Donna M. Mitchell

Expectations are for the notes to price at 18 basis points over the three-month interpolated yield curve on the A1 notes, which get 'A1+' and 'F1+' from S&P and Fitch.

CyrusOne Data Centers Issuer 2023-2 adds a property in Virginia, a state that accounts for a large portion of data center locations.

The collateral pool had an average account balance of $1,620, lower than that of credit card securitization trusts that the Big Six banks sponsor, and the ABS notes benefit a 26% subordination level.

Ratings analysts say the A1 through A3 tranches benefit from total hard credit enhancement of 43.00% of the deal's initial principal balance, which includes subordination and a non-declining reserve account of 1.00%.

Just two of the loans have existing additional debt, representing 11% of the pool. The pool has an in-trust appraisal loan-to-value ratio of 54.5%. On a pooled trust basis, the deal has an LTV ratio of 81.5%.

The company is coming off of a recent period of performance improvements, with gains in net income, cash and cash equivalents.

DEXT is very diversified by equipment type. Enterprise technology, medical technology and surgical equipment account for the top three concentrations, representing 22%, 16% and 10% of the portfolio.

Slightly more than half of the borrowers in the collateral pool, 54.74%, have a FICO score that is higher than 740, and just 3.06% of the borrowers have a score below 661.

Series 2023-2 shares collateral with Aligned Data series 2021-1, 2022-1, and the 2023-1 notes, and they are pari-passu with the class A notes in those series.

BAAT's four class A tranches have initial hard credit enhancement representing 3.75% of the pool balance, made up of subordination, 2.50%; a reserve account, 0.25%, and 1.00% in initial (and target) overcollateralization.

The class A1A notes have credit enhancement levels of 30.00% on the A1A notes; 26.40% on the A1B and A1 notes; 18.65% and 12.75% on the A2 and A3 notes, which accounts for the credit enhancements on the senior notes.

The potentially upsized deal could see a cumulative net loss (CNL) proxy of 1.20%, and all of the notes have the same initial hard credit enhancement level of 3.25%.

The pool is diversified by brand, but faces staffing and operational pressures prevalent in the restaurant sector. Also, malls comprise 60% of systemwide sales (SWS) for Auntie Anne's and Cinnabon combined.

The deal also includes exchangeable notes, initial over-collateralization of 1.00%—that can build to a target of 100%, and a reserve account funded at about 1.50% of the pre-funded pool balance.

Total initial hard credit enhancements to vary, however, with levels of 8.85% and 6.85% on the class A and B notes, respectively.

On average, the borrowers have a non-zero FICO score of 723, the same as VZMT 2023-6, Fitch said. Accounts with upgrade eligibility account for 56.12% of the pool, slightly lower than the previous deal.

The transaction structure benefits from several forms of credit enhancement to the deal, including advance rates of 55.0%, 66.5% and 76.5% on the classes A, B and C notes, and a rapid amortization trigger event.

Full-term, interest-only loans account for 98.4% of the pool, while just two loans, or 1.6% are financed with an amortizing balloon. Analysts expect a cap rate of 9.19% capitalization rate to the underlying properties.

In one of the deal's positive credit attributes, none of the underlying loans in the collateral have terms longer than 72 months. Such longer-term loans have historically performed worse than shorter-term loans.

The A1 and A2 notes, the two senior notes in the payment priority, have the same level of total hard credit enhancement, 17.6%.