs
------------------------------------------------------------------
Fitch Ratings has affirmed the ratings for Diamond Infrastructure
Funding, Series 2021-1 as follows:
- $472,000,000 series 2021-1 class A 'Asf'; Outlook Stable;
- $93,000,000 series 2021-1 class B 'BBB-sf'; Outlook Stable;
- $100,000,000 series 2021-1 class C 'BB-sf'; Outlook Stable.
The following class is not rated by Fitch:
- $73,888,889(a) series 2021-1 class R.
(a) Horizontal credit risk retention interest representing 10% of
the 2021 certificates.
TRANSACTION SUMMARY
The transaction is an issuance of notes backed by a pool of
wireless tower sites. The notes are backed by mortgages
representing approximately 90% 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 borrowers which own or lease 2,350
wireless communication sites.
The notes are structured as interest-only until each series'
respective anticipated repayment date (ARD). If the notes are
unable to refinance on or prior to the ARD, all excess cash flow
will be swept to pay down principal.
The ratings reflect a structured finance analysis of the cash flows
from the ownership interest in cellular sites, not an assessment of
Diamond Infrastructure Inc.'s corporate default risk.
KEY RATING DRIVERS
Net Cash Flow and Trust Leverage: As of April 2024, ARRNCF was
$65.1 million, up approximately 5.5% since the June 2021 issuance
of notes. Moreover, the debt multiple relative to Issuer NCF on the
rated classes is 10.2x, down from 10.8x at issuance. Fitch has not
redetermined Fitch Net Cash Flow and Maximum Potential Leverage as
there have not been material migrations in the performance, cash
flow or collateral asset characteristics.
Credit Risk Factors: The major factors impacting Fitch's
determination of cash flow and Maximum Potential Leverage (MPL)
include the large and diverse collateral pool, creditworthy
customer base with limited historical churn, long-term contracts
with minimum fixed payments, market position of the operator,
capability of the operator, limited operational requirements, high
barriers to entry and transaction structure
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
over 30 years after closing, and the long-term tenor of the
securities increases the risk that an alternative technology will
be developed that renders obsolete the current transmission of
wireless signals through cellular sites. Wireless service providers
(WSPs) currently depend on towers to transmit their signals and
continue to invest in this technology.
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.
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. However, the transaction is
capped in the 'Asf' category, given the risk of technological
obsolescence.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG CONSIDERATIONS
Diamond Infrastructure Funding, Series 2021-1 has an ESG Relevance
Score of '4' for Transaction & Collateral Structure 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.
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' 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's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
ELEVATION 2021-12: S&P Assigns Prelim 'BB-' Rating on E-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
X-R, A-1-R, A-2-R, B-R, C-1-R, C-2-R, D-1A-R, D-1B-R, D-2-R, and
E-R replacement debt from Elevation CLO 2021-12 Ltd./Elevation CLO
2021-12 LLC, a CLO originally issued in March 2021 that is managed
by ArrowMark Colorado Holdings LLC, a subsidiary of ArrowMark
Partners.
The preliminary ratings are based on information as of May 9, 2024.
Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
S&P said, "On the May 10, 2024, refinancing date, the proceeds from
the replacement debt will be used to redeem the original debt. At
that time, we expect to withdraw our ratings on the original debt
and assign ratings to the replacement debt. However, if the
refinancing doesn't occur, we may affirm our ratings on the
original debt and withdraw our preliminary ratings on the
replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The replacement class X-R, A-1-R, A-2-R, B-R, C-1-R, D-1A-R,
D-2-R, and E-R notes are expected to be issued at a higher spread
over three-month SOFR than the original notes.
-- The replacement class C-2-R and D-1B-R notes are expected to be
issued at fixed coupon.
-- The replacement class X-R, A-1-R, A-2-R, B-R, C-1-R, C-2-R,
D-1A-R, D-1B-R, D-2-R, and E-R notes are expected to be issued at a
floating spread and fixed coupon, replacing the current floating
spread.
-- The stated maturity will be extended by five years.
-- The reinvestment period will be extended to April 20, 2029.
-- The non-call period will be extended to April 20, 2026.
-- The class X notes will be issued in connection with this
refinancing. These notes are expected to be paid down using
interest proceeds during 19 payment dates beginning with the
payment date in October 2024.
Replacement And Original Debt Issuances
Replacement debt
-- Class X-R, $4.20 million: Three-month CME term SOFR + 1.100%
-- Class A-1-R, $240.00 million: Three-month CME term SOFR +
1.620%
-- Class A-2-R, $8.00 million: Three-month CME term SOFR + 1.820%
-- Class B-R, $56.00 million: Three-month CME term SOFR + 2.170%
-- Class C-1-R (deferrable), $19.50 million: Three-month CME term
SOFR + 2.800%
-- Class C-2-R (deferrable), $4.50 million: 7.059%
-- Class D-1A-R (deferrable), $15.00 million: Three-month CME term
SOFR + 4.300%
-- Class D-1B-R (deferrable), $3.00 million: 8.603%
-- Class D-2-R (deferrable), $6.00 million: Three-month CME term
SOFR + 5.360%
-- Class E-R (deferrable), $12.40 million: Three-month CME term
SOFR + 7.480%
-- Subordinated notes, $57.99 million: Residual
Original debt
-- Class A, $252.00 million: Three-month CME term SOFR + 1.17%
-- Class B, $52.00 million: Three-month CME term SOFR + 1.60%
-- Class C-1, $16.00 million: Three-month CME term SOFR + 2.00%
-- Class C-2, $8.00 million: Three-month CME term SOFR + 2.30%
-- Class D-1, $16.00 million: Three-month CME term SOFR + 3.15%
-- Class D-2, $8.00 million: Three-month CME term SOFR + 4.65%
-- Class E, $14.00 million: Three-month CME term SOFR + 7.27%
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 debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
Elevation CLO 2021-12 Ltd./Elevation CLO 2021-12 LLC
Class X-R, $4.20 million: AAA (sf)
Class A-1-R, $240.00 million: AAA (sf)
Class A-2-R, $8.00 million: AAA (sf)
Class B-R, $56.00 million: AA (sf)
Class C-1-R (deferrable), $19.50 million: A (sf)
Class C-2-R (deferrable), $4.50 million: A (sf)
Class D-1A-R (deferrable), $15.00 million: BBB (sf)
Class D-1B-R (deferrable), $3.00 million: BBB (sf)
Class D-2-R (deferrable), $6.00 million: BBB- (sf)
Class E-R (deferrable), $12.40 million: BB- (sf)
Subordinated notes, $57.99 million: Not rated
Other Outstanding Debt
Elevation CLO 2021-12 Ltd./Elevation CLO 2021-12 LLC
Class A, $252.00 million: AAA (sf)
Class B, $52.00 million: AA (sf)
Class C-1, $16.00 million: A (sf)
Class C-2, $8.00 million: A (sf)
Class D-1, $16.00 million: BBB- (sf)
Class D-2, $8.00 million: BBB- (sf)
Class E, $14.00 million: BB- (sf)
ELEVATION CLO 2021-12: S&P Assigns BB- (sf) Rating on Cl. E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class X-R, A-1-R,
A-2-R, B-R, C-1-R, C-2-R, D-1A-R, D-1B-R, D-2-R, and E-R
replacement debt from Elevation CLO 2021-12 Ltd./Elevation CLO
2021-12 LLC, a CLO originally issued in March 2021 that is managed
by ArrowMark Colorado Holdings LLC, a subsidiary of ArrowMark
Partners. At the same time, S&P withdrew its ratings on the
original class X, which had its final scheduled payment on the
April 20, 2024 payment date, and the class A, B, C-1, C-2, D-1,
D-2, and E debt following payment in full on the May 10, 2024,
refinancing date.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The replacement class X-R, A-1-R, A-2-R, B-R, C-1-R, D-1A-R,
D-2-R, and E-R debt were issued at a higher spread over three-month
SOFR than the original notes.
-- The replacement class C-2-R and D-1B-R debt were issued at
fixed coupon.
-- The replacement class X-R, A-1-R, A-2-R, B-R, C-1-R, C-2-R,
D-1A-R, D-1B-R, D-2-R, and E-R debt were issued at a floating
spread and fixed coupon, replacing the current floating spread.
-- The stated maturity was extended by five years.
-- The reinvestment period was extended to April 20, 2029.
-- The non-call period was extended to April 20, 2026.
-- The class X notes were issued in connection with this
refinancing. These notes are expected to be paid down using
interest proceeds during 19 payment dates beginning with the
payment date in October 2024.
Replacement And Original Debt Issuances
Replacement debt
-- Class X-R, $4.20 million: Three-month CME term SOFR + 1.100%
-- Class A-1-R, $240.00 million: Three-month CME term SOFR +
1.620%
-- Class A-2-R, $8.00 million: Three-month CME term SOFR + 1.820%
-- Class B-R, $56.00 million: Three-month CME term SOFR + 2.170%
-- Class C-1-R (deferrable), $19.50 million: Three-month CME term
SOFR + 2.800%
-- Class C-2-R (deferrable), $4.50 million: 7.059%
-- Class D-1A-R (deferrable), $15.00 million: Three-month CME term
SOFR + 4.300%
-- Class D-1B-R (deferrable), $3.00 million: 8.603%
-- Class D-2-R (deferrable), $6.00 million: Three-month CME term
SOFR + 5.360%
-- Class E-R (deferrable), $12.40 million: Three-month CME term
SOFR + 7.480%
-- Subordinated notes, $57.99 million: Residual
Original debt
-- Class A, $252.00 million: Three-month CME term SOFR + 1.17% +
CSA(i)
-- Class B, $52.00 million: Three-month CME term SOFR + 1.60% +
CSA(i)
-- Class C-1, $16.00 million: Three-month CME term SOFR + 2.00% +
CSA(i)
-- Class C-2, $8.00 million: Three-month CME term SOFR + 2.30% +
CSA(i)
-- Class D-1, $16.00 million: Three-month CME term SOFR + 3.15% +
CSA(i)
-- Class D-2, $8.00 million: Three-month CME term SOFR + 4.65% +
CSA(i)
-- Class E, $14.00 million: Three-month CME term SOFR + 7.27% +
CSA(i)
(i)The CSA is 0.26161%.
CSA--Credit spread adjustment.
S&P ssaid, "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. 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 debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Elevation CLO 2021-12 Ltd./Elevation CLO 2021-12 LLC
Class X-R, $4.20 million: AAA (sf)
Class A-1-R, $240.00 million: AAA (sf)
Class A-2-R, $8.00 million: AAA (sf)
Class B-R, $56.00 million: AA (sf)
Class C-1-R (deferrable), $19.50 million: A (sf)
Class C-2-R (deferrable), $4.50 million: A (sf)
Class D-1A-R (deferrable), $15.00 million: BBB (sf)
Class D-1B-R (deferrable), $3.00 million: BBB (sf)
Class D-2-R (deferrable), $6.00 million: BBB- (sf)
Class E-R (deferrable), $12.40 million: BB- (sf)
Subordinated notes, $57.99 million: NR
Ratings Withdrawn
Elevation CLO 2021-12 Ltd./Elevation CLO 2021-12 LLC
Class X to NR from 'AAA (sf)'
Class A to NR from 'AAA (sf)'
Class B to NR from 'AA (sf)'
Class C-1 to NR from 'A (sf)'
Class C-2 to NR from 'A (sf)'
Class D-1 to NR from 'BBB- (sf)'
Class D-2 to NR from 'BBB- (sf)'
Class E to NR from 'BB- (sf)'
NR--Not rated.
ELMWOOD CLO 28: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Elmwood CLO
28 Ltd./Elmwood CLO 28 LLC's floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Elmwood Asset Management LLC.
The preliminary ratings are based on information as of May 15,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through 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
Elmwood CLO 28 Ltd./Elmwood CLO 28 LLC
Class A, $256.00 million: AAA (sf)
Class B, $48.00 million: AA (sf)
Class C (deferrable), $24.00 million: A (sf)
Class D (deferrable), $24.00 million: BBB- (sf)
Class E (deferrable), $16.00 million: BB- (sf)
Class F (deferrable), $4.00 million: B- (sf)
Subordinated notes, $32.00 million: Not rated
ELMWOOD CLO 29: S&P Assigns BB- (sf) Rating on Class E-R Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to Elmwood CLO 29
Ltd./Elmwood CLO 29 LLC's floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Elmwood Asset Management LLC. This is
a reset of the Logan 1 CLO Ltd. transaction that originally closed
in June 2021, which was not rated by S&P Global Ratings.
The ratings reflect S&P's view of:
-- The diversification of the collateral pool.
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization.
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Elmwood CLO 29 Ltd./Elmwood CLO 29 LLC
Class X, $2.00 million: AAA (sf)
Class A-1R, $310.00 million: AAA (sf)
Class A-2R, $7.50 million: AAA (sf)
Class B-R, $62.50 million: AA (sf)
Class C-R (deferrable), $30.00 million: A (sf)
Class D-1R (deferrable), $30.00 million: BBB- (sf)
Class D-2R (deferrable), $3.75 million: BBB- (sf)
Class E-R (deferrable), $15.25 million: BB- (sf)
Subordinated notes, $42.00 million: Not rated
ELMWOOD CLO IV: S&P Assigns Prelim B- (sf) Rating on Cl. F-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-R, and E-R replacement debt and proposed new class
F-R debt from Elmwood CLO IV Ltd./Elmwood CLO IV LLC, a CLO
originally issued in March 2020 that is managed by Elmwood Asset
Management LLC.
The preliminary ratings are based on information as of May 14,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the May 20, 2024, refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. S&P
said, "At that time, we expect to withdraw our ratings on the
original debt and assign ratings to the replacement debt. However,
if the refinancing doesn't occur, we may affirm our ratings on the
original debt and withdraw our preliminary ratings on the
replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The non-call period will be extended to April 18, 2026.
-- The reinvestment period will be extended to April 18, 2029.
-- The legal final maturity date (for the replacement debt and the
existing subordinated notes) will be extended to April 18, 2037.
-- No additional assets will be purchased on the refinancing date,
and the target initial par amount will remain at $500 million.
There will be no additional effective date or ramp-up period, and
the first payment date following the refinancing is Oct 18, 2024.
-- The required minimum overcollateralization and interest
coverage ratios will be amended.
-- No additional subordinated notes will be issued on the
refinancing date.
-- The transaction has adopted benchmark replacement language and
was updated to conform to current rating agency methodology.
Replacement And Original Debt Issuances
Replacement debt
-- Class A-R, $320.00 million: Three-month CME term SOFR + 1.46%
-- Class B-R, $60.00 million: Three-month CME term SOFR + 1.85%
-- Class C-R (deferrable), $30.00 million: Three-month CME term
SOFR + 2.30%
-- Class D-R (deferrable), $30.00 million: Three-month CME term
SOFR + 3.35%
-- Class E-R (deferrable), $20.00 million: Three-month CME term
SOFR + 6.15%
-- Class F-R (deferrable), $7.50 million: Three-month CME term
SOFR + 7.50%
Original debt
-- Class X, $2.00 million: Three-month CME term SOFR + 0.70% +
CSA(i)
-- Class A, $320.00 million: Three-month CME term SOFR + 1.24% +
CSA(i)
-- Class B, $60.00 million: Three-month CME term SOFR + 1.70% +
CSA(i)
-- Class C (deferrable), $30.00 million: Three-month CME term SOFR
+ 2.05% + CSA(i)
-- Class D (deferrable), $30.00 million: Three-month CME term SOFR
+ 3.15% + CSA(i)
-- Class E (deferrable), $17.50 million: Three-month CME term SOFR
+ 6.60% + CSA(i)
-- Subordinated notes, $47.20 million: Not applicable
(i)The CSA is 0.26161%.
CSA--Credit spread adjustment.
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 debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
Elmwood CLO IV Ltd./Elmwood CLO IV LLC
Class A-R, $320.00 million: AAA (sf)
Class B-R, $60.00 million: AA (sf)
Class C-R (deferrable), $30.00 million: A (sf)
Class D-R (deferrable), $30.00 million: BBB- (sf)
Class E-R (deferrable), $20.00 million: BB- (sf)
Class F-R (deferrable), $7.50 million: B- (sf)
EXETER 2024-3: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Exeter
Automobile Receivables Trust 2024-3's automobile receivables-backed
notes.
The note issuance is an ABS transaction backed by subprime auto
loan receivables.
The preliminary ratings are based on information as of May 15,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The availability of approximately 59.56%, 53.06%, 44.17%,
33.10%, and 26.65% credit support--hard credit enhancement and
haircut to excess spread--for the class A (collectively, classes
A-1, A-2, and A-3), B, C, D, and E notes, respectively, based on
stressed cash flow scenarios. These credit support levels provide
at least 2.70x, 2.40x, 2.00x, 1.50x, and 1.20x coverage of S&P's
expected cumulative net loss (ECNL) of 22.00% for classes A, B, C,
D, and E, respectively.
-- The expectation that under a moderate ('BBB') stress scenario
(1.50x S&P's expected loss level), all else being equal, its
preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB-
(sf)' ratings on the class A, B, C, D, and E notes, respectively,
will be within its credit stability limits.
-- The timely payment of interest and principal repayment by the
designated legal final maturity dates under S&P's stressed cash
flow modeling scenarios for the assigned preliminary ratings.
-- The collateral characteristics of the series' subprime
automobile loans, S&P's view of the collateral's credit risk, it
updated macroeconomic forecast, and forward-looking view of the
auto finance sector.
-- S&P's assessment of the series' bank accounts at Citibank N.A.,
which does not constrain the preliminary ratings.
-- S&P's operational risk assessment of Exeter Finance LLC as
servicer, along with its view of the company's underwriting and the
backup servicing arrangement with Citibank.
-- S&P's assessment of the transaction's potential exposure to
environmental, social, and governance credit factors, which are in
line with our sector benchmark.
-- The transaction's payment and legal structures.
S&P's ECNL for EART 2024-3 is 22.00%, unchanged from EART 2023-4
(the last EART transaction rated by S&P Global Ratings). It
reflects:
-- EART's outstanding rated series' performances, which remain in
line with or better than S&P's initial expectations, except for
EART 2022-1, 2022-2, 2022-3, 2022-4, and 2022-5, the performances
of which are trending worse than our original ECNLs.
-- S&P's view that EART 2024-3's collateral characteristics are
similar to those of EART 2023-4. Additionally, the accounts
included in the EART 2024-3 collateral pool will have either made
at least one payment or have a post-funding score greater than or
equal to 220, which it views as a credit positive, and which was a
consideration in its analysis.
-- S&P's forward-looking view of the auto finance sector,
including its outlook for a shallower and more attenuated economic
slowdown.
Preliminary Ratings Assigned
Exeter Automobile Receivables Trust 2024-3
Class A-1, $86.900 million: A-1+ (sf)
Class A-2, $205.000 million: AAA (sf)
Class A-3, $84.295 million: AAA (sf)
Class B, $100.899 million: AA (sf)
Class C, $120.904 million: A (sf)
Class D, $129.603 million: BBB (sf)
Class E, $87.852 million: BB- (sf)
FORTRESS CREDIT XXI: S&P Assigns BB- (sf) Rating on Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Fortress Credit BSL XXI
Ltd./Fortress Credit BSL XXI LLC's floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by FC BSL CLO Manager V LLC.
The ratings reflect S&P's view of:
-- The diversification of the collateral pool, which consists
primarily of broadly syndicated speculative-grade (rated 'BB+' and
lower) senior secured term loans.
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization.
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Fortress Credit BSL XXI Ltd./Fortress Credit BSL XXI LLC
Class A, $110.00 million: AAA (sf)
Class A-L loans(i), $171.25 million: AAA (sf)
Class A-L(i), $0.00 million: AAA (sf)
Class B, $54.00 million: AA (sf)
Class C (deferrable), $27.00 million: A (sf)
Class D (deferrable), $27.00 million: BBB- (sf)
Class E (deferrable), $15.75 million: BB- (sf)
Subordinated notes, $46.87 million: Not rated
(i)The class A-L loans are convertible only into class A-L notes,
and the class A-L notes will fund only from that conversion.
NR--Not rated.
GENERATE CLO 15: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Generate CLO
15 Ltd./Generate CLO 15 LLC's floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Generate Advisors LLC.
The preliminary ratings are based on information as of May 9, 2024.
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 collateral pool's diversification;
-- 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
Generate CLO 15 Ltd./Generate CLO 15 LLC
Class A, $238.000 million: NR
Class A-L loans(i), $50.000 million: NR
Class B, $54.000 million: AA (sf)
Class C (deferrable), $27.000 million: A (sf)
Class D (deferrable), $27.000 million: BBB- (sf)
Class E (deferrable), $16.875 million: BB- (sf)
Subordinated notes, $45.000 million: NR
(i)The class A-L loans are not convertible into notes.
NR--Not rated.
GENERATE CLO 5: Moody's Assigns B3 Rating to $5.625MM F-R Notes
---------------------------------------------------------------
Moody's Ratings has assigned ratings to three classes of CLO
refinancing notes (the "Refinancing Notes") issued by Generate CLO
5 Ltd. (the "Issuer").
Moody's rating action is as follows:
US$3,200,000 Class X-R Floating Rate Notes due 2037, Assigned Aaa
(sf)
US$288,000,000 Class A-R Floating Rate Notes due 2037, Assigned Aaa
(sf)
US$5,625,000 Class F-R Deferrable Floating Rate Notes due 2037,
Assigned B3 (sf)
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks particularly those associated with the
CLO's portfolio and structure.
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least
90.0% of the portfolio must consist of first lien senior secured
loans, cash, and eligible investments, and up to 10.0% of the
portfolio may consist of assets that are not senior secured loans.
Generate Advisors, LLC (the "Manager") will continue to direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's reinstated five
year reinvestment period. Thereafter, subject to certain
restrictions, the Manager may reinvest unscheduled principal
payments and proceeds from sales of credit risk assets.
In addition to the issuance of the Refinancing Notes and the five
other classes of secured notes, a variety of other changes to
transaction features will occur in connection with the refinancing.
These include: reinstatement of the reinvestment period; extensions
of the stated maturity and non-call period; changes to certain
collateral quality tests; changes to the overcollateralization test
levels; additions to the CLO's ability to hold workout and
restructured assets and changes to the base matrix and modifiers.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in May 2024.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Portfolio par: $449,189,461
Defaulted par: $2,087,527
Diversity Score: 80
Weighted Average Rating Factor (WARF): 3088
Weighted Average Spread (WAS): 3.70%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 46.00%
Weighted Average Life (WAL): 8.2 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2024.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.
GLS AUTO 2024-2: S&P Assigns BB (sf) Rating on Class E Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to GLS Auto Receivables
Issuer Trust 2024-2's automobile receivables-backed notes.
The note issuance is an ABS securitization backed by subprime auto
loan receivables.
The ratings reflect S&P's view of:
-- The availability of approximately 56.5%, 47.6%, 37.2%, 28.9%,
and 24.3% of credit support (hard credit enhancement and haircut to
excess spread) for the class A (classes A-1, A-2, and A-3,
collectively), B, C, D, and E notes, respectively, based on
stressed cash flow scenarios. These credit support levels provide
at least 3.20x, 2.70x, 2.10x, 1.60x, and 1.38x S&P's 17.50%
expected cumulative net loss for the class A, B, C, D, and E notes,
respectively.
-- The expectation that under a moderate ('BBB') stress scenario
(1.60x S&P's expected loss level), all else being equal, its 'AAA
(sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on
the class A, B, C, D, and E notes, respectively, are within its
credit stability limits.
-- The timely payment of interest and principal by the designated
legal final maturity dates under S&P's stressed cash flow modeling
scenarios, which S&P believes are appropriate for the assigned
ratings.
-- The collateral characteristics of the series' subprime
automobile loans, including the representation in the transaction
documents that all contracts in the pool have made at least one
payment, S&P's view of the credit risk of the collateral, and its
updated macroeconomic forecast and forward-looking view of the auto
finance sector.
-- The series' bank accounts at UMB Bank N.A., which do not
constrain the ratings.
-- S&P's operational risk assessment of Global Lending Services
LLC, as servicer, and our view of the company's underwriting and
backup servicing arrangement with UMB Bank N.A.
-- S&P's assessment of the transaction's potential exposure to
environmental, social, and governance credit factors that are in
line with our sector benchmark.
-- The transaction's payment and legal structures.
Ratings Assigned
GLS Auto Receivables Issuer Trust 2024-2
Class A-1, $78.10 million: A-1+ (sf)
Class A-2, $163.00 million: AAA (sf)
Class A-3, $60.54 million: AAA (sf)
Class B, $96.06 million: AA (sf)
Class C, $89.19 million: A (sf)
Class D, $79.67 million: BBB (sf)
Class E, $52.45 million: BB (sf)
GS MORTGAGE 2014-GC20: Moody's Cuts Rating on Cl. C Certs to Caa2
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Moody's Ratings has downgraded the ratings on four classes in GS
Mortgage Securities Trust 2014-GC20, Commercial Mortgage
Pass-Through Certificates, as follows:
Cl. B, Downgraded to Baa2 (sf); previously on Jul 17, 2023
Downgraded to Baa1 (sf)
Cl. C, Downgraded to Caa2 (sf); previously on Jul 17, 2023
Downgraded to B2 (sf)
Cl. PEZ, Downgraded to Caa1 (sf); previously on Jul 17, 2023
Downgraded to Ba2 (sf)
Cl. X-B*, Downgraded to Baa2 (sf); previously on Jul 17, 2023
Downgraded to Baa1 (sf)
*Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings on two P&I classes (Cl. B and Cl. C) were downgraded
due to higher expected losses and increased risk of potential
interest shortfalls driven by the significant exposure to
delinquent loans in special servicing. All the remaining loans are
either in special servicing or have passed their original maturity
dates and two of the specially serviced loans, representing 30% of
the pool, are classified as in foreclosure or REO. While Cl. B has
already paid down 71% from its original balance, as of the April
2024 remittance statement, the deal had approximately $18.8 million
in outstanding loan advances. These classes may also be at higher
risk of loss and/or interest shortfalls if the remaining loans
remain delinquent and/or the performance of the remaining loans
deteriorates.
The rating on the interest only (IO) class, (Cl. X-B), was
downgraded based on the credit quality of its outstanding
referenced class.
The rating on the exchangeable class, (Cl. PEZ), was downgraded due
to the decline in the credit quality of its reference classes
resulting from principal paydowns of higher quality reference
classes. Cl. PEZ originally referenced classes A-S, B and C,
however, Cl. A-S has now paid off in full.
Moody's rating action reflects a base expected loss of 70.0% of the
current pooled balance, compared to 12.9% at Moody's last review.
Moody's base expected loss plus realized losses is now 15.6% of the
original pooled balance, compared to 12.5% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected. 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 July 2022.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 97.5% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then applies the aggregate loss
from specially to the most junior classes and the recovery as a pay
down of principal to the most senior classes.
DEAL PERFORMANCE
As of the April 2024 distribution date, the transaction's aggregate
certificate balance has decreased by 88% to $142.5 million from
$1.18 billion at securitization. The certificates are
collateralized by five mortgage loans ranging in size from less
than 5% to 33% 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 three, compared to 15 at Moody's last review.
As of the April 2024 remittance report, two of the specially
serviced loans, representing 30% of the pool are classified as in
foreclosure or REO and all remaining loans are either in special
servicing or have passed their original maturity dates.
One loan, constituting 2.5% of the pool, is on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
One loan has been liquidated from the pool, contributing to an
aggregate realized loss of $79.1 million (for an average loss
severity of 56.9%). Four loans, constituting 98% of the pool, are
currently in special servicing.
The largest specially serviced loan is the Greene Town Center Loan
($75.3 million – 52.8% of the pool), which represents a
pari-passu portion of a $114.8 million senior mortgage loan. The
loan is secured by a mixed-use property located in Beavercreek,
Ohio, approximately ten miles southeast of the Dayton, Ohio CBD.
The property is also encumbered by $37.4 million of mezzanine debt.
The subject improvements primarily consist of a lifestyle center
situated around a town square. In total, the property is comprised
of 566,634 square feet (SF) (80% NRA) of retail, 143,343 SF (20%
NRA) of office, and 206 Class A multifamily units. Retail anchors
include Von Maur (not part of the collateral), LA Fitness, Forever
21, Old Navy, Nordstrom Rack, and a 14-screen Cinemark Cinema (not
part of the collateral). Parking is provided via three parking
garages and four surface lots with 4,401 total spaces. The property
was 92% leased as of September 2023 compared to 91% in December
2022, 93% in December 2020, 91% in December 2018 and 89% at
securitization. This loan transferred to special servicing in
December 2023 due to imminent default ahead of the December 2023
maturity date. An updated appraisal from February 20224 valued the
property at $140 million, a 37% decline in value since
securitization. The most recent servicer commentary indicates that
local counsel has been engaged to conduct foreclosure proceedings
while the servicer dual tracks workout alternatives with the
borrower. As of the April 2024 remittance, this loan was last paid
through the March 2024 payment date, and has amortized by 16.3%
since securitization.
The second largest specially serviced loan is the Sheraton Suites
Houston Loan ($33.6 million – 17.4% of the pool), which is
secured by a 283-room hotel property that was built in 2000 and
renovated in 2013, located in the Galleria submarket of Houston,
Texas. The loan transferred to special servicing in May 2020 due to
imminent default as a result of the coronavirus outbreak. Since
transferring to special servicing, the loan became REO and was
converted to a Tapestry Collection Hotel, and rebranded as The
Chifley. The special servicer entered a 15 year franchise agreement
with Hilton, Tapestry Collection, with an itemized property
improvement plan (PIP) of $12.2 million. An updated appraisal from
January 2024 valued the property at $48.9 million, a 19% decline in
value since securitization, though still above the outstanding
balance . The loan incurred an appraisal reduction (ARA) March 2024
for $15,855,527. As of the April 2024 remittance this loan was REO,
and last paid through July 2020, and has amortized by 17.4% since
securitization.
The third largest specially serviced loan is the Oklahoma Hotel
Portfolio Loan ($21.5 million -- 15.1% of the pool), which is
secured by a portfolio of two full-service hotels and one limited
service hotel totaling 320 keys located in Stillwater, Durant and
Norman, Oklahoma. The Hampton Inn Durant lost its flag and was
running as an independent hotel. It was eventually converted to a
Marriott Branded Fairfield Inn & Suites. The loan transferred to
special servicing in March 2024, due to imminent default ahead of
the April 2024 maturity date. The most recent servicer commentary
indicates the borrower is requesting an extension of the maturity
date after not being able to secure refinancing. As of the April
2024 remittance, this loan was last paid through the March 2024
payment date
The fourth largest specially serviced loan is the Northgate Power
Center Loan ($8.5 million – 5.9% of the pool), which is secured
by a 106,015 SF retail neighborhood center located in Colerain
Township, Ohio built in 1970, renovated in 2013. The loan
transferred to special servicing in July 2023 for imminent maturity
default. The largest tenant vacated the property at lease
expiration in January 2024. In March 2024, the loan was in REO
status and incurred an appraisal reduction of $2.97 million. As of
the April 2024 remittance, the loan was last paid through January
2024, and has amortized by 14.8% since securitization.
Moody's estimates an aggregate $79.1 million loss for the specially
serviced loans (56.9% expected loss on average).
As of the April 2024 remittance statement cumulative interest
shortfalls were $10.2 million. Moody's anticipates interest
shortfalls will continue because of the exposure to specially
serviced loans and/or modified loans. Interest shortfalls are
caused by special servicing fees, including workout and liquidation
fees, appraisal entitlement reductions (ASERs), loan modifications
and extraordinary trust expenses.
The only loan not in special servicing is the Cordova Court
Apartments Loan ($3.6 million – 2.5% of the pool), which is
secured by the borrower's fee simple interest in a garden apartment
complex located in Bossier City, Louisiana, a suburb of Shreveport.
Occupancy was 90% in December 2023, compared to 83% in December
2022, 80% in December 2021, and 88% at securitization. The loan is
on the servicer watchlist due to pending default related to the
maturity date. As of the April 2024 remittance, this loan last paid
through the February 2024 payment date and has amortized by 17.3%
since securitization.
ICG US 2024-1: S&P Assigns BB- (sf) Rating on $15MM Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to ICG US CLO 2024-1
Ltd./ICG US CLO 2024-1 LLC's floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by ICG Debt Advisors LLC.
The ratings reflect S&P's view of:
-- The collateral pool's diversification;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
ICG US CLO 2024-1 Ltd./ICG US CLO 2024-1 LLC
Class A-1, $248 million: AAA (sf)
Class A-2, $8 million: AAA (sf)
Class B, $48 million: AA (sf)
Class C (deferrable), $24 million: A (sf)
Class D-1 (deferrable), $18 million: BBB (sf)
Class D-2 (deferrable), $6 million: BBB- (sf)
Class E (deferrable), $15 million: BB- (sf)
Subordinated notes, $39 million: Not rated
JP MORGAN 2021-1: Moody's Upgrades Rating on Cl. B-5 Certs to Ba1
-----------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 25 bonds from four US
residential mortgage-backed transactions (RMBS), backed by prime
jumbo and agency eligible mortgage loans.
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: J.P. Morgan Mortgage Trust 2021-1
Cl. B-2, Upgraded to Aa2 (sf); previously on Jul 14, 2023 Upgraded
to Aa3 (sf)
Cl. B-2-A, Upgraded to Aa2 (sf); previously on Jul 14, 2023
Upgraded to Aa3 (sf)
Cl. B-2-X*, Upgraded to Aa2 (sf); previously on Jul 14, 2023
Upgraded to Aa3 (sf)
Cl. B-3, Upgraded to A2 (sf); previously on Jul 14, 2023 Upgraded
to A3 (sf)
Cl. B-4, Upgraded to Baa2 (sf); previously on Jul 14, 2023 Upgraded
to Ba1 (sf)
Cl. B-5, Upgraded to Ba1 (sf); previously on Jul 14, 2023 Upgraded
to B1 (sf)
Issuer: J.P. Morgan Mortgage Trust 2021-3
Cl. B-4, Upgraded to Ba1 (sf); previously on Jul 14, 2023 Upgraded
to Ba2 (sf)
Cl. B-5, Upgraded to Ba3 (sf); previously on Feb 26, 2021
Definitive Rating Assigned B3 (sf)
Issuer: J.P. Morgan Mortgage Trust 2021-4
Cl. B-1, Upgraded to Aa1 (sf); previously on Jul 14, 2023 Upgraded
to Aa2 (sf)
Cl. B-1-A, Upgraded to Aa1 (sf); previously on Jul 14, 2023
Upgraded to Aa2 (sf)
Cl. B-1-X*, Upgraded to Aa1 (sf); previously on Jul 14, 2023
Upgraded to Aa2 (sf)
Cl. B-2, Upgraded to A1 (sf); previously on Jul 14, 2023 Upgraded
to A2 (sf)
Cl. B-2-A, Upgraded to A1 (sf); previously on Jul 14, 2023 Upgraded
to A2 (sf)
Cl. B-2-X*, Upgraded to A1 (sf); previously on Jul 14, 2023
Upgraded to A2 (sf)
Cl. B-4, Upgraded to Ba1 (sf); previously on Mar 31, 2021
Definitive Rating Assigned Ba3 (sf)
Cl. B-5, Upgraded to Ba3 (sf); previously on Mar 31, 2021
Definitive Rating Assigned B2 (sf)
Issuer: J.P. Morgan Mortgage Trust 2021-6
Cl. B-1, Upgraded to Aa1 (sf); previously on Jul 14, 2023 Upgraded
to Aa2 (sf)
Cl. B-1-A, Upgraded to Aa1 (sf); previously on Jul 14, 2023
Upgraded to Aa2 (sf)
Cl. B-1-X*, Upgraded to Aa1 (sf); previously on Jul 14, 2023
Upgraded to Aa2 (sf)
Cl. B-2, Upgraded to A1 (sf); previously on Jul 14, 2023 Upgraded
to A2 (sf)
Cl. B-2-A, Upgraded to A1 (sf); previously on Jul 14, 2023 Upgraded
to A2 (sf)
Cl. B-2-X*, Upgraded to A1 (sf); previously on Jul 14, 2023
Upgraded to A2 (sf)
Cl. B-3, Upgraded to Baa1 (sf); previously on Jul 14, 2023 Upgraded
to Baa2 (sf)
Cl. B-4, Upgraded to Ba1 (sf); previously on Apr 30, 2021
Definitive Rating Assigned Ba3 (sf)
Cl. B-5, Upgraded to B1 (sf); previously on Apr 30, 2021 Definitive
Rating Assigned B3 (sf)
* Reflects Interest-Only Classes
RATINGS RATIONALE
The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's Ratings updated loss expectations on the underlying pool.
The rating upgrades are a result of the stable performance of the
related pool, and an increase in credit enhancement an average of
approximately 2.2% for the upgraded bonds since Moody's last
review. Collateral performance remains stable as on average only
about 0.11% of loans are currently delinquent more than 60 days and
the cumulative net losses for the transactions are on average about
0.01% as of the March distribution date.
In addition, Moody's analysis applied a greater probability of
default stress on loans that have experienced modifications,
Moody's decreased that stress to the extent the modifications were
in the form of temporary payment relief.
The rating actions also reflect the further seasoning of the
collateral and increased clarity regarding the impact of borrower
relief programs on collateral performance. Over the past few years,
Moody's have worked closely with loan servicers to understand and
analyze their strategies regarding borrower relief programs and the
impact those programs may have on collateral performance and
transaction liquidity, through servicer advancing. Moody's recent
analysis has found that many of these borrower relief programs, in
addition to robust home price appreciation, have contributed to
collateral performance being stronger than Moody's past
expectations, thus supporting the upgrades.
In 11 cases, no actions were taken on the rated classes because the
expected losses remain commensurate with the current ratings, after
taking into account the updated performance information, structural
features and other qualitative considerations. No actions were
taken on the remaining rated classes in this deal as those classes
are already at the highest achievable levels within Moody's rating
scale.
Principal Methodologies
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in August 2023.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's Ratings original expectations as a result of a lower number
of obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's Ratings 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.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds and/or pools.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
KKR CLO 29: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-R, and E-R replacement debt from KKR CLO 29
Ltd./KKR CLO 29 LLC, a CLO originally issued in 2021 that is
managed by KKR Financial Advisors II LLC.
The preliminary ratings are based on information as of May 8, 2024.
Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On May 14, 2024, the refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. S&P
said, "At that time, we expect to withdraw our ratings on the
original debt and assign ratings to the replacement debt. However,
if the refinancing doesn't occur, we may affirm our ratings on the
original debt and withdraw our preliminary ratings on the
replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The non-call period will be extended by approximately 4.3 years
to May 14, 2026.
-- The reinvestment period will be by extended approximately 5.3
years to May 14, 2029.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) will be extended by approximately
5.5 years to July 15, 2037.
-- The weighted average life test will be extended to 9 years from
the refinancing date.
Replacement And Original Debt Issuances
Replacement debt
-- Class A-R, $256 million: Three-month CME term SOFR + 1.54%
-- Class B-R, $48 million: Three-month CME term SOFR + 1.90%
-- Class C-R, $24 million: Three-month CME term SOFR + 2.50%
-- Class D-1R, $20 million: Three-month CME term SOFR + 3.75%
-- Class D-2R, $5 million: Three-month CME term SOFR + 5.20%
-- Class E-R, $15 million: Three-month CME term SOFR + 7.08%
-- Subordinated notes, $37.30 million: Not applicable
Original debt
-- Class A, $248 million: Three-month CME term SOFR + 1.20% +
CSA(i)
-- Class B, $56 million: Three-month CME term SOFR + 1.50% +
CSA(i)
-- Class C, $24 million: Three-month CME term SOFR + 2.00% +
CSA(i)
-- Class D, $22 million: Three-month CME term SOFR + 3.40% +
CSA(i)
-- Class E, $15 million: Three-month CME term SOFR + 6.75% +
CSA(i)
-- Class F, $4 million: Three-month CME term SOFR + 9.00% +
CSA(i)
-- Subordinated notes, $37.30 million: Not applicable
(i)CSA--Credit spread adjustment.
CSA=0.26161%.
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 debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
KKR CLO 29 Ltd./KKR CLO 29 LLC
Class A-R, $256 million: AAA (sf)
Class B-R, $48 million: AA (sf)
Class C-R, $24 million: A (sf)
Class D-1R, $20 million: BBB (sf)
Class D-2R, $5 million: BBB- (sf)
Class E-R, $15 million: BB- (sf)
Subordinated notes, $37.30 million: Not rated
MCF CLO VIII: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-R, and E-R replacement debt from MCF CLO VIII
Ltd./MCF CLO VIII LLC, a CLO originally issued in June 2018 that is
managed by Apogem Capital LLC, a subsidiary of New York Life.
The preliminary ratings are based on information as of May 10,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the May 15, 2024, refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. S&P
said, "At that time, we expect to withdraw our ratings on the
original debt and assign ratings to the replacement debt. However,
if the refinancing doesn't occur, we may affirm our ratings on the
original debt and withdraw our preliminary ratings on the
replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The stated maturity on the existing subordinated notes will be
extended to April 18, 2036, from July 18, 2030, to match the stated
maturity on the new refinancing notes.
-- The reinvestment period will be extended to May 15, 2028. It is
currently in its amortization period, having ended reinvestment in
July 2022, so there will be an injection of capital from Madison
Capital Funding, which will bring the transactions portfolio back
up to its target par balance of $325.00 million.
-- The non-call period will be extended to May 15, 2026.
-- There will not be an additional effective date, and the first
payment date following the May 15, 2024 second refinancing date
will be Oct. 18, 2024.
-- The weighted average life test will be extended to eight years
from the second refinancing date.
-- In addition to updating to recent rating agency methodology,
the transaction is also increasing its 'CCC' basket in the coverage
test calculations to haircut 'CCC' collateral obligations in excess
of 17.5% (rather than in excess of 15%), as well as incorporating
purchase allowances for second lien and unsecured loans,
debtor-in-possession collateral obligations, as well as workout
related debt obligations and equity securities. Finally, the issuer
is incorporating allowances for issuer note repurchases as well as
contribution acceptances to be used for permitted uses.
Replacement And Original Debt Issuances
Replacement debt
-- Class A-R, $188.500 million: Three-month CME term SOFR + 1.95%
-- Class B-R, $32.500 million: Three-month CME term SOFR + 2.40%
-- Class C-R (deferrable), $26.000 million: Three-month CME term
SOFR + 3.10%
-- Class D-R (deferrable), $19.500 million: Three-month CME term
SOFR + 5.15%
-- Class E-R (deferrable), $17.875 million: Three-month CME term
SOFR + 8.00%
Original debt
-- Class A-1, $157.500 million: Three-month CME term SOFR + 1.37%
+ CSA(i)
-- Class A-2A-R, $21.600 million: Three-month CME term SOFR +
2.40% + CSA(i)
-- Class A-2B-R, $10.000 million: 2.55%
-- Class B, $28.100 million: Three-month CME term SOFR + 1.75% +
CSA(i)
-- Class C (deferrable), $24.400 million: Three-month CME term
SOFR + 2.30% + CSA(i)
-- Class D (deferrable), $18.900 million: Three-month CME term
SOFR + 3.50% + CSA(i)
-- Class E (deferrable), $23.600 million: Three-month CME term
SOFR + 7.33% + CSA(i)
-- Subordinated notes, $41.80 million: Not applicable
(i)The CSA is 0.26161%.
CSA--Credit spread adjustment.
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 debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
MCF CLO VIII Ltd./MCF CLO VIII LLC
Class A-R, $188.500 million: AAA (sf)
Class B-R, $32.500 million: AA (sf)
Class C-R (deferrable), $26.000 million: A (sf)
Class D-R (deferrable), $19.500 million: BBB- (sf)
Class E-R (deferrable), $17.875 million: BB- (sf)
Other Outstanding Debt
MCF CLO VIII Ltd./MCF CLO VIII LLC
Class A-1, $157.500 million: AAA (sf)
Class A-2A-R, $21.600 million: AAA (sf)
Class A-2B-R, $10.000 million: AAA (sf)
Class B, $28.100 million: AA (sf)
Class C (deferrable), $24.400 million: A (sf)
Class D (deferrable), $18.900 million: BBB- (sf)
Class E (deferrable), $23.600 million: BB- (sf)
Subordinated notes, $41.80 million: Not rated
MED COMMERCIAL 2024-MOB: Moody's Assigns Ba2 Rating to HRR Certs
----------------------------------------------------------------
Moody's Ratings has assigned definitive ratings to six classes of
CMBS securities, issued by MED Commercial Mortgage Trust 2024-MOB,
Commercial Mortgage Pass-Through Certificates, Series 2024-MOB:
Cl. A, Definitive Rating Assigned Aaa (sf)
Cl. B, Definitive Rating Assigned Aa1 (sf)
Cl. C, Definitive Rating Assigned A2 (sf)
Cl. D, Definitive Rating Assigned Baa3 (sf)
Cl. E, Definitive Rating Assigned Ba1 (sf)
Cl. HRR, Definitive Rating Assigned Ba2 (sf)
RATINGS RATIONALE
The certificates are collateralized by a single, floating rate loan
collateralized by the borrower's fee simple or leasehold interests
in a portfolio of 34 medical office building properties
encompassing 1.9 million SF. Moody's ratings are based on the
credit quality of the loans and the strength of the securitization
structure.
The Portfolio is comprised of 34 medical office properties located
across 23 markets in 13 states. New York is the largest state
concentration (by ALA) as it is home to six properties representing
29.4% of ALA, 18.6% of NRA, and 31.1% of 2023 NCF. The Portfolio's
largest individual property is 95 Crystal Run MOB, representing
12.1% of the ALA. No tenant aside from Crystal Run Healthcare
contributes more than 6.6% of base rent or 5.1% of NRA.
The collateral properties combine to offer approximately 1,944,300
SF of NRA. Property sizes range between 9,000 SF and 127,253 SF,
and average approximately 57,188 SF. Construction dates for
properties range from 1978 to 2013, with a weighted average year
built of 2003. Six of the properties operate subject to ground
leases.
The locations of the individual properties benefit from their
unique and superior proximity to hospital demand drivers as 22
properties (62.5% of ALA) are located directly on a hospital
campus. With regard to the 12 properties off-campus, 8 properties
(28.8% of ALA) are anchored by a health system affiliation (28.8%
of ALA). The remaining four properties (8.7% of ALA) within the
Portfolio are considered off campus properties without an
affiliated health system.
Moody's approach to rating this transaction involved the
application of Moody's Large Loan and Single Asset/Single Borrower
Commercial Mortgage-Backed Securitizations methodology. The rating
approach for securities backed by a single loan compares the credit
risk inherent in the underlying collateral with the credit
protection offered by the structure. The structure's credit
enhancement is quantified by the maximum deterioration in property
value that the securities are able to withstand under various
stress scenarios without causing an increase in the expected loss
for various rating levels. In assigning single borrower ratings,
Moody's also consider a range of qualitative issues as well as the
transaction's structural and legal aspects.
The credit risk of loans is determined primarily by two factors: 1)
Moody's assessment of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessment of the
severity of loss upon a default, which is largely driven by each
loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV.
As described in the CMBS methodology used to rate this
transaction, Moody's make various adjustments to the MLTV. Moody's
adjust the MLTV for each loan using a value that reflects
capitalization (cap) rates that are between Moody's sustainable cap
rates and market cap rates. Moody's also use an adjusted loan
balance that reflects each loan's amortization profile.
The Moody's first mortgage actual DSCR is 1.16x, compared to 1.14x
at Moody's provisional ratings due to an interest rate decrease,
which is higher than Moody's first mortgage stressed DSCR (at a
9.25% constant) of 0.95X. Moody's DSCR is based on Moody's
stabilized net cash flow.
The loan first mortgage balance of $450,500,000 represents a
Moody's LTV ratio of 102.4% based on Moody's value. Adjusted
Moody's LTV ratio for the first mortgage balance is 92.2%, compared
to 91.9% issued at Moody's provisional ratings, based on Moody's
Moody's Value using a cap rate adjusted for the current interest
rate environment.
Moody's also grades properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The portfolio's
property quality grade is 1.50.
Notable strengths of the transaction include: their location
relative to demand drivers, geographic diversity and tenant
granularity, investment grade tenancy, multiple property pooling,
and experienced sponsorship.
Notable concerns of the transaction include: property age,
floating-rate interest-only loan profile, recent decline in
portfolio occupancy and NOI, property release provisions, and
credit negative legal features.
The principal methodology used in these ratings was "Large Loan and
Single Asset/Single Borrower Commercial Mortgage-Backed
Securitizations Methodology" published in July 2022.
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.
MOUNTAIN VIEW XV: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-1-R, A-2-R, B-1-R, B-2-R, C-R, D-R and E-R
debt, as well as the new class X debt from Mountain View CLO XV
Ltd./Mountain View CLO XV LLC, a CLO originally issued in January
2020 that is managed by Seix Investment Advisors.
The preliminary ratings are based on information as of May 8, 2024.
Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
S&P said, "On the May 29, 2024, refinancing date, the proceeds from
the replacement debt will be used to redeem the original debt. At
that time, we expect to withdraw our ratings on the original debt
and assign ratings to the replacement debt. However, if the
refinancing doesn't occur, we may affirm our ratings on the
original debt and withdraw our preliminary ratings on the
replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The replacement class A-1-R, A-2-R, B-1-R, and C-R debt is
expected to be issued at a lower spread over three-month SOFR than
the original debt.
-- The replacement class D-R and E-R debt is expected to be issued
at a higher spread over three-month SOFR than the original debt.
-- The replacement class B-2-R debt is expected to be issued at a
higher fixed coupon than the original class B-2 debt.
-- Class X debt will be issued in connection with this
refinancing. These notes are expected to be paid down using
interest proceeds during the first 10 payment dates beginning with
the payment date in period two.
-- The stated maturity and reinvestment period will be extended
4.5 years.
-- The non-call period will be extended to May 29, 2026.
In connection with the refinancing, the issuer is adding provisions
related to workout assets, restructured obligations, uptier priming
debt, and ESG prohibited obligations. Additionally, the deal now
has the ability to purchase certain types of bonds and notes.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and 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
Mountain View CLO XV Ltd./Mountain View CLO XV LLC
Class X, $5.00 million: AAA (sf)
Class A-1-R, $240.00 million: AAA (sf)
Class A-2-R, $16.00 million: AAA (sf)
Class B-1-R, $40.00 million: AA (sf)
Class B-2-R, $8.00 million: AA (sf)
Class C-R (deferrable), $24.00 million: A (sf)
Class D-R (deferrable), $22.00 million: BBB- (sf)
Class E-R (deferrable), $17.30 million: BB- (sf)
Subordinated notes, $41.15 million: Not rated
NEUBERGER BERMAN II: Moody's Assigns B3 Rating to $1MM Cl. F Notes
------------------------------------------------------------------
Moody's Ratings has assigned ratings to two classes of notes issued
by Neuberger Berman Loan Advisers LaSalle Street Lending CLO II,
Ltd. (the "Issuer" or "Neuberger Berman Loan Advisers LaSalle
Street Lending CLO II").
Moody's rating action is as follows:
US$240,000,000 Class A-1 Senior Secured Floating Rate Notes due
2038, Assigned Aaa (sf)
US$1,000,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2038, Assigned B3 (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.
Neuberger Berman Loan Advisers LaSalle Street Lending CLO II is a
managed cash flow CLO. The issued notes will be collateralized
primarily by broadly syndicated senior secured corporate loans. At
least 87.5% of the portfolio must consist of first lien senior
secured loans, senior secured bonds, cash, and eligible
investments, up to 10.0% of the portfolio may consist of second
lien loans and unsecured loans, and up to 10% of the portfolio may
consists of bonds. The portfolio is approximately 90% ramped as of
the closing date.
Neuberger Berman Loan Advisers IV LLC (the "Manager") will direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.
In addition to the Rated Notes, the Issuer issued five other
classes of secured notes and one class of subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in May 2024.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $400,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 3275
Weighted Average Spread (WAS): 4.25%
Weighted Average Coupon (WAC): 8.50%
Weighted Average Recovery Rate (WARR): 44.00%
Weighted Average Life (WAL): 8.18 years
Methodology Underlying the Rating Action
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2024.
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.
NORTHWOODS CAPITAL XIV-B: Moody's Cuts $6MM F Notes Rating to Caa3
------------------------------------------------------------------
Moody's Ratings has assigned ratings to three classes of CLO
refinancing notes (the "Refinancing Notes") issued by Northwoods
Capital XIV-B, Limited (the "Issuer").
Moody's rating action is as follows:
Issuer: Northwoods Capital XIV-B, Limited
US$291,805,302 Class A-R Senior Secured Floating Rate Notes due
2031 (the "Class A-R Notes"), Assigned Aaa (sf)
US$55,000,000 Class B-R Senior Secured Floating Rate Notes due 2031
(the "Class B-R Notes"), Assigned Aaa (sf)
US$25,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C-R Notes"), Assigned Aa3 (sf)
Additionally, Moody's has taken rating action on the following
outstanding notes originally issued by the Issuer on November 13,
2018 (the "Original Closing Date"):
US$6,000,000 Class F Junior Secured Deferrable Floating Rate Notes
Due November 13, 2031 ("The Class F Notes"), Downgraded to Caa3
(sf); previously on November 30, 2023 Downgraded to Caa2 (sf)
A comprehensive review of all credit ratings for the respective
transactions have been conducted during a rating committee.
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks particularly those associated with the
CLO's portfolio and structure.
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.
Angelo, Gordon & Co. L.P. (the "Manager") will continue to direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer.
The Issuer previously issued three other classes of secured notes
and one class of subordinated notes, which will remain
outstanding.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extensions of the non-call period.
The downgrade rating action on the Class F Notes reflects the
specific risks to the junior notes posed by par loss and credit
deterioration observed in the underlying CLO portfolio. Based on
Moody's calculation, the OC ratio for the Class F notes is
currently at 103.38% versus the November 2023 level of 105.5%. The
decrease is partly driven by $3.69 million of additional defaults
in April 2024.
No actions were taken on the Class D and Class E notes because
their expected losses remain commensurate with their current
ratings, after taking into account the CLO's latest portfolio
information, its relevant structural features and its actual
over-collateralization and interest coverage levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on its
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:
Performing par and principal proceeds balance: $452,154,058
Defaulted par: $3,685,444
Diversity Score: 69
Weighted Average Rating Factor (WARF): 2754
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.62%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 46.9%
Weighted Average Life (WAL): 4.04 years
In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio, decrease in overall WAS or net interest
income, and lower recoveries on defaulted assets.
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.
OAKTREE CLO 2024-26: S&P Assigns Prelim BB- (sf) Rating on E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Oaktree CLO
2024-26 Ltd./Oaktree CLO 2024-26 LLC's floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Oaktree CLO Management Co. LLC.
The preliminary ratings are based on information as of May 8, 2024.
Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through 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
Oaktree CLO 2024-26 Ltd./Oaktree CLO 2024-26 LLC
Class A-1, $256.00 million: AAA (sf)
Class A-2, $12.00 million: AAA (sf)
Class B, $36.00 million: AA (sf)
Class C (deferrable), $24.00 million: A (sf)
Class D-1 (deferrable), $24.00 million: BBB- (sf)
Class D-2 (deferrable), $4.00 million: BBB- (sf)
Class E (deferrable), $12.00 million: BB- (sf)
Subordinated notes, $38.00 million: Not rated
OBX TRUST 2019-INV1: Moody's Ups Rating on Cl. B-5 Certs From B1
----------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 10 bonds from three US
residential mortgage-backed transactions (RMBS), backed by almost
entirely agency eligible investor (INV) mortgage loans.
A list of Affected Credit Ratings is available at
https://urlcurt.com/u?l=9BxoTc
A comprehensive review of all credit ratings for the respective
transactions have been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: OBX 2019-INV1 Trust
Cl. B-3, Upgraded to Aa1 (sf); previously on Jul 10, 2023 Upgraded
to Aa3 (sf)
Cl. B-4, Upgraded to A1 (sf); previously on Jul 10, 2023 Upgraded
to Baa2 (sf)
Cl. B-5, Upgraded to A3 (sf); previously on Jul 10, 2023 Upgraded
to B1 (sf)
Issuer: OBX 2019-INV2 Trust
Cl. B-3, Upgraded to Aa2 (sf); previously on Jul 10, 2023 Upgraded
to A1 (sf)
Cl. B-4, Upgraded to A2 (sf); previously on Jul 10, 2023 Upgraded
to Baa3 (sf)
Cl. B-5, Upgraded to A3 (sf); previously on Jul 10, 2023 Upgraded
to B2 (sf)
Issuer: OBX 2020-INV1 Trust
Cl. B-3, Upgraded to Aa1 (sf); previously on Jul 10, 2023 Upgraded
to A1 (sf)
Cl. B-3A, Upgraded to Aa1 (sf); previously on Jul 10, 2023 Upgraded
to A1 (sf)
Cl. B-4, Upgraded to A1 (sf); previously on Jul 10, 2023 Upgraded
to Baa3 (sf)
Cl. B-5, Upgraded to A3 (sf); previously on Jul 10, 2023 Upgraded
to B1 (sf)
RATINGS RATIONALE
The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying pools.
Each of the transactions Moody's reviewed continue to display
strong collateral performance, with cumulative losses for each
transaction under .10% and a small number of loans in delinquency.
In addition, enhancement levels for most tranches have grown
significantly, as the pools amortize relatively quickly. The credit
enhancement since closing has grown, on average, 5x for the
tranches reviewed.
Moody's analysis applied a greater probability of default stress on
loans that have experienced modifications and Moody's decreased
that stress to the extent the modifications were in the form of
temporary payment relief. Moody's analysis also considered the
existence of historical interest shortfalls for some of the bonds.
While all shortfalls have since been recouped, the size and length
of the past shortfalls, as well as the potential for recurrence,
were analyzed as part of the upgrades.
The rating actions also reflect the further seasoning of the
collateral and increased clarity regarding the impact of borrower
relief programs on collateral performance. Over the past few years,
Moody's have worked closely with loan servicers to understand and
analyze their strategies regarding borrower relief programs and the
impact those programs may have on collateral performance and
transaction liquidity, through servicer advancing. Moody's recent
analysis has found that many of these borrower relief programs, in
addition to robust home price appreciation, have contributed to
collateral performance being stronger than Moody's past
expectations, thus supporting the upgrades.
No actions were taken on certain rated classes in these deals
because their expected losses remain commensurate with their
current ratings, after taking into account the updated performance
information, structural features, credit enhancement and other
qualitative considerations. No actions were taken on other rated
classes in these deals as those classes are already at the highest
achievable levels within Moody's rating scale.
Principal Methodology
The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework" published in
August 2023.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
OCP CLO 2023-27: Fitch Assigns 'BB+sf' Rating on Class E-R Notes
----------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to the OCP
CLO 2023-27, Ltd. reset transaction
Entity/Debt Rating Prior
----------- ------ -----
OCP CLO 2023-27,
Ltd.
A 671027AA8 LT PIFsf Paid In Full AAAsf
A-R Loans LT AAAsf New Rating
AL LT PIFsf Paid In Full AAAsf
B 671027AC4 LT PIFsf Paid In Full AAsf
B-R LT AA+sf New Rating
C 671027AE0 LT PIFsf Paid In Full Asf
C-R LT A+sf New Rating
D 671027AG5 LT PIFsf Paid In Full BBB+sf
D-R LT BBB+sf New Rating
E 671024AA5 LT PIFsf Paid In Full BB-sf
E-R LT BB+sf New Rating
TRANSACTION SUMMARY
OCP CLO 2023-27, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by Onex
Credit Partners, LLC. The CLO originally closed in April 2023 and
was rated by Fitch. The CLO was renamed from OSD CLO 2023-27, Ltd.
to OCP CLO 2023-27, Ltd. The secured notes will be refinanced in
whole on May 10, 2024 (the first refinancing date). Net proceeds
from the issuance of the secured and subordinated notes will
provide financing on a portfolio of approximately $500 million of
primarily first lien senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 23.27, versus a maximum covenant, in accordance with
the initial expected matrix point of 28. Issuers rated in the 'B'
rating category denote a highly speculative credit quality;
however, the notes benefit from appropriate credit enhancement and
standard U.S. CLO structural features.
Asset Security (Positive): The indicative portfolio consists of
97.07% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 75.59% versus a
minimum covenant, in accordance with the initial expected matrix
point of 70.2%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 48% of the portfolio balance in aggregate while the
top five obligors can represent up to 7.5% of the portfolio balance
in aggregate. The level of diversity resulting from the industry,
obligor and geographic concentrations is in line with other recent
CLOs.
Portfolio Management (Neutral): The transaction has a two-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting to the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-R Loans, between
'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for
class C-R, between less than 'B-sf' and 'BB+sf' for class D-R, and
between less than 'B-sf' and 'B+sf' for class E-R.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-R Loans as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf'
for class D-R, and 'BBB+sf' for class E-R.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other Nationally
Recognized Statistical Rating Organizations and/or European
securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.
ESG CONSIDERATIONS
Fitch does not provide ESG relevance scores for OCP CLO 2023-27,
Ltd. In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, programme,
instrument or issuer, Fitch will disclose in the key rating drivers
any ESG factor which has a significant impact on the rating on an
individual basis.
OFSI BSL XIII: S&P Assigns BB- (sf) Rating on Class E Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to OFSI BSL XIII CLO
Ltd./OFSI BSL XIII CLO LLC's floating- and fixed-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by OFS CLO Management III LLC, a wholly
owned subsidiary of OFS Capital Management.
The ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
OFSI BSL XIII CLO Ltd./OFSI BSL XIII CLO LLC
Class X, $1.5 million: AAA (sf)
Class A-1, $180.0 million: AAA (sf)
Class A-J, $12.0 million: AAA (sf)
Class B, $36.0 million: AA (sf)
Class C (deferrable), $18.0 million: A (sf)
Class D-1 (deferrable), $16.5 million: BBB (sf)
Class D-2 (deferrable), $4.5 million: BBB- (sf)
Class E (deferrable), $7.5 million: BB- (sf)
Subordinated notes, $25.0 million: Not rated
OHA CREDIT XI: S&P Assigns Prelim BB- (sf) Rating on E-R2 Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R2, B-1-R2, B-2-R2, C-R2, D-1-R2, D-2-R2, and E-R2 replacement
debt from OHA Credit Partners XI Ltd./OHA Credit Partners XI LLC, a
CLO originally issued in November 2018 that is managed by Oak Hill
Advisors L.P.
The preliminary ratings are based on information as of May 16,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the May 20, 2024, refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. S&P
said, "At that time, we expect to withdraw our ratings on the
original debt and assign ratings to the replacement debt. However,
if the refinancing doesn't occur, we may affirm our ratings on the
original debt and withdraw our preliminary ratings on the
replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The replacement class A-1-R2 and D-2-R2 debt is expected to be
issued at a higher spread over three-month SOFR than the original
debt spreads (with a SOFR credit spread adjustment).
-- The replacement class A-2-R2, B-1-R2, C-R2, D-1-R2, and E-R2
debt is expected to be issued at a lower spread over three-month
SOFR than the original debt spreads (with a SOFR credit spread
adjustment).
-- The replacement class B-2-R2 debt is expected to be issued at
fixed coupon.
-- The stated maturity will be extended by 5.25 years to April 20,
2037.
-- The reinvestment period will be extended by 5.25 years to April
20, 2029.
-- A new non-call period will be established, which will expire on
May 16, 2026.
-- In connection with the refinancing, the issuer is adding
provisions related to workout assets and uptier priming debt.
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
OHA Credit Partners XI Ltd./OHA Credit Partners XI LLC
Class A-1-R2, $252.00 million: AAA (sf)
Class A-2-R2, $18.00 million: Not rated
Class B-1-R2, $19.00 million: AA (sf)
Class B-2-R2, $15.00 million: AA (sf)
Class C-R2 (deferrable), $24.00 million: A (sf)
Class D-1-R2 (deferrable), $24.00 million: BBB- (sf)
Class D-2-R2 (deferrable), $4.00 million: BBB- (sf)
Class E-R2 (deferrable), $12.00 million: BB- (sf)
OHA LOAN 2013-1: S&P Assigns Prelim BB- (sf) Rating on E-R3 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R3, B-1-R3, B-2-R3, C-R3, D-1-R3, D-2-R3, and E-R3 replacement
debt from OHA Loan Funding 2013-1 Ltd./OHA Loan Funding 2013-1
Inc., a CLO that was originally issued in July 2013 and underwent a
first refinancing in March 2017, then a second in August 2018. The
CLO is managed by Oak Hill Advisors L.P., an entity owned by T.
Rowe Price.
The preliminary ratings are based on information as of May 16,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the May 21, 2024, refinancing date, the proceeds from the
replacement debt will be used to redeem the August 2018 debt. S&P
said, "At that time, we expect to withdraw our ratings on the
August 2018 debt and assign ratings to the replacement debt.
However, if the refinancing doesn't occur, we may affirm our
ratings on the August 2018 debt and withdraw our preliminary
ratings on the replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The replacement class A-1-R3, A-2-R3, B-1-R3, B-2-R3, C-R3,
D-1-R3, D-2-R3, and E-R3 notes are expected to be issued at
generally lower spreads over three-month LIBOR than the original
notes, and there is a fixed-rate note.
-- The stated maturity, reinvestment period, non-call period, and
weighted average life test date will be extended 5.75 years.
-- The transaction documents have added the uptier priming debt
concept to the transaction and increased the concentration limits
for current-pay, debtor-in-possession, and deferrable obligations.
-- The indenture also added a restriction to the acquisition of
obligations issued by obligors in certain prohibited industries.
Replacement And August 2018 Debt Issuances
Replacement debt
-- Class A-1-R3, $378.00 million: Three-month CME term SOFR +
1.500%
-- Class A-2-R3, $27.00 million: Three-month CME term SOFR +
1.700% (Not rated)
-- Class B-1-R3, $30.00 million: Three-month CME term SOFR +
1.900%
-- Class B-2-R3, $21.00 million: 6.122%
-- Class C-R3 (deferrable), $36.00 million: Three-month CME term
SOFR + 2.350%
-- Class D-1-R3 (deferrable), $36.00 million: Three-month CME term
SOFR + 3.300%
-- Class D-2-R3 (deferrable), $6.00 million: Three-month CME term
SOFR + 4.500%
-- Class E-R3 (deferrable), $18.00 million: Three-month CME term
SOFR + 5.900%
August 2018 debt
-- Class A-1-R2, $290.00 million: Three-month LIBOR + 1.09%
-- Class A-2-R2, $27.50 million: Three-month LIBOR + 1.40%
-- Class B-R2, $64.00 million: Three-month LIBOR + 1.60%
-- Class C-R2 (deferrable), $29.00 million: Three-month LIBOR +
2.07%
-- Class D-R2 (deferrable), $30.20 million: Three-month LIBOR +
3.05%
-- Class E-R2 (deferrable), $18.10 million: Three-month LIBOR +
5.50%
-- Class F-R2 (deferrable), $8.30 million: Three-month LIBOR +
7.90%
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 debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
OHA Loan Funding 2013-1 Ltd./OHA Loan Funding 2013-1 Inc.
Class A-1-R3, $378.00 million: AAA (sf)
Class A-2-R3, $27.00 million: Not rated
Class B-1-R3, $30.00 million: AA (sf)
Class B-2-R3, $21.00 million: AA (sf)
Class C-R3 (deferrable), $36.00 million: A (sf)
Class D-1-R3 (deferrable), $36.00 million: BBB- (sf)
Class D-2-R3 (deferrable), $6.00 million: BBB- (sf)
Class E-R3 (deferrable), $18.00 million: BB- (sf)
Other Outstanding Debt
OHA Loan Funding 2013-1 Ltd./OHA Loan Funding 2013-1 Inc.
Subordinated notes(i), $58.00 million: Not rated
(i)The subordinated notes are expected to be increased to $106.60
million upon the refinancing.
OZLM LTD XVIII: Moody's Cuts Rating on $10MM Class F Notes to Caa2
------------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by OZLM XVIII, Ltd.:
US$60,000,000 Class B Senior Secured Floating Rate Notes due 2031
(the "Class B Notes"), Upgraded to Aaa (sf); previously on April 2,
2023 Upgraded to Aa1 (sf)
US$28,750,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2031 (the "Class C Notes"), Upgraded to Aa1 (sf); previously on
April 2, 2023 Upgraded to A1 (sf)
US$30,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2031 (the "Class D Notes"), Upgraded to Baa2 (sf); previously
on October 6, 2020 Confirmed at Baa3 (sf)
Moody's has also downgraded the rating on the following notes:
US$10,000,000 Class F Secured Deferrable Floating Rate Notes due
2031 (the "Class F Notes"), Downgraded to Caa2 (sf); previously on
April 2, 2023 Downgraded to Caa1 (sf)
OZLM XVIII, Ltd., issued in April 2018 is a managed cashflow CLO.
The notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The transaction's
reinvestment period ended in April 2023.
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
RATINGS RATIONALE
The upgrade rating actions are primarily a result of deleveraging
of the senior notes and an increase in the transaction's
over-collateralization (OC) ratios since April 2023. The Class A
notes have been paid down by approximately 31.7% or $101.4 million
since that time. Based on the trustee's April 2024 report[1], the
OC ratios for the Class A/B, Class C and Class D notes are reported
at 132.68%, 121.34% and 111.41%, respectively versus April 2023
levels[2] of 128.20%, 119.19% and 111.04%, respectively. Moody's
notes that the April 2024 trustee-reported OC ratios do not reflect
the April 2024 payment distribution, when $29.2 million of
principal proceeds were used to pay down the Class A notes.
The downgrade rating action on the Class F notes reflects the
specific risks to the junior notes posed by cumulative par loss
observed in the underlying CLO portfolio. Based on Moody's
calculation, the OC ratio for the Class F notes is 102.86%. Moody's
also observes that the deal's exposure to collateral from issuers
rated Caa1 or lower has increased to 10.08% from 5.98% as of the
last rating action, reflecting a potentially greater risk to the
junior notes posed by future defaults.
No actions were taken on the Class A and Class E notes because
their expected losses remain commensurate with their current
ratings, after taking into account the CLO's latest portfolio
information, its relevant structural features and its actual
over-collateralization and interest coverage levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on its
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:
Performing par and principal proceeds balance: $378,257,765
Defaulted par: $2,146,820
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2762
Weighted Average Spread (WAS): (before accounting for reference
rate floors): 3.23%
Weighted Average Recovery Rate (WARR): 46.68%
Weighted Average Life (WAL): 3.7 years
In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio and lower recoveries on defaulted assets.
Methodology Used for 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.
PALMER SQUARE 2014-1: S&P Assigns BB-(sf) Rating on Cl. D-R2 Notes
------------------------------------------------------------------
S&P Global Ratings raised its ratings on the class A-2-R2, B-R2,
and C-R2 notes from Palmer Square CLO 2014-1 Ltd. and removed them
from CreditWatch with positive implications, where we placed them
on April 17, 2024. At the same time, S&P affirmed its ratings on
the class A-1-R2 and D-R2 notes from the same transaction.
The rating actions follow S&P's review of the transaction's
performance using data from the April 5, 2024, trustee report.
The transaction has made approximately $157.04 million in
collective paydowns to the class A-1-R2 notes since our Jan. 17,
2018, rating actions. These paydowns resulted in improved reported
overcollateralization (O/C) ratios for most of the capital
structure since the reset:
-- The class A O/C ratio improved to 142.52% from 131.34%.
-- The class B O/C ratio improved to 125.77% from 121.38%.
-- The class C O/C ratio improved to 114.63% from 114.22%.
-- The class D O/C ratio declined to 106.47% from 108.67%.
While the senior O/C ratios experienced a positive movement due to
the lower balances of the senior notes, the class D O/C ratio
declined, primarily due to increased haircuts following an increase
in the portfolio's exposure to 'CCC' or lower quality assets.
Collateral obligations with ratings in the 'CCC' category are at
$26.14 million as of the April 5, 2024, trustee report, compared
with $1.48 million reported as of the January 2018 data that S&P
used when the CLO was reset. Similarly, over the same period, the
par amount of defaulted collateral has increased to $4.24 million
from $0.
The current exposure of the collateral obligations with ratings in
the 'CCC' category is in excess of the maximum allowed by the
documents. As a result, the trustee, as per the terms of the CLO
documents, haircuts the O/C numerator for this excess. Without
considering this haircut, the class D O/C ratio actually slightly
increased since our January 2018 rating action.
However, despite the slightly larger concentrations in the 'CCC'
category and defaulted collateral, the transaction, especially the
senior tranches, has benefited from paydowns and a drop in the
weighted average life due to underlying collateral's seasoning.
The upgraded ratings reflect the improved credit support available
to the notes at the prior rating levels.
On a standalone basis, the results of the cash flow analysis
indicated a higher rating on the class B-R2 and C-R2 notes. S&P
said, "However, our rating actions considered additional
sensitivity runs that considered the exposure to lower-quality
assets and distressed prices we noticed in the portfolio. In
addition, given the increase in defaults and 'CCC' rated collateral
obligations as the portfolio continues to amortize, we limited the
upgrade on these classes to offset future potential credit
migration in the underlying collateral."
The affirmed ratings reflect adequate credit support at the current
rating levels, though any further deterioration in the credit
support available to the notes could results in further ratings
changes.
S&P said, "Although the cash flow results indicated a lower rating
for the class D-R2 notes, we affirmed the rating on these notes
after considering the small margin of failure and the current O/C
level, which has a significant cushion over the minimum
requirements. Additionally, we view the overall credit seasoning as
an improvement to the transaction. However, any increase in
defaults or par losses could lead to negative rating actions on the
class D-R2 notes in the future.
"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. In addition, our analysis 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 all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with these rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and will take rating actions as we deem
necessary."
Ratings Raised And Removed from Credit Watch
Palmer Square CLO 2014-1 Ltd.
Class A-2-R2 to 'AAA (sf)' from 'AA (sf)/Watch Pos'
Class B-R2 to 'AA- (sf)' from 'A (sf)/Watch Pos'
Class C-R2 to 'BBB (sf)' from 'BBB- (sf)/Watch Pos'
Ratings Affirmed
Palmer Square CLO 2014-1 Ltd.
Class A-1-R2: AAA (sf)
Class D-R2: BB- (sf)
PENNANTPARK CLO II: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R loans and the A-1-R, A-2-R, B-R, C-R, D-R, and E-R
replacement debt from PennantPark CLO II Ltd./PennantPark CLO II
LLC, a CLO originally issued in January 2021 that is managed by
PennantPark Senior Secured Loan Fund I LLC.
The preliminary ratings are based on information as of May 15,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the May 20, 2024, refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. S&P
said, "At that time, we expect to withdraw our ratings on the
original debt and assign ratings to the replacement debt. However,
if the refinancing doesn't occur, we may affirm our ratings on the
original debt and withdraw our preliminary ratings on the
replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The non-call period will end April 15, 2026.
-- The reinvestment period will end April 15, 2028.
-- The legal final maturity dates for the replacement debt and the
existing subordinated notes will be extended to April 15, 2036.
-- The required minimum overcollateralization and interest
coverage ratios will be amended.
-- No additional subordinated notes will be issued on the
refinancing date.
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
PennantPark CLO II Ltd./PennantPark CLO II LLC
Class A-1-R, $71.00 million: AAA (sf)
Class A-1-R loans, $103.00 million: AAA (sf)
Class A-2-R, $5.00 million: AAA (sf)
Class B-R, $25.00 million: AA (sf)
Class C-R (deferrable), $24.00 million: A (sf)
Class D-R (deferrable), $18.00 million: BBB- (sf)
Class E-R (deferrable), $18.00 million: BB- (sf)
Preferred shares, $36.70 million: Not rated
PRKCM 2024-HOME1: S&P Assigns Prelim B (sf) Rating on B-2 Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to PRKCM
2024-HOME1 Trust's mortgage-backed notes.
First-lien, fixed- and adjustable-rate, fully amortizing
residential mortgage loans (some with interest-only periods) to
both prime and nonprime borrowers. The loans are secured by
single-family residential properties, planned unit developments,
condominiums, townhomes, and two- to four-family residential
properties. The pool consists of 757 loans, which are qualified
mortgage (QM) safe harbor (average prime offer rate [APOR]), QM
rebuttable presumption (APOR), ability-to-repay (ATR)-exempt loans
and non-QM/ATR-compliant loans.
The preliminary ratings are based on information as of May 16,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, representation and warranty framework, and geographic
concentration;
-- The mortgage originator, AmWest Funding Corp.; and
-- The potential impact current and near-term macroeconomic
conditions may have on the performance of the mortgage borrowers in
the pool. S&P said, "Per our latest macroeconomic update, the U.S.
economy appears on track for 2.5% average growth in 2024 (up from
1.5% in our November 2023 forecast), spurred by a sturdy labor
market--repeating last year's outperformance versus peers. We
continue to expect the economy to transition to below-potential
growth as the year progresses. We apply our current market outlook
as it relates to the 'B' projected archetypal foreclosure frequency
(which we updated to 2.50% from 3.25% in October 2023), reflecting
our benign view of the mortgage and housing market as demonstrated
through general national-level home price behavior, unemployment
rates, mortgage performance, and underwriting."
Preliminary Ratings(i) Assigned
PRKCM 2024-HOME1 Trust
Class A-1, $231,038,000: AAA (sf)
Class A-2, $23,878,000: AA (sf)
Class A-3, $31,300,000: A (sf)
Class M-1, $13,875,000: BBB (sf)
Class B-1, $9,519,000: BB (sf)
Class B-2, $7,745,000: B (sf)
Class B-3, $5,324,430: Not rated
Class A-IO-S, notional(ii): Not rated
Class XS, notional(ii): Not rated
Class R, not applicable: Not rated
(i)The preliminary ratings address the ultimate payment of interest
and principal.
(ii)The notional amount will equal the aggregate stated principal
balance of the mortgage loans as of the first day of the related
due period and is initially $322,679,430.
RCKT MORTGAGE 2024-CES4: Fitch Gives 'B(EXP)sf' Rating on B-2 Notes
-------------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed notes
issued by RCKT Mortgage Trust 2024-CES4 (RCKT 2024-CES4).
Entity/Debt Rating
----------- ------
RCKT 2024-CES4
A-1 LT AAA(EXP)sf Expected Rating
A-1A LT AAA(EXP)sf Expected Rating
A-1B LT AAA(EXP)sf Expected Rating
A-1L LT AAA(EXP)sf Expected Rating
A-2 LT AA(EXP)sf Expected Rating
A-3 LT A(EXP)sf Expected Rating
A-4 LT A(EXP)sf Expected Rating
A-5 LT BBB(EXP)sf Expected Rating
B-1 LT BB(EXP)sf Expected Rating
B-1A LT BB(EXP)sf Expected Rating
B-1B LT BB(EXP)sf Expected Rating
B-2 LT B(EXP)sf Expected Rating
B-3 LT NR(EXP)sf Expected Rating
B-X-1A LT BB(EXP)sf Expected Rating
B-X-1B LT BB(EXP)sf Expected Rating
LTR LT NR(EXP)sf Expected Rating
M-1 LT BBB(EXP)sf Expected Rating
R LT NR(EXP)sf Expected Rating
XS LT NR(EXP)sf Expected Rating
TRANSACTION SUMMARY
The notes are supported by 5,455 closed-end second lien loans with
a total balance of approximately $445 million as of the cutoff
date. The pool consists of closed-end second-lien mortgages
acquired by Woodward Capital Management LLC from Rocket Mortgage,
LLC. Distributions of P&I and loss allocations are based on a
traditional senior-subordinate, sequential structure in which
excess cash flow can be used to repay losses or 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 11.7% above a long-term sustainable level (versus
11.1% on a national level as of 3Q23, up 1.68% qoq). Housing
affordability is at its worst levels in decades, driven by both
high interest rates and elevated home prices. Home prices have
increased 5.5% yoy nationally as of December 2023, notwithstanding
modest regional declines, but are still being supported by limited
inventory.
Prime Credit Quality (Positive): The collateral consists of 5,455
loans totaling $445 million and seasoned at approximately zero
months in aggregate as calculated by Fitch (zero months per the
transaction documents) — taken as the difference between the
origination date and the cutoff date. The borrowers have a strong
credit profile consisting of a weighted average (WA) Fitch model
FICO score of 738; a 38.7% debt-to-income ratio (DTI); and moderate
leverage, with a sustainable loan-to-value ratio (sLTV) of 77.4%.
Of the pool, 99.2% consists of loans where the borrower maintains a
primary residence and 0.8% represents second homes, while 93.6% of
loans were originated through a retail channel. Additionally, 60.1%
of loans are designated as safe harbor qualified mortgages (SHQM),
18.3% are higher-priced qualified mortgages (HPQM) and 21.6% are
nonqualified mortgages (non-QM, or NQM). Given the 100% loss
severity (LS) assumption, no additional penalties were applied for
the HPQM and non-QM loan status.
Second-Lien Collateral (Negative): The entirety of the collateral
pool comprises closed-end second-lien loans originated by Rocket
Mortgage. Fitch assumed no recovery and a 100% LS based on the
historical behavior of second-lien loans in economic stress
scenarios. Fitch assumes second-lien loans default at a rate
comparable to first-lien loans; after controlling for credit
attributes, no additional penalty was applied to Fitch's
probability of default (PD) assumption.
Sequential Structure (Positive): The transaction features a typical
sequential payment structure. Principal is used to pay down the
bonds sequentially and losses are allocated reverse sequentially.
Monthly excess cash flow is derived from remaining amounts after
allocation of the interest and principal priority of payments.
These amounts will be applied as principal, first to repay any
current and previously allocated cumulative applied realized loss
amounts and then to repay any potential net WAC shortfalls. A
change from prior RCKT CES transactions is that excess interest is
no longer used to turbo down the bonds and the senior classes now
incorporate a step-up coupon of 1.00% (to the extent still
outstanding) after the 48th payment date.
While Fitch has previously analyzed CES transactions using an
interest rate cut, this stress is not being applied for this
transaction. Given the lack of evidence of interest rate
modifications being used as a loss mitigation tactic, the
application of the stress was overly punitive. If this re-emerges
as a common form of loss mitigation or if certain structures are
overly dependent on excess interest, Fitch may apply additional
sensitivities to test the structure.
180-Day Chargeoff Feature (Positive): The Asset Manager has the
ability, but not the obligation, to instruct the servicer to write
off the balance of a loan at 180 days delinquent (DQ) based on the
Mortgage Bankers Association (MBA) delinquency method. To the
extent the servicer expects a meaningful recovery in any
liquidation scenario, the Asset Manager noteholder may direct the
servicer to continue to monitor the loan and not charge it off. The
180-day chargeoff feature will result in losses incurred sooner
while there is a larger amount of excess interest to protect
against losses. This compares favorably with a delayed liquidation
scenario, where the loss occurs later in the life of the
transaction and less excess is available. If the loan is not
charged off due to a presumed recovery, this will provide added
benefit to the transaction, above Fitch's expectations.
Additionally, subsequent recoveries realized after the writedown at
180 days DQ (excluding forbearance mortgage or loss mitigation
loans) will be passed on to bondholders as principal.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch's incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the metropolitan statistical area level. Sensitivity
analysis was conducted at the state and national level to assess
the effect of higher MVDs for the subject pool as well as lower
MVDs, illustrated by a gain in home prices.
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model projected 42.6% 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
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.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC Diligence, LLC. The third-party due diligence
described in Form 15E focused on credit, regulatory compliance, and
property valuation. Fitch considered this information in its
analysis and, as a result, Fitch made the following adjustment to
its analysis: a 5% PD credit to the 24.9% of the pool by loan count
in which diligence was conducted. This adjustment resulted in a
20bps reduction to the 'AAAsf' expected loss.
ESG CONSIDERATIONS
RCKT 2024-CES3 has an ESG Relevance Score of '4 [+]' for
Transaction Parties & Operational Risk due to lower operational
risk considering R&W, transaction due diligence and originator and
servicer results in a decrease in expected losses, which has a
positive impact on the credit profile, and is relevant to the
ratings in conjunction with other factors.
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' 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's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
RR 5 LTD: S&P Assigns BB- (sf) Rating on $14.90MM Class D-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-1-R, A-1L, A-2-R, B-R, C-R, and D-R notes and class A-1L loans
from RR 5 Ltd./RR 5 LLC, a CLO originally issued in October 2018
that is managed by Redding Ridge Asset Management LLC. At the same
time, S&P withdrew its ratings on the original class A-1, A-2, B,
C, and D debt following payment in full on the May 16, 2024,
refinancing date.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
proposed supplemental indenture:
-- The replacement class A-1-R, A-1L, A-2-R, C-R, and D-R notes
and class A-1L loans were issued at a higher spread over
three-month SOFR than the original notes, while the class B-R notes
were issued at a lower spread over three-month SOFR than the
original notes.
-- The replacement class A-1-R, A-1L, A-2-R, B-R, C-R, and D-R
notes and class A-1L loans were issued at a floating spread,
replacing the current floating spread.
-- The stated maturity was extended by 7.75 years.
-- The reinvestment period was extended by 5.75 years, and the
non-call period was extended by 5.59 years.
-- The transaction includes class A-1L loans, all or a portion of
which can be converted to class A-1L notes. Class A-1L notes cannot
be converted to class A-1L loans.
-- The class A-1-R, A-1L, A-2-R, B-R, C-R, and D-R notes and class
A-1L loans were issued in connection with this refinancing with the
proceeds used to redeem the original notes.
Replacement And Original Debt Issuances
Replacement debt
-- Class A-1-R, $205.00 million: Three-month CME term SOFR +
1.50%
-- Class A-1L loans, $58.50 million: Three-month CME term SOFR +
1.50%
-- Class A-1L, $0.00 million: Three-month CME term SOFR + 1.50%
-- Class A-2-R, $55.25 million: Three-month CME term SOFR + 1.95%
-- Class B-R (deferrable), $29.75 million: Three-month CME term
SOFR + 2.50%
-- Class C-R (deferrable), $25.50 million: Three-month CME term
SOFR + 3.60%
-- Class D-R (deferrable), $14.90 million: Three-month CME term
SOFR + 6.60%
Original debt
-- Class A-1, $289.51 million: Three-month CME term SOFR + 1.38%
-- Class A-2, $52.50 million: Three-month CME term SOFR + 1.91%
-- Class B, $54.50 million: Three-month CME term SOFR + 2.51%
-- Class C, $32.00 million: Three-month CME term SOFR + 3.36%
-- Class D, $18.50 million: Three-month CME term SOFR + 6.01%
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 debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
RR 5 Ltd./RR 5 LLC
Class A-1-R, $205.00 million: AAA (sf)
Class A-1L loans, $58.50 million: AAA (sf)
Class A-1L(i), $0.00 million: AAA (sf)
Class A-2-R, $55.25 million: AA (sf)
Class B-R (deferrable), $29.75 million: A (sf)
Class C-R (deferrable), $25.50 million: BBB- (sf)
Class D-R (deferrable), $14.90 million: BB- (sf)
Ratings Withdrawn
RR 5 Ltd./RR 5 LLC
Class A-1 to NR from 'AAA (sf)'
Class A-2 to NR from 'AA (sf)'
Class B to NR from 'A (sf)'
Class C to NR from 'BBB- (sf)'
Class D to NR from 'BB- (sf)'
Other Outstanding Debt
RR 5 Ltd./RR 5 LLC
Subordinated notes(ii), $43.00 million: NR
(i)All or a portion of the class A-1L loans can be converted into
class A-1L notes. Upon such conversion, the class A-1L loans will
be decreased by the converted amount, with a corresponding increase
in class A-1L notes. The class A-1L notes cannot be converted to
class A-1L loans.
(ii)The subordinated notes were increased to $76.62 million upon
the refinancing.
NR--Not rated.
STEELE CREEK 2014-1R: Moody's Cuts Rating on $18.9MM E Notes to B1
------------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by Steele Creek CLO 2014-1R, Ltd.:
US$50,400,000 Class B Senior Secured Floating Rate Notes due 2031,
Upgraded to Aaa (sf); previously on April 12, 2022 Upgraded to Aa1
(sf)
US$24,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2031, Upgraded to Aa1 (sf); previously on April 12, 2022
Upgraded to A1 (sf)
Moody's has also downgraded the rating on the following notes:
US$18,900,000 Class E Mezzanine Secured Deferrable Floating Rate
Notes due 2031, Downgraded to B1 (sf); previously on August 25,
2020 Confirmed at Ba3 (sf)
Steele Creek CLO 2014-1R, Ltd., issued in March 2018, is a managed
cashflow CLO. The notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in April 2022.
A comprehensive review of all credit ratings for the respective
transactions have been conducted during a rating committee.
RATINGS RATIONALE
The upgrade rating actions are primarily a result of deleveraging
of the senior notes since April 2023. The Class A notes have been
paid down by approximately 39.3% or $81.5 million since that time.
Based on Moody's calculations, the OC ratios for the Class A/B and
Class C notes after giving effect to the April 2024 payment
distribution, when approximately $43.0 million of principal
proceeds were used to pay down the Class A notes, are 143.78% and
126.56%, respectively, versus the trustee reported April 2023
levels of 132.54% and 121.25%[1], respectively.
The downgrade rating action on the Class E notes reflects the
specific risks to the junior notes posed by par loss and credit
deterioration observed in the underlying CLO portfolio. Based on
Moody's calculation, the OC ratio for the Class E notes is
calculated at 103.24% versus the trustee reported April 2023 level
of 104.47%[2].
Furthermore, the trustee-reported weighted average rating factor
(WARF) has been deteriorating and the current level is 3054[3],
compared to 2795[4], in April 2023.
No actions were taken on the Class A and Class D notes because
their expected losses remain commensurate with their current
ratings, after taking into account the CLO's latest portfolio
information, its relevant structural features and its actual
over-collateralization and interest coverage levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on its
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:
Performing par and principal proceeds balance: $250,315,709
Defaulted par: $9,222,814
Diversity Score: 58
Weighted Average Rating Factor (WARF): 2767
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.17%
Weighted Average Coupon (WAC): 8.00%
Weighted Average Recovery Rate (WARR): 46.8%
Weighted Average Life (WAL): 2.97 years
Par haircut in OC tests: 0.16%
In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio, lower recoveries on defaulted assets.
Methodology Used for the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2024.
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.
SYMPHONY CLO XVI: Moody's Lowers Rating on $8MM F-R Notes to Caa3
-----------------------------------------------------------------
Moody's Ratings has assigned ratings to three classes of CLO
refinancing notes (the "Refinancing Notes") issued by Symphony CLO
XVI, Ltd. (the "Issuer").
Moody's rating action is as follows:
US$238,700,115 Class A-RR Senior Floating Rate Notes due 2031,
Assigned Aaa (sf)
US$33,000,000 Class B-1RR Senior Floating Rate Notes due 2031,
Assigned Aa1 (sf)
US$15,000,000 Class C-1RR Deferrable Mezzanine Floating Rate Notes
due 2031, Assigned A1 (sf)
Moody's has also taken rating actions on the following outstanding
notes:
US$11,400,000 Class B-3RR Senior Fixed Rate Notes due 2031 (the
"Class B-3RR Notes"), Upgraded to Aa1 (sf); previously on November
6, 2020 Assigned Aa2 (sf)
US$5,000,000 Class C-2R Deferrable Mezzanine Fixed Rate Notes due
2031 (the "Class C-2R Notes"), Upgraded to A1 (sf); previously on
September 10, 2018 Assigned A2 (sf)
US$8,000,000 Class F-R Deferrable Junior Floating Rate Notes due
2031 (the "Class F-R Notes"), Downgraded to Caa3 (sf); previously
on September 24, 2020 Downgraded to Caa2 (sf)
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
RATINGS RATIONALE
The rationale for the newly-assigned ratings is based on Moody's
methodology and considers all relevant risks particularly those
associated with the CLO's portfolio and structure.
The upgrade rating actions on the Class B-3RR and Class C-2R Notes
are primarily a result of the expected benefits of the refinancing,
which increases excess spread available as credit enhancement to
the rated notes. Additionally, the notes have benefited from
deleveraging since the end of reinvestment period in October 2023,
with the previously-issued Class A-R notes having been paid down by
approximately 6.8% or $17.3 million since then.
The downgrade rating action on the Class F-R notes reflects the
specific risks to the junior notes posed by par loss and credit
deterioration observed in the underlying CLO portfolio. Based on
Moody's calculation, the OC ratio for the Class F-R notes is
103.21%. In addition, the weighted average rating factor (WARF) has
been deteriorating since April 2023, and the current
trustee-reported [1] level is 3513, compared to 3257 in April 2023
[2], and failing the trigger of 3300.
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.
Nuveen Asset Management, LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer.
The Issuer previously issued five other classes of secured notes
and one class of subordinated notes, which will remain
outstanding.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing, including extension of the Refinancing Notes'
non-call period.
No actions were taken on the Class D-R and Class E-R notes because
their expected losses remain commensurate with their current
ratings, after taking into account the CLO's latest portfolio
information, its relevant structural features and its actual
over-collateralization and interest coverage levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on its
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:
Performing par and principal proceeds balance: $369,861,155
Defaulted par: $3,004,355
Diversity Score: 74
Weighted Average Rating Factor (WARF): 3233
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.87%
Weighted Average Recovery Rate (WARR): 47.4%
Weighted Average Life (WAL): 3.91 years
In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio, decrease in overall WAS or net interest
income, lower recoveries on defaulted assets.
Methodology Underlying the Rating Action
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2024.
Factors That Would Lead to an Upgrade or a 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.
TRINITAS CLO XXVIII: S&P Assigns Prelim BB- (sf) Rating on E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Trinitas CLO
XXVIII Ltd./Trinitas CLO XXVIII LLC's fixed- and floating-rate
debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Trinitas Capital Management LLC.
The preliminary ratings are based on information as of May 14,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Trinitas CLO XXVIII Ltd./Trinitas CLO XXVIII LLC
Class A-1(i), $119.50 million: AAA (sf)
Class A-1L loans(i), $128.50 million: AAA (sf)
Class A-1N(i), $0.00 million: AAA (sf)
Class A-2, $12.00 million: AAA (sf)
Class B, $44.00 million: AA (sf)
Class C-1 (deferrable), $9.00 million: A (sf)
Class C-2 (deferrable), $15.00 million: A (sf)
Class D (deferrable), $24.00 million: BBB- (sf)
Class E (deferrable), $14.00 million: BB- (sf)
Subordinated notes, $41.80 million: Not rated
(i)The class A-1N notes will be issued pari passu to the class A-1
notes and class A-1L loans with a zero balance as of the closing
date. Any class A-1L loans converted into note form will be
converted into class A-1N notes, with corresponding converted
balance subtracted from the balance of the class A-1L loans. The
class A-1N notes are not convertible into loan form.
WELLS FARGO 2020-2: Moody's Hikes Rating on Cl. B-5 Certs From Ba3
------------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 10 bonds from four US
residential mortgage-backed transactions (RMBS), backed by prime or
prime jumbo residential mortgage loans originated and serviced by
Wells Fargo Bank, N.A.
The complete rating actions are as follows:
Issuer: Wells Fargo Mortgage Backed Securities 2020-2 Trust
Cl. B-2, Upgraded to Aaa (sf); previously on Jul 17, 2023 Upgraded
to Aa1 (sf)
Cl. B-4, Upgraded to A3 (sf); previously on Dec 21, 2021 Upgraded
to Ba1 (sf)
Cl. B-5, Upgraded to A3 (sf); previously on Dec 21, 2021 Upgraded
to Ba3 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2020-3 Trust
Cl. B-2, Upgraded to Aa1 (sf); previously on Sep 21, 2022 Upgraded
to Aa3 (sf)
Cl. B-3, Upgraded to Aa3 (sf); previously on Jul 17, 2023 Upgraded
to A3 (sf)
Cl. B-4, Upgraded to A3 (sf); previously on Jul 29, 2020 Definitive
Rating Assigned Ba1 (sf)
Cl. B-5, Upgraded to Baa1 (sf); previously on Jul 29, 2020
Definitive Rating Assigned Ba3 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2020-4 Trust
Cl. B-4, Upgraded to A3 (sf); previously on Jun 30, 2021 Upgraded
to Baa3 (sf)
Cl. B-5, Upgraded to Baa1 (sf); previously on Jun 30, 2021 Upgraded
to Ba1 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2022-2 Trust
Cl. B-2, Upgraded to A2 (sf); previously on Apr 26, 2022 Definitive
Rating Assigned A3 (sf)
RATINGS RATIONALE
The rating actions reflect the recent performance as well as
Moody's updated loss expectations on the underlying pool.
Each of the transactions Moody's reviewed continue to display
strong collateral performance, with cumulative losses for each
transaction under .05% and only one loan in 60 day plus delinquency
as of the April distribution date. In addition, enhancement levels
for most tranches have grown significantly, as the pools amortize
relatively quickly. The credit enhancement since last review has
grown, on average, 5% for the tranches upgraded.
In addition, while Moody's analysis applied a greater probability
of default stress on loans that have experienced modifications,
Moody's decreased that stress to the extent the modifications were
in the form of temporary payment relief. Further, Moody's analysis
on certain bonds included an assessment of the existing credit
enhancement floor, in place to mitigate the potential default of a
small number of loans at the tail end of a transaction.
The rating actions also reflect the further seasoning of the
collateral and increased clarity regarding the impact of borrower
relief programs on collateral performance. Over the past few years,
Moody's have worked closely with loan servicers to understand and
analyze their strategies regarding borrower relief programs and the
impact those programs may have on collateral performance and
transaction liquidity, through servicer advancing. Moody's recent
analysis has found that many of these borrower relief programs, in
addition to robust home price appreciation, have contributed to
collateral performance being stronger than Moody's past
expectations, thus supporting the upgrades.
No actions were taken on nine rated classes in these deals because
their expected losses remain commensurate with their current
ratings, after taking into account the updated performance
information, structural features, credit enhancement and other
qualitative considerations. No actions were taken on the remaining
rated classes in these deals as those classes are already at the
highest achievable levels within Moody's rating scale.
Principal Methodologies
The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework" published in
August 2023.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
[*] Moody's Upgrades Rating on $278MM of US RMBS Issued 2002-2007
-----------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 21 bonds from 13 US
residential mortgage-backed transactions (RMBS), backed by Alt-A
and subprime mortgages issued by multiple issuers.
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE10
Cl. I-A-3, Upgraded to Aaa (sf); previously on Jul 6, 2023 Upgraded
to Aa1 (sf)
Issuer: CIT Home Equity Loan Trust 2002-1
Cl. AF-5, Upgraded to Aa1 (sf); previously on Jul 10, 2023 Upgraded
to Baa2 (sf)
Cl. AF-6, Upgraded to Aa1 (sf); previously on Jul 10, 2023 Upgraded
to Baa1 (sf)
Cl. AF-7, Upgraded to Aa1 (sf); previously on Jul 10, 2023 Upgraded
to Baa2 (sf)
Cl. MV-1, Upgraded to Baa3 (sf); previously on Jun 9, 2020
Downgraded to B1 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2007-13
Cl. 1-A, Upgraded to A3 (sf); previously on Jul 10, 2023 Upgraded
to Ba3 (sf)
Issuer: GSAMP Trust 2006-HE3
Cl. A-1, Upgraded to Aaa (sf); previously on Jul 10, 2023 Upgraded
to A1 (sf)
Cl. A-2D, Upgraded to Aaa (sf); previously on Jul 10, 2023 Upgraded
to A2 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust 2005-A6
Cl. M-1, Upgraded to Baa1 (sf); previously on Jul 10, 2023 Upgraded
to B2 (sf)
Issuer: RAMP Series 2006-EFC2 Trust
Cl. A-4, Upgraded to Aaa (sf); previously on Jul 6, 2023 Upgraded
to Aa3 (sf)
Cl. M-1S, Upgraded to Baa2 (sf); previously on Apr 12, 2017
Upgraded to Caa1 (sf)
Issuer: RAMP Series 2006-NC3 Trust
Cl. M-1, Upgraded to A1 (sf); previously on Jul 6, 2023 Upgraded to
Baa3 (sf)
Issuer: RAMP Series 2006-RS2 Trust
Cl. A-3A, Upgraded to Aaa (sf); previously on Jul 6, 2023 Upgraded
to Baa2 (sf)
Cl. A-3B, Upgraded to Aaa (sf); previously on Jul 6, 2023 Upgraded
to Ba2 (sf)
Issuer: RAMP Series 2006-RS4 Trust
Cl. A-4, Upgraded to Aaa (sf); previously on Jul 6, 2023 Upgraded
to Aa1 (sf)
Cl. M-1, Upgraded to Baa1 (sf); previously on Jul 6, 2023 Upgraded
to B1 (sf)
Issuer: RAMP Series 2006-RZ2 Trust
Cl. M-1, Upgraded to A1 (sf); previously on Jul 6, 2023 Upgraded to
Ba2 (sf)
Issuer: RAMP Series 2006-RZ3 Trust
Cl. M-1, Upgraded to A1 (sf); previously on Jul 6, 2023 Upgraded to
Ba2 (sf)
Issuer: RAMP Series 2006-RZ4 Trust
Cl. M-1, Upgraded to A3 (sf); previously on Jul 6, 2023 Upgraded to
B2 (sf)
Issuer: Structured Asset Securities Corp Trust 2006-AM1
Cl. A1, Upgraded to Aaa (sf); previously on Jul 3, 2023 Upgraded to
Aa2 (sf)
Cl. A5, Upgraded to Aaa (sf); previously on Jul 3, 2023 Upgraded to
A1 (sf)
RATINGS RATIONALE
The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the improved performance for
most deals as indicated by the key metrics observed, and Moody's
updated loss expectations on the underlying pools.
Moody's analysis also considered the existence of historical
interest shortfalls for some of the bonds. While all shortfalls
have since been recouped, the size and length of the past
shortfalls, as well as the potential for recurrence, were analyzed
as part of the upgrades. In the case of class MV-1 from CIT Home
Equity Loan Trust 2002-1, Moody's analysis considered the weak
recoupment mechanism for the bond, as per the transaction
waterfall.
The rating actions also reflect the further seasoning of the
collateral and increased clarity regarding the impact of borrower
relief programs on collateral performance. Over the past few years,
Moody's have worked closely with loan servicers to understand and
analyze their strategies regarding borrower relief programs and the
impact those programs may have on collateral performance and
transaction liquidity, through servicer advancing. Moody's recent
analysis has found that many of these borrower relief programs, in
addition to robust home price appreciation, have contributed to
collateral performance being stronger than Moody's past
expectations, thus supporting the upgrades.
No actions were taken on the other rated classes in these deals
because their expected losses on the bonds remain commensurate with
their current ratings, after taking into account the updated
performance information, structural features, credit enhancement
and other qualitative considerations. These include interest risk
from current or potential missed interest that remain unreimbursed,
and potential impact of collateral performance volatility on
ratings.
Principal Methodology
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in July 2022.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
[*] Moody's Ups Ratings on $105.7MM of US RMBS Issued 2003-2007
---------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 13 bonds from seven US
residential mortgage-backed transactions (RMBS), backed by subprime
and Alt-A mortgages issued by multiple issuers.
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: Aegis Asset Backed Securities Trust 2004-4
Cl. B1, Upgraded to Ba3 (sf); previously on Jul 3, 2023 Upgraded to
B2 (sf)
Cl. M2, Upgraded to Aa2 (sf); previously on Jul 3, 2023 Upgraded to
A3 (sf)
Cl. M3, Upgraded to Baa2 (sf); previously on Jul 3, 2023 Upgraded
to Ba3 (sf)
Issuer: Nomura Home Equity Loan Trust 2006-WF1
Cl. M-3, Upgraded to Aa2 (sf); previously on Jun 29, 2023 Upgraded
to A3 (sf)
Issuer: PHH Alternative Mortgage Trust, Series 2007-3
Cl. A-4, Upgraded to Baa2 (sf); previously on Jun 29, 2023 Upgraded
to Ba3 (sf)
Issuer: Structured Asset Securities Corp Trust 2006-NC1
Cl. A1, Upgraded to A1 (sf); previously on Jul 3, 2023 Upgraded to
Baa2 (sf)
Cl. A5, Upgraded to Caa1 (sf); previously on May 9, 2018 Upgraded
to Ca (sf)
Cl. A7, Upgraded to A1 (sf); previously on Jul 3, 2023 Upgraded to
Baa2 (sf)
Issuer: Structured Asset Securities Corp., Mortgage Pass-Through
Certificates, Series 2007-WF2
Cl. A-3, Upgraded to Aaa (sf); previously on Jul 3, 2023 Upgraded
to Aa1 (sf)
Cl. A-4, Upgraded to Aaa (sf); previously on Jul 3, 2023 Upgraded
to A1 (sf)
Issuer: Structured Asset Securities Corporation Trust 2006-BC5
Cl. A4, Upgraded to Aaa (sf); previously on Jul 3, 2023 Upgraded to
Aa3 (sf)
Cl. A5, Upgraded to Caa1 (sf); previously on May 9, 2018 Upgraded
to Caa2 (sf)
Issuer: Thornburg Mortgage Securities Trust 2003-4
Cl. A-2, Upgraded to A1 (sf); previously on Jul 3, 2023 Upgraded to
Baa1 (sf)
RATINGS RATIONALE
The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying pools.
The rating actions also reflect the further seasoning of the
collateral and increased clarity regarding the impact of borrower
relief programs on collateral performance. Over the past few years,
Moody's have worked closely with loan servicers to understand and
analyze their strategies regarding borrower relief programs and the
impact those programs may have on collateral performance and
transaction liquidity, through servicer advancing. Moody's recent
analysis has found that many of these borrower relief programs, in
addition to robust home price appreciation, have contributed to
collateral performance being stronger than Moody's past
expectations, thus supporting the upgrades.
Moody's analysis also considered the existence of historical
interest shortfalls for some of the bonds. While all shortfalls
have since been recouped, the size and length of the past
shortfalls, as well as the potential for recurrence, were analyzed
as part of the upgrades.
Certain bonds in this review are currently impaired or expected to
become impaired. Moody's ratings on those bonds reflect any losses
to date as well as Moody's expected future loss. Moody's analysis
also reflects the potential for collateral volatility given the
number of deal-level and macro factors that can impact collateral
performance, the potential impact of any collateral volatility on
the model output, and the ultimate size or any incurred and
projected loss in relation to other impaired or potentially
impaired bonds.
No actions were taken on the other rated classes in these deals
because their expected losses remain commensurate with their
current ratings, after taking into account the updated performance
information, structural features, credit enhancement and other
qualitative considerations. These include interest risk from
current or potential missed interest that remain unreimbursed. No
actions were taken on the remaining rated classes in these deals as
those classes are already at the highest achievable levels within
Moody's rating scale.
Principal Methodology
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in July 2022.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
[*] S&P Takes Various Actions on 64 Classes from 19 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 64 ratings from 19 U.S.
RMBS transactions issued between 2003 and 2007. The review yielded
16 upgrades, three downgrades, 41 affirmations, and four
discontinuances.
A list of Affected Ratings can be viewed at:
https://rb.gy/59uw0t
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 and/or structural
characteristics and their potential effects on certain classes.
Some of these considerations may include:
-- Collateral performance or delinquency trends;
-- An increase or decrease in available credit support;
-- Historical and/or outstanding missed interest payments, or
interest shortfalls;
-- Available subordination and/or overcollateralization; and
- Reduced interest payments due to loan modifications.
Rating Actions
S&P said, "The rating changes reflect our view regarding the
associated transaction-specific collateral performance, structural
characteristics, and/or the application of specific criteria
applicable to these classes.
"The upgrades primarily reflect the classes' increased credit
support. As a result, the upgrades reflect the classes' ability to
withstand a higher level of projected losses than we had previously
anticipated.
"The affirmations reflect our view that our projected credit
support, collateral performance, and credit-related reductions in
interest on these classes have remained relatively consistent with
our prior projections."
The downgrades reflect the erosion of credit support resulting from
the payment allocation trigger passing, which allows principal
payments to be made to more subordinate classes, thus eroding the
projected credit support for the downgraded classes.
S&P said, "In accordance with our surveillance and withdrawal
policies, we discontinued three ratings from Citigroup Mortgage
Loan Trust 2006-HE3 with missed interest payments during recent
remittance periods. We previously lowered our ratings on these
classes to 'D (sf)' because of missed interest payments. We view a
subsequent upgrade to a rating higher than 'D (sf)' to be unlikely
under the relevant criteria for the classes within this review.
Additionally, we also discontinued class M-4 from Centex Home
Equity Loan Trust 2005-D due to the class being paid down in
full."
*********
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