/raid1/www/Hosts/bankrupt/TCR_Public/250126.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, January 26, 2025, Vol. 29, No. 25
Headlines
A10 PERMANENT 2015-I: DBRS Cuts Class C Notes Rating to B
AMERICAN CREDIT 2025-1: S&P Assigns BB- (sf) Rating on Cl. E Notes
AMMC CLO 31: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
AREIT 2025-CRE10: Fitch Assigns 'B-(EXP)sf' Rating on Class G Notes
ARES LXXV: Fitch Assigns 'BB-sf' Rating on Class E Notes
BARINGS CLO 2020-I: Fitch Assigns 'BB-sf' Rating on Cl. E-R2 Notes
BAYVIEW OPPORTUNITY 2024-SN1: Fitch Affirms B Rating on Cl. F Debt
BBCMS 2016-ETC: S&P Affirms BB- (sf) Rating on Class E Certs
BBCMS 2025-C32: S&P Assigns Prelim 'B+(sf)' Rating on J-RR Certs
BENEFIT STREET XXXIX: S&P Assigns Prelim BB-(sf) Rating on E Notes
BLUEMOUNTAIN CLO XXXII: S&P Assigns 'BB-' Rating on Cl. E-R Notes
CEDAR FUNDING XIX: Fitch Assigns 'BB-sf' Rating on Class E Notes
CHURCHILL MIDDLE V: S&P Assigns Prelim BB- (sf) Rating on E Notes
CIFC FUNDING 2019-III: Fitch Assigns BB-sf Rating on Cl. E-R2 Notes
CPS AUTO 2025-A: DBRS Gives Prov. BB Rating on Class E Notes
EXETER AUTOMOBILE 2025-1: Fitch Assigns BB-(EXP) Rating on E Notes
FANNIE MAE 2025-R01: S&P Assigns Prelim 'BB-' Rating on 1B-1 Notes
FIRST FRANKLIN 2004-FF4: Moody's Cuts Rating on M-2 Debt to Caa1
FORTRESS CREDIT XXI: S&P Assigns BB-(sf) Rating on Class E-R Notes
GENERATE CLO 20: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
HOMES 2025-AFC1: S&P Assigns Prelim B (sf) Rating on B-2 Notes
HUDSON YARDS 2025-SPRL: DBRS Gives (P) BB(high) Rating on F Certs
JP MORGAN 2025-CCM1: DBRS Gives Prov. B(low) Rating on B5 Certs
KEYCORP STUDENT 2004-A: Fitch Hikes Rating on Cl. D Notes to 'B+sf'
MADISON PARK LXVIII: Fitch Assigns 'BB+sf' Rating on Class E Notes
MADISON PARK LXVIII: Moody's Assigns B2 Rating to $250,000 F Notes
MADISON PARK XXII: Moody's Assigns B3 Rating to $250,000 F Notes
MAGNETITE XIX: S&P Assigns B- (sf) Rating on Class F-RR Notes
MAGNETITE XXVIII: Fitch Assigns 'BB+sf' Rating on Class E-RR Notes
MOSAIC SOLAR 2025-1: Fitch Assigns BB-(EXP)sf Rating on Cl. D Notes
OCP AEGIS 2023-29: S&P Assigns BB- (sf) Rating on Class E-R Notes
OCP CLO 2018-15: S&P Assigns BB- (sf) Rating on Class E-R Notes
PALMER SQUARE 2023-1: S&P Assigns BB-(sf) Rating on Cl. E-R Notes
PMT LOAN 2025-INV1: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs
PRET 2025-RPL1: Fitch Assigns 'B(EXP)sf' Rating on Class B2 Notes
PROGRESS RESIDENTIAL 2025-SFR1: DBRS Gives (P) BB Rating on F1 Cert
RAD CLO 28: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
RCKT MORTGAGE 2025-CES1: Fitch Gives 'B(EXP)' Rating on 5 Tranches
ROCKFORD TOWER 2020-1: S&P Assigns BB- (sf) Rating on E-RR Notes
RR 35: Fitch Assigns 'BB+sf' Rating on Cl. D Notes, Outlook Stable
SIGNAL PEAK 14: S&P Assigns Prelim BB-(sf) Rating on Class E Notes
SYMPHONY CLO XXXIII: Moody's Assigns Ba3 Rating to 2 Tranches
VERUS SECURITIZATION 2025-1: S&P Assigns 'B-' Rating on B-2 Notes
VOYA CLO 2017-2: S&P Affirms B+ (sf) Rating on Class D Notes
VOYA CLO 2020-3: S&P Assigns Prelim BB-(sf) Rating on E-RR Notes
WESTLAKE AUTOMOBILE 2025-1: DBRS Gives Prov. BB Rating on E Notes
WESTLAKE AUTOMOBILE 2025-1: S&P Assigns 'BB' Rating on Cl. E Notes
[*] DBRS Confirms 67 Credit Ratings From 11 US RMBS Deals
[*] DBRS Reviews 207 Classes From 24 US RMBS Transactions
[*] Moody's Takes Action on 7 Bonds From 3 US RMBS Deals
*********
A10 PERMANENT 2015-I: DBRS Cuts Class C Notes Rating to B
---------------------------------------------------------
DBRS, Inc. downgraded its credit ratings on the following classes
of notes issued by A10 Permanent Asset Financing 2015-I, LLC:
-- Class B Notes to BBB (high) (sf) from A (low) (sf)
-- Class C Notes to B (sf) from B (high) (sf)
Morningstar DBRS also confirmed its AAA (sf) credit rating on the
Class A Notes.
In conjunction with the downgrades, Morningstar DBRS changed the
trends on both the Class B and Class C Notes to Stable from
Negative. The trend on the Class A Notes remains Stable.
The credit rating downgrades reflect the increased credit risk to
the transaction given the prolonged negative outlook surrounding
the majority of the office collateral in the transaction, which, as
of the December 2024 reporting, included nine loans representing
47.3% of the current pool balance. The office concentration
includes four of the largest five loans in the transaction (36.6%
of the pool balance), three of which (30.9% of the pool) are on the
servicer's watchlist for low occupancy rates and low cash flow. The
fourth loan has been in special servicing since May 2022 and became
Real Estate Owned in December 2023. In its previous credit rating
action in February 2024, Morningstar DBRS assigned Negative trends
to the Class B and Class C Notes on concerns surrounding the
transaction's office concentration. Morningstar DBRS downgraded the
Class B and Class C Notes because of the lack of stabilization over
the past year for the majority of these loans and continued
underperformance. In Morningstar DBRS' view, the updated credit
ratings reflect the current credit risk, justifying the revision of
the trends on both the classes to Stable from Negative.
Since the February 2024 credit rating action, three loans have been
repaid from the trust. As of the December 2024 remittance, the pool
consists of 34 loans with a cumulative trust balance of $209.0
million, representing a collateral reduction of 30.2% since
issuance and an increase of 8.0% from the previous credit rating
action. As noted above, office properties represent the largest
concentration by property type in the transaction. For loans
exhibiting increased credit risks, Morningstar DBRS applied
loan-to-value (LTV) and/or probability of default (PoD)
adjustments, resulting in increased loan expected loss levels,
where appropriate. The second-largest property type concentration
in the transaction is retail, with 17 loans representing 40.8% of
the current pool balance. This concentration remains consistent
from the prior year.
The specially serviced asset, Northwoods Crossing (Prospectus
ID#24, 5.7% of the pool), comprises a two-building office property
in Allentown, Pennsylvania. The property is nearly completely
vacant, with occupancy most recently reported at 3.7% as of June
2024. Property valuations have fluctuated in recent years. The most
recent appraisal, dated May 2024, valued the property at $6.7
million, up from $5.1 million in July 2023, but below the June 2022
value of $7.4 million. According to the servicer commentary, one of
the two collateral buildings is under contract to be sold. As of
December 2024 reporting, the servicer reported $1.5 million in
protective and legal servicer advances due on the loan; however,
the servicer also noted the advances are being reimbursed by the
trust from excess spread on the unrated first loss piece and the
outstanding advances are nominal. There is also $1.8 million in
accrued interest, which will likely not be recouped as projected
proceeds from collateral sales are expected to be below the
outstanding loan balance of $11.8 million. The servicer continues
to hold $3.4 million in cash reserves, reducing the outstanding
loan exposure. In its analysis, Morningstar DBRS assumed a stressed
property value and liquidated the asset from the pool, resulting in
a loan loss severity of approximately 35.0%. The projected loss is
contained to the unrated equity bond.
As of the December 2024 reporting, seven loans are on the
servicer's watchlist, representing 40.0% of the current pool
balance. The largest loan on the servicer's watchlist and in the
transaction, 610 West Ash (Prospectus ID#35, 14.8% of the pool), is
secured by an office property in downtown San Diego. The loan is
being monitored for occupancy concerns. Occupancy has fallen to
51.1% following the expected departure of ESET in August 2024. The
property's current largest tenant, Homeland Security, recently
executed a three-year lease renewal through May 2028, at a gross
rental rate of $45.69 psf. Despite the lease renewal, the loan will
continue to operate under a cash flow sweep until the former ESET
space is backfilled. The downtown San Diego office submarket
continues to experience high vacancy, with a Q3 2024 vacancy rate
of 24.1%, according to Reis. As of December 2024, there is $0.9
million in the excess cash reserve, $2.0 million in the rollover
reserve, and $0.7 million in the capital expenditure (capex)
reserve. According to the servicer-provided financials, the
property generated $2.7 million in net cash flow (NCF), with a debt
service coverage ratio (DSCR) of 1.18 times (x), for the trailing
12-month period (T12) ended June 30, 2024. Both metrics are below
the YE2023 figures of $3.1 million and 1.35x, respectively, and
Morningstar DBRS expects performance to worsen as the full impact
of the lost revenue from ESET is realized. The loan remains current
and there is approximately $30.00 psf of available leasing dollars
to backfill the former ESET space. Depending on the current
condition of the space and a potential new tenant's demands, this
may be enough capital to execute a lease. Given the occupancy
decline combined with soft market fundamentals, Morningstar DBRS
applied a market cap rate to the T12 NCF, which resulted in an LTV
near 100%. The resulting loan expected loss is above the expected
loss for the pool.
The second-largest loan on the servicer's watchlist and in the
transaction, View 8 (Prospectus ID#21, 9.6% of the pool), is
secured by a Class A office property in Midvale, Utah. The loan was
added to servicer's watchlist after existing tenant, ZAGG, vacated
its space on the fourth floor (20.7% of the NRA) in conjunction
with its August 2022 lease renewal, which reduced the occupancy
rate to 77.4%. According to the servicer, the borrower has executed
a lease with a new tenant for a portion of the former ZAGG space
(14.1% of the NRA), which will increase the occupancy rate to
89.5%. The tenant received seven months of free rent and a tenant
allowance of $50.00 psf, which is funded from existing reserves. As
of December 2024, the rollover reserve had a balance of $1.7
million. The tenant's seven-year lease will commence in May 2025 at
a starting rental rate of $27.75 psf with annual rent escalations
of 3.0%. The property generated annualized NCF of $2.0 million for
the trailing six months ended June 30, 2024, with a reported DSCR
of 1.41x; however, performance should improve in the second half of
2025 as rental revenue from the new tenant is realized. In its
analysis for this credit rating action, Morningstar DBRS applied a
market cap rate to the in-place NCF, which resulted in an elevated
LTV ratio. While cash flow is expected to improve, there is
significant tenant rollover risk through loan maturity, including
the largest tenant, Marriott International (49.6%), which has a
lease expiration in December 2026. Morningstar DBRS removed the
previous additional PoD adjustment to recognize the positive
leasing momentum. The loan expected loss is similar to the expected
loss for the pool.
The third-largest loan on the servicer's watchlist, 205 W Wacker
(Prospectus ID#5, 6.6% of the pool), is secured by a 23-story,
Class B office building within the Loop submarket of downtown
Chicago. The trust loan has a current balance of $13.8 million and
represents a 50.0% pari passu portion of the total $27.4 million
loan. Performance of the asset has continued to decline
year-over-year as vacancy within the Chicago office market has
remained high. According to an update from the servicer, the
property is 63.0% occupied; however, the occupancy rate is expected
to decline to 53.0% following the known departures of several
tenants. As a result, cash flow no longer supports debt service,
with an annualized trailing six months' ended June 30, 2024, figure
of $1.7 million, down from the YE2023 figure of $2.4 million. As
the loan was in a forbearance agreement period through December
2024; however, the loan was reported as current as of December 2024
reporting. The borrower was provided a six-month forbearance in
June 2024 under a potential two-phase agreement. Phase I included
the conversion of debt service payments to interest-only and ceased
required monthly capex and rollover reserve collections. In return,
the borrower would be required to execute a deed-in-lieu of
foreclosure and agree to cash management. Phase II would allow a
loan modification and extension with potential use of $3.4 million
held across various reserves to fund the creation of speculative
suites at the property. According to the servicer, the deed-in-lieu
action is currently in progress, though a potential closing date is
currently unknown. In its current analysis, Morningstar DBRS
applied a stressed market cap rate to the in-place NCF, which
resulted in an elevated LTV in excess of 100.0%. In addition,
Morningstar DBRS increased the PoD, resulting in a loan expected
loss that is approximately two times greater than the expected loss
for the pool.
Notes: All figures are in US dollars unless otherwise noted.
AMERICAN CREDIT 2025-1: S&P Assigns BB- (sf) Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to American
Credit Acceptance Receivables Trust 2025-1'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 Jan. 23,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The availability of approximately 64.49%, 57.76%, 46.79%,
37.86%, and 34.13% credit support (hard credit enhancement and
haircut to excess spread) for the class A, B, C, D, and E notes,
respectively, based on stressed cash flow scenarios. These credit
support levels provide at least 2.35x, 2.10x, 1.70x, 1.37x, and
1.20x coverage of S&P's expected cumulative net loss of 27.25% for
the class A, B, C, D, and E notes, respectively.
-- The expectation that under a moderate ('BBB') stress scenario
(1.37x 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 our stressed cash flow modeling
scenarios, which we believe are appropriate for the assigned
preliminary ratings.
-- The collateral characteristics of the series' subprime
automobile loans and any subsequent receivables that will be added
during the prefunding period, S&P's view of the collateral's credit
risk, and our updated macroeconomic forecast and forward-looking
view of the auto finance sector.
-- The series' bank accounts at Wells Fargo Bank N.A., which do
not constrain the preliminary ratings.
-- S&P's operational risk assessment of American Credit Acceptance
LLC as servicer, and its view of the company's underwriting and
backup servicing arrangement with Computershare Trust Co. N.A..
-- S&P's assessment of the transaction's potential exposure to
environmental, social, and governance credit factors, which are in
line with its sector benchmark.
-- The transaction's payment and legal structures.
Preliminary Ratings Assigned
American Credit Acceptance Receivables Trust 2025-1
Class A, $286.50 million: AAA (sf)
Class B, $65.25 million: AA (sf)
Class C, $127.50 million: A (sf)
Class D, $106.87 million: BBB (sf)
Class E, $52.88 million: BB- (sf)
AMMC CLO 31: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to AMMC CLO 31
Ltd./AMMC CLO 31 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 American Money Management Corp., a
subsidiary of American Financial Group Inc.
The preliminary ratings are based on information as of Jan. 21.
2025. 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
AMMC CLO 31 Ltd./AMMC CLO 31 LLC
Class A-1, $248.00 million: AAA (sf)
Class A-2, $16.00 million: AAA (sf)
Class B, $40.00 million: AA (sf)
Class C (deferrable), $24.00 million: A (sf)
Class D (deferrable), $24.00 million: BBB- (sf)
Class E (deferrable), $14.00 million: BB- (sf)
Subordinated notes, $40.00 million: Not rated
AREIT 2025-CRE10: Fitch Assigns 'B-(EXP)sf' Rating on Class G Notes
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
AREIT 2025-CRE10 Ltd as follows:
- $514,727,000a class A 'AAAsf'; Outlook Stable;
- $110,461,000a class A-S 'AAAsf'; Outlook Stable;
- $63,772,000a class B 'AA-sf'; Outlook Stable;
- $51,245,0000a class C 'A-sf'; Outlook Stable;
- $31,886,000a class D 'BBBsf'; Outlook Stable;
- $14,804,000b class E 'BBB-sf'; Outlook Stable;
- $30,747,000b class F 'BB-sf'; Outlook Stable;
- $19,359,000b class G 'B-sf'; Outlook Stable.
The following class is not expected to be rated by Fitch:
- $74,021,043b Preferred Shares.
(a) Privately placed and pursuant to Rule 144A.
(b) Horizontal risk retention interest, estimated to be 13.625% of
the notional amount of the notes.
The approximate collateral interest balance as of the cutoff date
is $911,022,043 and does not include future funding. The total
collateral interest balance includes the expected principal balance
of delayed close collateral interests.
The expected ratings are based on information provided by the
issuer as of Jan. 15, 2025.
Transaction Summary
The notes represent the beneficial interest in the trust, the
primary assets of which are 23 loans secured by 90 commercial
properties with an aggregate principal balance of $911,022,043 as
of the cutoff date.
The loans were contributed to the trust by Argentic Real Estate
Investment 2 LLC. The servicer is expected to be Situs Asset
Management LLC, and the special servicer is expected to be Argentic
Services Company LP. The trustee is expected to be Wilmington
Trust, National Association and the note administrator is expected
to be Computershare Trust Company, National Association. The notes
are expected to follow a sequential paydown structure.
KEY RATING DRIVERS
Fitch Net Cash Flow: Fitch Ratings performed cash flow analyses on
20 loans in the pool. Fitch's resulting aggregate net cash flow
(NCF) of $39.3 million represents a 16.0% decline from the issuer's
aggregate underwritten NCF of $46.8 million, excluding loans for
which Fitch utilized an alternate value analysis. Aggregate cash
flows include only the pro-rated trust portion of any pari passu
loan.
Higher Leverage: The pool has higher leverage compared to recent
CRE CLO transactions rated by Fitch. The pool's Fitch loan-to-value
(LTV) ratio of 133.1% is below the 2024 and 2023 CRE CLO averages
of 140.7% and 171.2%, respectively. The pool's Fitch NCF debt yield
(DY) of 6.9% is above the 2024 and 2023 CRE CLO averages of 6.5%
and 5.6%, respectively.
Better Pool Diversity: The pool diversity is better than that of
recent CRE CLO transactions rated by Fitch. The top 10 loans make
up 62.7% of the pool, which is lower than the 2024 CRE CLO average
of 70.5% and in line with the 2023 CRE CLO average of 62.5%. Fitch
measures loan concentration risk with an effective loan count,
which accounts for both the number and size of loans in the pool.
The pool's effective loan count is 22.2. Fitch views diversity as a
key mitigant to idiosyncratic risk. Fitch raises the overall loss
for pools with effective loan counts below 40.
Limited Amortization: The pool is 97.8% comprised of interest-only
(IO) loans. This is worse than both the 2024 and 2023 CRE CLO
averages of 56.8% and 35.3%, respectively, based on fully extended
loan terms. As a result, the pool is expected to pay down by 0.04%
by the time the loans reach maturity. By comparison, the average
scheduled paydowns for Fitch-rated U.S. CRE CLO transactions in
2024 and 2023 were 0.6% and 1.7%, respectively.
Fitch modeled different stress scenarios using the Global Cash Flow
model as a tool. The liabilities structure passed all of the
hypothetical stresses.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Declining cash flow decreases property value and capacity to meet
its debt service obligations. The table below indicates the
model-implied rating sensitivity to changes in one variable, Fitch
NCF:
- Original Rating:
'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf';
- 10% NCF Decline:
'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BBsf'/'B-sf'/less than
'CCCsf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Improvement in cash flow increases property value and capacity to
meet its debt service obligations. The table below indicates the
model-implied rating sensitivity to changes to in one variable,
Fitch NCF:
- Original Rating:
'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf';
- 10% NCF Increase:
'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BB+sf'/'B+sf'.
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 KPMG LLP. The third-party due diligence described in
Form 15E focused on a comparison and re-computation of certain
characteristics with respect to each of the mortgage loans. Fitch
considered this information in its analysis and it did not have an
effect on Fitch's analysis or conclusions.
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.
ARES LXXV: Fitch Assigns 'BB-sf' Rating on Class E Notes
--------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Ares LXXV
CLO Ltd.
Entity/Debt Rating Prior
----------- ------ -----
Ares LXXV CLO Ltd.
A-1 LT AAAsf New Rating AAA(EXP)sf
A-2 LT AAAsf New Rating AAA(EXP)sf
B LT AAsf New Rating AA(EXP)sf
C LT Asf New Rating A(EXP)sf
D-1 LT BBB-sf New Rating BBB-(EXP)sf
D-2 LT BBB-sf New Rating BBB-(EXP)sf
E LT BB-sf New Rating BB-(EXP)sf
Subordinated Notes LT NRsf New Rating NR(EXP)sf
Transaction Summary
Ares LXXV CLO Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by Ares
CLO Management LLC. Net proceeds from the issuance of the secured
and subordinated notes will provide financing on a portfolio of
approximately $600 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 23.97, versus a maximum covenant, in accordance with
the initial expected matrix point of 27.47. 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
97.53% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 74.33% versus a
minimum covenant, in accordance with the initial expected matrix
point of 71.2%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 39% 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 five-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 weighted average life (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
metrics. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-1, between
'BBBsf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for
class B, between 'Bsf' 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-1 and 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, 'AA+sf' 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, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Ares LXXV CLO 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 any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
BARINGS CLO 2020-I: Fitch Assigns 'BB-sf' Rating on Cl. E-R2 Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Barings
CLO Ltd. 2020-I reset transaction.
Entity/Debt Rating
----------- ------
Barings CLO Ltd.
2020-I - Reset
A-1-R2 LT NRsf New Rating
A-2-R2 LT AAAsf New Rating
B-R2 LT AAsf New Rating
C-R2 LT Asf New Rating
D-1-R2 LT BBB-sf New Rating
D-2-R2 LT BBB-sf New Rating
E-R2 LT BB-sf New Rating
Subordinated LT NRsf New Rating
Transaction Summary
Barings CLO Ltd. 2020-I (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that is managed by Barings
LLC. Net proceeds from the issuance of the secured and subordinated
notes will provide financing on a portfolio of approximately $349
million (excluding defaults) 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+'/'B', which is in line with that of
recent CLOs. The weighted average rating factor (WARF) of the
indicative portfolio is 23.07 versus a maximum covenant, in
accordance with the initial matrix point of 25.91. 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
98.1% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 75.96% versus a
minimum covenant, in accordance with the initial matrix point of
72.9%.
Portfolio Composition (Neutral): The largest three industries may
comprise up to 43.5% 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 (Positive): The transaction has a five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting 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-R2, between
'BB+sf' and 'A+sf' for class B-R2, between 'B+sf' and 'BBB+sf' for
class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1-R2,
between less than 'B-sf' and 'BB+sf' for class D-2-R2, and between
less than 'B-sf' and 'B+sf' for class E-R2.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2-R2 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-R2, 'AA+sf' for class C-R2,
'A+sf' for class D-1-R2, 'Asf' for class D-2-R2, and 'BBB+sf' for
class E-R2.
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, Fitch's assessment of the asset pool
information relied upon for its rating analysis according to its
applicable rating methodologies indicates that it is adequately
reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Barings CLO Ltd.
2020-I. 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.
BAYVIEW OPPORTUNITY 2024-SN1: Fitch Affirms B Rating on Cl. F Debt
------------------------------------------------------------------
Fitch Ratings has affirmed all classes and revised the Rating
Outlooks to Positive from Stable for subordinate classes for
Bayview Opportunity Master Fund VII Trust 2024-SN1. The Outlook for
the class A notes is Stable.
Entity/Debt Rating Prior
----------- ------ -----
BVABS 2024-SN1
A-2 072926AB4 LT AAAsf Affirmed AAAsf
A-3 072926AC2 LT AAAsf Affirmed AAAsf
B 072926AD0 LT AAsf Affirmed AAsf
C 072926AE8 LT Asf Affirmed Asf
D 072926AF5 LT BBBsf Affirmed BBBsf
E 072926AG3 LT BBsf Affirmed BBsf
F 072926AH1 LT Bsf Affirmed Bsf
KEY RATING DRIVERS
The affirmations of the outstanding notes reflect available credit
enhancement (CE) and loss performance to date. Cumulative net
losses (CNLs) are tracking inside the initial rating case proxy and
hard CE levels have grown for all classes since close. The Stable
Outlooks on 'AAAsf' rated notes reflect Fitch's expectation that
the notes have sufficient levels of credit protection to withstand
potential deterioration in credit quality of the portfolio in
stress scenarios and that loss coverage will continue to increase
as the transactions amortize. The Positive Outlooks on the
subordinated classes reflect the possibility for an upgrade in the
next one to two years.
As of the December 2024 distribution date, 30+, 60+ and 90+ day
delinquencies were 8.79%, 3.03% and 0.78% respectively. Cumulative
net losses (CNL) were 2.31%, tracking below Fitch's initial rating
case of 13.00%. Hard CE has increased for each class.
The revised lifetime CNL proxy considers the transaction's
remaining pool factor, pool composition and performance to date.
Furthermore, it considers current and future macroeconomic
conditions that drive loss frequency, along with the state of
wholesale vehicle values, which affect recovery rates and
ultimately transaction losses. Based on transaction-specific
performance to date and future projections, Fitch lowered the
lifetime rating case CNL loss proxy to 12.50% from 13.00%. Fitch
considers this appropriately conservative given the performance to
date and amortization experienced, while also taking into
consideration potential increases in delinquencies and losses.
Under the revised lifetime CNL loss proxies, cash flow modelling
continues to support multiples consistent with or in excess of
3.00x for 'AAAsf', 2.50x for 'AAsf', 2.00x for 'Asf', 1.50x for
'BBBsf', 1.25x for 'BBsf', and 1.1x for 'Bsf'.
Fitch's base case credit loss expectation, which does not include a
margin of safety and is not used in Fitch's quantitative analysis
to assign ratings, was reduced to 10.00% from 11.00%, based on
Fitch's "Global Economic Outlook - December 2024", historical
securitization performance and Fitch's expectations for wholesale
vehicle values over the life of the transaction.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Unanticipated increases in the frequency of defaults could produce
default levels higher than the current projected rating case
default proxy, and impact available loss coverage and multiple
levels for the transaction. Weakening asset performance is strongly
correlated to increasing levels of delinquencies and defaults that
could negatively impact CE levels. Lower loss coverage could impact
ratings and Outlooks, depending on the extent of the decline in
coverage.
In Fitch's initial review, the notes were found to have limited
sensitivity to a 1.5x and 2.0x increase of Fitch's rating case loss
expectation for each transaction. The 1.5x scenario suggested that
ratings for the outstanding notes could be downgraded by up to two
rating categories, while the 2.0x scenario suggested that ratings
for the outstanding notes could be downgraded by two or more rating
categories.
To date, the transactions have exhibited strong performance with
losses within Fitch's initial expectations with adequate loss
coverage and multiple levels. Therefore, a material deterioration
in performance would have to occur within the asset collateral to
have a potential negative impact on the outstanding ratings.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Stable to improved asset performance driven by stable delinquencies
and defaults would lead to increasing CE levels and consideration
for potential upgrades. If CNL is 20% less than the projected CNL
proxy, the ratings could be upgraded by up to two rating
categories.
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.
BBCMS 2016-ETC: S&P Affirms BB- (sf) Rating on Class E Certs
------------------------------------------------------------
S&P Global Ratings affirmed its ratings on seven classes of
commercial mortgage pass-through certificates from BBCMS 2016-ETC
Mortgage Trust, a U.S. CMBS transaction.
This is a U.S. stand-alone (single-borrower) CMBS transaction
backed by a portion of a $700.0 million fixed-rate interest-only
(IO) mortgage whole loan that is secured by the borrower's fee
simple interest in a portion of Easton Town Center, an open-air
urban streetscape retail center in Columbus, Ohio.
Rating Actions
The affirmations on the class A, B, C, D, E, and F certificates
reflect:
-- S&P said, "Our expected-case valuation, which is unchanged from
issuance though slightly higher (about 3.9%) since our last
published review in April 2020. In our last published review, we
retained the property's net cash flow (NCF) from issuance but
increased our capitalization rate by 25 basis points (bps) to
account for the uncertainty and potential volatility in the
transaction's performance due to the COVID-19 outbreak. Since the
property's performance has rebounded and currently exceeds
pre-COVID-19 pandemic levels, we no longer carry forward the 25-bps
add-on in our current analysis."
-- The collateral retail property's reported NCF and occupancy
levels have generally been stable to increasing in the past 10-plus
years, except in 2020 when they declined due to the pandemic. In
addition, in-line sales, as calculated by S&P Global Ratings using
the December 2023 tenant sales report, increased 37.1% to $828 per
sq. ft. since S&P's April 2020 review and 26.1% since issuance.
-- The affirmation on the class X IO certificates is based on
S&P's criteria for rating IO securities, in which the ratings on
the IO securities would not be higher than that of the lowest-rated
reference class. The notional amount of the class X certificates
references classes A, B, and C.
Property-Level Analysis
The collateral property consists of a portion (1.3 million sq. ft.)
of Easton Town Center, a 1.8 million-sq.-ft. open-air urban
streetscape retail center in Columbus, Ohio. The property was built
in 1999 and was extensively expanded and renovated from 2010 to
2015. The property is approximately 15 minutes from Downtown
Columbus and sits on about 91 acres. It is part of a mixed-use
master planned development, which includes office (over 4.0 million
sq. ft.), residential (750 units), hospitality (four hotels
totaling over 700 guestrooms), and retail (over 2.0 million sq.
ft.) spaces. According to its website, Easton Town Center has over
200 tenants and is a shopping, dining, and entertainment
destination attracting over 30 million visitors annually. The
noncollateral anchors include Nordstrom, Macy's, and Lifetime
Fitness. In May 2024, the sponsor re-tenanted and transformed about
100,000 sq. ft. of retail and restaurant space at the property,
which included adding about nine new luxury retailers.
The property has reported stable to increasing occupancy and NCF
levels annually since 2013 (except in 2020): occupancy remained at
over 90.0% (except when it dropped to 89.0% in 2020) and the
servicer-reported NCF level reached $52.8 million in 2023 from
$43.2 million in 2013. NCF dipped about 35.9% to $31.1 million at
the onset of the COVID-19 pandemic in 2020 and rebounded to $42.7
million in 2021 and $48.2 million in 2022, on par with 2019
levels.
According to the September 2024 rent roll, the property was 93.3%
occupied, but we expect it to increase slightly to 96.6% after
including known tenant movements. The five largest tenants comprise
21.5% of NRA:
-- AMC 30 (10.5% of NRA; 11.1% of gross rent, as calculated by S&P
Global Ratings; December 2029 lease expiration).
-- Legoland Discovery Center (2.9%; 0.4%; December 2034).
-- Tesla (2.9%; 1.0%; March 2025).
-- Barnes & Noble (2.7%; 1.3%; February 2030). According to the
rent roll, the tenant renewed its lease, extending the expiration
from 2025 to 2030.
-- Fahlgren (2.5%; 1.0%; June 2028).
-- The property faces minimal tenant rollover (less than 10.0% of
net rentable area [NRA]) each year through 2036, which is about 10
years past the loan's maturity date, except in 2028 (12.7%) and
2029 (16.8%).
According to the Dec. 31, 2023, tenant sales report, the property's
inline sales were $828 per sq. ft. with a 13.2% occupancy cost
(excluding Apple), as calculated by S&P Global Ratings. In our
April 2020 review, we calculated a $604 per sq. ft. in-line sales
and 16.0% occupancy cost (excluding Apple).
According to CoStar, the North Central retail submarket, where the
subject property is located, had a sub-2.0% vacancy level and a
$23.46 per sq. ft. average asking rent as of January 2025. CoStar
projects vacancy remaining at or below 2.0% through 2029 with
average asking rent growing modestly to $27.70 per sq. ft. This
compares with an 3.4% in-place vacancy rate and a $50.03 per sq.
ft. base rent, as calculated by S&P Global Ratings.
S&P said, "Based on our current analysis, which assumed a 14.0%
vacancy rate to account for upcoming rollovers and higher than
market rents, $71.40 per sq. ft. gross rent, and 38.3% operating
expense ratio, we arrived at an S&P Global Ratings' NCF of $47.7
million--unchanged from our April 2020 review and at issuance.
"Utilizing an S&P Global Ratings' capitalization rate of 6.36% (the
same as at issuance) and removing the 25 bps add-on assessed from
our April 2020 review due to uncertainty surrounding the pandemic,
we arrived at an S&P Global Ratings' expected case value of $750.1
million, which is 3.9% higher than our April 2020 review and
unchanged from issuance. This yielded an S&P Global Ratings'
loan-to-value ratio of 93.3% on the whole loan balance."
Table 1
Servicer-reported collateral performance
Year-to-date September 2024(i) 2023(i) 2022(i)
Occupancy rate (%) 100.0 93.6 93.5
Net cash flow (mil. $) 38.5 52.8 48.2
Debt service coverage (x) 1.99 2.06 1.88
Appraisal value (mil. $) 1,186 1,186 1,186
(i)Reporting period.
Table 2
S&P Global Ratings' key assumptions
Current Last published At
Review review issuance
(Jan 2025)(i) (April 2020)(i) (Aug 2016)(i)
Occupancy rate (%) 86.0 91.8 94.3
Net cash flow (mil. $) 47.7 47.7 47.7
Capitalization rate (%) 6.36 6.61 6.36
Value (mil. $) 750.1 721.8 750.1
Value per sq. ft. ($) 576 554 576
Loan-to-value ratio (%)(ii) 93.3 97.0 93.3
(i)Review period.
(ii)On the whole loan balance.
Transaction Summary
As of the Jan. 16, 2025, trustee remittance report, the IO mortgage
loan has a $512.5 million trust balance and a $700.0 million whole
loan balance.
The whole loan is split into senior A (totaling $337.5 million) and
subordinate B (totaling $362.5 million) notes. The trust consists
of $150.0 million of senior A notes and $362.5 million of
subordinate B notes. The nontrust senior A companion portion
(totaling $187.5 million) is held in four U.S. CMBS conduit
transactions. The trust A and nontrust A notes are pari passu to
each other and senior in right of payment to the B notes.
The whole loan is IO, pays an annual fixed interest rate of 3.616%,
and matures on Aug. 5, 2026. The loan transferred to special
servicing on Aug. 19, 2020, and returned to master servicing on
Feb. 26, 2021, due to pandemic-related performance stress. As part
of the workout, a standstill agreement was executed, permitting the
borrower to defer six months of debt service payments from June
2020 to November 2020. The borrower has since repaid the deferred
amounts.
According to the January 2025 trustee remittance report, the class
F certificates had accumulated interest shortfalls outstanding
totaling $476, which S&P deemed de minimis.
To date, the trust has not incurred any principal losses.
Ratings Affirmed
BBCMS 2016-ETC Mortgage Trust
Class A: AAA (sf)
Class B: AA- (sf)
Class C: A- (sf)
Class D: BBB- (sf)
Class E: BB- (sf)
Class F: B- (sf)
Class X: A- (sf)
BBCMS 2025-C32: S&P Assigns Prelim 'B+(sf)' Rating on J-RR Certs
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to BBCMS
Mortgage Trust 2025-C32's commercial mortgage pass-through
certificates.
The certificate issuance is a U.S. CMBS transaction backed by 49
commercial mortgage loans with an aggregate principal balance of
$999.737 million ($859.773 million of offered certificates),
secured by the fee-simple and leasehold interests in 77 properties
across 24 U.S. states.
The preliminary ratings are based on information as of Jan. 21,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The credit support provided by the transaction's structure;
-- S&P's view of the underlying collateral's economics;
-- The trustee-provided liquidity;
-- The collateral pool's relative diversity; and
-- S&P's overall qualitative assessment of the transaction.
Preliminary Ratings Assigned
BBCMS Mortgage Trust 2025-C32(i)
Class A-1, $10,063,000: AAA (sf)
Class A-3, $16,952,000: AAA (sf)
Class A-4, TBD(ii): AAA (sf)
Class A-5, TBD(ii): AAA (sf)
Class A-SB, $18,800,000: AAA (sf)
Class X-A(iii), $699,815,000: AAA (sf)
Class A-S, $67,482,000: AA (sf)
Class B, $38,740,000: AA- (sf)
Class C, $53,736,000: A- (sf)
Class X-B(iii), $159,958,000(iv): A- (sf)
Class X-D(iii), $48,737,000(iv): BBB- (sf)
Class X-F(iii), $26,243,000(iv): BB (sf)
Class X-G(iii), $19,995,000(iv): BB- (sf)
Class D(iii), $32,491,000: BBB (sf)
Class E(iii), $16,246,000: BBB- (sf)
Class F(iii), $26,243,000: BB (sf)
Class G(iii), $19,995,000: BB- (sf)
Class J-RR(iii), $9,997,000: B+ (sf)
Class K-RR(iii), $34,991,508: Not rated
(i)The certificates will be issued to qualified institutional
buyers according to Rule 144A of the Securities Act of 1933.
(ii)The final balances of the class A-4 and A-5 certificates will
be determined at final pricing. The certificates in aggregate will
have a total balance of $654.0 million, subject to a variance of
5.0%. The class A-4 certificates are expected to have a balance
between $0 and $286.758 million, and the class A-5 certificates are
expected to have a balance between $367.242 million and $654.000
million.
(iii)Non-offered certificates.
(iv)Notional balance. The notional amount of the class X-A
certificates will be equal to the aggregate certificate balance of
the class A-1, A-3, A-4, A-5, and A-SB certificates. The notional
amount of the class X-B certificates will be equal to the aggregate
certificate balance of the class A-S, B, and C certificates. The
notional amount of the class X-D certificates will be equal to the
aggregate certificate balance of the class D and E certificates.
The notional amount of the class X-F certificates will be equal to
the certificate balance of the class F certificates. The notional
amount of the class X-G certificates will be equal to the
certificate balance of the class G certificates.
TBD--To be determined.
BENEFIT STREET XXXIX: S&P Assigns Prelim BB-(sf) Rating on E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Benefit
Street Partners CLO XXXIX Ltd./Benefit Street Partners CLO XXXIX
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 Jan. 17,
2025. 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
Benefit Street Partners CLO XXXIX Ltd./
Benefit Street Partners CLO XXXIX LLC
Class A-1, $307.50 million: AAA (sf)
Class A-2, $12.50 million: NR
Class B, $60.00 million: NR
Class C (deferrable), $30.00 million: NR
Class D-1 (deferrable), $30.00 million: NR
Class D-2 (deferrable), $5.00 million: NR
Class E (deferrable). $15.00 million: BB- (sf)
Subordinated notes, $50.00 million: NR
NR--Not rated.
BLUEMOUNTAIN CLO XXXII: S&P Assigns 'BB-' Rating on Cl. E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
D-R, and E-R replacement debt from BlueMountain CLO XXXII
Ltd./BlueMountain CLO XXXII LLC, a CLO originally issued in
September 2021 that is managed by Sound Point Luna LLC (formerly
known as Assured Investment Management LLC). At the same time, S&P
withdrew its ratings on the original class A, B, C, D, and E debt
following payment in full on the Jan. 23, 2025, 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 non-call period was extended to July 23, 2025.
-- No additional subordinated notes were 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, $310.00 million: Three-month CME term SOFR + 1.10%
-- Class B-R, $70.00 million: Three-month CME term SOFR + 1.55%
-- Class C-R, $30.00 million: Three-month CME term SOFR + 1.90%
-- Class D-R, $30.00 million: Three-month CME term SOFR + 3.10%
-- Class E-R, $18.75 million: Three-month CME term SOFR + 6.60%
-- Subordinated notes, $50.00 million: Not applicable
Original debt
-- Class A, $310.00 million: Three-month CME term SOFR + 1.43%(i)
-- Class B, $70.00 million: Three-month CME term SOFR + 1.96%(i)
-- Class C, $30.00 million: Three-month CME term SOFR + 2.26%(i)
-- Class D, $30.00 million: Three-month CME term SOFR + 3.66%(i)
-- Class E, $18.75 million: Three-month CME term SOFR + 6.86%(i)
-- Subordinated notes, $50.00 million: Not applicable
(i)Includes a credit spread adjustment of 0.26%.
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
BlueMountain CLO XXXII Ltd./BlueMountain CLO XXXII LLC
Class A-R, $310.00 million: AAA (sf)
Class B-R, $70.00 million: AA (sf)
Class C-R, $30.00 million: A (sf)
Class D-R, $30.00 million: BBB- (sf)
Class E-R, $18.75 million: BB- (sf)
Ratings Withdrawn
BlueMountain CLO XXXII Ltd./BlueMountain CLO XXXII LLC
Class A to NR from 'AAA (sf)'
Class B to NR from 'AA (sf)'
Class C to NR from 'A (sf)'
Class D to NR from 'BBB- (sf)'
Class E to NR from 'BB- (sf)'
Other Debt
BlueMountain CLO XXXII Ltd./BlueMountain CLO XXXII LLC
Subordinated notes, $50.00 million: NR
NR--Not rated.
CEDAR FUNDING XIX: Fitch Assigns 'BB-sf' Rating on Class E Notes
----------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Cedar
Funding XIX CLO, Ltd.
Entity/Debt Rating
----------- ------
Cedar Funding XIX,
Ltd.
X LT AAAsf New Rating
A1 LT AAAsf New Rating
A1 Loans LT AAAsf New Rating
AJ LT AAAsf New Rating
B LT AAsf New Rating
C LT Asf New Rating
D1 LT BBB-sf New Rating
DJ LT BBB-sf New Rating
E LT BB-sf New Rating
Subordinate LT NRsf New Rating
Transaction Summary
Cedar Funding XIX CLO, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by AEGON
USA Investment Management, LLC. 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+/B', which is in line with that of
recent CLOs. The weighted average rating factor (WARF) of the
indicative portfolio is 22.51, versus a maximum covenant, in
accordance with the initial expected matrix point of 22.75. 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
97.75% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 76.57% versus a
minimum covenant, in accordance with the initial expected matrix
point of 72.8%.
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 11.5% 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 five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting 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 weighted average life (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 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for
class A1, between 'BBB+sf' and 'AA+sf' for class AJ, 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 D1, between
less than 'B-sf' and 'BB+sf' for class DJ, 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 X, class A1 and
class AJ 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, 'A+sf' for
class D1, 'A-sf' for class DJ, 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, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Cedar Funding XIX,
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 any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
CHURCHILL MIDDLE V: S&P Assigns Prelim BB- (sf) Rating on E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Churchill
Middle Market CLO V 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 Churchill Asset Management LLC.
The preliminary ratings are based on information as of Jan. 22,
2025. 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
Churchill Middle Market CLO V LLC
Class A-1, $435.00 million: AAA (sf)
Class A-2, $30.00 million: AAA (sf)
Class B, $60.00 million: AA (sf)
Class C (deferrable), $48.75 million: A (sf)
Class D (deferrable), $41.25 million: BBB- (sf)
Class E (deferrable), $45.00 million: BB- (sf)
Subordinated notes, $92.10 million: Not rated
CIFC FUNDING 2019-III: Fitch Assigns BB-sf Rating on Cl. E-R2 Notes
-------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to CIFC
Funding 2019-III, Ltd. reset transaction.
Entity/Debt Rating Prior
----------- ------ -----
CIFC Funding
2019-III, Ltd.
A-1-R 12554VAN6 LT PIFsf Paid In Full AAAsf
A-1-R2 LT AAAsf New Rating
A-2-R2 LT AAAsf New Rating
B-R2 LT AAsf New Rating
C-R2 LT Asf New Rating
D-1-R2 LT BBB-sf New Rating
D-2-R2 LT BBB-sf New Rating
E-R2 LT BB-sf New Rating
Transaction Summary
CIFC Funding 2019-III, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) managed by CIFC Asset
Management LLC that originally closed in May 2019 and had its first
refinancing in August 2021. On Jan. 16, 2025, the CLO's secured
notes will be refinanced in whole from refinancing proceeds. Net
proceeds from the secured and subordinated notes will provide
financing on a portfolio of approximately $600 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+'/'B', which is in line with that of
recent CLOs. The weighted average rating factor (WARF) of the
indicative portfolio is 23.17 versus a maximum covenant, in
accordance with the initial expected matrix point of 26.8. 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
95.32% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 74.24% versus a
minimum covenant, in accordance with the initial expected matrix
point of 73.6%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 45% of the portfolio balance in aggregate while the
top five obligors can represent up to 6.25% 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 five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting 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-1-R2, between
'BBB-sf' and 'AA+sf' for class A-2-R2, between 'BB+sf' and 'A+sf'
for class B-R2, between 'B+sf' and 'BBB+sf' for class C-R2, between
less than 'B-sf' and 'BB+sf' for class D-1-R2, between less than
'B-sf' and 'BB+sf' for class D-2-R2, and between less than 'B-sf'
and 'B+sf' for class E-R2.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-1-R2 and class
A-2-R2 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-R2, 'AA+sf' for class C-R2,
'A+sf' for class D-1-R2, 'Asf' for class D-2-R2, and 'BBB+sf' for
class E-R2.
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, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for CIFC Funding
2019-III, Ltd.
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 any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
CPS AUTO 2025-A: DBRS Gives Prov. BB Rating on Class E Notes
------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the classes of
notes to be issued by CPS Auto Receivables Trust 2025-A (the
Issuer) as follows:
-- $202,361,000 Class A Notes at (P) AAA (sf)
-- $60,820,000 Class B Notes at (P) AA (sf)
-- $76,324,000 Class C Notes at (P) A (sf)
-- $47,410,000 Class D Notes at (P) BBB (sf)
-- $55,505,000 Class E Notes at (P) BB (sf)
CREDIT RATING RATIONALE/DESCRIPTION
The provisional credit ratings are based on Morningstar DBRS'
review of the following analytical considerations:
(1) Transaction capital structure, proposed ratings, and form and
sufficiency of available credit enhancement.
-- Credit enhancement is in the form of overcollateralization
(OC), subordination, amounts held in the reserve fund, and
available excess spread. Credit enhancement levels are sufficient
to support the Morningstar DBRS-projected cumulative net loss (CNL)
assumption under various stress scenarios.
-- The Series 2025-A will not include a CNL trigger.
-- The Series 2025-A will not include a prefunding feature.
(2) The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the ratings address the
timely payment of interest on a monthly basis and the payment of
principal by the legal final maturity date.
(3) The Morningstar DBRS CNL assumption is 19.75% based on the
Cutoff Date pool composition.
-- The transaction assumptions consider Morningstar DBRS' baseline
macroeconomic scenarios for rated sovereign economies, available in
its commentary "Baseline Macroeconomic Scenarios for Rated
Sovereigns: December 2024 Update," published on December 19, 2024.
These baseline macroeconomic scenarios replace Morningstar DBRS's
moderate and adverse Coronavirus Disease (COVID-19) pandemic
scenarios, which were first published in April 2020.
(4) The capabilities of CPS with regards to originations,
underwriting, and servicing.
-- Morningstar DBRS performed an operational review of CPS and
considers the company to be an acceptable originator and servicer
of subprime automobile loan contracts with an acceptable backup
servicer.
-- The CPS senior management team has considerable experience and
a successful track record within the auto finance industry,
managing the company through multiple economic cycles.
(5) The quality and consistency of provided historical static pool
data for CPS originations and performance of the CPS auto loan
portfolio.
(6) The legal structure and presence of legal opinions that address
the true sale of the assets to the Issuer, the nonconsolidation of
the special-purpose vehicle with CPS, that the trust has a valid
first-priority security interest in the assets, and the consistency
with Morningstar DBRS's "Legal Criteria for U.S. Structured
Finance."
CPS is an independent full-service automotive financing and
servicing company that provides (1) financing to borrowers who do
not typically have access to prime credit-lending terms for the
purchase of late-model vehicles and (2) refinancing of existing
automotive financing.
The rating on the Class A Notes reflects 57.25% of initial hard
credit enhancement provided by the subordinated notes in the pool
(51.90%), the reserve account (1.00%), and OC (4.35%). The ratings
on the Class B, C, D, and E Notes reflect 44.10%, 27.60%, 17.35%,
and 5.35% of initial hard credit enhancement, respectively.
Additional credit support may be provided from excess spread
available in the structure.
Notes: All figures are in US dollars unless otherwise noted.
EXETER AUTOMOBILE 2025-1: Fitch Assigns BB-(EXP) Rating on E Notes
------------------------------------------------------------------
Fitch Ratings expects to assign ratings and Rating Outlooks to
Exeter Automobile Receivables Trust (EART) 2025-1.
Entity/Debt Rating
----------- ------
Exeter Automobile
Receivables
Trust 2025-1
A-1 ST F1+(EXP)sf Expected Rating
A-2 LT AAA(EXP)sf Expected Rating
A-3 LT AAA(EXP)sf Expected Rating
B LT AA(EXP)sf Expected Rating
C LT A(EXP)sf Expected Rating
D LT BBB(EXP)sf Expected Rating
E LT BB-(EXP)sf Expected Rating
KEY RATING DRIVERS
Collateral Performance — Subprime Credit Quality: EART 2025-1 is
backed by collateral with subprime credit attributes; however, it
exhibits some improvements in credit attributes when compared to
prior Fitch-rated series, other than 2024-5. The weighted average
(WA) FICO score is 583, up from 582 in 2024-5. Additionally, 11.3%
of the pool is backed by new vehicles, up from 8.9% in 2024-5.
Other credit metrics, such as the WA annual percentage rate (APR)
of 21.3%, are generally consistent with those of prior Exeter
transactions, but the WA LTV of 117.1% is a platform high.
Forward-Looking Approach to Derive Rating Case Proxy: Fitch
considered economic conditions and future expectations by assessing
key macroeconomic and wholesale market conditions to derive the
series loss proxy. Fitch maintained the vintage ranges of 2024-5 to
derive the rating case loss proxy for 2025-1, in recognition of
continued weak performance for the 2022 and 2023 securitizations.
Fitch utilized 2006-2008 data from Santander Consumer, as proxy
recessionary static-managed portfolio data, and 2015-2017 vintage
data from Exeter to arrive at a forward-looking rating case
cumulative net loss (CNL) proxy of 21.50%, consistent with 2024-5,
but lower compared with 22.00% in 2024-2.
Payment Structure — Adequate Credit Enhancement: Initial hard
credit enhancement (CE) levels are 60.95%, 45.20%, 32.50%, 18.80%
and 7.45% for classes A, B, C, D and E, respectively. These CE
levels are 0.00%, 0.20%, 1.15%, 1.15% and 0.80% higher than for
2024-5. Excess spread is expected to be 11.94%, down from 13.24%
per annum in 2024-5. Loss coverage for each class of notes is
adequate to cover the respective multiples of Fitch's rating case
CNL proxy of 21.50%.
Operational and Servicing Risks — Adequate
Origination/Underwriting/Servicing: Exeter demonstrates adequate
abilities as the originator, underwriter and servicer, as evidenced
by historical portfolio and securitization performance. Fitch does
not rate Exeter but deems the company as capable to service this
transaction. In addition, Citibank, N.A., which Fitch rates 'A+'
and 'F1', with a Stable Outlook, has been contracted as backup
servicer for this transaction.
Fitch's base-case loss expectation, which does not include a margin
of safety and is not used in Fitch's quantitative analysis to
assign ratings, is 20.00%, based on Fitch's "Global Economic
Outlook - December 2024" report and transaction-based forecast loss
projections.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Unanticipated increases in the frequency of defaults could produce
CNL levels that are higher than the rating case and would likely
result in declines of CE and remaining net loss coverage levels
available to the notes. Additionally, unanticipated declines in
recoveries could also result in lower net loss coverage, which may
make certain note ratings susceptible to potential negative rating
actions, depending on the extent of the decline in coverage.
Fitch therefore conducts sensitivity analyses by stressing both a
transaction's initial rating case CNL and recovery rate
assumptions, as well as by examining the rating implications on all
classes of issued notes. The CNL sensitivity stresses the CNL proxy
to the level necessary to reduce each rating by one full category,
to non-investment grade (BBsf) and to 'CCCsf' based on the
break-even loss coverage provided by the CE structure.
Fitch also conducts 1.5x and 2.0x increases to the CNL proxy,
representing both moderate and severe stresses. Fitch also
evaluates the impact of stressed recovery rates on an auto loan ABS
structure and rating impact with a 50% haircut. These analyses are
intended to provide an indication of the rating sensitivity of the
notes to unexpected deterioration of a trust's performance.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Stable to improved asset performance driven by stable delinquencies
and defaults would lead to rising CE levels and potential for
upgrades. If CNL is 20% less than the projected proxy, the expected
subordinate note ratings could be upgraded by up to one category.
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 Ernst & Young LLP. The third-party due diligence
described in Form 15E focused on comparing or recomputing certain
information with respect to 150 loans from the statistical data
file. Fitch considered this information in its analysis and it did
not have an effect on Fitch's analysis or conclusions.
ESG Considerations
The concentration of electric and hybrid vehicles in the pool is
low and did not have an impact on Fitch's ratings analysis or
conclusion on this transaction and has no impact on Fitch's ESG
Relevance Score.
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.
FANNIE MAE 2025-R01: S&P Assigns Prelim 'BB-' Rating on 1B-1 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Fannie Mae
Connecticut Avenue Securities Trust 2025-R01's notes.
The note issuance is an RMBS securitization backed by fully
amortizing, first-lien, fixed-rate residential mortgage loans
secured by one- to four-family residences, planned-unit
developments, condominiums, cooperatives, and manufactured housing
to mostly prime borrowers.
The preliminary ratings are based on information as of Jan. 21,
2025. 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 credit enhancement provided by the subordinated reference
tranches, as well as the associated structural deal mechanics;
-- The REMIC structure that reduces the counterparty exposure to
Fannie Mae for periodic principal and interest payments, but, at
the same time, pledges the support of Fannie Mae (a highly rated
counterparty) to cover shortfalls, if any, on interest payments and
to make up for any investment losses;
-- The issuer's aggregation experience and the alignment of
interests between the issuer and noteholders in the transaction's
performance, which, in our view, enhances the notes' strength;
-- The enhanced credit risk management and quality control (QC)
processes Fannie Mae uses in conjunction with the underlying R&W
framework; and
-- S&P said, "One key change in our baseline forecast since June
2024 is an acceleration in the pace of monetary policy easing. We
continue to expect real GDP growth to slow from above-trend growth
in 2024 to below-trend growth in 2025. Heading into 2025, the U.S.
economy is expanding at a solid pace, and while President-elect
Donald Trump outlined numerous policy proposals during his
campaign, S&P Global Ratings' economic outlook for 2025 hasn't
changed appreciably partly because we have taken a probabilistic
approach and are assuming a partial implementation of campaign
promises. It will take time for changes in fiscal, trade, and
immigration policy to be implemented and affect the economy.
Therefore, we maintain our current market outlook as it relates to
the 'B' projected archetypal foreclosure frequency of 2.50%. This
reflects our benign view of the mortgage and housing markets, as
demonstrated through general national-level home price behavior,
unemployment rates, mortgage performance, and underwriting."
Preliminary Ratings Assigned
Fannie Mae Connecticut Avenue Securities Trust 2025-R01
Class 1A-H(i), $16,368,948,720: NR
Class 1A-1, $264,548,000: A+ (sf)
Class 1A-1H, $13,924,280: NR
Class 1M-1, $264,548,000: BBB+ (sf)
Class 1M-1H, $13,924,280: NR
Class 1M-2A(ii), $46,847,000: BBB+ (sf)
Class 1M-AH, $2,465,800: NR
Class 1M-2B(ii), $46,847,000: BBB (sf)
Class 1M-BH, $2,465,800: NR
Class 1M-2C(ii), $46,847,000: BBB- (sf)
Class 1M-CH, $2,465,800: NR
Class 1M-2(ii), $140,541,000: BBB- (sf)
Class 1B-1A(ii), $53,736,000: BB+ (sf)
Class 1B-AH, $2,828,682: NR
Class 1B-1B(ii), $53,736,000: BB- (sf)
Class 1B-BH, $2,828,682: NR
Class 1B-1(ii), $107,472,000: BB- (sf)
Class 1B-2H(i), $130,533,881: NR
Class 1B-3H(i), $87,022,588: NR
Related combinable and recombinable exchangeable classes(iii)
Class 1E-A1, $46,847,000: BBB+ (sf)
Class 1A-I1, $46,847,000(iv): BBB+ (sf)
Class 1E-A2, $46,847,000: BBB+ (sf)
Class 1A-I2, $46,847,000(iv): BBB+ (sf)
Class 1E-A3, $46,847,000: BBB+ (sf)
Class 1A-I3, $46,847,000(iv): BBB+ (sf)
Class 1E-A4, $46,847,000: BBB+ (sf)
Class 1A-I4, $46,847,000(iv): BBB+ (sf)
Class 1E-B1, $46,847,000: BBB (sf)
Class 1B-I1, $46,847,000(iv): BBB (sf)
Class 1E-B2, $46,847,000: BBB (sf)
Class 1B-I2, $46,847,000(iv): BBB (sf)
Class 1E-B3, $46,847,000: BBB (sf)
Class 1B-I3, $46,847,000(iv): BBB (sf)
Class 1E-B4, $46,847,000: BBB (sf)
Class 1B-I4, $46,847,000(iv): BBB (sf)
Class 1E-C1, $46,847,000: BBB- (sf)
Class 1C-I1, $46,847,000(iv): BBB- (sf)
Class 1E-C2, $46,847,000: BBB- (sf)
Class 1C-I2, $46,847,000(iv): BBB- (sf)
Class 1E-C3, $46,847,000: BBB- (sf)
Class 1C-I3, $46,847,000(iv): BBB- (sf)
Class 1E-C4, $46,847,000: BBB- (sf)
Class 1C-I4, $46,847,000(iv): BBB- (sf)
Class 1E-D1, $93,694,000: BBB (sf)
Class 1E-D2, $93,694,000: BBB (sf)
Class 1E-D3, $93,694,000: BBB (sf)
Class 1E-D4, $93,694,000: BBB (sf)
Class 1E-D5, $93,694,000: BBB (sf)
Class 1E-F1, $93,694,000: BBB- (sf)
Class 1E-F2, $93,694,000: BBB- (sf)
Class 1E-F3, $93,694,000: BBB- (sf)
Class 1E-F4, $93,694,000: BBB- (sf)
Class 1E-F5, $93,694,000: BBB- (sf)
Class 1-X1, $93,694,000(iv): BBB (sf)
Class 1-X2, $93,694,000(iv): BBB (sf)
Class 1-X3, $93,694,000(iv): BBB (sf)
Class 1-X4, $93,694,000(iv): BBB (sf)
Class 1-Y1, $93,694,000(iv): BBB- (sf)
Class 1-Y2, $93,694,000(iv): BBB- (sf)
Class 1-Y3, $93,694,000(iv): BBB- (sf)
Class 1-Y4, $93,694,000(iv): BBB- (sf)
Class 1-J1, $46,847,000: BBB- (sf)
Class 1-J2, $46,847,000: BBB- (sf)
Class 1-J3, $46,847,000: BBB- (sf)
Class 1-J4, $46,847,000: BBB- (sf)
Class 1-K1, $93,694,000: BBB- (sf)
Class 1-K2, $93,694,000: BBB- (sf)
Class 1-K3, $93,694,000: BBB- (sf)
Class 1-K4, $93,694,000: BBB- (sf)
Class 1M-2Y, $140,541,000: BBB- (sf)
Class 1M-2X, $140,541,000(iv): BBB- (sf)
Class 1B-1Y, $107,472,000: BB- (sf)
Class 1B-1X, $107,472,000(iv): BB- (sf)
(i)Reference tranche only and will not have corresponding notes.
Fannie Mae retains the risk of these tranches.
(ii)The class 1M-2 noteholders may exchange all or part of that
class for proportionate interests in the class 1M-2A, 1M-2B, and
1M-2C notes, and vice versa. The class 1B-1 noteholders may
exchange all or part of that class for proportionate interests in
the class 1B-1A and 1B-1B notes and vice versa. The class 1M-2A,
1M-2B, 1M-2C, 1B-1A, and 1B-1B noteholders may exchange all or part
of those classes for proportionate interests in the classes of RCR
notes as specified in the offering documents.
(iii)See the offering documents for more detail on possible
combinations.
(iv)Notional amount.
NR--Not rated.
FIRST FRANKLIN 2004-FF4: Moody's Cuts Rating on M-2 Debt to Caa1
----------------------------------------------------------------
Moody's Ratings has upgraded the ratings of two bonds and
downgraded the rating of one bond from First Franklin Mortgage Loan
Trust 2004-FF4. The collateral backing this deal consists of
subprime mortgages.
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: First Franklin Mortgage Loan Trust 2004-FF4
Cl. B-1, Upgraded to Caa1 (sf); previously on Mar 15, 2011
Downgraded to C (sf)
Cl. M-2, Downgraded to Caa1 (sf); previously on Jun 21, 2019
Upgraded to B3 (sf)
Cl. M-3, Upgraded to Caa1 (sf); previously on Jun 5, 2023 Upgraded
to Caa3 (sf)
RATINGS RATIONALE
The rating actions reflect the current levels of credit enhancement
available to the bonds, the recent performance, analysis of the
transaction structures, Moody's updated loss expectations on the
underlying pools, and Moody's revised loss-given-default
expectations for each bond.
Each of the bonds experiencing a rating change have either incurred
a missed or delayed disbursement of an interest payment or is
currently, or expected to become, undercollateralized, which may
sometimes be reflected by a reduction in principal (a write-down).
Moody's loss-given-default expectation assesses both the
experienced and expected future losses as a percent of the original
bond balance.
Principal Methodologies
The principal methodology used in these ratings was "US Residential
Mortgage-backed Securitizations: Surveillance" published in
December 2024.
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.
FORTRESS CREDIT XXI: S&P Assigns BB-(sf) Rating on Class E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1R-R,
A-1T-R, B-R, C-R, D-R, and E-R replacement debt and the new class
A-2-R debt from Fortress Credit Opportunities XXI CLO LLC, a CLO
originally issued in February 2023 that is managed by FCOD CLO
Management LLC, which is wholly owned by Drawbridge.
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-R, A-1T-R, B-R, C-R, D-R, and E-R
debt was issued at a lower spread over three-month SOFR than the
original debt.
- An additional floating-rate class A-2-R tranche was added with a
spread over three-month SOFR.
-- The rating on the class A-1R-R loans addresses only the full
and timely payment of principal and the base interest amount, which
includes the stated interest rate on the funded amounts and any
commitment fee due on the undrawn commitment. It does not include
any capped amounts.
-- The ratings do not reflect the payment of any class A-1R-R loan
increased costs, which are additional payments based on changes in
law made to the lender. The costs may not be predictable or
quantifiable. Increased cost payments are subordinate to principal
and interest distributions on the rated debt in the payment
waterfall and, therefore, do not affect scheduled distributions to
the rated debt.
-- Class A-1R-R is a variable-funding loan that can be drawn on to
fund revolver or delayed draw obligations and to purchase new
collateral obligations during the reinvestment period. It can also
be repaid. S&P Said, "If our short-term issuer credit rating on the
holder of the class A-1R-R loans falls below 'A-1', the loan holder
must fully fund its unfunded commitment for the CLO's benefit. We
modeled the revolver as both fully funded and fully unfunded."
-- There is no concentration limit on 'CCC' rated assets, but a
haircut is taken in the overcollateralization test if they exceed
30.0% of the pool. The transaction structure passed S&P's cash flow
analysis, assuming a sensitivity of 92.5% exposure to 'CCC' rated
assets. The transaction structure also passed our cash flow
analysis under a sensitivity that assumes all 'CCC' rated assets in
excess of 25.0% of the pool are defaulted with rating-based tiered
recovery assumptions in line with those for senior-secured loans.
-- The stated maturity, reinvestment period, and non-call period
were each extended two years.
Replacement And Original Debt Issuances
Replacement debt
-- Class A-1R-R, $54.00 million: Three-month CME term SOFR +
1.57%(i)
-- Class A-1T-R, $162.00 million: Three-month CME term SOFR +
1.57%
-- Class A-2-R, $12.00 million: Three-month CME term SOFR + 1.70%
-- Class B-R, $20.00 million: Three-month CME term SOFR + 1.90%
-- Class C-R (deferrable), $32.00 million: Three-month CME term
SOFR + 2.35%
-- Class D-R (deferrable), $28.00 million: Three-month CME term
SOFR + 3.85%
-- Class E-R (deferrable), $24.00 million: Three-month CME term
SOFR + 7.25%
(i)The rating on the class A-1R-R loans addresses only the full and
timely payment of principal and the base interest amount, and it
does not consider any capped amounts.
Original debt
-- Class A-R, $54.00 million: Three-month CME term SOFR + 2.65%
-- Class A-T, $162.00 million: Three-month CME term SOFR + 2.65%
-- Class B, $28.00 million: Three-month CME term SOFR + 3.90%
-- Class C, $32.00 million: Three-month CME term SOFR + 4.90%
-- Class D, $32.00 million: Three-month CME term SOFR + 7.00%
-- Class E, $24.00 million: Three-month CME term SOFR + 8.12%
-- Subordinated notes, $64.00 million: Residual
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
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
Fortress Credit Opportunities XXI CLO LLC
Class A-1R-R(i), $54.00 million: AAA (sf)
Class A-1T-R, $162.00 million: AAA (sf)
Class A-2-R, $12.00 million: AAA (sf)
Class B-R, $20.00 million: AA (sf)
Class C-R (deferrable), $32.00 million: A (sf)
Class D-R (deferrable), $28.00 million: BBB- (sf)
Class E-R (deferrable), $24.00 million: BB- (sf)
Ratings Withdrawn
Fortress Credit Opportunities XXI CLO LLC
Class A-R to NR from 'AAA (sf)'
Class A-T to NR from 'AAA (sf)'
Class B to NR from 'AA (sf)'
Class C to NR from 'A (sf)'
Class D to NR from 'BBB- (sf)'
Class E to NR from 'BB- (sf)'
Other Debt
Fortress Credit Opportunities XXI CLO LLC
Subordinated notes, $72.72 million: NR
(i)Revolving loan tranche. NR--Not rated.
GENERATE CLO 20: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Generate CLO
20 Ltd./Generate CLO 20 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, a subsidiary
of Kennedy Lewis Investment Management LLC.
The preliminary ratings are based on information as of Jan. 17,
2025. 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 20 Ltd./Generate CLO 20 LLC
Class A, $206 million: AAA (sf)
Class A-L loans, $50 million: AAA (sf)
Class B, $48 million: AA (sf)
Class C (deferrable), $24 million: A (sf)
Class D-1 (deferrable), $24 million: BBB- (sf)
Class D-2 (deferrable), $4 million: BBB- (sf)
Class E (deferrable), $12 million: BB- (sf)
Subordinated notes, $41 million: Not rated
HOMES 2025-AFC1: S&P Assigns Prelim B (sf) Rating on B-2 Notes
--------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to HOMES
2025-AFC1 Trust's mortgage-backed notes.
The note issuance is an RMBS securitization backed by a pool of
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 primarily secured
by single-family residential properties, planned unit developments,
condominiums, townhomes, and two- to four-family residential
properties. The pool consists of 743 loans, which are QM safe
harbor (average prime offer rate; APOR), QM rebuttable presumption
(APOR), non-QM/ATR-compliant loans, and ATR-exempt loans.
The preliminary ratings are based on information as of Jan. 16,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, representation and warranty framework, and geographic
concentration;
-- The mortgage originator, AmWest Funding Corp.; and
-- S&P said, "One key change in our baseline forecast since
September, whereby we expect the Federal Reserve to reduce the
federal funds rate more gradually and reach an assumed neutral rate
of 3.1% by fourth-quarter 2026 (was fourth-quarter 2025
previously). We continue to expect real GDP growth to slow from
above-trend growth in 2024 to below-trend growth in 2025. Heading
into 2025, the U.S. economy is expanding at a solid pace and while
President-elect Donald Trump outlined numerous policy proposals
during his campaign, S&P Global Ratings' economic outlook for 2025
hasn't changed appreciably partly because we have taken a
probabilistic approach and are assuming partial implementation of
campaign promises. It will take time for changes in fiscal, trade,
and immigration policy to be implemented and affect the economy.
Our current market outlook as it relates to the 'B' projected
archetypal foreclosure frequency is therefore unchanged at 2.50%.
This reflects our benign view of the mortgage and housing markets,
as demonstrated through general national-level home price behavior,
unemployment rates, mortgage performance, and underwriting."
Preliminary Ratings Assigned
HOMES 2025-AFC1 Trust(i)
Class A-1A, $196,124,000: AAA (sf)
Class A-1B, $30,173,000: AAA (sf)
Class A-1, $226,297,000: AAA (sf)
Class A-2, $18,405,000: AA (sf)
Class A-3, $27,608,000: A (sf)
Class M-1, $11,315,000: BBB (sf)
Class B-1, $7,393,000: BB (sf)
Class B-2, $6,185,000: B (sf)
Class B-3, $4,526,438: NR
Class A-IO-S, notional(ii): NR
Class XS, notional(ii): NR
Class R, N/A: NR
(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 $301,729,438.
NR--Not rated.
N/A--Not applicable.
HUDSON YARDS 2025-SPRL: DBRS Gives (P) BB(high) Rating on F Certs
-----------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2025-SPRL (the Certificates) to be issued by Hudson Yards 2025-SPRL
Mortgage Trust (the trust):
-- Class A at (P) AAA (sf)
-- Class B at (P) AA (sf)
-- Class C at (P) A (sf)
-- Class D at (P) BBB (sf)
-- Class E at (P) BBB (low) (sf)
-- Class F at (P) BB (high) (sf)
All trends are Stable.
The Hudson Yards 2025-SPRL Mortgage Trust
single-asset/single-borrower transaction is collateralized by the
borrower's fee-simple interest and the leasehold interest of a
direct wholly-owned subsidiary of the borrower in The Spiral, a 2.8
million-square-foot (sf) trophy office building in Hudson Yards.
Hudson Yards is New York's newest neighborhood, between Chelsea and
Hell's Kitchen, and is the largest private development in U.S.
history. Prior to the larger Hudson Yards development, the 28-acre
site over an existing Long Island Railroad rail yard and train
tunnels was viewed as one of the largest areas for potential
development in Manhattan. The property was delivered in 2022, and
the collateral is directly across the street from the eastern
portion of the development. The Spiral is situated between West
35th Street, 10th Avenue, West 34th Street, and Hudson Boulevard
East and is surrounded by a mix of newer vintage commercial and
residential developments, including popular neighborhood
attractions like the Vessel, Edge Observation Deck, the High Line,
The Shops & Restaurants at Hudson Yards, and Jacob K. Javits
Convention Center. The property is included within the Hudson Yards
Class A, a trophy micro-market, which is made up of 17.4 million sf
of inventory according to a third-party data provider. This
micro-market exhibited a vacancy rate of 4.0%, and average asking
rent of $137 per sf (psf) as of November 2024. This micro-market's
performance compares favorably with that of the general Manhattan
submarket, which exhibited a vacancy rate of 17.2% and an asking
rental rate of around $73 psf for the same month. The performance
of this micro-market relative to the rest of the office sector in
Manhattan exemplifies the flight to the quality office sector
trend.
The Spiral is a 66-story, 1,031-foot Class A office tower with LEED
Gold and Fitwel 2-star certifications. The property features large
column-free floorplates, floor-to-ceiling windows, high ceilings
ranging from 14 feet to 18 feet, and outdoor terraces on every
floor, which cascade around the entire tower. The property has
strong set of amenities, including on-site parking, a bike room
with showers, and a penthouse amenity space featuring a tenant
lounge, cafe, and rentable meeting spaces. The amenities will be
further enhanced once the three on-site dining options open, the
first of which, Papa San, is currently under construction and set
to open in early 2025. Papa San will serve Peruvian cuisine and
will later be joined by two restaurants by chef Gabriel Kreuther:
an Alsatian brasserie and a European-inspired grab-and-go cafe.
The Spiral is currently 93.8% leased with a WA (weighted average)
remaining lease term of 16.7 years. There are over 20 tenants at
the property, the majority of which are financial services,
healthcare, and law firms. Six tenants are headquartered at the
property and another five tenants have their U.S. headquarters at
the property. The five largest tenants at the property are Pfizer
Inc. (Pfizer), Debevoise & Plimpton LLP (Debevoise), TPG Global,
L.L.C (TPG), HSBC Bank USA National Association (HSBC), and
AllianceBernstein L.P. (AllianceBernstein). These tenants represent
72.7% of net rentable area (NRA) and 79.7% of Morningstar DBRS
gross rent. The majority of leases at the property are deemed
long-term credit tenants by Morningstar DBRS, which are
investment-grade tenants with leases expiring three years beyond
the loan maturity date. Tenants representing 58.5% of NRA and 63.5%
of Morningstar DBRS gross rent, respectively, are long-term credit
tenants. Additionally, the second-largest tenant, Debevoise, is
ranked 37 on the AM Law Top 50 law firms. Debevoise occupies 18.7%
of NRA and makes up 21.0% of Morningstar DBRS gross rent. Four
leases, totaling 40,603 sf, expire during the five-year loan term.
This is a very small portion of the collateral, representing 1.4%
of total square footage and 1.9% of Morningstar DBRS gross rent.
The sponsor of the transaction is Tishman Speyer Crown Equities
2007 LLC. The Borrower is owned by the sponsor and other investment
vehicles managed and controlled by one or more affiliates of
Tishman Speyer Properties, L.P. (Tishman Speyer). Tishman Speyer is
a leading owner, developer, operator, and fund manager of first -
class real estate across the globe and currently owns a portfolio
of over 83 million sf with a value of close to $63 billion. Tishman
Speyer is headquartered in New York and has a strong presence in
the area, with 20 assets totaling 24.7 million sf. The sponsor will
cash out approximately $967.2 billion, equal to approximately 33.9%
of the total loan amount, as a result of this transaction. However,
based on the sponsor's total cost basis of $3.59 billion, they
still have approximately $740 million of remaining cash equity.
Overall, Morningstar DBRS has a favorable view of the credit
characteristics of the collateral given its new vintage, tenant
amenities, large amount of credit tenancy, and desirable location
in an area of Manhattan with great transportation access and a lot
of investment. The Spiral is poised to withstand the issues facing
office properties as a result of the rise of remote and hybrid
work, as premier companies look to lease space at the highest
quality office properties on the market.
Notes: All figures are in U.S. dollars unless otherwise noted.
JP MORGAN 2025-CCM1: DBRS Gives Prov. B(low) Rating on B5 Certs
---------------------------------------------------------------
DBRS, Inc. assigned the following provisional credit ratings to the
Mortgage Pass-Through Certificates, Series 2025-CCM1 (the
Certificates) to be issued by the J.P. Morgan Mortgage Trust
2025-CCM1 (JPMMT 2025-CCM1):
-- $442.2 million Class A-1 at (P) AAA (sf)
-- $395.0 million Class A-2 at (P) AAA (sf)
-- $395.0 million Class A-3 at (P) AAA (sf)
-- $395.0 million Class A-3-X at (P) AAA (sf)
-- $296.3 million Class A-4 at (P) AAA (sf)
-- $296.3 million Class A-4-A at (P) AAA (sf)
-- $296.3 million Class A-4-X at (P) AAA (sf)
-- $98.8 million Class A-5 at (P) AAA (sf)
-- $98.8 million Class A-5-A at (P) AAA (sf)
-- $98.8 million Class A-5-X at (P) AAA (sf)
-- $237.0 million Class A-6 at (P) AAA (sf)
-- $237.0 million Class A-6-A at (P) AAA (sf)
-- $237.0 million Class A-6-X at (P) AAA (sf)
-- $158.0 million Class A-7 at (P) AAA (sf)
-- $158.0 million Class A-7-A at (P) AAA (sf)
-- $158.0 million Class A-7X at (P) AAA (sf)
-- $59.3 million Class A-8 at (P) AAA (sf)
-- $59.3 million Class A-8-A at (P) AAA (sf)
-- $59.3 million Class A-8-X at (P) AAA (sf)
-- $47.2 million Class A-9 at (P) AAA (sf)
-- $47.2 million Class A-9-A at (P) AAA (sf)
-- $47.2 million Class A-9-X at (P) AAA (sf)
-- $442.2 million Class A-X-1 at (P) AAA (sf)
-- $442.2 million Class A-X-2 at (P) AAA (sf)
-- $442.2 million Class A-X-3 at (P) AAA (sf)
-- $442.2 million Class A-X-4 at (P) AAA (sf)
-- $442.2 million Class A-X-5 at (P) AAA (sf)
-- $7.0 million Class B-1 at (P) AA (low) (sf)
-- $7.4 million Class B-2 at (P) A (low) (sf)
-- $4.0 million Class B-3 at (P) BBB (low) (sf)
-- $1.9 million Class B-4 at (P) BB (low) (sf)
-- $697.0 thousand Class B-5 at (P) B (low) (sf)
Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-X-1,
A-X-2, A-X-3, A-X-4, and A-X-5 are interest-only (IO) certificates.
The class balances represent notional amounts.
Classes A-1, A-2, A-3, A-3-X, A-4, A-4-A, A-5, A-6, A-7, A-7-A,
A-8, A-9, A-X-1, and A-X-5 are exchangeable certificates. These
classes can be exchanged for combinations of depositable
certificates as specified in the offering documents.
Classes A-2, A-3, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A,
A-8, and A-8-A are super-senior certificates. These classes benefit
from additional protection from the senior support certificates
(Classes A-9 and A-9-A) with respect to loss allocation.
The (P) AAA (sf) ratings on the Certificates reflect 4.85% of
credit enhancement provided by subordinated certificates. The (P)
AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low)
(sf), and (P) B (low) (sf) ratings reflect 3.35%, 1.75%, 0.90%,
0.50%, and 0.35% of credit enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
The transaction is a securitization of a portfolio of first-lien
fixed-rate prime residential mortgages to be funded by the issuance
of the Mortgage Pass-Through Certificates, Series 2025-CCM1 (the
Certificates). The Certificates are backed by 361 loans with a
total principal balance of $464,710,170 as of the Cut-Off Date
(January 1, 2025).
The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of 30 years and a weighted-average (WA)
loan age of two months. Approximately 83.8% of the loans are
traditional, nonagency, prime jumbo mortgage loans. The remaining
16.2% of the loans are conforming mortgage loans that were
underwritten using an automated underwriting system (AUS)
designated by Fannie Mae or Freddie Mac and were eligible for
purchase by such agencies. Details on the underwriting of
conforming loans can be found in the Key Probability of Default
Drivers section. In addition, all of the loans in the pool were
originated in accordance with the new general Qualified Mortgage
(QM) rule.
CrossCountry Mortgage, LLC (CrossCountry) is the originator for all
of the loans in pool. Shellpoint Mortgage Servicing (Shellpoint or
SMS) will act as the Interim Servicer. As of the Servicing Transfer
Date (March 1, 2025) all of the loans will be serviced by JPMorgan
Chase Bank, N.A. (JPMCB).
For this transaction, the servicing fee payable for mortgage loans
is composed of three separate components: the base servicing fee,
the delinquent servicing fee, and the additional servicing fee.
These fees vary based on the delinquency status of the related loan
and will be paid from interest collections before distribution to
the securities.
Nationstar Mortgage LLC (Nationstar) will act as the Master
Servicer. Citibank, N.A. (Citibank; rated AA (low) with a Stable
trend by Morningstar DBRS) will act as Securities Administrator and
Delaware Trustee. Computershare Trust Company, N.A. (Computershare)
will act as Custodian. Pentalpha Surveillance LLC (Pentalpha) will
serve as the Representations and Warranties (R&W) Reviewer.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that incorporates performance triggers and
credit enhancement floors.
Notes: All figures are in US dollars unless otherwise noted.
KEYCORP STUDENT 2004-A: Fitch Hikes Rating on Cl. D Notes to 'B+sf'
-------------------------------------------------------------------
Fitch Ratings has upgraded the ratings of the class D notes of
Keycorp Student Loan Trust (KLST) 2004-A (Group II) to 'B+sf'
Outlook Positive from 'CCCsf', upgraded the class C notes of 2005-A
(Group II) to 'A-sf' Outlook Positive from 'BBsf' Outlook Positive,
and affirmed the rating of the class C notes for 2006-A (Group II)
at 'CCsf'.
The upgrade of the class D notes of 2004-A reflects the increasing
parity for class D notes, the stable asset performance of the
transaction, as well as the availability of a cash reserve sized at
$4.2 million. Considering the cash reserve, the parity as of the
latest payment date of Sept. 30, 2024 was 117.2% vs 116.8% a year
earlier.
Without considering the reserve, the class D notes would be
undercollateralized by 1.1%. The revision of the Outlook for 2004-A
to Positive reflects the reserve account, which is available to pay
principal at maturity, increasing as a percentage of the amount of
the outstanding notes as they amortize.
The upgrade of the class C notes of 2005-A reflects the stable
asset performance, as well as a reserve account available to pay
principal at maturity. Parity continues to increase, with total
parity excluding the reserve standing at 118.7% as of November
2024, up from 111.1% as of November 2023. The positive outlook
reflects the reserve account, increasing as a percentage of the
amount of the outstanding notes as they amortize.
The affirmation of the 2006-A class C notes reflects the continued
undercollateralization of the notes, which was -18.3% as of
November 2024, excluding the reserve, and less stable asset
performance than 2004-A and 2005-A, including increased
delinquencies.
Entity/Debt Rating Prior
----------- ------ -----
KeyCorp Student Loan
Trust 2006-A (Group II)
II-C 49327HAJ4 LT CCsf Affirmed CCsf
KeyCorp Student Loan
Trust 2005-A (Group II)
II-C 493268CL8 LT A-sf Upgrade BBsf
KeyCorp Student Loan
Trust 2004-A (Group II)
II-D 493268CB0 LT B+sf Upgrade CCCsf
KEY RATING DRIVERS
Collateral Performance: The trusts are collateralized by private
student loans originated by KeyBank N.A. Fitch assumes a base case
default rate as a percentage of the outstanding asset pool of 9.7%,
9.6% and 9.5% for 2004-A, 2005-A and 2006-A, respectively. Fitch
also assumes a constant default rate (CDR) of 3.00% and a principal
payment rates of 17% for all transactions. Default multiples of
2.50x and 1.15x were applied at 'A-sf' and 'B+sf', respectively,
and Fitch assumes a base case recovery rate of 12% for all
transactions, based on transaction data provided by the issuer.
Payment Structure: Considering the available reserve, KSLT 2004-A
and 2006-A are undercollateralized and each trust can receive
excess spread from the respective Group I pool consisting of FFELP
loans. Excluding the cash reserves, of $4.2 million for 2004-A,
$3.4 million for 2005-A, and $4.0 million for 2006-A, total parity
as of the most recent distribution was approximately 99.5%, 118.7%
and 94.4%, respectively. Liquidity support is provided by reserve
accounts.
Operational Capabilities: Day-to-day servicing is provided by
KeyBank, NA (master servicer), Pennsylvania Higher Education
Assistance Agency (sub-servicer), and Nelnet Inc. Fitch believes
all servicers are acceptable servicers of student loans due to
their long servicing history.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
KeyCorp Student Loan Trust 2004-A (Group II)
- Increase base case defaults by 10%: class D 'CCCsf'
- Increase base case defaults by 25%: class D 'CCCsf
- Increase base case defaults by 50%: class D 'CCCsf'
- Reduce base case recoveries by 10%: class D 'CCCsf'
- Reduce base case recoveries by 20%: class D 'CCCsf'
- Reduce base case recoveries by 30%: class D 'CCCsf'
- Increase base case defaults and reduce base case recoveries each
by 10%: class D 'CCCsf'
- Increase base case defaults and reduce base case recoveries each
by 25%: class D 'CCCsf''
- Increase base case defaults and reduce base case recoveries each
by 50%: class D 'CCCsf''
KeyCorp Student Loan Trust 2005-A (Group II)
- Increase base case defaults by 10%: class C 'BBB-sf'
- Increase base case defaults by 25%: class C 'BB+sf'
- Increase base case defaults by 50%: class C 'B+sf'
- Reduce base case recoveries by 10%: class C 'BBBsf'
- Reduce base case recoveries by 20%: class C 'BBBsf'
- Reduce base case recoveries by 30%: ' class C 'BBB-sf'
- Increase base case defaults and reduce base case recoveries each
by 10%: class C 'BBB-sf'
- Increase base case defaults and reduce base case recoveries each
by 25%: class C 'BBsf'
- Increase base case defaults and reduce base case recoveries each
by 50%: class C 'B+sf'
KeyCorp Student Loan Trust 2006-A (Group II)
- Increase base case defaults by 10%: class C 'CCCsf'
- Increase base case defaults by 25%: class C 'CCCsf'
- Increase base case defaults by 50%: class C 'CCCsf'
- Reduce base case recoveries by 10%: class C 'CCCsf'
- Reduce base case recoveries by 20%: class C 'CCCsf'
- Reduce base case recoveries by 30%: class C 'CCCsf'
- Increase base case defaults and reduce base case recoveries each
by 10%: class C 'CCCsf'
- Increase base case defaults and reduce base case recoveries each
by 25%: class C 'CCCsf''
- Increase base case defaults and reduce base case recoveries each
by 50%: class C 'CCCsf''
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
KeyCorp Student Loan Trust 2004-A (Group II)
- Decrease base case defaults by 25%: class D 'CCCsf'
- Increase base case recoveries by 10%: class D 'CCCsf'
- Decrease base case defaults and increase base case recoveries
each by 50%: class D 'CCCsf'
KeyCorp Student Loan Trust 2005-A (Group II)
- Decrease base case defaults by 25%: class C 'Asf';
- Increase base case recoveries by 10%: class C 'BBBsf'
- Decrease base case defaults and increase base case recoveries
each by 50%: class C 'AA+sf'
KeyCorp Student Loan Trust 2006-A (Group II)
- Decrease base case defaults by 25%: class C 'CCCsf'
- Increase base case recoveries by 10%: class C 'CCCsf'
- Decrease base case defaults and increase base case recoveries
each by 50%: class C 'CCCsf'
CRITERIA VARIATION
None.
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.
MADISON PARK LXVIII: Fitch Assigns 'BB+sf' Rating on Class E Notes
------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
Madison Park Funding LXVIII, Ltd.
Entity/Debt Rating Prior
----------- ------ -----
Madison Park
Funding LXVIII, Ltd.
A-1 LT AAAsf New Rating AAA(EXP)sf
A-2 LT AAAsf New Rating AAA(EXP)sf
B LT AA+sf New Rating AA+(EXP)sf
C LT A+sf New Rating A+(EXP)sf
D-1 LT BBBsf New Rating BBB-(EXP)sf
D-2 LT BBB-sf New Rating BBB-(EXP)sf
E LT BB+sf New Rating BB+(EXP)sf
F LT NRsf New Rating NR(EXP)sf
Subordinated LT NRsf New Rating NR(EXP)sf
Transaction Summary
Madison Park Funding LXVIII, Ltd. (the issuer) is an arbitrage cash
flow collateralized loan obligation (CLO) that will be managed by
UBS Asset Management (Americas) LLC. 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.
Initially rated 'BBB-(EXP)sf', the class D-1 notes are now rated
'BBBsf'/Stable, due to lower funding costs. Fitch noted that the
spreads have decreased across all notes compared to the presale
report, with the decrease ranging from 4 bps to 65 bps.
With the closing portfolio containing 15% unidentified assets and
Fitch informed of an increase in the overall Moody's WARF since the
presale, Fitch conducted a sensitivity analysis by increasing the
Fitch WARF by the same percentage increase in the Moody's WARF.
Although cushions decreased in this scenario, the model-implied
rating remained unchanged.
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. Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard CLO structural
features.
Asset Security (Positive): The indicative portfolio consists of
96.95% first-lien senior secured loans and has a weighted average
recovery assumption of 74.88%. Fitch stressed the indicative
portfolio by assuming a higher portfolio concentration of assets
with lower recovery prospects and further reduced recovery
assumptions for higher rating stresses.
Portfolio Composition (Positive): The largest three industries may
comprise up to 37% 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 required by industry,
obligor and geographic concentrations is in line with other recent
CLOs.
Portfolio Management (Neutral): The transaction has a 5-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 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 'A-sf' and 'AAAsf' for class A-1, between
'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'AA-sf' for
class B, between 'B+sf' and 'A-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 'BBsf' for
class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-1 and 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, 'AA+sf' for class C, 'A+sf' for
class D-1, 'Asf' 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, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Madison Park
Funding LXVIII, Ltd. 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 any
ESG factor that is a key rating driver in the key rating drivers
section of the relevant rating action commentary.
MADISON PARK LXVIII: Moody's Assigns B2 Rating to $250,000 F Notes
------------------------------------------------------------------
Moody's Ratings has assigned ratings to two classes of notes issued
by Madison Park Funding LXVIII, Ltd. (the Issuer):
US$307,500,000 Class A-1 Floating Rate Senior Notes due 2037,
Definitive Rating Assigned Aaa (sf)
US$250,000 Class F Deferrable Floating Rate Junior Notes due 2038,
Definitive Rating Assigned B2 (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.
Madison Park Funding LXVIII, Ltd. is a managed cash flow CLO. The
issued notes will be collateralized primarily by broadly syndicated
senior secured corporate loans. At least 96% of the portfolio must
consist of first lien senior secured loans and up to 4% of the
portfolio may consist of not senior secured loans. The portfolio is
approximately 98% ramped as of the closing date.
UBS Asset Management (Americas) 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 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: $500,000,000
Diversity Score: 50
Weighted Average Rating Factor (WARF): 2999
Weighted Average Spread (WAS): 3.10%
Weighted Average Coupon (WAC): 6.00%
Weighted Average Recovery Rate (WARR): 46%
Weighted Average Life (WAL): 8 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.
MADISON PARK XXII: Moody's Assigns B3 Rating to $250,000 F Notes
----------------------------------------------------------------
Moody's Ratings has assigned ratings to two classes of CLO
refinancing notes (the Refinancing Notes) issued by Madison Park
Funding XXII, Ltd. (the Issuer):
US$512,000,000 Class A-R-2 Floating Rate Senior Notes Due 2038,
Assigned Aaa (sf)
US$250,000 Class F Deferrable Floating Rate Junior Notes Due 2038,
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 and up to 10.0% of the portfolio may consist of non-senior
secured loans.
UBS Asset Management (Americas) 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 extended 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, the other
classes of secured notes and additional subordinated notes, a
variety of other changes to transaction features will occur in
connection with the refinancing. These include: extension 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; 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 Moody's analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on Moody's published methodology
and could differ from the trustee's reported numbers.
For modeling purposes, Moody's used the following base-case
assumptions:
Portfolio par: $800,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 3140
Weighted Average Spread (WAS): 3.45%
Weighted Average Coupon (WAC): 5.00%
Weighted Average Recovery Rate (WARR): 46.00%
Weighted Average Life (WAL): 8.01 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.
MAGNETITE XIX: S&P Assigns B- (sf) Rating on Class F-RR Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-RR, A-1,
B-1RR, C-RR, D-RR, E-RR, and F-RR replacement debt from Magnetite
XIX Ltd./Magnetite XIX LLC, a CLO originally issued in April 2021
that is managed by BlackRock Financial Management Inc. At the same
time, S&P withdrew its ratings on the original class A-R, B-1R,
C-R, D-R, E-R, and F-R debt following payment in full on the Jan.
17, 2025, refinancing date. S&P also affirmed its rating on the
class B-2R 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
supplemental indenture:
-- The non-call period was extended to Jan. 17, 2026.
-- The class A-1 senior secured floating rate loan was issued on
the refinancing date.
- No additional subordinated notes were issued on the refinancing
date.
-- The transaction has adopted benchmark replacement language and
was updated to conform to current rating agency methodology.
S&P said, "On a standalone basis, our cash flow analysis indicated
a lower rating on the class F-RR debt than today's rating action on
the debt reflects. However, we affirmed our 'B- (sf)' rating on the
class F-RR debt after considering the margin of failure, the
relatively stable overcollateralization ratio since our last rating
action on the transaction, and that the transaction will enter its
amortization phase. Based on the latter, we expect the credit
support available to all rated classes to increase as principal is
collected and the senior debt is paid down. In addition, we believe
the payment of principal or interest on the class F-RR debt when
due does not depend on favorable business, financial, or economic
conditions. Therefore, this class does not fit our definition of
'CCC' risk in accordance with our guidance criteria.
Replacement And Original Debt Issuances
Replacement debt
-- Class A-RR, $21.33 million: Three-month CME term SOFR + 1.05%
-- Class A-1 loans, $298.68 million: Three-month CME term SOFR +
1.05%
-- Class B-1RR, $45.00 million: Three-month CME term SOFR + 1.45%
-- Class C-RR, $30.00 million: Three-month CME term SOFR + 1.75%
-- Class D-RR, $30.00 million: Three-month CME term SOFR + 2.75%
-- Class E-RR, $18.75 million: Three-month CME term SOFR + 5.10%
-- Class F-RR, $10.50 million: Three-month CME term SOFR + 8.00%
-- Subordinated notes, $44.00 million: Not applicable
Original debt
-- Class A-R, $320.00 million: Three-month CME term SOFR +
1.31%(i)
-- Class B-1R, $45.00 million: Three-month CME term SOFR +
1.81%(i)
-- Class B-2R, $15.00 million: 2.96%
-- Class C-R, $30.00 million: Three-month CME term SOFR +
2.21%(i)
-- Class D-R, $30.00 million: Three-month CME term SOFR +
3.16%(i)
-- Class E-R, $18.75 million: Three-month CME term SOFR +
6.66%(i)
-- Class F-R, $10.50 million: Three-month CME term SOFR +
9.03%(i)
-- Subordinated notes, $44.00 million: Not applicable
(i)Includes a credit spread adjustment of 0.26%.
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
Magnetite XIX Ltd./Magnetite XIX LLC
Class A-RR, $21.33 million: AAA (sf)
Class A-1 loans, $298.68 million: AAA (sf)
Class B-1RR, $45.00 million: AA (sf)
Class C-RR, $30.00 million: A (sf)
Class D-RR, $30.00 million: BBB- (sf)
Class E-RR, $18.75 million: BB- (sf)
Class F-RR, $10.50 million: B- (sf)
Subordinated notes, $44.00 million: Not rated
Ratings Withdrawn
Magnetite XIX Ltd./Magnetite XIX LLC
Class A-R to not rated from 'AAA (sf)'
Class B-1R to not rated from 'AA (sf)'
Class B-2R to not rated from 'AA (sf)'
Class C-R to not rated from 'A (sf)'
Class D-R to not rated from 'BBB- (sf)'
Class E-R to not rated from 'BB- (sf)'
Class F-R to not rated from 'B- (sf)'
Rating Affirmed
Magnetite XIX Ltd./Magnetite XIX LLC
Class B-2R: AA (sf)
MAGNETITE XXVIII: Fitch Assigns 'BB+sf' Rating on Class E-RR Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to the
Magnetite XXVIII, Limited refinancing transaction.
Entity/Debt Rating Prior
----------- ------ -----
Magnetite XXVIII,
Limited
A-1-RR LT NRsf New Rating NR(EXP)sf
A-2-RR LT AAAsf New Rating AAA(EXP)sf
B-RR LT AAsf New Rating AA(EXP)sf
C-RR LT Asf New Rating A(EXP)sf
D-1-RR LT BBB-sf New Rating BBB-(EXP)sf
D-2-RR LT BBB-sf New Rating BBB-(EXP)sf
E-RR LT BB+sf New Rating BB+(EXP)sf
F-RR LT NRsf New Rating NR(EXP)sf
Subordinated Notes LT NRsf New Rating NR(EXP)sf
Transaction Summary
Magnetite XXVIII, Limited (the issuer), a second refinancing
transaction, is an arbitrage cash flow collateralized loan
obligation (CLO) that will be managed by BlackRock Financial
Management, Inc. Net proceeds from the issuance of the secured and
subordinated notes will provide financing on a portfolio of
approximately $450 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. Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard CLO structural
features.
Asset Security (Positive): The indicative portfolio consists of
97.43% first-lien senior secured loans and has a weighted average
recovery assumption of 75.25%. Fitch stressed the indicative
portfolio by assuming a higher portfolio concentration of assets
with lower recovery prospects and further reduced recovery
assumptions for higher rating stresses.
Portfolio Composition (Positive): The largest three industries may
comprise up to 39% 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 required by industry,
obligor and geographic concentrations is in line with other recent
CLOs.
Portfolio Management (Neutral): The transaction has a five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting 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 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-RR, between
'BB+sf' and 'A+sf' for class B-RR, between 'B+sf' and 'BBB+sf' for
class C-RR, between less than 'B-sf' and 'BB+sf' for class D-1-RR,
between less than 'B-sf' and 'BB+sf' for class D-2-RR, and between
less than 'B-sf' and 'B+sf' for class E-RR.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2-RR 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-RR, 'AAsf' for class C-RR, 'Asf'
for class D-1-RR, 'A-sf' for class D-2-RR, and 'BBB+sf' for class
E-RR.
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, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
ESG CONSIDERATIONS
Fitch does not provide ESG relevance scores for Magnetite XXVIII,
Limited. 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. For more information on Fitch's ESG Relevance
Scores, visit the Fitch Ratings ESG Relevance Scores page.
Date of Relevant Committee
January 10, 2025
MOSAIC SOLAR 2025-1: Fitch Assigns BB-(EXP)sf Rating on Cl. D Notes
-------------------------------------------------------------------
Fitch Ratings has assigned Mosaic Solar Loan Trust 2025-1's class
A, B, C and D notes expected ratings, as detailed below.
Entity/Debt Rating
----------- ------
Mosaic Solar Loan
Trust 2025-1
A LT AA-(EXP)sf Expected Rating
B LT A(EXP)sf Expected Rating
C LT BBB-(EXP)sf Expected Rating
D LT BB-(EXP)sf Expected Rating
Transaction Summary
The transaction is a securitization of consumer loans backed by
residential solar equipment. All the loans were originated by Solar
Mosaic, LLC (Mosaic), one of the oldest established solar lenders
in the U.S., which has originated solar loans since 2014.
KEY RATING DRIVERS
FICO-informed Loan Performance Assumptions: Given the material
differences in loan performance by borrowers' FICO scores, Fitch
has defined lifetime default expectations by FICO groups. Fitch has
increased the base case default rate assumptions for most FICO
groups compared with the previous transaction. However, the
weighted average base case default rate decreased by 1.5pp to 8.1%
because Mosaic 2025-1 has a higher share of higher FICO groups.
Fitch assumed a 35% base case recovery rate for all FICO groups.
Fitch's rating default rates (RDRs) for 'AA-sf', 'Asf', 'BBB-sf'
and 'BB-sf' are 27.6%, 22.7%, 15.1% and 10.9%, respectively.
Fitch's rating recovery rates (RRRs) are 19.6%, 22.4%, 26.6% and
29.4%, respectively.
Trigger Switches Target OC to Turbo: The class A and B notes will
amortize to a 18% combined target over-collateralization (OC)
level. If the escalating cumulative loss trigger is breached, the
payment waterfall switches to turbo sequential, deferring any
interest payments for the class C and D notes, accelerating the
senior notes' deleveraging. The repayment timing of the class C and
D notes is highly sensitive to the timing of a trigger breach. The
trigger is lose compared with the default assumptions, causing a
substantial amount of cash to leak to the junior notes.
Limited Performance History Caps Ratings: Fitch's rating
assumptions are informed by over eight years of performance data
provided by Mosaic, supplemented by the historical performance of
other solar loans. Fitch considers data robust, but short compared
with the typical 25-year loan term.
Standard, Reputable Counterparties: The transaction account is with
Wilmington Trust and the servicer's collection account is with
Wells Fargo Bank. Commingling risk is mitigated by the transfer of
collections within two business days, the high initial automated
clearing house share and Wells Fargo's ratings. As both assets and
liabilities pay a fixed coupon, there is no need for an interest
rate hedge and consequently no exposure to swap counterparties.
Established Specialized Lender: Mosaic is one of the first movers
among U.S. solar loan lenders, with the longest record among
originators of the solar ABS that Fitch rates. Underwriting is
mostly automated and in line with those of other U.S. solar ABS
originators.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Asset performance that indicates an implied annualized default
rate (ADR) above 1.5% and a simultaneous fall in prepayment
activity may put pressure on the rating or lead to a Negative
Outlook;
- Material changes in policy support, the economics of purchasing
and financing photovoltaic panels and batteries, or ground-breaking
technological advances that make existing equipment obsolete may
also negatively affect the rating.
Fitch's model-implied rating (MIR) sensitivities to changes in
default or recovery assumptions are:
Decrease of prepayments (Class A/B/C/D):
-50%: 'A+'/'BBB+'/'BB+'/'B'.
Increase of defaults (Class A/B/C/D):
+10%: 'A+'/'A-'/'BBB-'/'BB-';
+25%: 'A'/'BBB+'/'BB+'/'B+';
+50%: 'A-'/'BBB'/'BB'/'B-'.
Decrease of recoveries (Class A/B/C/D):
-10%: 'AA-'/'A-'/'BBB'/'BB';
-25%: 'A+'/'A-'/'BBB-'/'BB-';
-50%: 'A+'/'BBB+'/'BBB-'/'B+'.
Increase of defaults and decrease of recoveries (Class A/B/C/D):
+10% / -10%: 'A+'/'A-'/'BBB-'/'BB-';
+25% / -25%: 'A'/'BBB'/'BB+'/'B';
+50% / -50%: 'BBB+'/'BB+'/'BB-'/'NR'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Fitch currently caps the ratings in the 'AAsf' category due to
limitations in performance history. The assigned 'AA-sf' rating is
further constrained by the available credit enhancement (CE). As a
result, positive rating action could result from an increase in CE
due to class A deleveraging, underpinned by good transaction
performance, for example, through high prepayments and an ADR of
approximately 1% or below. The overall economic environment is also
an important consideration, and Fitch's outlook is deteriorating in
the short term.
Fitch's MIR sensitivities, capped at 'AA+sf', to changes in default
or recovery assumptions are:
Decrease of defaults (Class A/B/C/D):
-10%: 'AA'/'A'/'BBB'/'BB';
-25%: 'AA+'/'A+'/'BBB+'/'BBB-';
-50%: 'AA+'/'AA+'/'A+'/'BBB+'.
Increase of recoveries (Class A/B/C/D):
+10%: 'AA-'/'A'/'BBB'/'BB';
+25%: 'AA-'/'A'/'BBB'/'BB';
+50%: 'AA'/'A+'/'BBB+'/'BB+'.
Decrease of defaults and increase of recoveries (Class A/B/C/D):
-10% / +10%: 'AA'/'A+'/'BBB+'/'BB+';
-25% / +25%: 'AA+'/'AA-'/'A-'/'BBB-';
-50% / +50%: 'AA+'/'AA+'/'A+'/'A-'.
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 historical information available for this originator did not
cover the asset tenor of up to 30 years, as originations began in
2014. Fitch applied a rating cap at the 'AAsf' category to address
this limitation.
The amortizing nature of the assets, the data available from
previous Mosaic transactions and the application of an ADR to the
static portfolio allowed Fitch to determine lifetime default
assumptions. Taking into account this analytical approach, the
rating committee considered the available data sufficient to
support a rating in the 'AAsf' category.
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.
OCP AEGIS 2023-29: S&P Assigns BB- (sf) Rating on Class E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to OCP Aegis CLO 2023-29
Ltd./OCP Aegis CLO 2023-29 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 Onex Credit Partners LLC. This is a
refinancing of its December 2023 transaction, which wasn't rated by
S&P Global Ratings.
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
OCP Aegis CLO 2023-29 Ltd./OCP Aegis CLO 2023-29 LLC
Class A-R loans, $319.50 million: AAA (sf)
Class B-R, $45.00 million: AA+ (sf)
Class C-R (deferrable), $22.50 million: A+ (sf)
Class D-1-R (deferrable), $18.00 million: BBB+ (sf)
Class D-2-R (deferrable), $4.50 million: BBB- (sf)
Class E-R (deferrable), $13.50 million: BB- (sf)
Subordinated notes, $36.20 million: Not rated
OCP CLO 2018-15: S&P Assigns BB- (sf) Rating on Class E-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
D-1R, D-2R, and E-R replacement debt from OCP CLO 2018-15 Ltd./OCP
CLO 2018-15 LLC, a CLO managed by Onex Credit Partners LLC that was
originally issued in June 2018. At the same time, S&P withdrew its
ratings on the original class A-1, A-3, B, C, and D debt following
payment in full on the Jan. 21, 2025, 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 non-call period was extended to Jan. 20, 2027.
-- The reinvestment period was extended to Jan. 20, 2030.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) was extended to Jan. 20, 2038.
-- The required minimum overcollateralization and interest
coverage ratios were amended.
-- $8.755 million of additional subordinated notes were 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 debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
OCP CLO 2018-15 Ltd./OCP CLO 2018-15 LLC
Class A-R, $288.000 million: AAA (sf)
Class B-R, $54.000 million: AA (sf)
Class C-R (deferrable), $27.000 million: A (sf)
Class D-1R (deferrable), $27.000 million: BBB- (sf)
Class D-2R (deferrable), $4.500 million: BBB- (sf)
Class E-R (deferrable), $13.500 million: BB- (sf)
Ratings Withdrawn
OCP CLO 2018-15 Ltd./OCP CLO 2018-15 LLC
Class A-1 to NR from 'AAA (sf)'
Class A-3 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 Debt
OCP CLO 2018-15 Ltd./OCP CLO 2018-15 LLC
Subordinated notes(i), $72.655 million: NR
(i)Includes $8.755 million of additional subordinated notes issued
on the closing date.
NR--Not rated.
PALMER SQUARE 2023-1: S&P Assigns BB-(sf) Rating on Cl. E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
D-1-R, D-2-R, and E-R replacement debt from Palmer Square CLO
2023-1 Ltd./Palmer Square CLO 2023-1 LLC, a CLO managed by Palmer
Square Capital Management LLC that was originally issued in March
2023. At the same time, S&P withdrew its ratings on the original
class A, B, C, D, and E debt following payment in full on the Jan.
21, 2025, 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-R, B-R, C-R, and E-R debt was issued at
a lower spread over three-month CME term SOFR than the original
debt.
-- The original class D debt was replaced by two new classes,
D-1-R and D-2-R, which are sequential in payment.
-- The reinvestment period was extended to Jan. 20, 2030.
-- The non-call period was extended to Jan. 20, 2027.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) were extended to Jan. 20, 2038.
-- The target initial par amount remains at $400.00 million. There
was no additional effective date or ramp-up period, and the first
payment date following the refinancing is April 20, 2025.
-- The required minimum overcollateralization ratios were
amended.
-- No additional subordinated notes were 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 debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Palmer Square CLO 2023-1 Ltd./Palmer Square CLO 2023-1 LLC
Class A-R, $256.0 million: AAA (sf)
Class B-R, $48.0 million: AA (sf)
Class C-R (deferrable), $24.0 million: A (sf)
Class D-1-R (deferrable), $24.0 million: BBB (sf)
Class D-2-R (deferrable), $6.0 million: BBB- (sf)
Class E-R (deferrable), $10.0 million: BB- (sf)
Ratings Withdrawn
Palmer Square CLO 2023-1 Ltd./Palmer Square CLO 2023-1 LLC
Class A to NR from 'AAA (sf)'
Class B to NR from 'AA (sf)'
Class C (deferrable) to NR from 'A (sf)'
Class D (deferrable) to NR from 'BBB- (sf)'
Class E (deferrable) to NR from 'BB- (sf)'
Other Debt
Palmer Square CLO 2023-1 Ltd./Palmer Square CLO 2023-1 LLC
Subordinated notes, $34.1 million: NR
NR--Not rated.
PMT LOAN 2025-INV1: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs
-----------------------------------------------------------------
Moody's Ratings has assigned provisional ratings to 62 classes of
residential mortgage-backed securities (RMBS) to be issued by PMT
Loan Trust 2025-INV1, and sponsored by PennyMac Corp.
The securities are backed by a pool of GSE-eligible residential
mortgages originated and serviced by PennyMac Corp.
The complete rating actions are as follows:
Issuer: PMT Loan Trust 2025-INV1
Cl. A-1, Assigned (P)Aaa (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. A-4, Assigned (P)Aaa (sf)
Cl. A-5, Assigned (P)Aaa (sf)
Cl. A-6, Assigned (P)Aaa (sf)
Cl. A-7, Assigned (P)Aaa (sf)
Cl. A-8, Assigned (P)Aaa (sf)
Cl. A-9, Assigned (P)Aaa (sf)
Cl. A-10, Assigned (P)Aaa (sf)
Cl. A-11, Assigned (P)Aaa (sf)
Cl. A-12, Assigned (P)Aaa (sf)
Cl. A-13, Assigned (P)Aaa (sf)
Cl. A-14, Assigned (P)Aaa (sf)
Cl. A-15, Assigned (P)Aaa (sf)
Cl. A-16, Assigned (P)Aaa (sf)
Cl. A-17, Assigned (P)Aaa (sf)
Cl. A-18, Assigned (P)Aaa (sf)
Cl. A-19, Assigned (P) Aaa (sf)
Cl. A-20, Assigned (P)Aaa (sf)
Cl. A-21, Assigned (P)Aaa (sf)
Cl. A-22, Assigned (P)Aaa (sf)
Cl. A-23, Assigned (P)Aaa (sf)
Cl. A-24, Assigned (P)Aaa (sf)
Cl. A-25, Assigned (P)Aaa (sf)
Cl. A-26, Assigned (P)Aaa (sf)
Cl. A-27, Assigned (P)Aaa (sf)
Cl. A-28, Assigned (P)Aa1 (sf)
Cl. A-29, Assigned (P)Aa1 (sf)
Cl. A-30, Assigned (P)Aa1 (sf)
Cl. A-31, Assigned (P)Aa1 (sf)
Cl. A-32, Assigned (P)Aa1 (sf)
Cl. A-33, Assigned (P)Aa1 (sf)
Cl. A-X1*, Assigned (P)Aa1 (sf)
Cl. A-X2*, Assigned (P)Aaa (sf)
Cl. A-X3*, Assigned (P)Aaa (sf)
Cl. A-X6*, Assigned (P)Aaa (sf)
Cl. A-X7*, Assigned (P)Aaa (sf)
Cl. A-X8*, Assigned (P)Aaa (sf)
Cl. A-X9*, Assigned (P)Aaa (sf)
Cl. A-X11*, Assigned (P)Aaa (sf)
Cl. A-X12*, Assigned (P)Aaa (sf)
Cl. A-X14*, Assigned (P)Aaa (sf)
Cl. A-X15*, Assigned (P)Aaa (sf)
Cl. A-X18*, Assigned (P)Aaa (sf)
Cl. A-X19*, Assigned (P)Aaa (sf)
Cl. A-X21*, Assigned (P)Aaa (sf)
Cl. A-X22*, Assigned (P)Aaa (sf)
Cl. A-X24*, Assigned (P)Aaa (sf)
Cl. A-X25*, Assigned (P)Aaa (sf)
Cl. A-X26*, Assigned (P)Aaa (sf)
Cl. A-X27*, Assigned (P)Aaa (sf)
Cl. A-X30*, Assigned (P)Aa1 (sf)
Cl. A-X31*, Assigned (P)Aa1 (sf)
Cl. A-X32*, Assigned (P)Aa1 (sf)
Cl. A-X33*, Assigned (P)Aa1 (sf)
Cl. B-1, Assigned (P)Aa3 (sf)
Cl. B-2, Assigned (P)A2 (sf)
Cl. B-3, Assigned (P)Baa3 (sf)
Cl. B-4, Assigned (P)Ba3 (sf)
Cl. B-5, Assigned (P)B3 (sf)
Cl. A-1A Loans, Assigned (P)Aaa (sf)
*Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings are based on the credit quality of the mortgage loans,
the structural features of the transaction, the origination quality
and the servicing arrangement, the third-party review, and the
representations and warranties framework.
Moody's expected loss for this pool in a baseline scenario-mean is
0.79%, in a baseline scenario-median is 0.48% and reaches 7.69% at
a stress level consistent with Moody's Aaa ratings.
PRINCIPAL METHODOLOGY
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in July 2024.
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 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 original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
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.
PRET 2025-RPL1: Fitch Assigns 'B(EXP)sf' Rating on Class B2 Notes
-----------------------------------------------------------------
Fitch Ratings has assigned expected ratings to PRET 2025-RPL1 Trust
(PRET 2025-RPL1).
PRET 2025-RPL1 utilizes Fitch's new Interactive RMBS Presale
feature. To access the interactive feature, click the link at the
top of the presale report first page, log into dv01 and explore
Fitch's loan-level loss expectations.
Entity/Debt Rating
----------- ------
PRET 2025-RPL1
A1 LT AAA(EXP)sf Expected Rating
A2 LT AA(EXP)sf Expected Rating
A3 LT AA(EXP)sf Expected Rating
A4 LT A(EXP)sf Expected Rating
A5 LT BBB(EXP)sf Expected Rating
M1 LT A(EXP)sf Expected Rating
M2 LT BBB(EXP)sf Expected Rating
B1 LT BB(EXP)sf Expected Rating
B2 LT B(EXP)sf Expected Rating
B3 LT NR(EXP)sf Expected Rating
B4 LT NR(EXP)sf Expected Rating
B5 LT NR(EXP)sf Expected Rating
B LT NR(EXP)sf Expected Rating
PT LT NR(EXP)sf Expected Rating
R LT NR(EXP)sf Expected Rating
SA LT NR(EXP)sf Expected Rating
XS LT NR(EXP)sf Expected Rating
Transaction Summary
Fitch Ratings expects to rate the residential mortgage-backed notes
to be issued by PRET 2025-RPL1 Trust (PRET 2025-RPL1) as indicated
above. The notes are supported by 2,151 seasoned performing and
reperforming loans (RPLs) that had a balance of $424.87 million as
of the Dec. 31, 2024 cutoff date.
The notes are secured by a pool of fixed, step-rate and
adjustable-rate mortgage (ARM) loans, some of which have an initial
interest-only (IO) period. The loans are primarily fully
amortizing, with original terms to maturity of 30 years. The loans
are secured by first liens primarily on single-family residential
properties, townhouses, condominiums, co-ops, manufactured housing,
multifamily homes, and commercial properties.
In the pool, 100% of the loans are seasoned performing and
re-performing loans. Of the loans, 84.6% are exempt from the
qualified mortgage (QM) rule as they are investment properties or
were originated before the Ability to Repay (ATR) rule took effect
in January 2014.
Selene Finance LP (Selene) will service 100.0% of the loans in the
pool; Fitch rates Selene 'RPS3+'.
There is London Interbank Offered Rate (Libor) exposure in this
transaction. The majority of the loans in the collateral pool
comprise fixed-rate mortgages, but 5.4% of the pool comprises
step-rate loans or loans with an adjustable rate. Of the pool, 2.6%
consists of ARM loans that reference the one-month, six-month or
one-year Libor index.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Fitch views the home
price values of this pool as 12.2% above a long-term sustainable
level (vs. 11.6% on a national level as of 2Q24, up 0.1% since last
quarter), based on Fitch's updated view on sustainable home prices.
Housing affordability is the worst it has been in decades, driven
by both high interest rates and elevated home prices. Home prices
have increased 4.3% YOY nationally as of August 2024 despite modest
regional declines, but are still being supported by limited
inventory.
Seasoned Performing and Reperforming Credit Quality (Mixed): The
collateral consists of 2,151 loans, totaling $424.87 million, which
includes deferred amounts. The loans are seasoned approximately 192
months in aggregate, according to Fitch, as calculated from
origination date (189 months per the transaction documents).
Specifically, the pool comprises 94.6% fully amortizing fixed-rate
loans, 4.2% fully amortizing ARM loans, and 1.2% step-rate loans
that were treated as ARM loans.
The borrowers have a moderate credit profile, with a 662 Fitch
model FICO score (659 FICO per the transaction documents). The
transaction has a weighted average (WA) sustainable loan to value
(sLTV) ratio of 61.5%, as determined by Fitch. The debt to income
ratio (DTI) was not provided for the loans in the transaction; as a
result, Fitch applied a 45% DTI to all the loans.
According to Fitch, the pool consists of 98.9% of loans to
borrowers maintaining a primary residence, while 1.1% of loans are
for investor properties or second homes. Loans with an unknown
occupancy are treated by Fitch as investor properties. In its
analysis, Fitch considered 8.1% of the loans to be non-QM loans and
7.4% were considered safe-harbor QM or high-priced QM loans, while
the remaining 84.6% were considered exempt from QM status. In its
analysis, Fitch considered loans originated after January 2014
non-QM since they are no longer eligible to be in
government-sponsored enterprise (GSE) pools.
In Fitch's analysis, 84.6% of the loans are to single-family homes,
townhouses, and planned unit developments (PUDs), 5.8% are to
condos or coops, 9.5% are to manufactured housing or multifamily
homes, and less than 0.1% are for commercial. In the analysis,
Fitch treated manufactured properties as multifamily and the
probability of default (PD) was increased for these loans as a
result.
The pool contains 14 loans over $1.0 million, with the largest loan
at $2.46 million.
Based on the due diligence findings, Fitch considered 8.2% of the
loans to have subordinate financing. Specifically, for loans
missing original appraised values, Fitch assumed these loans had an
LTV of 80% and a combined (CLTV) of 100%, which further explains
the discrepancy in the subordinate financing percentages per
Fitch's analysis versus the transaction documents. Fitch viewed all
the loans in the pool in the first lien position based on data
provided in the tape and confirmation from the servicer on the lien
position.
Of the pool, 93.8% of the loans were current as of Dec. 31, 2024.
Overall, the pool characteristics resemble RPL collateral;
therefore, the pool was analyzed using Fitch's RPL model and Fitch
extended liquidation timelines as it typically does for RPL pools.
Approximately 19.8% of the pool is concentrated in New York. The
largest metropolitan statistical area (MSA) concentration is in the
New York MSA at 23.7%, followed by the Los Angeles MSA at 6.9% and
the Miami MSA at 5.3%. The top three MSAs account for 35.9% of the
pool. As a result, there was a penalty applied for geographic
concentration of 18bps at the AAAsf.
No Advancing (Mixed): The servicer will not be advancing delinquent
monthly payments of principal and interest (P&I). Because P&I
advances made on behalf of loans that become delinquent and
eventually liquidate reduce liquidation proceeds to the trust, the
loan-level loss severities (LS) are less for this transaction than
for those where the servicer is obligated to advance P&I.
To provide liquidity and ensure timely interest will be paid to the
'AAAsf' rated classes and ultimate interest on the remaining rated
classes, principal will need to be used to pay for interest accrued
on delinquent loans. This will result in stress on the structure
and the need for additional credit enhancement (CE) compared with a
pool with limited advancing. These Structural provisions and cash
flow priorities, together with increased subordination, provide for
timely payments of interest to the 'AAAsf' rated classes.
Sequential Deal Structure (Positive): The transaction utilizes a
sequential payment structure with no advancing of delinquent P&I
payments. The transaction is structured with subordination to
protect more senior classes from losses and has a minimal amount of
excess interest, which can be used to repay current or previously
allocated realized losses and cap carryover shortfall amounts.
The interest and principal waterfall prioritize the payment of
interest to the A-1, which is supportive of class A-1 receiving
timely interest. Fitch considers timely interest for 'AAAsf' rated
classes and to ultimate interest for 'AAsf' to 'Bsf' category rated
classes.
The Note Rate for each of the Class A-1, Class A-2, Class M-1 and
Class M-2 Notes on any Payment Date up to but excluding the Payment
Date in February 2029 and for the related Accrual Period will be a
per annum rate equal to the lesser of (i) the fixed rate for such
class set forth in the table above, and (ii) the Net WAC Rate for
such Payment Date.
Beginning on the Payment Date in February 2029 and for the related
Accrual Period, and on each Payment Date thereafter and for each
related Accrual Period, the Note Rate for each of the Class A-1,
Class A-2, Class M-1 and Class M-2 Notes will be a per annum rate
equal to the lesser of (a) the Net WAC Rate for such Payment Date,
and (b) the sum of (i) the fixed rate set forth in the table above
for such class of Notes, and (ii) 1.000% (such increased Note Rate
referred to as the "Step-Up Note Rate").
The unpaid cap carryover amount payments on the class A and M notes
are prioritized over the payment of the B-3, B-4 and B-5 interest
in both the interest and principal waterfall.
The note rate for the B classes is based on the net WAC.
Losses are allocated to classes reverse sequentially starting with
class B-5. Classes will be written down if the transaction is
undercollateralized.
There is excess spread available to absorb losses.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. Sensitivity analysis was conducted at the
state and national levels to assess the effect of higher MVDs for
the subject pool as well as lower MVDs, illustrated by a gain in
home prices.
This defined negative rating sensitivity analysis demonstrates how
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 42.9%, at 'AAA'. The analysis indicates there is
some potential rating migration, with higher MVDs for all rated
classes compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool as well as
lower MVDs, illustrated by a gain in home prices.
This defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all of the rated classes.
Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated class excluding those being assigned
ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
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 ProTitle and AMC. The third-party due diligence
described in Form 15E focused on the following areas: compliance
review, data integrity, servicing review and title review. The
scope of the review was consistent with Fitch's criteria. Fitch
considered this information in its analysis. Based on the results
of the 100% due diligence performed on the pool, Fitch adjusted the
expected losses.
A large portion of the loans received 'C' and 'D' grades mainly due
to missing documentation that resulted in the ability to test for
certain compliance issues. As a result, Fitch applied negative loan
level adjustments, which increased the 'AAAsf' losses by 25% and
are further detailed in the Third-Party Due Diligence section of
the presale.
Fitch determined there were three loans with material TRID issues;
a $15,500 loss severity penalty was given to loans with material
TRID issues, although this did not have any impact on the rounded
losses.
A ProTitle search found outstanding liens that pre-date the
mortgage. It was confirmed the majority of these liens are retired
and nothing is owed. There are five loans in the pool have a total
of approximately $16,404 (per the 15E) in potentially superior
pre-origination recorded liens/judgments.
In addition, there are 171 loans that have a clean title search but
there may be potential liens that could claim priority over the
mortgage in the pool that total $814,924 (per the 15E). The trust
will be responsible for these amounts. As a result, Fitch increased
the loss severity by these amounts since the trust would be
responsible for reimbursing the servicer these amounts. This did
not have any impact on the rounded losses.
Fitch received confirmation from the servicer on the current lien
status of the loans in the pool. The servicer regularly orders
these searches as part of its normal business practice and resolves
issues as they arise. No additional adjustment was made as a
result. As a result of the valid title policy and the servicer
monitoring the lien status, Fitch treated 100% of the pool as first
liens.
The custodian is actively tracking down missing documents. In the
event a missing document materially delays or prevents a
foreclosure, the sponsor will have 90 days to find the document or
cure the issue. If the loan seller cannot cure the issue or find
the missing documents, they will repurchase the loan at the
repurchase price. Due to this, Fitch only extended timelines for
missing documents.
A pay history review was conducted on a sample set of loans by AMC.
The review confirmed the pay strings are accurate, and the servicer
confirmed the payment history was accurate for all the loans. As a
result, 100% of the pool's payment history was confirmed.
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review
performed on 100% of the loans. The third-party due diligence was
consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor
engaged ProTitle and AMC to perform the review. Loans reviewed
under this engagement were given initial and final compliance
grades. A portion of the loans in the pool received a credit or
valuation review.
An exception and waiver report was provided to Fitch, indicating
that the pool of reviewed loans has a number of exceptions and
waivers. Fitch determined that the exceptions and waivers
materially affect the overall credit risk of the loans; refer to
the Third-Party Due Diligence section of the presale report for
more details.
Fitch also received confirmation from the servicer that the lien
status and payment history provided in the tape is accurate per its
records. Fitch took this information into consideration in its
analysis.
Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. The loan-level
information Fitch received was provided in the American
Securitization Forum's (ASF) data layout format. The ASF data tape
layout was established with input from various industry
participants, including rating agencies, issuers, originators,
investors and others, to produce an industry standard for the
pool-level data in support of the U.S. RMBS securitization market.
The data contained in the data tape layout was populated by the due
diligence company, and no material discrepancies were noted.
ESG Considerations
PRET 2025-RPL1 has an ESG Relevance Score of '4' for Transaction
Parties & Operational Risk due to elevated operational risk, which
resulted in an increase in expected losses. The Tier 2
representations and warranties (R&W) framework with an unrated
counterparty resulted in an increase in expected losses. This 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.
PROGRESS RESIDENTIAL 2025-SFR1: DBRS Gives (P) BB Rating on F1 Cert
-------------------------------------------------------------------
DBRS, Inc. assigned the following provisional credit ratings to the
Single-Family Rental Pass-Through Certificates (the Certificates)
to be issued by Progress Residential 2025-SFR1 Trust (PROG
2025-SFR1 or the Issuer):
-- $348.3 million Class A at (P) AAA (sf)
-- $60.3 million Class B at (P) AA (sf)
-- $47.4 million Class C at (P) A (low) (sf)
-- $61.1 million Class D at (P) BBB (sf)
-- $25.9 million Class E1 at (P) BBB (sf)
-- $24.8 million Class E2 at (P) BBB (low) (sf)
-- $53.3 million Class F1 at (P) BB (sf)
-- $19.1 million Class F2 at (P) BB (low) (sf)
-- $45.7 million Class G at (P) B (low) (sf)
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
The (P) AAA (sf) credit rating on the Class A certificates reflects
54.07% of credit enhancement provided by subordinate certificates.
The (P) AA (sf), (P) A (low) (sf), (P) BBB (sf), (P) BBB (low)
(sf), (P) BB (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit
ratings reflect 46.12%, 39.87%, 28.39%, 25.13%, 18.09%, 15.58%, and
9.55% of credit enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
The Certificates are supported by the income streams and values
from 2,095 rental properties. The properties are distributed across
nine states and 18 MSAs in the United States. Morningstar DBRS maps
an MSA based on the ZIP code provided in the data tape, which may
result in different MSA stratifications than those provided in
offering documents. As measured by (BPO) value, 60.9% of the
portfolio is concentrated in three states: Florida (26.3%), North
Carolina (19.2%), and Tennessee (15.4%). The average BPO value is
$363,782. The average age of the properties is roughly 23 years as
of the cut-off date. The majority of the properties have three or
more bedrooms. The Certificates represent a beneficial ownership in
an approximately five-year, fixed-rate, interest-only loan with an
initial aggregate principal balance of approximately $758.3
million.
Morningstar DBRS assigned the provisional credit ratings for each
class of Certificates by performing a quantitative and qualitative
collateral, structural, and legal analysis. This analysis uses
Morningstar DBRS' single-family rental (SFR) subordination
analytical tool and is based on Morningstar DBRS' published
criteria. Morningstar DBRS developed property-level stresses for
the analysis of SFR assets. Morningstar DBRS assigned the
provisional credit ratings to each class based on the levels of
stress each class can withstand and whether such stresses are
commensurate with the applicable credit rating level. Morningstar
DBRS' analysis includes estimated base-case net cash flows (NCFs)
derived by evaluating the gross rent, concession, vacancy,
operating expenses, and capital expenditure data. The Morningstar
DBRS NCF analysis resulted in a minimum debt service coverage ratio
higher than 1.0 times.
Notes: All figures are in U.S. dollars unless otherwise noted.
RAD CLO 28: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to RAD CLO 28
Ltd./RAD CLO 28 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 Irradiant Partners L.P.
The preliminary ratings are based on information as of Jan. 17,
2025. 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
RAD CLO 28 Ltd./RAD CLO 28 LLC
Class A, $256.00 million: AAA (sf)
Class B-1, $38.00 million: AA (sf)
Class B-2, $10.00 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, $40.00 million: Not rated
RCKT MORTGAGE 2025-CES1: Fitch Gives 'B(EXP)' Rating on 5 Tranches
-------------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed notes
issued by RCKT Mortgage Trust 2025-CES1 (RCKT 2025-CES1).
Entity/Debt Rating
----------- ------
RCKT Mortgage
Trust 2025-CES1
A-1A LT AAA(EXP)sf Expected Rating
A-1B LT AAA(EXP)sf Expected Rating
A-2 LT AA(EXP)sf Expected Rating
A-3 LT A(EXP)sf Expected Rating
M-1 LT BBB(EXP)sf Expected Rating
B-1 LT BB(EXP)sf Expected Rating
B-2 LT B(EXP)sf Expected Rating
B-3 LT NR(EXP)sf Expected Rating
A-1 LT AAA(EXP)sf Expected Rating
A-4 LT AA(EXP)sf Expected Rating
A-5 LT A(EXP)sf Expected Rating
A-6 LT BBB(EXP)sf Expected Rating
B-1A LT BB(EXP)sf Expected Rating
B-X-1A LT BB(EXP)sf Expected Rating
B-1B LT BB(EXP)sf Expected Rating
B-X-1B LT BB(EXP)sf Expected Rating
B-2A LT B(EXP)sf Expected Rating
B-X-2A LT B(EXP)sf Expected Rating
B-2B LT B(EXP)sf Expected Rating
B-X-2B LT B(EXP)sf Expected Rating
XS LT NR(EXP)sf Expected Rating
A-1L LT AAA(EXP)sf Expected Rating
R LT NR(EXP)sf Expected Rating
Transaction Summary
The notes are supported by 6,226 closed-end second lien (CES) loans
with a total balance of approximately $550 million as of the cutoff
date. The pool consists of CES mortgages acquired by Woodward
Capital Management LLC from Rocket Mortgage LLC. Distributions of
principal and interest (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) shortfalls.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Fitch views the home
price values of this pool as 11.6% above a long-term sustainable
level versus 11.6% on a national level as of 2Q24, up 0.1% since
last quarter, based on Fitch's updated view on sustainable home
prices. Housing affordability is the worst it has been in decades
driven by high interest rates and elevated home prices. Home prices
have increased 4.3% yoy nationally as of August 2024 despite modest
regional declines, but are still supported by limited inventory.
Prime Credit Quality (Positive): The collateral consists of 6,226
loans totaling about $550 million, seasoned at around four months
in aggregate, as calculated by Fitch (one month, per the
transaction documents), taken as the difference between the
origination date and the cutoff date. The borrowers have a strong
credit profile, including a WA Fitch model FICO score of 741, a
debt-to-income ratio (DTI) of 39.2% and moderate leverage, with a
sustainable loan-to-value ratio (sLTV) of 77.5%.
Second Lien Collateral (Negative): The entirety of the collateral
pool consists of second lien loans originated by Rocket Mortgage,
LLC. 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.
Sequential Payment 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 cashflow 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.
The senior classes incorporate a step-up coupon of 1.00% (to the
extent still outstanding) after the 48th payment date.
While Fitch previously analyzed CES transactions using an interest
rate cut, this stress is no longer being applied. 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 becomes a common form of loss mitigation, or if
certain structures rely too much on excess interest, Fitch may
apply additional sensitivities to test the structure.
180 Day Charge Off Feature (Positive): The servicer can write off
the balance of a loan at 180 days delinquent based on the MBA
delinquency method, but it is not obligated to do so. If the
servicer expects a meaningful recovery in a liquidation scenario,
the Majority Class XS Noteholder may direct the servicer to
continue to monitor the loan and not charge it off. The 180 day
charge-off feature will cause losses to occur sooner while there is
a larger amount of excess interest to protect against losses.
This compares favorably to a delayed liquidation scenario where the
loss occurs later in the life of the deal and less excess is
available. If the loan is not charged off due to a presumed
recovery, this will provide additional benefit to the transaction
above Fitch's expectations. Additionally, subsequent recoveries
realized after the writedown at 180 days' delinquent (excluding
forbearance mortgage or loss mitigation loans) will be passed on to
bondholders as principal.
In higher stress scenarios, Fitch does not expect loan workouts
because less or negative equity will remain. In this situation, the
six-month timeline is reasonable for cashflow analysis. In lower
stresses, there is a higher possibility of charge off not occurring
due to potential recoveries, which would be more positive than
Fitch's analysis assumed.
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 42.5% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.
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, 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 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 25.1% of the pool by loan count
in which diligence was conducted. This adjustment resulted in a
19bps reduction to the 'AAAsf' expected loss.
ESG Considerations
RCKT Mortgage Trust 2025-CES1 has an ESG Relevance Score of '4 [+]'
for Transaction Parties & Operational Risk due to operational risk
mitigation, which has a positive impact on the credit profile, and
is relevant to the rating[s] 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.
ROCKFORD TOWER 2020-1: S&P Assigns BB- (sf) Rating on E-RR Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class X-R, A-1-RR,
A-2-RR, B-RR, C-RR, D-1-RR, D-2-RR, and E-RR replacement debt from
Rockford Tower CLO 2020-1 Ltd./Rockford Tower CLO 2020-1 LLC, a CLO
managed by Rockford Tower Capital Management LLC that was
originally issued in December 2020 and underwent a reset in
February 2024. At the same time, S&P withdrew its ratings on the
class X, A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt
following payment in full on the Jan. 21, 2025, 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 non-call period for the replacement
debt was set to Jan. 20, 2026.
Replacement And February 2024 Debt Issuances
Replacement debt
-- Class X-R, $0.81 million: Three-month CME term SOFR + 1.00%
-- Class A-1-RR, $240.00 million: Three-month CME term SOFR +
1.09%
-- Class A-2-RR, $20.00 million: Three-month CME term SOFR +
1.30%
-- Class B-RR, $44.00 million: Three-month CME term SOFR + 1.55%
-- Class C-RR, $24.00 million: Three-month CME term SOFR + 1.90%
-- Class D-1-RR, $24.00 million: Three-month CME term SOFR +
3.00%
-- Class D-2-RR, $5.00 million: Three-month CME term SOFR + 4.00%
-- Class E-RR, $10.00 million: Three-month CME term SOFR + 5.90%
Refinanced February 2024 debt
-- Class X, $0.88 million: Three-month CME term SOFR + 1.20%
-- Class A-1-R, $240.00 million: Three-month CME term SOFR +
1.52%
-- Class A-2-R, $20.00 million: Three-month CME term SOFR + 1.80%
-- Class B-R, $44.00 million: Three-month CME term SOFR + 2.10%
-- Class C-R, $24.00 million: Three-month CME term SOFR + 2.70%
-- Class D-1-R, $24.00 million: Three-month CME term SOFR + 4.60%
-- Class D-2-R, $5.00 million: 10.50%
-- Class E-R, $10.00 million: Three-month CME term SOFR + 8.00%
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
Rockford Tower CLO 2020-1 Ltd./Rockford Tower CLO 2020-1 LLC
Class X-R, $0.81 million: AAA (sf)
Class A-1-RR, $240.00 million: AAA (sf)
Class A-2-RR, $20.00 million: AAA (sf)
Class B-RR, $44.00 million: AA (sf)
Class C-RR, $24.00 million: A (sf)
Class D-1-RR, $24.00 million: BBB (sf)
Class D-2-RR, $5.00 million: BBB- (sf)
Class E-RR, $10.00 million: BB- (sf)
Ratings Withdrawn
Rockford Tower CLO 2020-1 Ltd./Rockford Tower CLO 2020-1 LLC
Class X to not rated from 'AAA (sf)'
Class A-1-R to not rated from 'AAA (sf)'
Class A-2-R to not rated from 'AAA (sf)'
Class B-R to not rated from 'AA (sf)'
Class C-R to not rated from 'A (sf)'
Class D-1-R to not rated from 'BBB (sf)'
Class D-2-R to not rated from 'BBB- (sf)'
Class E-R to not rated from 'BB- (sf)'
Other Debt
Rockford Tower CLO 2020-1 Ltd./Rockford Tower CLO 2020-1 LLC
Subordinated notes, $35.15 million: Not rated
RR 35: Fitch Assigns 'BB+sf' Rating on Cl. D Notes, Outlook Stable
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to RR 35
Ltd.
Entity/Debt Rating
----------- ------
RR 35 LTD
A-1a LT AAAsf New Rating
A-1b LT AAAsf New Rating
A-2 LT AA+sf New Rating
B LT A+sf New Rating
C-1 LT BBB-sf New Rating
C-2 LT BBB-sf New Rating
D LT BB+sf New Rating
E LT NRsf New Rating
Subordinated Notes LT NRsf New Rating
Transaction Summary
RR 35 Ltd (the issuer) is an arbitrage cash flow collateralized
loan obligation (CLO) that will be managed by Redding Ridge Asset
Management LLC. 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. Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard CLO structural
features.
Asset Security (Positive): The indicative portfolio consists of
95.2% first-lien senior secured loans and has a weighted average
recovery assumption of 75.5%. Fitch stressed the indicative
portfolio by assuming a higher portfolio concentration of assets
with lower recovery prospects and further reduced recovery
assumptions for higher rating stresses.
Portfolio Composition (Positive): The largest three industries may
comprise up to 39% 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 required by industry,
obligor and geographic concentrations is in line with other recent
CLOs.
Portfolio Management (Neutral): The transaction has a five-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 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-1a, between
'BBB+sf' and 'AA+sf' for class A-1b, between 'BB+sf' and 'AA-sf'
for class A-2, between 'B+sf' and 'BBB+sf' for class B, between
less than 'B-sf' and 'BB+sf' for class C-1, between less than
'B-sf' and 'BB+sf' for class C-2, and between less than 'B-sf' and
'BB-sf' for class D.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-1a and class
A-1b 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 A-2, 'AA+sf' for class B, 'A+sf'
for class C-1, 'Asf' for class C-2, and 'BBB+sf' for class D.
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, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for RR 35 LTD. 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.
SIGNAL PEAK 14: S&P Assigns Prelim BB-(sf) Rating on Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Signal Peak
CLO 14 Ltd./Signal Peak CLO 14 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 ORIX Advisers LLC.
The preliminary ratings are based on information as of Jan. 22,
2025. 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
Signal Peak CLO 14 Ltd./Signal Peak CLO 14 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-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, $40.00 million: Not rated
SYMPHONY CLO XXXIII: Moody's Assigns Ba3 Rating to 2 Tranches
-------------------------------------------------------------
Moody's Ratings has assigned ratings to three classes of CLO
refinancing notes (the Refinancing Notes) issued by Symphony CLO
XXXIII, Ltd. (the Issuer):
US$256,000,000 Class A-R Senior Secured Floating Rate Notes due
2038, Assigned Aaa (sf)
US$10,000,000 Class E-1-R Junior Secured Deferrable Floating Rate
Notes due 2038, Assigned Ba3 (sf)
US$3,000,000 Class E-2-R Junior Secured Deferrable Fixed Rate Notes
due 2038, Assigned Ba3 (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%
of the portfolio must consist of first lien senior secured loans
and up to 10% of the portfolio may consist of second lien loans,
unsecured loans and non-loan assets.
Symphony Alternative Asset Management 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
extended 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, the other
five classes of secured notes and additional subordinated notes, a
variety of other changes to transaction features will occur in
connection with the refinancing. These include: extensions of the
stated maturity and non-call period; changes to certain collateral
quality tests; and changes to the overcollateralization test levels
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 Moody's analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on Moody's published methodology
and could differ from the trustee's reported numbers.
For modeling purposes, Moody's used the following base-case
assumptions:
Portfolio par: $400,000,000
Diversity Score: 80
Weighted Average Rating Factor (WARF): 2979
Weighted Average Spread (WAS): 3.30%
Weighted Average Coupon (WAC): 6.80%
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 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.
VERUS SECURITIZATION 2025-1: S&P Assigns 'B-' Rating on B-2 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Verus Securitization
Trust 2025-1's mortgage-backed notes.
The note issuance is an RMBS securitization backed by U.S.
residential mortgage loans.
After the preliminary ratings were issued, the issuer added initial
exchangeable class A-1A and A-1B notes, which together can be
exchanged for exchangeable class A-1 notes.
The ratings reflect S&P's view of:
-- The pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, representations and warranties framework, prior credit
events, and geographic concentration;
-- The mortgage aggregator, Invictus Capital Partners; and
-- S&P said, "The one key change in our baseline forecast since
September, wherein we expect the Federal Reserve to reduce the
federal funds rate more gradually and reach an assumed neutral rate
of 3.1% by fourth-quarter 2026 (was fourth-quarter 2025
previously). We continue to expect real GDP growth to slow from
above-trend growth this year to below-trend growth in 2025. Heading
into 2025, the U.S. economy is expanding at a solid pace and while
President-elect Donald Trump outlined numerous policy proposals
during his campaign, S&P Global Ratings' economic outlook for 2025
hasn't changed appreciably, partly because we have taken a
probabilistic approach and are assuming partial implementation of
campaign promises. It will take time for changes in fiscal, trade,
and immigration policies to be implemented and affect the economy.
Our current market outlook as it relates to the 'B' projected
archetypal foreclosure frequency is, therefore, unchanged at 2.50%.
This reflects our benign view of the mortgage and housing markets,
as demonstrated through general national level home price behavior,
unemployment rates, mortgage performance, and underwriting."
Ratings Assigned(i)
Verus Securitization Trust 2025-1
Class A-1A, $298,743,000: AAA (sf)
Class A-1B, $55,323,000: AAA (sf)
Class A-1, $354,066,000: AAA (sf)
Class A-2, $45,088,000: AA (sf)
Class A-3, $68,600,000: A (sf)
Class M-1, $36,237,000: BBB- (sf)
Class B-1, $20,469,000: BB- (sf)
Class B-2, $17,703,000: B- (sf)
Class B-3, $11,065,419: NR
Class A-IO-S, notional(ii): NR
Class XS, notional(ii): NR
Class R, N/A: NR
(i)The ratings address the ultimate payment of interest and
principal. They do not address the payment of the cap carryover
amounts.
(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.
NR--Not rated.
N/A--Not applicable.
VOYA CLO 2017-2: S&P Affirms B+ (sf) Rating on Class D Notes
------------------------------------------------------------
S&P Global Ratings raised its ratings on the class A-2a-R, A-2b-R,
and B-R notes from Voya CLO 2017-2 Ltd., a U.S. CLO transaction
that was issued in 2017 and refinanced in 2021. At the same time,
S&P affirmed its ratings on the class A-1-R, C-R, and D notes from
the same transaction.
The rating actions follow S&P's review of the transaction's
performance using data from the Nov. 29, 2024, trustee report.
The transaction has had approximately $295.96 million in paydowns
to the class A-1-R notes since our April 2021 rating actions. These
paydowns resulted in improved reported overcollateralization (O/C)
ratios for most tranches since the release of the Feb. 26, 2021,
trustee report, which S&P used for its previous rating actions:
-- The class A O/C ratio improved to 167.87% from 129.08%.
-- The class B O/C ratio improved to 135.78% from 118.91%.
-- The class C O/C ratio improved to 116.47% from 111.48%.
-- However, the class D O/C ratio declined to 105.55% from
106.63%.
While the senior O/C ratios increased due to the lower balances of
the senior notes, the class D O/C ratio declined, primarily due to
increased haircuts following the portfolio's increased exposure to
'CCC' rated assets.
S&P said, "Collateral obligations with ratings in the 'CCC'
category are at $32.02 million as of the Nov. 29, 2024, trustee
report, compared with $45.56 million reported in the Feb. 26, 2021,
data that we used when the CLO was refinanced. Though the dollar
value of the 'CCC' exposure has declined, the CLO's portfolio has
amortized significantly since our last rating action. Consequently,
the percentage exposure of the 'CCC' balance increased and is now
more than the maximum allowed by the documents. As a result, the
trustee, 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 slightly increased since our April 2021 rating
action."
The upgraded classes reflect the improved credit support available
to the notes at the prior rating levels.
The affirmed ratings reflect adequate credit support at the current
rating levels, though any deterioration in the credit support
available to the notes could result in ratings changes.
S&P said, "Although our cash flow analysis indicated higher ratings
for the class A-2a-R, A-2b-R, B-R, and C-R notes, our rating
actions reflect additional sensitivity runs that considered the
exposure to lower-quality assets and distressed prices we noticed
in the portfolio.
"Although the cash flow results indicated a lower rating for the
class D notes, we view the overall credit seasoning as an
improvement to the transaction and considered the relatively stable
O/C ratios, which currently have a significant cushion over their
minimum requirements. However, any increase in defaults or par
losses could lead to negative rating actions on the class D 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
Voya CLO 2017-2 Ltd./Voya CLO 2017-2 LLC
Class A-2a-R to 'AAA (sf)' from 'AA (sf)'
Class A-2b-R to 'AAA (sf)' from 'AA (sf)'
Class B-R to 'AA (sf)' from 'A (sf)'
Ratings Affirmed
Voya CLO 2017-2 Ltd./Voya CLO 2017-2 LLC
Class A-1-R: AAA (sf)
Class C-R: BBB (sf)
Class D: B+ (sf)
VOYA CLO 2020-3: S&P Assigns Prelim BB-(sf) Rating on E-RR Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-RR, B-RR, C-RR, D-1-RR, D-2-RR, and E-RR replacement debt from
Voya CLO 2020-3 Ltd./Voya CLO 2020-3 LLC, a CLO managed by Voya
Alternative Asset Management LLC that was originally issued in
November 2020 and underwent a second refinancing in Oct. 20, 2021.
The preliminary ratings are based on information as of Jan. 15,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
S&P said, "On Jan. 21, 2025, refinancing date, the proceeds from
the replacement debt will be used to redeem the October 2021 debt.
At that time, we expect to withdraw our ratings on the October 2021
debt and assign ratings to the replacement debt. However, if the
refinancing doesn't occur, we may affirm our ratings on the October
2021 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 Jan. 20, 2027.
-- The reinvestment period will be extended to Jan. 20, 2030.
-- The legal final maturity dates (for the replacement debt and
the existing and additional subordinated notes) will be extended to
Jan. 20, 2038.
-- No additional assets will be purchased on the Jan. 21, 2025
refinancing date, and the target initial par amount will remain at
$400 million. There will be no additional effective date or ramp-up
period, and the first payment date following the refinancing is
April 21, 2025.
-- The required minimum overcollateralization and interest
coverage ratios will be amended.
-- Additional $14.7 million of 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 October 2021 Debt Issuances
Replacement debt
Voya CLO 2020-3 Ltd./Voya CLO 2020-3 LLC
-- Class A-RR, $256.00 million: Three-month CME term SOFR + 1.25%
-- Class B-RR, $48.00 million: Three-month CME term SOFR + 1.60%
-- Class C-RR (deferrable), $24.00 million: Three-month CME term
SOFR + 1.80%
-- Class D-1-RR (deferrable), $24.00 million: Three-month CME term
SOFR + 2.70%
-- Class D-2-RR (deferrable), $3.50 million: Three-month CME term
SOFR + 3.85%
-- Class E-RR (deferrable), $12.50 million: Three-month CME term
SOFR + 5.10%
-- Subordinated notes, $47.40 million: Not applicable
October 2021 debt
-- Class X-R, $4.00 million: Three-month CME term SOFR + 0.91%
-- Class A-R, $248.00 million: Three-month CME term SOFR + 1.41%
-- Class B-R, $56.00 million: Three-month CME term SOFR + 1.86%
-- Class C-R (deferrable), $24.00 million: Three-month CME term
SOFR + 2.26%
-- Class D-R (deferrable), $24.00 million: Three-month CME term
SOFR + 3.51%
-- Class E-R (deferrable), $16.00 million: Three-month CME term
SOFR + 6.66%
-- Subordinated notes, $32.70 million: Not applicable
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
Voya CLO 2020-3 Ltd./Voya CLO 2020-3 LLC
Class A-RR, $256.00 million: AAA(sf)
Class B-RR, $48.00 million: AA(sf)
Class C-RR (deferrable), $24.00 million: A(sf)
Class D-1-RR (deferrable), $24.00 million: BBB-(sf)
Class D-2-RR (deferrable), $3.50 million: BBB-(sf)
Class E-RR (deferrable), $12.50 million: BB-(sf)
Outstanding Debt
Voya CLO 2020-3 Ltd./Voya CLO 2020-3 LLC
Subordinated notes, $47.40 million: Not rated
WESTLAKE AUTOMOBILE 2025-1: DBRS Gives Prov. BB Rating on E Notes
-----------------------------------------------------------------
DBRS, Inc. assigned credit provisional ratings to the classes of
notes to be issued by Westlake Automobile Receivables Trust 2025-1
(Westlake 2025-1 or the Issuer) as follows:
-- $278,200,000 Class A-1 Notes at (P) R-1 (high) (sf)
-- $180,880,000 Class A-2-A Notes at (P) AAA (sf)*
-- $180,880,000 Class A-2-B Notes at (P) AAA (sf)*
-- $125,000,000 Class A-3 Notes at (P) AAA (sf)
-- $86,120,000 Class B Notes at (P) AA (sf)
-- $138,290,000 Class C Notes at (P) A (sf)
-- $110,630,000 Class D Notes at (P) BBB (sf)
-- $60,340,000 Class E Notes at (P) BB (sf)
*The combination of the Class A-2-A and Class A-2-B Notes is
expected to equal $361,760,000. The allocation of the principal
amount between the Class A-2-A and Class A-2-B Notes will be
determined at or before the time of pricing (subject to a maximum
allocation of 50% to the Class A-2-B Notes) and may result in the
principal amount of the Class A-2-B Notes being zero.
CREDIT RATING RATIONALE
The provisional credit ratings are based on Morningstar DBRS'
review of the following analytical considerations:
(1) Transaction capital structure, proposed credit ratings, and
form and sufficiency of available credit enhancement.
-- Credit enhancement is in the form of subordination, OC, amounts
held in the reserve fund, and available excess spread. Credit
enhancement levels are sufficient to support the Morningstar
DBRS-projected cumulative net loss (CNL) assumption under various
stress scenarios.
-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the ratings address the
timely payment of interest on a monthly basis and principal by the
legal final maturity date for each class.
(2) The Morningstar DBRS CNL assumption for the series 2025-1
transaction is 13.40% based on the pool composition as of the
Statistical Calculation Date.
-- The transaction assumptions consider Morningstar DBRS' baseline
macroeconomic scenarios for rated sovereign economies, available in
its commentary, "Baseline Macroeconomic Scenarios for Rated
Sovereigns: December 2024 Update," published on December 19, 2024.
These baseline macroeconomic scenarios replace Morningstar DBRS'
moderate and adverse Coronavirus Disease (COVID-19) pandemic
scenarios, which were first published in April 2020.
(3) The Westlake 2025-1 Notes are exposed to interest risk because
of the fixed-rate collateral and the floating interest rate borne
by the Class A-2-B Notes.
-- Morningstar DBRS ran interest rate stress scenarios to assess
the effect on the transaction's performance, and its ability to pay
noteholders per the transaction's legal documents.
-- Morningstar DBRS assumed two stressed interest rate
environments for each rating category, which consist of increasing
and declining forward interest rate paths for a 30-day average
Secured Overnight Financing Rate based on the Morningstar DBRS
Unified Interest Rate Tool.
(4) The consistent operational history of Westlake Services, LLC
(Westlake or the Company) and the strength of the overall Company
and its management team.
-- The Westlake senior management team has considerable experience
and a successful track record within the auto finance industry,
having managed the Company through multiple economic cycles.
(5) The capabilities of Westlake with regard to originations,
underwriting, and servicing.
-- Morningstar DBRS performed an operational review of Westlake
and considers the entity to be an acceptable originator and
servicer of subprime automobile loan contracts with an acceptable
backup servicer.
(6) The Company indicated that it is subject to various consumer
claims and litigation seeking damages and statutory penalties. Some
litigation against Westlake could take the form of class action
complaints by consumers; however, the Company believes that it has
taken prudent steps to address and mitigate the litigation risks
associated with its business activities.
(7) Computershare Trust Company, N.A. (rated BBB and R-2 (middle)
with Stable trends by Morningstar DBRS) has served as a backup
servicer for Westlake.
(8) The legal structure and expected presence of legal opinions
that will address the true sale of the assets to the Issuer, the
nonconsolidation of the special-purpose vehicle with Westlake, that
the trust has a valid first-priority security interest in the
assets, and the consistency with Morningstar DBRS' "Legal Criteria
for U.S. Structured Finance."
The collateral securing the notes consists entirely of a pool of
retail automobile contracts secured by predominantly used vehicles
that typically have high mileage. The loans are primarily made to
obligors who are categorized as subprime, largely because of their
credit history and credit scores.
Westlake is an independent full-service automotive financing and
servicing company that provides (1) financing to borrowers who do
not typically have access to prime credit-lending terms for the
purchase of late-model vehicles and (2) refinancing of existing
automotive financing.
The ratings on the Class A-1, A-2-A, A-2-B, and A-3 Notes reflect
40.15% of initial hard credit enhancement provided by subordinated
notes in the pool (31.45%), the reserve account (1.00%), and OC
(7.70%). The ratings on the Class B, Class C, Class D, and Class E
Notes reflect 33.30%, 22.30%, 13.50%, and 8.70% of initial hard
credit enhancement, respectively. Additional credit support may be
provided from excess spread available in the structure.
Morningstar DBRS' credit rating on the securities referenced herein
addresses the credit risk associated with the identified financial
obligations in accordance with the relevant transaction documents.
The associated financial obligations for each of the rated notes
are the related Noteholders' Monthly Interest Distributable Amount
and the related Note Balance.
Notes: All figures are in US dollars unless otherwise noted.
WESTLAKE AUTOMOBILE 2025-1: S&P Assigns 'BB' Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Westlake Automobile
Receivables Trust 2025-1's automobile receivables-backed notes.
The note issuance is an ABS transaction backed by subprime auto
loan receivables.
The ratings reflect S&P's view of:
-- The availability of approximately 44.8%, 38.6%, 29.7%, 22.9%,
and 19.7% 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 final
post-pricing stressed cash flow scenarios. These credit support
levels provide at least 3.50x, 3.00x, 2.30x, 1.75x, and 1.50x
coverage of our expected cumulative net loss of 12.50% for the
class A, B, C, D, and E notes, respectively.
-- The expectation that under a moderate ('BBB') stress scenario
(1.75x 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 our stressed cash flow modeling
scenarios, which S&P believes are appropriate for the assigned
ratings.
-- The collateral characteristics of the series' subprime
automobile loans, S&P's view of the credit risk of the collateral,
and our updated macroeconomic forecast and forward-looking view of
the auto finance sector.
-- The series' bank accounts at Wells Fargo Bank N.A., which do
not constrain the ratings.
-- S&P's operational risk assessment of Westlake Services LLC as
servicer and the company's underwriting and the backup servicing
arrangement with Computershare Trust Co. N.A.
-- 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.
Ratings Assigned
Westlake Automobile Receivables Trust 2025-1
Class A-1, $348.30 million: A-1+ (sf)
Class A-2-A, $373.00 million: AAA (sf)
Class A-2-B, $90.00 million: AAA (sf)
Class A-3, $167.70 million: AAA (sf)
Class B, $110.21 million: AA (sf)
Class C, $176.98 million: A (sf)
Class D, $141.59 million: BBB (sf)
Class E, $77.22 million: BB (sf)
[*] DBRS Confirms 67 Credit Ratings From 11 US RMBS Deals
---------------------------------------------------------
DBRS, Inc. reviewed 75 classes from 11 U.S. single-family rental
transactions. Of the 75 classes reviewed, Morningstar DBRS
confirmed 67 credit ratings and upgraded eight credit ratings as
follows:
AMSR 2019-SFR1 Trust
-- AMSR 2019-SFR1 Trust, Class A confirmed at AAA (sf)
-- AMSR 2019-SFR1 Trust, Class B confirmed at AAA (sf)
-- AMSR 2019-SFR1 Trust, Class C confirmed at AAA (sf)
-- AMSR 2019-SFR1 Trust, Class D confirmed at AA (sf)
-- AMSR 2019-SFR1 Trust, Class E confirmed at BBB (low) (sf)
-- AMSR 2019-SFR1 Trust, Class F confirmed at BB (sf)
-- AMSR 2019-SFR1 Trust, Class G confirmed at B (high) (sf)
AMSR 2021-SFR1 Trust
-- Single-Family Rental Pass-Through Certificate, Class A
confirmed at AAA (sf)
-- Single-Family Rental Pass-Through Certificate, Class B
confirmed at AA (sf)
-- Single-Family Rental Pass-Through Certificate, Class C
confirmed at A (high) (sf)
-- Single-Family Rental Pass-Through Certificate, Class D
confirmed at A (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class E-1
confirmed at BBB (high) (sf)
-- Single-Family Rental Pass-Through Certificate, Class E-2
confirmed at BBB (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class F
confirmed at BB (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class G
confirmed at B (low) (sf)
AMSR 2022-SFR1 Trust
-- Single-Family Rental Pass-Through Certificate, Class A
confirmed at AAA (sf)
-- Single-Family Rental Pass-Through Certificate, Class B
confirmed at AAA (sf)
-- Single-Family Rental Pass-Through Certificate, Class C
confirmed at AA (high) (sf)
-- Single-Family Rental Pass-Through Certificate, Class D
confirmed at AA (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class E-1
confirmed at BBB (high) (sf)
-- Single-Family Rental Pass-Through Certificate, Class E-2
confirmed at BBB (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class F
confirmed at BB (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class G
confirmed at B (low) (sf)
AMSR 2022-SFR2 Trust
-- Single-Family Rental Pass-Through Certificate, Class A
confirmed at AAA (sf)
-- Single-Family Rental Pass-Through Certificate, Class B
confirmed at AA (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class C
confirmed at BBB (sf)
-- Single-Family Rental Pass-Through Certificate, Class D
confirmed at BBB (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class E
confirmed at BB (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class F
confirmed at B (low) (sf)
FirstKey Homes 2020-SFR2 Trust
-- Single-Family Rental Pass-Through Certificate, Class A
confirmed at AAA (sf)
-- Single-Family Rental Pass-Through Certificate, Class B upgraded
to AAA (sf) from AA (high) (sf)
-- Single-Family Rental Pass-Through Certificate, Class C upgraded
to AA (sf) from AA (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class D upgraded
to A (sf) from A (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class E
confirmed at BBB (sf)
-- Single-Family Rental Pass-Through Certificate, Class F1
confirmed at BB (high) (sf)
-- Single-Family Rental Pass-Through Certificate, Class F2
confirmed at BB (sf)
-- Single-Family Rental Pass-Through Certificate, Class F3
confirmed at BB (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class G1
confirmed at B (high) (sf)
-- Single-Family Rental Pass-Through Certificate, Class G2
confirmed at B (high) (sf)
Home Partners of America 2019-1 Trust
-- HPA 2019-1, Class A confirmed at AAA (sf)
-- HPA 2019-1, Class B confirmed at AAA (sf)
-- HPA 2019-1, Class C upgraded to AA (high) (sf) from AA (sf)
-- HPA 2019-1, Class D upgraded to A (high) (sf) from A (sf)
-- HPA 2019-1, Class E confirmed at BBB (sf)
-- HPA 2019-1, Class F confirmed at BBB (low) (sf)
Home Partners of America 2019-2 Trust
-- HPA 2019-2, Class A confirmed at AAA (sf)
-- HPA 2019-2, Class B confirmed at AAA (sf)
-- HPA 2019-2, Class C upgraded to AAA (sf) from AA (high) (sf)
-- HPA 2019-2, Class D upgraded to AA (sf) from A (sf)
-- HPA 2019-2, Class E confirmed at BBB (sf)
-- HPA 2019-2, Class F confirmed at BB (sf)
Home Partners of America 2020-2 Trust
-- Single-Family Rental Pass-Through Certificate, Class A
confirmed at AAA (sf)
-- Single-Family Rental Pass-Through Certificate, Class B
confirmed at AA (high) (sf)
-- Single-Family Rental Pass-Through Certificate, Class C
confirmed at A (high) (sf)
-- Single-Family Rental Pass-Through Certificate, Class D
confirmed at A (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class E
confirmed at BBB (sf)
-- Single-Family Rental Pass-Through Certificate, Class F
confirmed at BB (low) (sf)
Home Partners of America 2021-1 Trust
-- Single-Family Rental Pass-Through Certificate A confirmed at
AAA (sf)
-- Single-Family Rental Pass-Through Certificate B confirmed at AA
(low) (sf)
-- Single-Family Rental Pass-Through Certificate C confirmed at A
(low) (sf)
-- Single-Family Rental Pass-Through Certificate D confirmed at
BBB (sf)
-- Single-Family Rental Pass-Through Certificate E confirmed at
BBB (low) (sf)
-- Single-Family Rental Pass-Through Certificate F confirmed at BB
(sf)
Home Partners of America 2021-2 Trust
-- Single-Family Rental Pass-Through Certificate, Class A
confirmed at AAA (sf)
-- Single-Family Rental Pass-Through Certificate, Class B
confirmed at AA (high) (sf)
-- Single-Family Rental Pass-Through Certificate, Class C
confirmed at AA (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class D
confirmed at A (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class E1
confirmed at BBB (sf)
-- Single-Family Rental Pass-Through Certificate, Class E2
confirmed at BBB (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class F
confirmed at BB (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class G
confirmed at B (sf)
Home Partners of America 2022-1 Trust
-- Single-Family Rental Pass-Through Certificate, Class A
confirmed at AAA (sf)
-- Single-Family Rental Pass-Through Certificate, Class B upgraded
to AA (sf) from AA (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class C
confirmed at A (sf)
-- Single-Family Rental Pass-Through Certificate, Class D
confirmed at BBB (high) (sf)
The credit rating confirmations reflect asset performance and
credit-support levels that are consistent with the current credit
ratings. The credit rating upgrades reflect a positive performance
trend and an increase in credit support sufficient to withstand
stresses at the new credit rating level.
Morningstar DBRS' credit rating actions are based on the following
analytical considerations:
-- Key performance measures as reflected in month-over-month
changes in vacancy and delinquency, quarterly analysis of the
actual expenses, credit enhancement increases since deal inception,
and bond paydown factors.
Morningstar DBRS' credit ratings on the applicable classes address
the credit risk associated with the identified financial
obligations in accordance with the relevant transaction documents.
Where applicable, a description of these financial obligations can
be found in the transactions' respective press releases at
issuance.
Notes: All figures are in U.S. dollars unless otherwise noted.
[*] DBRS Reviews 207 Classes From 24 US RMBS Transactions
---------------------------------------------------------
DBRS, Inc. reviewed 207 classes from 24 U.S. residential
mortgage-backed securities (RMBS) transactions. Of the 24
transactions reviewed, seven are classified as non-qualified
mortgage transactions, fifteen are classified as re-performing
mortgage transactions, one is a prime mortgage transaction and one
is classified as small-balance commercial mortgage transaction
collateralized by various types of commercial, multifamily rental,
and mixed-use properties. Of the 207 classes reviewed, Morningstar
DBRS upgraded its credit ratings on 53 classes and confirmed its
credit ratings on 154 classes.
The Affected Ratings are available at https://bit.ly/42jXfR7
The Issuers are:
CIM Trust 2023-R2
CIM Trust 2022-R1
MFA 2023-INV1 Trust
MFA 2023-NQM1 Trust
PRPM 2024-RCF1, LLC
PRPM 2024-RPL1, LLC
CIM Trust 2019-R2
Citigroup Mortgage Loan Trust 2021-RP6
CIM Trust 2020-R2
MFA 2021-INV1 Trust
Sequoia Mortgage Trust 2024-1
BRAVO Residential Funding Trust 2022-RPL1
BRAVO Residential Funding Trust 2023-NQM1
A&D Mortgage Trust 2024-NQM1
Verus Securitization Trust 2024-1
GS Mortgage-Backed Securities Trust 2022-RPL1
Velocity Commercial Capital Loan Trust 2024-1
Imperial Fund Mortgage Trust 2023-NQM1
Mill City Mortgage Loan Trust 2021-NMR1
BINOM Securitization Trust 2022-RPL1
GS Mortgage-Backed Securities Trust 2022-RPL2
GS Mortgage-Backed Securities Trust 2021-RPL1
GS Mortgage-Backed Securities Trust 2024-RPL2
GS Mortgage-Backed Securities Trust 2018-RPL1
CREDIT RATING RATIONALE/DESCRIPTION
The credit rating upgrades reflect a positive performance trend and
an increase in credit support sufficient to withstand stresses at
the new credit rating level. The credit rating confirmations
reflect asset performance and credit support levels that are
consistent with the current credit ratings.
The transaction assumptions consider Morningstar DBRS' baseline
macroeconomic scenarios for rated sovereign economies, available in
its commentary "Baseline Macroeconomic Scenarios for Rated
Sovereigns December 2024 Update" published on December 19, 2024
(https://dbrs.morningstar.com/research/444924). These baseline
macroeconomic scenarios replace Morningstar DBRS' moderate and
adverse coronavirus pandemic scenarios, which were first published
in April 2020.
Notes: All figures are in U.S. dollars unless otherwise noted.
[*] Moody's Takes Action on 7 Bonds From 3 US RMBS Deals
--------------------------------------------------------
Moody's Ratings has upgraded the ratings of seven bonds from three
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: First Franklin Mortgage Loan Trust 2004-FF6
Cl. B-1, Upgraded to Caa3 (sf); previously on Mar 15, 2011
Downgraded to C (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on Jun 21, 2019 Upgraded
to Caa2 (sf)
Cl. M-3, Upgraded to Caa1 (sf); previously on Mar 15, 2011
Downgraded to C (sf)
Issuer: PHH Alternative Mortgage Trust, Series 2007-1
Cl. I-A-1, Upgraded to Caa1 (sf); previously on Aug 30, 2012
Downgraded to Caa2 (sf)
Cl. I-A-2, Upgraded to Caa1 (sf); previously on Aug 30, 2012
Downgraded to Caa2 (sf)
Cl. I-A-3, Upgraded to Ca (sf); previously on Nov 5, 2010
Downgraded to C (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2005-FR4
Cl. M-2, Upgraded to Caa2 (sf); previously on Jul 8, 2010
Downgraded to Caa3 (sf)
RATINGS RATIONALE
The rating actions reflect the current levels of credit enhancement
available to the bonds, the recent performance, analysis of the
transaction structures, Moody's updated loss expectations on the
underlying pools and Moody's revised expectation of
loss-given-default for each bond.
Each of the bonds being upgraded have either incurred a missed or
delayed disbursement of an interest payment or the bond is
currently, or expected to become, undercollateralized, sometimes
reflected by a reduction in principal (a write-down). Moody's
expectation of loss-given-default assesses losses experienced and
expected future losses as a percent of the original bond balance.
Principal Methodology
The principal methodology used in these ratings was "US Residential
Mortgage-backed Securitizations: Surveillance" published in
December 2024.
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.
*********
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