KBRA Affirms All Ratings for RCMF 2022-FL10
23 Oct 2024 | New York
KBRA affirms all of its outstanding ratings for RCMF 2022-FL10, a CRE CLO securitization with limited post-closing acquisition ability. The affirmations follow a surveillance review of the transaction, which has exhibited a worsening in pool performance since securitization, due mainly to the addition of specially serviced loans and K-LOCs. However, the magnitude of the changes does not warrant ratings adjustments at this time.
At the time of this review, the total collateral balance is $777.5 million, which is comprised of 44 first mortgage loans secured by 72 properties. During the reinvestment period, which was expected to end in October 2024, certain principal proceeds could be used to acquire future funded, non-trust pari-passu companion participations related to the closing date assets provided the acquisition criteria were satisfied.
As of the September 2024 remittance period, there are seven specially serviced assets (15.9%), including two loans (3.7%) that are 60+ days delinquent, one loan (1.3%) that is 90+ days delinquent, two loans (4.0%) are matured performing, and one loan (1.2%) is matured non-performing. KBRA identified 11 loans (35.2%) as K-LOCs.
These include five top 10 loans (24.5%):
- Flats at Arrowood and Ivy Hollow (largest, 6.2% of the pool balance, 23.2% estimated loss severity)
- Hite and Notch (2nd largest, 6.1%)
- Mission Matthews Place and Waterford Hills (3rd largest, 5.5%, 35.2%)
- The Vicinity (5th largest, 3.7%)
- Park West Apartments (7th largest, 3.1%)
Three other K-LOCs (4.2%) have estimated losses:
- Nevsco Cove (1.7%, 2.0%)
- Avery Park and Avery Square (1.3%, 1.2%)
- Midwood Forest Park Portfolio (1.2%, 0.4%)
The three remaining K-LOCs represent 6.5 % of the pool and do not have estimated losses. The transaction’s WA KLTV is 134.0%, compared to 135.9% at securitization. The KDSC at Index Cap is 0.81x, compared to 0.78x at last review and 0.80x at securitization. The OC test has been satisfied during each remittance date since closing; however, the securitization has intermittently failed the interest coverage test since December 2022.
At securitization, 48 loans (88.4% of the issuance loan pool) had related companion participations representing unfunded future advance obligations, with an aggregate unfunded amount of $120.8 million. In total, there are currently 37 loans (90.1% of the current pool), with unfunded future advance obligations with an aggregate balance of $32.3 million unfunded as of September 2024.
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